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         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 3, 2019, Vol. 23, No. 306

                            Headlines

AASET TRUST 2018-2: Fitch Affirms BBsf Rating on Class C Debt
ANCHORAGE CREDIT 9: Moody's Rates 2 Note Tranches 'Ba3'
ANGEL OAK 2019-5: DBRS Finalizes B Rating on Class B-2 Certificates
BAIN CAPITAL 2019-3: Moody's Assigns (P)Ba3 Rating on Cl. E Notes
BANK 2019-BNK21: DBRS Finalizes BB Rating on Class X-G Certs

BANK 2019-BNK22: DBRS Assigns Prov. B(high) Rating on Class H Debt
BBCMS MORTGAGE 2019-C5: Fitch to Rate $9MM Class G-RR Debt 'B-sf'
BEAR STEARNS 2007-TOP26: DBRS Lowers Class D Certs Rating to D
BENCHMARK MORTGAGE 2019-B14: Fitch to Rate Class G-RR Debt 'B-sf'
BX TRUST 2017-CQHP: DBRS Confirms B(high) Rating on Class F Certs

CANTOR COMMERCIAL 2016-C7: Fitch Affirms B- Rating on 2 Tranches
CFCRE 2016-C6: Fitch Affirms B- on Class X-F Debt
CHASE HOME 2019-1: DBRS Assigns Prov. B Rating on 2 Classes
CHASE HOME 2019-1: Fitch Assigns BB- Rating on 2 Tranches
CIM TRUST 2019-J2: DBRS Assigns Prov. B Rating on Class B-5 Certs

CIM TRUST 2019-J2: Moody's Assigns (P)B2 Rating on Cl. B-5 Debt
CITIGROUP COMMERCIAL 2016-GC36: Fitch Affirms B- on Class F Certs
CLNC LTD 2019-FL1: DBRS Finalizes B(low) Rating on Class G Notes
COLONNADE GLOBAL 2018-2: DBRS Confirms BB(high) Rating on Tranche K
CONNECTICUT AVENUE 2019-R07: Fitch to Rate 29 Tranches 'Bsf'

CREDIT SUISSE 2007-C1: Fitch Affirms Bsf Rating on 3 Tranches
CSMC 2016-NXSR: Fitch Affirms B-sf Rating on 2 Tranches
CWABS ASSET-BACKED 2005-13: Moody's Hikes Cl. MV-2 Certs to B3
CWABS ASSET-BACKED 2006-23: Moody's Hikes Cl. 2-A-4 Certs to Caa1
FALCON 2019-1 AEROSPACE: Fitch Gives BB Rating on Series C Notes

FLAGSTAR MORTGAGE 2019-1INV: Moody's Rates Class B-5 Debt B1
GMACM HOME 2004-HE2: Moody's Hikes Class M-1 Debt Rating to Ba1
GS MORTGAGE 2019-PJ3: Moody's Assigns B2 Rating on Cl. B-5 Debt
HALCYON LOAN 2014-2: Moody's Lowers Rating on Cl. D Notes to B3
HORIZON AIRCRAFT III: Fitch Assigns BBsf Rating on Class C Notes

JP MORGAN 2019-8: Moody's Assigns B3 Rating on 2 Tranches
JP MORGAN 2019-LTV3: Moody's Assigns B3 Rating on Cl. B-5 Certs
JPMCC COMMERCIAL 2016-JP4: Fitch Affirms BB Rating on Cl. E Certs
LENDMARK FUNDING 2019-2: DBRS Assigns Prov. BB Rating on D Notes
MARYLAND TRUST 2006-1: Moody's Lowers Ser. A Certs to Caa1

MERRILL LYNCH 2005-CK11: Moody's Raises Class E Debt to B1
METAL LIMITED 2017-1: Fitch Affirms B Rating to Class C-2 Debt
MILL CITY 2019-GS2: DBRS Assigns Prov. B(low) Rating on 3 Tranches
MILL CITY 2019-GS2: Moody's Assigns Ba3 Rating on 2 Tranches
MORGAN STANLEY 2013-C11: Fitch Lowers Class E Certs Rating to Bsf

MORGAN STANLEY 2013-C12: Moody's Affirms B1 Rating on Cl. F Certs
MORGAN STANLEY 2014-C17: DBRS Cuts Rating on Cl. F Certs to B(low)
OBX TRUST 2019-EXP3: Fitch Assigns Bsf Rating on Class B-5 Debt
PSMC TRUST 2019-3: Fitch Rates Class B-5 Debt 'Bsf'
RAAC TRUST 2007-RP2: Moody's Hikes Class A Debt Rating to Ba1

SCF EQUIPMENT 2019-2: Moody's Assigns B3 Rating on Class F Notes
TOWD POINT 2019-HY3: Moody's Assigns B2 Rating on Cl. B2 Notes
TRTX 2019-FL3: DBRS Finalizes BB(low) Rating on Class F Notes
VERUS SECURITIZATION 2019-4: DBRS Finalizes B Rating on B-2 Certs
WESTLAKE AUTOMOBILE 2019-3: DBRS Finalizes B Rating on Cl. F Notes

WFRBS COMMERCIAL 2011-C3: Fitch Cuts Class F Certs Rating to CCsf

                            *********

AASET TRUST 2018-2: Fitch Affirms BBsf Rating on Class C Debt
-------------------------------------------------------------
Fitch Ratings affirmed all outstanding classes of AASET 2018-2
Trust.

  -- Class A affirmed at 'Asf'; Outlook Stable;

  -- Class B affirmed at 'BBBsf'; Outlook Stable;

  -- Class C affirmed at 'BBsf'; Outlook Stable.

KEY RATING DRIVERS

The affirmation of the series A, B and C notes reflects performance
that continues to be within Fitch's expectations. Lease cash flow
has been in line with Fitch's base scenarios, and the notes are
paying as scheduled. Utilization has been at 100% with the
exception of one month when a lease was terminated early. However,
the aircraft was re-leased the following month. Loan-to-value (LTV)
levels have remained stable following the recent set of appraisals
completed in May 2019.

As of the October 2019 distribution, the debt service coverage
ratio is currently at 2.00x, well above trigger levels.

Cash flow modeling was not completed as performance has been within
expectations consistent with criteria, no performance triggers were
tripped and the transaction has been modeled within the past 18
months, all in line with criteria.

RATING SENSITIVITIES

Due to the correlation between global economic conditions and the
airline industry, the ratings may be affected by the strength of
the macro-environment over the remaining term of this transaction.
Global economic conditions that are inconsistent with Fitch's
expectations and stress parameters could lead to negative rating
actions. In the initial rating analysis, Fitch found the
transaction to have limited sensitivity to the timing or severity
of assumed recessions.

Fitch also found that greater default probability of the leases
would have a material impact on the ratings. In addition, Fitch
found the timing or degree of technological advancement in the
commercial aviation space and the impacts these changes would have
on values, lease rates and utilization would have a moderate impact
on the ratings.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

ESG Considerations

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is typically a score of 3 - ESG issues are
credit neutral or have only a minimal credit impact on the
transactions, either due to their nature or the way in which they
are being managed by the transactions.


ANCHORAGE CREDIT 9: Moody's Rates 2 Note Tranches 'Ba3'
-------------------------------------------------------
Moody's Investors Service assigned ratings to eight classes of
notes and one class of rated structured notes issued by Anchorage
Credit Funding 9, Ltd.

Moody's rating action is as follows:

US$185,000,000 Class A Senior Secured Fixed Rate Notes due 2037
(the "Class A Notes"), Assigned Aaa (sf)

US$38,800,000 Class B-a Senior Secured Fixed Rate Notes due 2037
(the "Class B-a Notes"), Assigned Aa3 (sf)

US$19,200,000 Class B-b Senior Secured Fixed Rate Notes due 2037
(the "Class B-b Notes"), Assigned Aa3 (sf)

US$5,000,000 Class C-a Mezzanine Secured Deferrable Fixed Rate
Notes due 2037 (the "Class C-a Notes"), Assigned A3 (sf)

US$17,000,000 Class C-b Mezzanine Secured Deferrable Fixed Rate
Notes due 2037 (the "Class C-b Notes"), Assigned A3 (sf)

US$20,000,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes
due 2037 (the "Class D Notes"), Assigned Baa3 (sf)

US$10,000,000 Class E-a Junior Secured Deferrable Fixed Rate Notes
due 2037 (the "Class E-a Notes"), Assigned Ba3 (sf)

US$10,000,000 Class E-b Junior Secured Deferrable Fixed Rate Notes
due 2037 (the "Class E-b Notes"), Assigned Ba3 (sf)

US$54,000,000 Class 1 Rated Structured Notes (composed of
components representing US$19,200,000 of Class B-b Notes,
US$17,000,000 Class C-b Notes, US$10,000,000 Class E-b Notes and
US$7,800,000 of Subordinated Notes due 2037 (the "Class 1 Rated
Structured Notes"), Assigned A3 (sf) with respect to the ultimate
receipt of the Aggregate Security Balance (as defined in the
transaction's indenture).

The Class A Notes, the Class B-a Notes, the Class B-b Notes, the
Class C-a Notes, the Class C-b Notes, the Class D Notes, the Class
E-a Notes and the Class E-b Notes are referred to herein,
collectively, as the "Rated Notes."

The Class 1 Rated Structured Notes are referred to herein as the
"Rated Structured Notes."

The Rated Structured Notes' structure includes several notable
features. The Rated Structured Notes promise the repayment of the
Aggregate Security Balance and do not bear a stated rate of
interest. In addition to the Rated Structured Notes, the Issuer
also issued the Class 1 Residual Structured Notes that Moody's did
not rate. Any proceeds from the Underlying Components will be first
applied to the payment of principal of the Rated Structured Notes
until its principal is reduced to zero and second, distributed to
the Residual Structured Notes. While the Rated Structured Notes are
outstanding, the Issuer cannot re-price or refinance the Underlying
Components, without satisfaction of certain conditions.

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CDO's portfolio and structure as
described in its methodology.

Anchorage Credit Funding 9 is a managed cash flow CDO. The issued
notes will be collateralized primarily by corporate bonds and
loans. At least 30% of the portfolio must consist of senior secured
loans, senior secured notes and eligible investments, up to 70% of
the portfolio may consist of second-lien loans, unsecured loans,
bonds, subordinated bonds and unsecured bonds, and up to 5% of the
portfolio may consist of letters of credit. The portfolio is
approximately 40% ramped as of the closing date.

Anchorage Capital Group, L.L.C. 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, subject to certain restrictions, the Manager may
reinvest up to 50% unscheduled principal payments and proceeds from
sales of credit risk assets.

In addition to the Rated Notes, the Rated Structured Notes and the
Residual Structured 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 March 2019.

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount: $400,000,000

Diversity Score: 45

Weighted Average Rating Factor (WARF): 3052

Weighted Average Coupon (WAC): 5.5%

Weighted Average Recovery Rate (WARR): 36%

Weighted Average Life (WAL): 11 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
March 2019.

Factors That Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the Rated Notes and the Rated Structured Notes
is subject to uncertainty. The performance of the Rated Notes and
the Rated Structured 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 and the Rated Structured Notes.

The ratings on the Rated Structured Notes, which combine cash flows
from the Underlying Components, are subject to a higher degree of
volatility than the other rated notes of the Issuer, primarily due
to the uncertainty of cash flows from the Subordinated Notes.
Moody's applied haircuts to the cash flows from the Subordinated
Notes based on the target rating of the Rated Structured Notes.
Actual distributions from the Subordinated Notes that differ
significantly from Moody's assumptions can lead to a faster (or
slower) speed of reduction in the Aggregate Security Balance,
thereby resulting in better (or worse) ratings performance than
previously expected.


ANGEL OAK 2019-5: DBRS Finalizes B Rating on Class B-2 Certificates
-------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Certificates, Series 2019-5 (the Certificates)
issued by Angel Oak Mortgage Trust 2019-5 (AOMT 2019-5 or the
Trust):

-- $218.4 million Class A-1 at AAA (sf)
-- $22.6 million Class A-2 at AA (sf)
-- $48.9 million Class A-3 at A (sf)
-- $27.3 million Class M-1 at BBB (sf)
-- $14.1 million Class B-1 at BB (sf)
-- $13.4 million Class B-2 at B (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects 38.10%
of credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 31.70%, 17.85%, 10.10%, 6.10% and 2.30% of credit
enhancement, respectively.

Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.

This transaction is a securitization of a portfolio of primarily
first-lien fixed- and adjustable-rate non-prime and prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 969 loans with a total principal
balance of $352,770,946 as of the Cut-Off Date (October 1, 2019).

Angel Oak Home Loans LLC, Angel Oak Mortgage Solutions LLC (AOMS)
and Angel Oak Prime Bridge, LLC (collectively, Angel Oak)
originated 100.0% of the portfolio (969 loans). The Angel Oak
first-lien mortgages were mainly originated under the following
eight programs:

(1) Platinum (41.5%) – Made to borrowers that have prime or
near-prime credit scores, but who are unable to obtain financing
through conventional or governmental channels because (a) they fail
to satisfy credit requirements, (b) they are self-employed and need
alternative income calculations using 12 or 24 months of bank
statements or the most recent year income tax return or (c) they
may have been subject to a bankruptcy or foreclosure 48 or more
months prior to origination.

(2) Portfolio Select (38.7%) – Made to borrowers with near-prime
credit scores who are unable to obtain financing through
conventional or governmental channels because (a) they fail to
satisfy credit requirements, (b) they are self-employed and need an
alternate income calculation using 12 months or 24 months of bank
statements to qualify, (c) they may have a credit score that is
lower than that required by government-sponsored entity
underwriting guidelines or (d) they may have been subject to a
bankruptcy or foreclosure 24 or more months prior to origination.

(3) Investor Cash Flow (10.9%) – Made to real estate investors
who are experienced in purchasing, renting and managing investment
properties with an established five-year credit history and at
least 24 months of clean housing payment history, but who are
unable to obtain financing through conventional or governmental
channels because they (a) fail to satisfy the requirements of such
programs or (b) may be over the maximum number of properties
allowed. Loans originated under the Investor Cash Flow program are
considered business-purpose and are not covered by the
Ability-to-Repay (ATR) or TILA/RESPA Integrated Disclosure rules.

(4) Non-Prime General (7.1%) – Made to borrowers who have not
sustained a housing event in the past 24 months, but whose credit
reports show multiple 30+-day and/or 60+-day and/or 90+-day
delinquencies on any reported debt in the past 12 months.

(5) Non-Prime Recent Housing (1.1%) – Made to borrowers who have
completed or have had their properties subject to a short sale,
deed in lieu, notice of default or foreclosure. Borrowers who have
filed bankruptcy 12 or more months prior to origination or have
experienced severe delinquencies may also be considered for this
program.

(6) Non-Prime Foreign National (0.3%) – Made to investment
property borrowers who are citizens of foreign countries and who do
not reside or work in the United States. Borrowers may use
alternative income and credit documentation. Income is typically
documented by the employer or accountant and credit is verified by
letters from overseas credit holders.

(7) Asset Qualifier (0.3%) – Made to borrowers with prime credit
and significant assets who can purchase the property with their
assets, but choose to use a financing instrument for cash flow
purposes. Assets should cover the purchase of the home plus 60
months of debt service and four months of reserves. No income
documentation is obtained, but the borrower is qualified based on
certain credit requirements (minimum score 700) and significant
asset requirements, calculated as 60 times of all monthly debts and
new principal, interest, taxes, insurance and association payments
(minimum of $1,300 monthly disposable income). These loans are
available within both the Platinum and Portfolio Select programs.

(8) Non-Prime Investment Property (0.2%) – Made to real estate
investors who may have financed up to four mortgaged properties
with the originators (or 20 mortgaged properties with all
lenders).

In addition, the pool contains 0.2% second-lien mortgage loans,
which were originated under the guidelines established by the
Federal National Mortgage Association and overlaid by Angel Oak.

Select Portfolio Servicing, Inc. is the Servicer for all loans.
AOMS will act as Servicing Administrator and Wells Fargo Bank, N.A.
(rated AA with a Stable trend by DBRS Morningstar) will act as the
Master Servicer. U.S. Bank National Association (rated AA (high)
with a Stable trend by DBRS Morningstar) will serve as Trustee and
Custodian.

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau (CFPB) ATR rules, they were made to
borrowers who generally do not qualify for agency, government or
private-label non-agency prime products for various reasons
described above. In accordance with the CFPB Qualified Mortgage
(QM) rules, 0.3% of the loans are designated as QM Rebuttable
Presumption and 84.5% as non-QM. Approximately 15.3% of the loans
are made to investors for business purposes and, thus, are not
subject to the QM rules.

The Servicer will generally fund advances of delinquent principal
and interest on any mortgage until such loan becomes 180 days
delinquent. The Servicer is obligated to make advances in respect
of taxes, insurance premiums and reasonable costs incurred in the
course of servicing and disposing of properties.

On or after the two-year anniversary of the Closing Date, the
Depositor has the option to purchase all outstanding certificates
at a price equal to the outstanding class balance plus accrued and
unpaid interest, including any cap carryover amounts. After such
purchase, the Depositor then has the option to complete a qualified
liquidation, which requires a complete liquidation of assets within
the trust and proceeds to be distributed to the appropriate holders
of regular or residual interests.

The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full. Furthermore, excess spread can be used to cover realized
losses first before being allocated to unpaid cap carryover amounts
up to Class B-2.

Notes: All figures are in U.S. dollars unless otherwise noted.


BAIN CAPITAL 2019-3: Moody's Assigns (P)Ba3 Rating on Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to six
classes of notes to be issued by Bain Capital Credit CLO 2019-3,
Limited.

Moody's rating action is as follows:

US$320,000,000 Class A Senior Secured Floating Rate Notes due 2032
(the "Class A Notes"), Assigned (P)Aaa (sf)

US$43,800,000 Class B-1 Senior Secured Floating Rate Notes due 2032
(the "Class B-1 Notes"), Assigned (P)Aa2 (sf)

US$16,200,000 Class B-2 Senior Secured Floating Rate Notes due 2032
(the "Class B-2 Notes"), Assigned (P)Aa2 (sf)

US$26,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class C Notes"), Assigned (P)A3 (sf)

US$25,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class D Notes"), Assigned (P)Baa3 (sf)

US$27,500,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Assigned (P)Ba3 (sf)

The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D Notes and the Class E Notes are referred
to herein, collectively, as the "Rated Notes."

Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.

Bain Capital Credit CLO 2019-3 is a managed cash flow CLO. The
issued notes will be collateralized primarily by broadly syndicated
senior secured corporate loans. At least 90.0% of the portfolio
must consist of senior secured loans and eligible investments, and
up to 10.0% of the portfolio may consist of second lien loans and
senior unsecured loans. Moody's expects the portfolio to be fully
ramped as of the closing date.

Bain Capital Credit U.S. CLO Manager, LLC will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

In addition to the Rated Notes, the Issuer will issue subordinated
notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

The Class B-1 Notes are entitled to an additional repayment amount
of 30% in connection with any repayment of principal of the Class
B-1 Notes (the "Class B-1 Note Redemption Premium"). So long as the
holders of the Class B-1 Notes have not directed the Issuer to
reduce the Class B-1 Note Redemption Premium to zero in connection
with other actions (a "Class B-1 Note Redemption Premium
Termination Event"), coupon will be paid to the Class B-1 Notes
until the Class B-1 Note Redemption Premium equals zero. Following
such event and the Class B-1 Note Redemption Premium becoming zero,
the interest rate with respect to the Class B-1 Notes will be zero.
If the Class B-1 Note Redemption Premium Termination Event occurs
and the Class B-1 Note Redemption Premium becomes zero, the Class
B-1 Notes' interest rate will continue at the interest rate
immediately applicable prior to such termination event.

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 March 2019.

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount: $500,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2900

Weighted Average Spread (WAS): 3.37%

Weighted Average Coupon (WAC): 6.00%

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
March 2019.

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.


BANK 2019-BNK21: DBRS Finalizes BB Rating on Class X-G Certs
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2019-BNK21 (the Certificates) issued by BANK 2019-BNK21 (the
Issuer):

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class X-D at A (low) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (high) (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class X-G at BB (sf)
-- Class G at BB (low) (sf)

All trends are Stable.

The collateral consists of 49 fixed-rate loans secured by 87
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. Three loans, representing a combined 22.4%
of the pool, are shadow-rated investment grade by DBRS Morningstar.
When the cut-off loan balances were measured against the DBRS
Morningstar Stabilized net cash flow and their respective actual
constants, none of the loans had a DBRS Morningstar Term debt
service coverage ratio below 1.15 times, a threshold indicative of
a higher likelihood of mid-term default. However, the pool includes
15 loans, representing a combined 21.7% of the pool by allocated
loan balance, with issuance loan-to-value (LTV) ratios equal to or
in excess of 67.1%, a threshold historically indicative of
above-average default frequency. The weighted-average (WA) LTV of
the pool at issuance is 60.9%, and the pool is scheduled to
amortize down to a WA LTV of 57.8% at maturity.

The transaction includes three loans, representing a combined 22.4%
of the total pool balance, that are shadow-rated investment grade
by DBRS Morningstar, including Park Tower at Transbay, 230 Park
Avenue South and Grand Canal Shoppes. Park Tower at Transbay
exhibits credit characteristics consistent with a AAA shadow
rating, 230 Park Avenue South exhibits credit characteristics
consistent with a BBB (low) shadow rating and Grand Canal Shoppes
exhibits credit characteristics consistent with a BBB (high) shadow
rating.

Eight loans, including six of the top ten loans, representing 39.9%
of the pool, have Strong sponsorship according to DBRS Morningstar.
Furthermore, DBRS Morningstar identified only two loans (which,
combined, represent just 4.3% of the pool) that have sponsorship
and/or loan collateral associated with a voluntary bankruptcy
filing, a prior discounted payoff, a loan default, limited net
worth and/or liquidity, a historical negative credit event and/or
an inadequate commercial real estate experience.

Thirteen loans, representing a combined 35.5% of the pool by
allocated loan balance, exhibit issuance LTVs of less than 59.3%, a
threshold historically indicative of relatively low-leverage
financing and generally associated with below-average default
frequency.

No loans were deemed Average (-), Below Average or Poor property
quality. Additionally, ten loans, representing 40.1% of the pool
balance, exhibited Average (+), Above Average or Excellent property
quality. The pool's largest loan, Park Tower at Transbay, is
secured by collateral that DBRS Morningstar deemed to be of
Excellent property quality.

Eight loans, representing 34.3% of the aggregate pool balance, are
secured by properties that are either fully or partially leased to
a single tenant. Four of the top ten loans, including Park Tower at
Transbay, 230 Park Avenue South, Domain Tower and 105 East 17th
Street, are either fully or partially leased to a single tenant.
DBRS Morningstar sampled six of the eight loans secured by
single-tenant properties. Additionally, two of the eight loans
leased to a single tenant (Park Tower at Transbay and 230 Park
Avenue South) are shadow-rated investment grade by DBRS
Morningstar. Five of the eight identified properties are leased to
single tenants that DBRS Morningstar considers being
investment-grade rated: Park Tower at Transbay, 230 Park Avenue
South, Domain Tower, 105 East 17th Street and Chase – Franklin
Park, IL.

The pool has a relatively high concentration of loans secured by
office properties, as evidenced by nine loans, representing 44.5%
of the pool by allocated loan balance, that are secured by such
properties. DBRS Morningstar considers office properties to be a
riskier property type with a generally above-average historical
default frequency. Of the nine loans secured by office properties,
two loans, comprising 19.1% of the pool balance, are shadow-rated
investment grade by DBRS Morningstar: Park Tower at Transbay and
230 Park Avenue South. Four of the nine identified loans,
representing 24.9% of the pool balance, are secured by office
properties located in areas with a DBRS Morningstar Market Rank of
8, which is characterized as a highly dense urbanized area, such as
New York or San Francisco. These markets benefit from increased
liquidity that is driven by consistently strong investor demand.
Therefore, such markets tend to benefit from lower default
frequencies than less dense suburban, tertiary and rural markets.

Twenty-five loans, representing a combined 71.7% of the pool by
allocated loan balance, are structured with full-term IO periods.
Expected amortization for the pool is only 4.7%, which is less than
recent conduit securitizations. Of the 25 loans structured with
full-term IO periods, five loans, representing 28.3% of the pool by
allocated loan balance, are located in areas with a DBRS
Morningstar Market Rank of 6 or 8. These markets benefit from
increased liquidity even during times of economic stress. Three of
the 25 identified loans, representing 22.4% of the total pool
balance, are shadow-rated investment grade by DBRS Morningstar:
Park Tower at Transbay, 230 Park Avenue South and Grand Canal
Shoppes.

The pool features a relatively high concentration of loans secured
by properties located in less-favorable suburban market areas, as
evidenced by 23 loans, representing 31.3% of the pool balance,
being secured by properties located in areas with a DBRS
Morningstar Market Rank of either 3 or 4. An additional nine loans,
totaling 9.8% of the pool balance, are secured by properties
located in areas with a DBRS Morningstar Market Rank of either 1 or
2, which are typically considered more rural or tertiary in nature.
Ten of the identified loans (which represent 9.2% of the pool
balance and are secured by properties located in areas with a DBRS
Morningstar Market Rank of 1, 2, 3 or 4) will amortize over the
loan term, which can reduce risk over time. The average expected
amortization of these loans is 18.9%, which is notably higher than
the pool's total WA expected amortization of 4.7%.

Four loans, representing 24.9% of the total pool balance, are
secured by properties located in areas with a DBRS Morningstar
Market Rank of 8, which are characterized as urbanized locations.

Classes X-A, X-B, X-D, X-F and X-G are IO certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated applicable reference obligation
tranche adjusted upward by one notch if senior in the waterfall.

Notes: All figures are in U.S. dollars unless otherwise noted.


BANK 2019-BNK22: DBRS Assigns Prov. B(high) Rating on Class H Debt
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2019-BNK22 to be issued by BANK
2019-BNK22 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class C at AA (sf)
-- Class D at A (sf)
-- Class X-D at A (low) (sf)
-- Class E at BBB (high) (sf)
-- Class X-F at BBB (sf)
-- Class F at BBB (low) (sf)
-- Class X-G at BB (high) (sf)
-- Class G at BB (sf)
-- Class X-H at BB (low) (sf)
-- Class H at B (high) (sf)

All trends are Stable.

Classes D, X-D, E, X-F, F, X-G, G, X-H, H, X-J and J will be
privately placed.

The collateral consists of 58 fixed-rate loans secured by 131
commercial and multifamily properties. The transaction is of a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. Three loans, representing a combined 26.1%
of the pool, are shadow-rated investment grade by DBRS Morningstar.
When the cut-off loan balances were measured against the DBRS
Morningstar Stabilized Net Cash Flow and their respective actual
constants, the initial DBRS Morningstar Weighted-Average (WA) Debt
Service Coverage Ratio (DSCR) of the pool was 2.90 times (x). None
of the loans had a DBRS Morningstar Term DSCR below 1.30x, a
threshold indicative of a higher likelihood of mid-term default.
The WA loan-to-value (LTV) of the pool at issuance was 52.9%, and
the pool is scheduled to amortize down to a WA LTV of 51.5% at
maturity. The pool includes ten loans, representing a combined
14.3% of the pool by allocated loan balance, with issuance LTVs
equal to or in excess of 65.0%, a threshold historically indicative
of above-average default frequency. Forty-five loans, representing
75.2% of the pool balance, were originated in connection with the
borrower's refinancing of a previously mortgage loan. Ten loans,
representing 19.3% of the pool, were originated in the connection
with the borrower's acquisition of the related mortgage property.
The remaining pool was originated in connection with the
recapitalization of the related property.

While the pool-level credit enhancement is quite low for the given
ratings assigned by DBRS Morningstar, these are appropriate given
the low leverage of the pool, the high concentration of loans
shadow-rated investment grade, the concentration of low-leverage
residential co-operative loans and the very favorable locations of
the properties in the pool. If the three loans shadow-rated
investment grade and the 18 residential co-operative loans were
removed, which have very low loan-level credit enhancement at the
AAA level and near-zero loan-level credit enhancement at the BBB
(low) level, the implied credit enhancement at AAA (Class B) and
BBB (low) (Class F) is far higher at approximately 22.625% and
6.500%, respectively.

The transaction includes three loans, representing a combined 26.1%
of the total pool balance, that are shadow-rated investment grade
by DBRS Morningstar, including Park Tower at Transbay, 230 Park
Avenue South and Midtown Center. Park Tower at Transbay exhibits
credit characteristics consistent with a AAA shadow rating, 230
Park Avenue South exhibits credit characteristics consistent with a
BBB (low) shadow rating and Midtown Center exhibits credit
characteristics consistent with an AA shadow rating. For more
information on Park Tower at Transbay, 230 Park Avenue South and
Midtown Center, please see pages 15, 20 and 24, respectively, in
the related presale report.

There are 18 loans in the pool, representing 7.4% of the
transaction, that are backed by residential co-operatives.
Residential co-operatives tend to have minimal risk given the low
leverage and the risk to residents should the co-operative
associations default on their mortgages. The WA LTV for these loans
is 12.8%.

Nineteen loans, representing an extremely high 49.1% of the
aggregate pool balance, are in areas identified as DBRS Morningstar
Market Ranks 7 and 8, which are characterized as a highly dense
urbanized area, such as New York or San Francisco. These markets
benefit from increased liquidity that is driven by consistently
strong investor demand. Such markets, therefore, tend to benefit
from lower default frequencies than less dense suburban, tertiary
and rural markets. This pool represents the third-highest
concentration of such market ranks out of over 400 conduit deals
brought to the market since 2010.

Thirty-two loans, representing 64.2% of the pool, have collateral
located in Metropolitan Statistical Area (MSA) Group 3, which
represents the lowest grouping by historical commercial
mortgage-backed security (CMBS) default rate of the top 25 MSAs.
This MSA Group has a historical default rate that is just over half
that of the overall CMBS historical default rate of approximately
28.0%.

Five of the top ten loans, representing 27.0% of the pool, have
Strong sponsorship. Furthermore, ten loans, which combined
represent 16.3% of the pool, have sponsorship and/or loan
collateral associated with a voluntary bankruptcy filing, a prior
discounted payoff, a loan default, limited net worth and/or
liquidity, a historical negative credit event and/or inadequate
commercial real estate experience.

Twenty-four loans, representing a combined 39.3% of the pool by
allocated loan balance, exhibit beginning LTVs of equal to or less
than 60.0%, a threshold historically indicative of relatively
low-leverage financing and generally associated with below-average
default frequency.

No loans were deemed to be of Average (-), Below Average or Poor
property quality. Additionally, five loans, representing 23.6% of
the pool balance, exhibited Average (+), Above Average or Excellent
property quality. Two of the top ten loans, including the pool's
largest loan, Park Tower at Transbay, are secured by collateral
that DBRS Morningstar deemed to be of Excellent property quality.

DBRS Morningstar materially deviated from its "North American CMBS
Multi-borrower Rating Methodology" when determining the ratings
assigned to Class D and Class E, which deviated from the higher
ratings implied by the quantitative results. DBRS Morningstar
considers a material deviation from a methodology to exist when
there may be a substantial likelihood that a reasonable investor or
other user of the credit ratings would consider the material
deviation to be a significant factor in evaluating the ratings. The
material deviations are warranted given the expected dispersion of
loan-level cash flows post-issuance and uncertain loan-level event
risk.

Classes X-A, X-B, X-D, X-F, X-G, X-H and X-J are interest-only (IO)
certificates that reference a single rated tranche or multiple
rated tranches. The IO rating mirrors the lowest-rated applicable
reference obligation tranche adjusted upward by one notch if senior
in the waterfall.

Notes: All figures are in U.S. dollars unless otherwise noted.


BBCMS MORTGAGE 2019-C5: Fitch to Rate $9MM Class G-RR Debt 'B-sf'
-----------------------------------------------------------------
Fitch Ratings issued a presale report on BBCMS Mortgage Trust
2019-C5 commercial mortgage pass-through certificates, series
2019-C5.

Fitch expects to rate the transaction and assign Rating Outlooks as
follows:

  -- $21,460,000 class A-1 'AAAsf'; Outlook Stable;

  -- $86,300,000 class A-2 'AAAsf'; Outlook Stable;

  -- $180,000,000d class A-3 'AAAsf'; Outlook Stable;

  -- $356,400,000d class A-4 'AAAsf'; Outlook Stable;

  -- $30,830,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $94,017,000 class A-S 'AAAsf'; Outlook Stable;

  -- $674,990,000a class X-A 'AAAsf'; Outlook Stable;

  -- $40,981,000 class B 'AA-sf'; Outlook Stable;

  -- $39,776,000 class C 'A-sf'; Outlook Stable;

  -- $174,774,000a class X-B 'A-sf'; Outlook Stable;

  -- $25,313,000b class D 'BBBsf'; Outlook Stable;

  -- $19,285,000b class E 'BBB-sf'; Outlook Stable;

  -- $44,598,000ab class X-D 'BBB-sf'; Outlook Stable;

  -- $22,902,000b class F 'BB-sf'; Outlook Stable;

  -- $22,902,000ab class X-F 'BB-sf'; Outlook Stable;

  -- $9,642,000b class G-RR 'B-sf'; Outlook Stable.

The following classes are not expected to be rated by Fitch:

  -- $37,366,303b class H-RR.

  -- $37,048,884bc class V-RR.

(a) Notional amount and interest only.

(b) Privately placed and pursuant to Rule 144A.

(c) Vertical credit-risk retention interest.

(e) The initial certificate balances of classes A-3 and A-4 are
unknown and expected to be approximately $536,400,000, subject to a
variance of plus or minus 5%. The expected class A-3 balance range
is $100,000,000 to $260,000,000, and the expected class A-4 balance
range is $276,400,000 to $436,400,000. Fitch's certificate balances
for classes A-3 and A-4 are assumed at the midpoint of the range
for each class.

The expected ratings are based on information provided by the
issuer as of Oct. 29, 2019.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 55 loans secured by 115
commercial properties having an aggregate principal balance of
$1,001,321,188 as of the cut-off date. The loans were contributed
to the trust by Barclays Capital Real Estate Inc., KeyBank National
Association, Natixis Real Estate Capital LLC, Societe Generale
Financial Corporation, Rialto Mortgage Finance, LLC, and BSPRT CMBS
Finance, LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 71.2% of the properties
by balance, cash flow analysis of 79.0% and asset summary reviews
on 100% of the pool.

KEY RATING DRIVERS

Fitch Leverage: The pool's Fitch debt service coverage ratio of
1.31x is better than the 2018 and 2019 YTD averages of 1.22x and
1.24x, respectively, for other Fitch-rated multiborrower
transactions. The pool's Fitch loan-to-value of 104.9% is higher
than the 2018 and 2019 YTD averages of 102.0%.

Lower Pool Concentration Relative to Recent Transactions: The top
10 loans represent 40.6% of the pool by balance, which is lower
than the 2018 and 2019 YTD multiborrower transaction averages of
50.6% and 51.3%, respectively. The pool's loan concentration index
(LCI) score of 280 and sponsor concentration index (SCI) score of
314 are also below the YTD 2019 averages of 383 and 404,
respectively.

Property Type Concentration: Multifamily properties represent 20.6%
of the pool. This is above the 2019 YTD and 2018 values of 13.4%
and 11.6%, respectively. This includes Presidential City (4.5% of
the pool), which received a stand-alone credit opinion of 'A-sf*'.
Additionally the pool contains only 21.6% of office loans, which is
below the 2019 YTD and 2018 averages of 34.3% and 31.9%,
respectively. All else being equal, multifamily properties
demonstrate less performance volatility and, therefore have lower
default probabilities.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 10.4% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to the
BBCMS 2019-C5 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the transaction,
either due to their nature or the way in which they are being
managed by the transaction.


BEAR STEARNS 2007-TOP26: DBRS Lowers Class D Certs Rating to D
--------------------------------------------------------------
DBRS Limited downgraded the rating of one class of the Commercial
Mortgage Pass-Through Certificates, Series 2007-TOP26 issued by
Bear Stearns Commercial Mortgage Securities Trust, Series
2007-TOP26 (the Trust):

-- Class D to D (sf) from C (sf)

In conjunction with this rating action, DBRS Morningstar also
removed the Interest in Arrears designation on Class D.

The downgrade to Class D is the result of the most recent realized
loss to the Trust, which occurred with the resolution of four loans
with the September 2019 remittance. Thomson Campus (Prospectus ID
#47), Indrio Crossings Shopping Center (Prospectus ID #55),
Bridgeport Stop & Shop II (Prospectus ID #58) and Magnolia Pointe
Shopping Center (Prospectus ID #114) were liquidated from the Trust
at a loss of $10.6 million, $4.1 million, $8.0 and $1.9 million,
respectively. All four loans had been specially serviced since 2017
and were unable to secure refinancing as each loan was in maturity
default. The loss wiped the remaining balance on Class E and
reduced the principal balance on Class D by 33.3%.

As of the October 2019 remittance, there are eight loans remaining
in the pool (current Trust balance of $283.5 million), one of which
is in special servicing.

All ratings are subject to surveillance, which could result in
ratings being upgraded, downgraded, placed under review, confirmed
or discontinued by DBRS Morningstar.

Notes: All figures are in U.S. dollars unless otherwise noted.


BENCHMARK MORTGAGE 2019-B14: Fitch to Rate Class G-RR Debt 'B-sf'
-----------------------------------------------------------------
Fitch Ratings issued a presale report on BENCHMARK 2019-B14
Mortgage Trust, commercial mortgage pass-through certificates,
Series 2019-B14.

TRANSACTION SUMMARY

Fitch expects to rate the transaction and assign Rating Outlooks as
follows:

  -- $22,760,000 class A-1 'AAAsf'; Outlook Stable;

  -- $249,620,000 class A-2 'AAAsf'; Outlook Stable;

  -- $55,480,000a class A-3 'AAAsf'; Outlook Stable;

  -- $187,000,000a class A-4 'AAAsf'; Outlook Stable;

  -- $350,570,000 class A-5 'AAAsf'; Outlook Stable;

  -- $37,040,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $127,315,000 class A-S 'AAAsf'; Outlook Stable;

  -- $1,029,785,000b class X-A 'AAAsf'; Outlook Stable;

  -- $61,240,000 class B 'AA-sf'; Outlook Stable;

  -- $53,180,000 class C 'A-sf'; Outlook Stable;

  -- $114,420,000b class X-B 'A-sf'; Outlook Stable;

  -- $33,845,000c class D 'BBBsf'; Outlook Stable;

  -- $25,785,000c class E 'BBB-sf'; Outlook Stable;

  -- $59,630,000bc class X-D 'BBB-sf'; Outlook Stable;

  -- $24,175,000ce class F-RR 'BB-sf'; Outlook Stable;

  -- $12,890,000ce class G-RR 'B-sf'; Outlook Stable.

The following classes are not expected to be rated by Fitch:

  -- $33,000,000cd class VRR;

  -- $48,349,368ce class NR-RR Interest;

  -- The transaction includes six classes of non-offered, loan-
specific certificates (non-pooled rake classes) related to the
subordinate companion loan of 225 Bush. Classes 225B-A, 225B-B,
222B-C, 225B-D, 225B-E, and 225B-VRR Interest are all not rated by
Fitch.

(a) The initial certificate balances of class A-4 and A-5 are
unknown and expected to be $537,570,000 in aggregate, subject to a
5.0% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-4 balance range is $100,000,000 to $187,000,000, and the
expected class A-5 balance range is $350,570,000 to $437,570,000.

(b) Notional amount and interest only.

(c) Privately placed and pursuant to Rule 144A.

(d) Vertical credit-risk retention interest, which represents
approximately 2.5% of the certificate balance, notional amount or
percentage interest of each class of certificates.

(e)Horizontal Risk Retention.

The expected ratings are based on information provided by the
issuer as of Oct. 29, 2019.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 53 loans secured by 112
commercial properties having an aggregate principal balance of
$1,322,249,369 as of the cut-off date. The loans were contributed
to the trust by JPMorgan Chase Bank, National Association, Citi
Real Estate Funding Inc., and German American Capital Corporation.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78.0% of the properties
by balance, cash flow analysis of 81.4% of the pool, and asset
summary reviews on 100% of the pool.

KEY RATING DRIVERS

Fitch Leverage: The pool's Fitch trust loan-to-value (LTV) of
100.5% is better than the 2019 YTD and 2018 averages of 102.3% and
102.0%, respectively, for other Fitch-rated multiborrower
transactions. Additionally, the pool's Fitch trust debt service
coverage ratio (DSCR) of 1.21x is line with the 2019 YTD and 2018
averages of 1.21x and 1.22x, respectively.

Investment-Grade Credit Opinions: Five loans, representing 17.9% of
the pool, have investment-grade credit opinions. This is above the
YTD 2019 and 2018 averages of 14.4% and 13.6%, respectively. Net of
these loans, the Fitch LTV and DSCR are 112.7% and 1.20x,
respectively, for this transaction. Loans with investment-grade
credit opinions include 225 Bush (4.5% of the pool), The Essex
(4.3% of the pool), Osborn Triangle (3.0% of the pool), 180 Water
(3.7% of the pool), and Grand Canal Shoppes (2.3% of the pool).
Each of these loans received an investment-grade credit opinion of
'BBB-sf*' on a stand-alone basis.

Limited Amortization: Based on the scheduled balance at maturity,
the pool will pay down by 5.0%, which reflects an amortization
below 2019 and 2018 averages of 6.1% and 7.2%, respectively. The
pool has 28 interest only loans (62.8% of the pool by balance) and
16 partial interest only loans (21.8% of the pool by balance).

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 8.0% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to the
BMARK 2019-B14 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.


BX TRUST 2017-CQHP: DBRS Confirms B(high) Rating on Class F Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2017-CQHP issued by BX
Trust 2017-CQHP as follows:

-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X-EXT at A (high) (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at B (high) (sf)

The trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction. The interest-only (IO) loan is secured by a
portfolio of four Club Quarters Hotels, totaling 1,228 keys that
are all located in prime central business district locations in San
Francisco, Chicago, Boston and Philadelphia. The $273.7 million
trust loan, along with $61.3 million of mezzanine debt and $8.1
million of sponsor equity, refinanced $336.1 million in existing
debt and covered closing costs. In general, the hotel guest rooms
are relatively small, ranging from 200 square feet (sf) to 450 sf,
and amenities are limited to a fitness center, club room space and
workstations. The Club Quarters Hotels' unique business model
focuses on membership-driven corporate demand, enabling the
franchise to achieve above-average operating margins.

The loan sponsor, BREP VII, a subsidiary of The Blackstone Group,
L.P. (Blackstone), is considered strong given its extensive
holdings in the hospitality industry and ample financial resources.
As of Q2 2019, Blackstone reported approximately $154.0 billion in
real estate assets under management, a $43.0 billion increase since
issuance. The sponsor purchased the portfolio in 2016 for
approximately $410.0 million and has an implied equity amount of
$78.7 million remaining in the project. The loan features a
two-year initial term with three one-year extension options. The
servicer confirmed in October 2019 that the first extension option
had been exercised with the loan now maturing in November 2020.

The loan reported a trailing 12 months (T-12) ending March 31,
2019, debt service coverage ratio (DSCR) of 2.31 times (x), which
is slightly below the YE2018 DSCR of 2.47x and DBRS Morningstar
Term DSCR of 2.50x derived at issuance. The lower DSCR for the T-12
period was due to a slight decline in the occupancy rate and an
increase in general and administrative costs. The primary drivers
of the occupancy rate decline were the Philadelphia and Chicago
properties, which had room revenue declines of 2.2% and 1.8%,
respectively. At issuance, DBRS Morningstar noted there would be
significant supply delivered to all four markets during the loan
term. Based on DBRS Morningstar research, there have been over
2,900 keys delivered to the collateral's markets since 2018 and
there are over 9,500 additional keys planned with approximately
half of the planned future supply located in San Francisco. The
additional supply is providing competition for the collateral;
however, DBRS Morningstar noted at issuance that underlying demand
dynamics in each market are expected to keep pace with new supply.

At issuance, the portfolio reported an average occupancy rate,
average daily rate (ADR) and revenue per available room (RevPAR) of
90.9%, $166.42 and $151.23, respectively. The servicer reported a
T-12 ending March 2019 occupancy rate, ADR and RevPAR of 74.0%,
$182.64 and $137.42, respectively, indicating that the ADR figure
substantially increased by 9.7%, offset by the considerable
occupancy rate decline. The portfolio's RevPAR steadily increased
from 2013 onward before plateauing at $153.80 in YE2016 and
steadily declining since then. DBRS Morningstar continues to
monitor the collateral's performance. The portfolio benefits from
the collateral's desirable locations within major urban markets,
geographic diversity and strong sponsorship.

Class X-EXT is an IO certificate that references a single rated
tranche or multiple rated tranches. The IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.

Notes: All figures are in U.S. dollars unless otherwise noted.


CANTOR COMMERCIAL 2016-C7: Fitch Affirms B- Rating on 2 Tranches
----------------------------------------------------------------
Fitch Ratings affirmed 14 classes of Cantor Commercial Real Estate
Mortgage Trust 2016-C7 commercial mortgage pass-through
certificates. The Rating Outlooks for Class F and Class X-F have
been revised to Negative from Stable.

RATING ACTIONS

CFCRE 2016-C7

Cl. A-1 12532BAA5;  LT AAAsf Affirmed;  previously at AAAsf

Cl. A-2 12532BAC1;  LT AAAsf Affirmed;  previously at AAAsf

Cl. A-3 12532BAD9;  LT AAAsf Affirmed;  previously at AAAsf

Cl. A-M 12532BAE7;  LT AAAsf Affirmed;  previously at AAAsf

Cl. A-SB 12532BAB3; LT AAAsf Affirmed;  previously at AAAsf

Cl. B 12532BAF4;    LT AA-sf Affirmed;  previously at AA-sf

Cl. C 12532BAG2;    LT A-sf Affirmed;   previously at A-sf

Cl. D 12532BAL1;    LT BBB-sf Affirmed; previously at BBB-sf

Cl. E 12532BAN7;    LT BB-sf Affirmed;  previously at BB-sf

Cl. F 12532BAQ0;    LT B-sf Affirmed;   previously at B-sf

Cl. X-A 12532BAH0;  LT AAAsf Affirmed;  previously at AAAsf

Cl. X-B 12532BAJ6;  LT AA-sf Affirmed;  previously at AA-sf

Cl. X-E 12532BAW7;  LT BB-sf Affirmed;  previously at BB-sf

Cl. X-F 12532BAY3;  LT B-sf Affirmed;   previously at B-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: The rating affirmations
reflect the generally stable performance of the majority of the
pool. Current loss expectations are slightly higher than issuance
primarily due to the three Fitch Loans of Concern (FLOCs; 3.4% of
the pool), which include one specially serviced loan (1%). The
Negative Outlook on class F reflects the possibility of outsize
losses on the FLOCs, which include two loans secured by vacant
single tenant retail properties located in tertiary markets.

Fitch Loans of Concern: The largest FLOC is the 2500 Sweetwater
Springs loan (1.6%), which is secured by a 175,600 sf
warehouse/distribution property located in Spring Valley, CA.
Occupancy at the property has significantly declined due to two
tenants who comprise approximately 56% of the NRA vacating at their
lease expiration in September 2019. According to servicer updates,
the borrower is marketing the space for rent.

The next FLOC is the Shopko Neenah loan (1%), which is secured by a
single-tenant retail center located in Neenah, WI, approximately 40
miles southwest of Green Bay. The loan transferred to special
servicing in August 2019 for payment default. The property was
fully leased to Shopko, however, the tenant filed for bankruptcy in
January 2019, and subsequently vacated in April 2019. No further
updates have been provided by the servicer.

The Shopko Winona loan (0.80%) has also been flagged as a FLOC due
to the January 2019 bankruptcy filing. The single tenant retail
property is located in Winona, MN, which is approximately 45 miles
east of Rochester, MN. According to servicer updates, the tenant
closed this location at the end of September 2019 and is not
expected to make its October 2019 rent payment.

Minimal Change to Credit Enhancement: As of the October 2019
distribution date, the pool's aggregate principal balance has been
reduced by 2.62% to $635.8 million from $652.9 million at issuance.
In August 2018, an REO vacant single tenant retail property was
disposed with a loss of 38% or $3 million. Scheduled amortization
to date has been limited at 1.5% of the original pool balance.
Twelve loans (33.3%) are full-term interest-only (IO), while six
loans (13%) remain in their partial IO periods. Interest shortfalls
totalling $118,789 are currently affecting the non-rated class G.

Additional Considerations

681 Fifth Avenue: 681 Fifth Avenue is secured by a 17-story, 82,573
sf mixed-use (27.3% retail, 72.7% office) building located in the
Plaza submarket of Midtown Manhattan. Tommy Hilfiger leases 100% of
the 22,510 sf retail portion of the property through April 2023 and
accounts for approximately 79% of total rental income; the tenant
vacated in March 2019 and the space remains dark. At issuance, the
tenant pledged a $6.66 million letter of credit security deposit,
which has been assigned to the lender and will be held until the
expiration of the lease. Per the servicer, the tenant and borrower
are both working to sublease or directly lease the space. The loan
has tenant reserves and deposits totaling approximately $2.2
million as of October 2019.

Retail Concentration: The pool's largest property type is retail at
37.5% of the pool balance; that includes two regional malls
(12.7%), one of which is sponsored by Simon Property Group, L.P.

Pari Passu Loans: Six loans comprising 37% of the pool, including
five of the top 10, are pari passu loans.

RATING SENSITIVITIES

The Negative Rating Outlook on class F primarily reflects the
possibility of outsize losses on the two Shopko loans, which are
secured by vacant single tenant retail properties located in
tertiary markets. Downgrades to this class are possible should
losses exceed expectations and the other FLOCs performance continue
to deteriorate. The Stable Outlooks on all other classes reflect
the stable performance of the majority of the pool and increasing
credit enhancement from continued amortization. Rating upgrades,
while unlikely in the near term, may occur with improved pool
performance and additional paydown or defeasance.


CFCRE 2016-C6: Fitch Affirms B- on Class X-F Debt
-------------------------------------------------
Fitch Ratings affirmed 14 classes of CFCRE 2016-C6 Mortgage Trust.

CFCRE 2016-C6

                        Current Rating     Previous Rating

Class A-1 12532AAW9;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 12532AAY5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 12532AAZ2;  LT AAAsf Affirmed;  previously at AAAsf

Class A-M 12532ABA6;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 12532AAX7; LT AAAsf Affirmed;  previously at AAAsf

Class B 12532ABB4;    LT AA-sf Affirmed;  previously at AA-sf

Class C 12532ABC2;    LT A-sf Affirmed;   previously at A-sf

Class D 12532AAA7;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 12532AAC3;    LT BB-sf Affirmed;  previously at BB-sf

Class F 12532AAE9;    LT B-sf Affirmed;   previously at B-sf

Class X-A 12532ABD0;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 12532ABE8;  LT AA-sf Affirmed;  previously at AA-sf

Class X-E 12532AAL3;  LT BB-sf Affirmed;  previously at BB-sf

Class X-F 12532AAN9;  LT B-sf Affirmed;   previously at B-sf

KEY RATING DRIVERS

Stable Loss Expectations: Overall pool performance continues to be
in line with issuance expectations. As of the October 2019
distribution date, three loans (4.8%) have transferred to special
servicing; however, two specially serviced loans transferred for
non-performance related reasons and significant losses are not
expected at this time. The aforementioned specially serviced loans
are the only loans that have the Fitch Loan of Concern (FLOC)
designation. The pool has five loans (6.8%) on the servicer's
watchlist for life/safety items, declining performance, SEARS
exposure and tenant departures. None are considered FLOCs.

Minimal Change to Credit Enhancement: Due to minimal amortization,
no loan disposals and minimal defeasance (1.7%); there has been
minimal change to credit enhancement since issuance. As of the
October 2019 distribution date, the pool's aggregate principal
balance has been reduced 2.1% to $771.3 million from $787.5 million
at issuance with 45 loans remaining. No loans mature until December
2025.

Fitch Loans of Concern:

Waterstone Portfolio (3.0%) is a retail portfolio with six
properties, five located across New Hampshire and one in
Massachusetts. The loan was transferred to special servicing in
March 2018 due to a non-permitted transfer. The borrower has signed
a PNL and modification of the loan was agreed to on Nov. 30, 2018
pending post-closing deliverables. The modification addresses the
transfer; all other terms of the loan remain consistent with
issuance. According to servicer commentary, the only remaining
post-closing deliverable is the payment of attorney fees. The loan
continues to perform in line with expectations at issuance and
Fitch expects minimal losses at this time. The portfolio's YTD 2019
occupancy and NOI debt service coverage ratio (DSCR) were 96.6% and
1.62x, respectively. The loan remains current.

Mandeville Marketplace (1%) is a neighborhood shopping center
located in the New Orleans suburb of Mandeville, LA. At issuance,
the property was anchored by Winn-Dixie (NRA 80%), with a total
occupancy of 94% and a DSCR NOI of 1.53x. Southeastern Grocers, the
parent company of Winn-Dixie, filed for bankruptcy in March 2018
and included the subject's store among the closings. A termination
agreement was accepted and included a termination fee of $519,200
held in reserve and immediate implementation of cash management and
a cash trap. As of the October 2019 reporting period, the loan is
REO and a property management company has been engaged and the
subject is listed for sale or lease. Per the December 2018
operating statement, year-end occupancy and NOI DSCR was 14% and
0.20x respectively.

312-314 Bleecker Street (1%) is a 4,062 sf open air retail center
located in Manhattan (Greenwich Village). The loan was initially
added to the watch list for not providing financial statements to
the servicer since closing. The servicer notified the borrower of
the possibility of sending a technical default letter. Loan was
taken off the watch list in February of 2019 and added back in July
of 2019 for 30 days delinquency. The June payment was received but
the July and August payments remain outstanding. Additionally, the
borrower has stopped providing financial statements again. The loan
transferred to special servicing in September 2019 for payment
defaults. Given the recentness of the transfer, Fitch has not
received an appraisal. Per servicer reporting, TTM September 2018
occupancy and NOI DSCR were 100% and 1.85x, respectively.

RATING SENSITIVITIES

The Rating Outlooks on all classes remain Stable given the
relatively stable performance of the transaction since issuance.
Fitch does not foresee positive or negative ratings migration until
a material economic or asset-level event changes the transaction's
overall portfolio level metrics.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

No third-party due diligence was provided or reviewed in relation
to this rating action.


CHASE HOME 2019-1: DBRS Assigns Prov. B Rating on 2 Classes
-----------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2019-1 (the
Certificates) to be issued by Chase Home Lending Mortgage Trust
2019-1:

-- $370.1 million Class A-1 at AAA (sf)
-- $346.5 million Class A-2 at AAA (sf)
-- $323.4 million Class A-3 at AAA (sf)
-- $323.4 million Class A-3-A at AAA (sf)
-- $323.4 million Class A-3-X at AAA (sf)
-- $242.5 million Class A-4 at AAA (sf)
-- $242.5 million Class A-4-A at AAA (sf)
-- $242.5 million Class A-4-X at AAA (sf)
-- $80.8 million Class A-5 at AAA (sf)
-- $80.8 million Class A-5-A at AAA (sf)
-- $80.8 million Class A-5-X at AAA (sf)
-- $192.2 million Class A-6 at AAA (sf)
-- $192.2 million Class A-6-A at AAA (sf)
-- $192.2 million Class A-6-X at AAA (sf)
-- $131.1 million Class A-7 at AAA (sf)
-- $131.1 million Class A-7-A at AAA (sf)
-- $131.1 million Class A-7-X at AAA (sf)
-- $50.3 million Class A-8 at AAA (sf)
-- $50.3 million Class A-8-A at AAA (sf)
-- $50.3 million Class A-8-X at AAA (sf)
-- $53.4 million Class A-9 at AAA (sf)
-- $53.4 million Class A-9-A at AAA (sf)
-- $53.4 million Class A-9-X at AAA (sf)
-- $27.5 million Class A-10 at AAA (sf)
-- $27.5 million Class A-10-A at AAA (sf)
-- $27.5 million Class A-10-X at AAA (sf)
-- $23.1 million Class A-11 at AAA (sf)
-- $23.1 million Class A-11-X at AAA (sf)
-- $23.1 million Class A-12 at AAA (sf)
-- $23.1 million Class A-13 at AAA (sf)
-- $23.6 million Class A-14 at AAA (sf)
-- $23.6 million Class A-15 at AAA (sf)
-- $345.4 million Class A-16 at AAA (sf)
-- $24.7 million Class A-17 at AAA (sf)
-- $370.1 million Class A-X-1 at AAA (sf)
-- $370.1 million Class A-X-2 at AAA (sf)
-- $23.1 million Class A-X-3 at AAA (sf)
-- $23.6 million Class A-X-4 at AAA (sf)
-- $10.2 million Class B-1 at AA (sf)
-- $10.2 million Class B-1-A at AA (sf)
-- $10.2 million Class B-1-X at AA (sf)
-- $4.9 million Class B-2 at A (sf)
-- $4.9 million Class B-2-A at A (sf)
-- $4.9 million Class B-2-X at A (sf)
-- $3.5 million Class B-3 at BBB (sf)
-- $3.5 million Class B-3-A at BBB (sf)
-- $3.5 million Class B-3-X at BBB (sf)
-- $2.0 million Class B-4 at BB (sf)
-- $985.0 thousand Class B-5 at B (sf)
-- $18.7 million Class B-X at BBB (sf)
-- $985.0 thousand Class B-5-Y at B (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, B-X,
B-5-Y, B-6-Y and B-6-Z are interest-only certificates. The class
balances represent notional amounts.

Classes A-1, A-2, A-3, A-3-X, A-3-A, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-X, A-6, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13,
A-14, A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, B-5-Y, B-6-Y
and B-6-Z are exchangeable certificates. These classes can be
exchanged for combinations of exchange notes as specified in the
offering documents.

Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7,
A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-12 and A-13
are super-senior certificates. These classes benefit from
additional protection from the senior support certificates (Classes
A-14 and A-15) with respect to loss allocation.

The AAA (sf) rating on the Class A-1 Certificates reflects 4.00% of
credit enhancement provided by subordinated notes in the pool. The
AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect
2.95%, 1.90%, 1.10%, 0.65% and 0.45% of credit enhancement,
respectively.

Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.

The Certificates are backed by 669 loans with a total principal
balance of $393,722,880 as of the Cut-Off Date (October 1, 2019).
The pool consists of fully amortizing fixed-rate mortgages (FRMs)
with original terms to maturity of up to 30 years. All the loans in
the pool are conforming mortgage loans originated by JPMorgan Chase
Bank, N.A. (JPMCB) that were eligible for purchase by Fannie Mae or
Freddie Mac. Details on the underwriting of conforming loans can be
found in the Key Probability of Default Drivers
section in the related report.

The mortgage loans will be serviced by JPMCB. For this transaction,
the servicing fee payable is composed of three separate components:
the aggregate base servicing fee, the aggregate delinquent
servicing fee and the aggregate additional servicing fee. These
fees vary based on the delinquency status of the related loan and
will be paid from interest collections before distribution to the
securities.

Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS
Morningstar) will act as Securities Administrator, U.S. Bank
National Association will act as Delaware Trustee and JPMCB will
act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve
as the representations and warranties (R&W) Reviewer.

The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.

The ratings reflect transactional strengths that include
high-quality underlying assets, well-qualified borrowers and a
satisfactory third-party due-diligence review.

This transaction employs an R&W framework that contains certain
weaknesses, such as materiality factors, knowledge qualifiers and
sunset provisions that allow for certain R&Ws to expire within
three to six years after the Closing Date. The framework is
perceived by DBRS Morningstar to be limiting compared with
traditional lifetime R&W standards in certain DBRS
Morningstar-rated securitizations.

Notes: All figures are in U.S. dollars unless otherwise noted.


CHASE HOME 2019-1: Fitch Assigns BB- Rating on 2 Tranches
---------------------------------------------------------
Fitch Ratings assigned ratings to Chase Home Lending Mortgage Trust
2019-1.

RATING ACTIONS

Chase Home Lending Mortgage Trust 2019-1

Class A-1;    LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-10;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-10-A; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-10-X; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-11;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-11-X; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-12;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-13;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-14;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-15;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-16;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-17;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-2;    LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-3;    LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-3-A;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-3-X;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-4;    LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-4-A;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-4-X;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-5;    LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-5-A;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-5-X;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-6;    LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-6-A;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-6-X;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-7;    LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-7-A;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-7-X;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-8;    LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-8-A;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-8-X;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-9;    LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-9-A;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-9-X;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-X-1;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-X-2;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-X-3;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-X-4;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class B-1;    LT AAsf New Rating;   previously at AA(EXP)sf

Class B-1-A;  LT AAsf New Rating;   previously at AA(EXP)sf

Class B-1-X;  LT AAsf New Rating;   previously at AA(EXP)sf

Class B-2;    LT A+sf New Rating;   previously at A+(EXP)sf

Class B-2-A;  LT A+sf New Rating;   previously at A+(EXP)sf

Class B-2-X;  LT A+sf New Rating;   previously at A+(EXP)sf

Class B-3;    LT BBB+sf New Rating; previously at BBB+(EXP)sf

Class B-3-A;  LT BBB+sf New Rating; previously at BBB+(EXP)sf

Class B-3-X;  LT BBB+sf New Rating; previously at BBB+(EXP)sf

Class B-4;    LT BBB-sf New Rating; previously at BBB-(EXP)sf

Class B-5;    LT BB-sf New Rating;  previously at BB-(EXP)sf

Class B-5-Y;  LT BB-sf New Rating;  previously at BB-(EXP)sf

Class B-6;    LT NRsf New Rating;   previously at NR(EXP)sf

Class B-6-Y;  LT NRsf New Rating;   previously at NR(EXP)sf

Class B-6-Z;  LT NRsf New Rating;   previously at NR(EXP)sf

Class B-X;    LT BBB+sf New Rating; previously at BBB+(EXP)sf

TRANSACTION SUMMARY

Fitch Ratings rates JPMorgan Chase Bank's (JPM Chase) first
Temporary Safe Harbor Qualified Mortgage (TQM) residential
mortgage-backed transaction, Chase Home Lending Mortgage Trust
2019-1 (Chase 2019-1), as indicated. The certificates are supported
by 669 prime-quality conforming loans with a total balance of
$393.72 million as of the cutoff date. The loans were originated by
JPMorgan Chase and underwritten using Fannie Mae's Desktop
Underwriter (DU) or Freddie Mac's Loan Prospector (LP). All loans
are GSE eligible as confirmed by a third-party review, and
therefore qualify as TQM. The loans will be serviced by JPM Chase.

Transaction documents provide mechanisms to replace LIBOR with an
alternative rate when a benchmark transition event occurs. The
issuer will solely determine an alternative rate in accordance with
the transaction documents. These mechanisms incorporate significant
elements of the ARRC recommendations regarding more robust fallback
language for new issuances of LIBOR securitizations published by
the Alternative Reference Rate Committee on May 31, 2019. LIBOR
replacement is applicable to the interest payments on the A-11
class as its coupon rate is currently based on one-month LIBOR plus
a spread. The loans in the collateral pool are not affected by
LIBOR replacement since they are all fixed-rate loans.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of
30-year (100%) fully amortizing fixed-rate conforming mortgage
loans. The borrowers have strong credit profiles with a Fitch
calculated weighted average (WA) FICO score of 768 and 69.9% WA
combined loan to value ratio (CLTV). The WA loan size is $588,524
and liquid reserves average $146,508. The loans were originated
through JPM Chase's, or its correspondents', retail channel, which
Fitch views positively. The largest MSA concentration is in New
York (32.9%). Fitch's 'AAAsf' expected loss of 4.75% reflects the
pool's very high quality attributes.

Geographic Concentration (Negative): Approximately 49% of the pool
is concentrated in California with moderate MSA concentration. The
largest MSA concentration is in New York MSA (32.9%) followed by
the Los Angeles MSA (18.9%) and the San Francisco MSA (13.2%). The
top three MSAs account for 65.1% of the pool. As a result, the
'AAAsf' expected loss was increased by 65 bps to account for the
geographic concentration risk.

Temporary Safe Harbor Qualified Mortgage (Neutral): All of the
loans in this transaction are conforming loans that were
underwritten using DU/LP. The loans are agency eligible as
confirmed by a third-party review and therefore qualify as TQM. The
GSE QM patch allows for conforming loans to have a debt to income
(DTI) ratio over 43% and still meet the QM standard. 49% of the
loans in the pool have a DTI over 43%, but receive TQM status
because they are GSE eligible. As a result of their TQM status, no
adjustment was made to the losses.

Minimal Operational Risk (Positive): JPM Chase has a long operating
history of originating and securitizing residential mortgage loans,
and is assessed as "Above Average" by Fitch. JPM Chase is also the
servicer of this transaction; and is rated 'RPS1-' by Fitch. Loan
origination and servicer quality have an impact on performance, and
Fitch lowers its loss expectations for highly rated originators and
servicers (rated 1- or higher) due to their strong practices and
higher expected recoveries. Fitch reduced its 'AAAsf' loss
expectations by 88 bps to account for the low operational risk
associated with this pool.

Representation and Warranty Framework (Positive): The
representation and warranty (R&W) construct is viewed by Fitch as a
Tier 2 framework due to inclusion of knowledge qualifiers without a
clawback provision and the narrow testing construct, which limits
the breach reviewers' ability to identify or respond to issues not
fully anticipated at closing. The R&Ws are being provided by JPM
Chase, rated 'AA'/'F1+'/Stable. There was no adjustment to the loss
expectation due to the R&W framework and financial strength of JPM
Chase as R&W provider.

Third-Party Due Diligence (Positive): Third-party due diligence was
performed by a Fitch-assessed 'Acceptable-Tier 1' due diligence
review firm on 100% of the loans. The review confirmed sound
operational quality with no incidence of material defects. All
loans were graded either 'A' or 'B'. The results of the due
diligence review reduced the 'AAAsf' loss by 21bps.

Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 0.80% of the
original balance will be maintained for senior certificates and a
subordination floor of 0.50% of the original balance will be
maintained for the subordinate certificates.

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.
Three 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 market value declines at the
national level. The analysis assumes market value declines of 10%,
20% and 30%, in addition to the model-projected 1.5%.

The defined rating sensitivities determine the stresses to MVDs
that would reduce a rating by one full category, to non-investment
grade and to 'CCCsf'.

CASH FLOW ANALYSIS RATING SENSITIVITES

As part of Fitch's cash flow analysis, Fitch applied delinquency
timing scenarios to the cash flow analysis to test the delinquency
triggers in the transaction and tested the 120-day delinquent
servicing fee to see if the structure would support a high
delinquency stress.

For Chase 2019-1, there is no servicer replacement provision if JPM
Chase as primary servicer fails to meet Fitch's 'A'/'F1' minimum
counterparty threshold. However, Fitch determined that the
transaction's subordinated cash flows will be sufficient to pay
timely interest to the 'AAAsf' and 'AAsf' certificates under the
related stress scenarios. Fitch analyzed its six cash flow timing
scenarios using its default timing curves and observed that timely
interest was paid to the 'AAAsf' and 'AAsf' certificates in all
scenarios. Fitch believes the certificates are adequately protected
against counterparty risk.


CIM TRUST 2019-J2: DBRS Assigns Prov. B Rating on Class B-5 Certs
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2019-J2 (the
Certificates) to be issued by CIM Trust 2019-J2:

-- $290.3 million Class A-1 at AAA (sf)
-- $290.3 million Class A-2 at AAA (sf)
-- $217.7 million Class A-3 at AAA (sf)
-- $217.7 million Class A-4 at AAA (sf)
-- $72.6 million Class A-5 at AAA (sf)
-- $72.6 million Class A-6 at AAA (sf)
-- $232.2 million Class A-7 at AAA (sf)
-- $232.2 million Class A-8 at AAA (sf)
-- $58.1 million Class A-9 at AAA (sf)
-- $58.1 million Class A-10 at AAA (sf)
-- $14.5 million Class A-11 at AAA (sf)
-- $14.5 million Class A-12 at AAA (sf)
-- $33.8 million Class A-13 at AAA (sf)
-- $33.8 million Class A-14 at AAA (sf)
-- $324.1 million Class A-15 at AAA (sf)
-- $324.1 million Class A-16 at AAA (sf)
-- $324.1 million Class A-IO1 at AAA (sf)
-- $290.3 million Class A-IO2 at AAA (sf)
-- $217.7 million Class A-IO3 at AAA (sf)
-- $72.6 million Class A-IO4 at AAA (sf)
-- $232.2 million Class A-IO5 at AAA (sf)
-- $58.1 million Class A-IO6 at AAA (sf)
-- $14.5 million Class A-IO7 at AAA (sf)
-- $33.8 million Class A-IO8 at AAA (sf)
-- $324.1 million Class A-IO9 at AAA (sf)
-- $2.2 million Class B-1A at AA (sf)
-- $2.2 million Class B-IO1 at AA (sf)
-- $2.2 million Class B-1 at AA (sf)
-- $6.3 million Class B-2A at A (sf)
-- $6.3 million Class B-IO2 at A (sf)
-- $6.3 million Class B-2 at A (sf)
-- $3.1 million Class B-3 at BBB (sf)
-- $2.7 million Class B-4 at BB (sf)
-- $1.2 million Class B-5 at B (sf)

Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8,
A-IO9, B-IO1 and BIO2 are interest-only certificates. The class
balances represent notional amounts.

Classes A-1, A-2, A-3, A-5, A-6, A-7, A-8, A-9, A-11, A-13, A-15,
A-16, A-IO2, A-IO4, A-IO5, A-IO9, B-1 and B-2 are exchangeable
certificates. These classes can be exchanged for combinations of
exchanged certificates as specified in the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11 and
A-12 are super-senior certificates. These classes benefit from
additional protection from the senior support certificates (Classes
A-13 and A-14) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 5.10% of credit
enhancement provided by subordinated certificates in the pool. The
AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect
4.45%, 2.60%, 1.70%, 0.90% and 0.55% of credit enhancement,
respectively.

Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.

The Certificates are backed by 445 loans with a total principal
balance of $341,513,154 as of the Cut-Off Date (October 1, 2019).

The credit quality of the collateral pool, the transaction
structure, and the representations and warranties framework and
enforcement mechanism of CIM 2019-J2 is similar to that of the CIM
2019-J1, the deal which we rated in August 2019. That said, unlike
the CIM 2019-J1, where the mortgage loans were divided into two
collateral groups based on original terms to maturity, the
collateral pool backing CIM 2019-J2 consists of one group.

The originators for the aggregate mortgage pool are Quicken Loans
Inc. (Quicken; 59.7%), loanDepot.com, LLC (14.2%), Home Point
Financial Corporation (9.9%), JMAC Lending, Inc. (5.4%), and
various other originators, each comprising no more than 5.0% of the
pool by principal balance. On the Closing Date, the Seller, Fifth
Avenue Trust, will acquire the mortgage loans from Bank of America,
National Association (BANA).

Through bulk purchases, BANA generally acquired the mortgage loans
underwritten to (1) the Quicken guidelines (59.7%), (2) BANA's
jumbo whole loan acquisition guidelines (24.9%), (3) pursuant to
the guidelines of loanDepot.com, LLC (11.9%), or (4) Fannie Mae or
Freddie Mac's Automated Underwriting System (3.5%). DBRS
Morningstar conducted an operational risk assessment on BANA's
aggregator platform, as well as certain originators, and deemed
them acceptable.

Shellpoint Mortgage Servicing will service 100% of the mortgage
loans, directly or through sub-servicers. Wells Fargo Bank, N.A.
will act as Master Servicer, Securities Administrator and
Custodian. Wilmington Savings Fund Society, FSB will serve as
Trustee. Chimera Funding TRS LLC will serve as the Representations
and Warranties (R&W) Provider.

The holder of a majority of the most subordinate class of
certificates outstanding (the Controlling Holder) has the option to
engage an asset manager to review the Servicer's actions regarding
the mortgage loans, which includes determining whether the Servicer
is making modifications or servicing the loans in accordance with
the pooling and servicing agreement.

The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.

The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers,
satisfactory third-party due diligence review, and structural
enhancements.

This transaction employs an R&W framework that contains certain
weaknesses, such as unrated R&W entities providing R&W and an
unrated entity (the R&W Provider) providing a backstop and sunset
provisions on the backstop. The framework is perceived by DBRS to
be limiting compared with traditional lifetime R&W standards in
certain DBRS-rated securitizations. To capture the perceived
weaknesses in the R&W framework, DBRS reduced the originator scores
in this pool. A lower originator score results in increased default
and loss assumptions and provides additional cushions for the rated
securities.

Notes: All figures are in U.S. dollars unless otherwise noted.


CIM TRUST 2019-J2: Moody's Assigns (P)B2 Rating on Cl. B-5 Debt
---------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 23
classes of residential mortgage-backed securities issued by CIM
Trust 2019-J2. The ratings range from (P)Aaa (sf) to (P)B2 (sf).

CIM Trust 2019-J2 is a securitization of 30-year prime residential
mortgages.

This transaction represents the second non-investor prime jumbo
issuance by Chimera Investment Corporation in 2019. The transaction
includes 445 fixed rate, first lien-mortgages. There are 20
GSE-eligible high balance (3.4% by balance) and 425 prime jumbo
(96.6% by loan balance) mortgage loans in the pool. The mortgage
loans for this transaction have been acquired by the affiliate of
the sponsor, Fifth Avenue Trust from Bank of America, National
Association. Approximately 24.9% of the loans by balance, were
acquired by BANA through its jumbo whole loan purchase program from
various mortgage loan originators or sellers underwritten to
Chimera's acquisition criteria, 59.7% of the loans were
underwritten to Quicken Loans Inc.'s guidelines and 11.9% of the
loans were underwritten to loanDepot.com, LLC's guidelines. All
other mortgage loans (3.4% by loan balance), were high balance
conforming loans acquired by BANA through its whole loan purchase
program from two different originators, which were originated
pursuant to Fannie Mae guidelines with no overlays. All of the
loans are designated as qualified mortgages (QM) either under the
QM safe harbor or the GSE temporary exemption under the
Ability-to-Repay (ATR) rules. Shellpoint Mortgage Servicing (SMS)
will service the loans and Wells Fargo Bank, N.A. (Aa2) will be the
master servicer. SMS will be the servicer and responsible for
advancing principal and interest and servicing advances, with the
master servicer backing up SMS' advancing obligations if SMS cannot
fulfill them.

Two third-party review firms verified the accuracy of the loan
level information that Moody's received from the Sponsor. These
firms conducted detailed credit, property valuation, data accuracy
and compliance reviews on 100% of the mortgage loans in the
collateral pool. The TPR results indicate that there are no
material compliance, credit, or data issues and no appraisal
defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis model. Moody's also compared the
collateral pool to other prime jumbo securitizations. In addition,
Moody's adjusted its expected losses based on qualitative
attributes, including the financial strength of the representation
and warranties (R&W) provider. Its expected losses in a base case
scenario are 0.45% and reach 4.90% at a stress level consistent
with omur Aaa(sf) rating scenario.

CIM 2019-J2 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
its analysis of tail risk, Moody's considered the increased risk
from borrowers with more than one mortgage in the pool.

The complete rating actions are as follows:

Issuer: CIM Trust 2019-J2

Cl. A-1, Assigned (P)Aaa (sf)

Cl. A-2, Assigned (P)Aaa (sf)

Cl. A-3, Assigned (P)Aaa (sf)

Cl. A-4, Assigned (P)Aaa (sf)

Cl. A-5, Assigned (P)Aaa (sf)

Cl. A-6, Assigned (P)Aaa (sf)

Cl. A-7, Assigned (P)Aaa (sf)

Cl. A-8, Assigned (P)Aaa (sf)

Cl. A-9, Assigned (P)Aaa (sf)

Cl. A-10, Assigned (P)Aaa (sf)

Cl. A-11, Assigned (P)Aaa (sf)

Cl. A-12, Assigned (P)Aaa (sf)

Cl. A-13, Assigned (P)Aa1 (sf)

Cl. A-14, Assigned (P)Aa1 (sf)

Cl. A-15, Assigned (P)Aaa (sf)

Cl. A-16, Assigned (P)Aaa (sf)

Cl. B-1, Assigned (P)A1 (sf)

Cl. B-1A, Assigned (P)A1 (sf)

Cl. B-2, Assigned (P)A2 (sf)

Cl. B-2A, Assigned (P)A2 (sf)

Cl. B-3, Assigned (P)Baa2 (sf)

Cl. B-4, Assigned (P)Ba2 (sf)

Cl. B-5, Assigned (P)B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Its expected loss in a base case scenario is 0.45% and reach 4.90%
at a stress level consistent with its Aaa(sf) rating scenario.
Moody's arrived at the losses using its MILAN model.

Its loss estimates are based on a loan-by-loan assessment of the
securitized collateral pool as of the cut-off date using Moody's
Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included adjustments to borrower
probability of default for higher and lower borrower debt-to-income
ratios (DTIs), for borrowers with multiple mortgaged properties,
self-employed borrowers, and for risks related to mortgaged
properties in Homeownership Associations (HOAs) in super lien
states. Its loss levels and provisional ratings on the certificates
also took into consideration qualitative factors such as the
results of the third-party due diligence review, origination
quality, the servicing arrangement, alignment of interest of the
sponsor with investors, the representations and warranties (R&W)
framework, and the transaction's legal structure and
documentation.

Collateral Description

Moody's assessed the collateral pool as of the cut-off date of
October 1, 2019. CIM 2019-J2 is a securitization of 445 mortgage
loans with an aggregate principal balance of $341,513,154.

This transaction consists of fixed-rate fully amortizing loans,
which will not expose the borrowers to any interest rate shock for
the life of the loan or to refinance risk. All of the mortgage
loans are secured by first liens on one- to four- family
residential properties, condominiums, and planned unit
developments. The loans have a weighted average seasoning of
approximately two months.

Overall, the credit quality of the mortgage loans backing this
transaction is in line with recently issued prime jumbo
transactions. The WA FICO of the aggregate pool is 770 with a WA
LTV of 70.3% and WA CLTV of 70.4%. Approximately 42.7% (by loan
balance) of the pool has a LTV ratio greater than 75% compared to
39.5% in CIM 2018-J1. High LTV loans generally have a higher
probability of default and higher loss severity compared to lower
LTV loans.

Origination

There are 13 originators in the transaction, some of which may have
limited history of securitizing prime jumbo mortgages. The largest
originators in the pool with more than 5% by balance are Quicken
Loans Inc (Quicken Loans, 59.7%), loanDepot.com, LLC (LoanDepot,
14.2%), Home Point Financial Corporation (Home Point, 9.9%), and
JMAC Lending Inc. (5.4%).

Underwriting guidelines:

Approximately 96.6% of the loans by loan balance, are prime jumbo
loans of which 24.9% were underwritten to Chimera's underwriting
guidelines and 71.6% of the loans were underwritten to respective
originator guidelines. 3.4% of the loans are conforming loans and
were originated in conformance to GSE guidelines with no overlays.

Moody's increased its base case and Aaa loss expectations for all
loans underwritten to Chimera's underwriting guidelines, as Moody's
considers the underwriting guidelines to be slightly weaker. For
loans that were not acquired under Chimera's guidelines Moody's
made adjustments based on the origination quality of such loans. Of
note, Moody's increased its base case and Aaa loss expectations for
loans originated by Quicken Loans (59.7% of the collateral
balance), Home Point loans (9.8% of the collateral balance) and all
other loans underwritten to chimera's underwriting guidelines.

Third Party Review and Reps & Warranties (R&W)

Two third party review (TPR) firms verified the accuracy of the
loan-level information that Moody's received from the sponsor.
These firms conducted detailed credit, property valuation, data
integrity and regulatory compliance reviews on 100% of the mortgage
pool. The TPR results indicated compliance with the originators'
and aggregators' underwriting guidelines for the vast majority of
the loans, no material compliance issues, and no material appraisal
defects.

Each originator will provide comprehensive loan level reps and
warranties for their respective loans. BANA will assign each
originator's R&W to the seller, who will in turn assign to the
depositor, which will assign to the trust. To mitigate the
potential concerns regarding the originators' ability to meet their
respective R&W obligations, the seller will backstop the R&Ws for
all originators loans. The seller's obligation to backstop third
party R&Ws will terminate five years after the closing date,
subject to certain performance conditions. The seller will also
provide the gap reps.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give confidence that the
loans do not systemically breach the R&Ws the originators have made
and that the originators are unlikely to face material repurchase
requests in the future. The loan-level R&Ws are strong and, in
general, either meet or exceed the baseline set of credit-neutral
R&Ws Moody's identified for US RMBS. Among other considerations,
the R&Ws address property valuation, underwriting, fraud, data
accuracy, regulatory compliance, the presence of title and hazard
insurance, the absence of material property damage, and the
enforceability of mortgage.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.75% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally there is a
subordination lock-out amount which is 1.35% of the closing pool
balance.

Exposure to extraordinary expenses

Extraordinary trust expenses in this transaction are deducted from
net WAC. Moody's believes there is a very low likelihood that the
rated certificates in CIM 2019-J2 will incur any losses from
extraordinary expenses or indemnification payments from potential
future lawsuits against key deal parties. Firstly, the loans are of
prime quality and were originated under a regulatory environment
that requires tighter controls for originations than pre-crisis,
which reduces the likelihood that the loans have defects that could
form the basis of a lawsuit. Secondly, the transaction has
reasonably well-defined processes in place to identify loans with
defects on an ongoing basis. In this transaction, an independent
breach reviewer must review loans for breaches of representations
and warranties when certain clearly defined triggers have been
breached which reduces the likelihood that parties will be sued for
inaction. Furthermore, the issuer has disclosed results of the
credit, compliance and valuation review of 100% of the mortgage
loans by independent third parties.

Other Considerations

In CIM 2019-J2, the controlling holder has the option to hire at
its own expense the independent reviewer upon the occurrence of a
review event. If there is no controlling holder (no single entity
holds a majority of the Class Principal Amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at the cost
of the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals are borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter. Moody's considers this credit
neutral because a) the appraiser is chosen by the servicer from the
approved list of appraisers, b) the fair value of the property is
decided by the servicer, based on third party appraisals, and c)
the controlling holder will pay the fair price and accrued
interest.

Factors that would lead to an upgrade or downgrade of the ratings:

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in November 2018.


CITIGROUP COMMERCIAL 2016-GC36: Fitch Affirms B- on Class F Certs
-----------------------------------------------------------------
Fitch Ratings affirmed 15 classes of Citigroup Commercial Mortgage
Trust 2016-GC36 commercial mortgage pass-through certificates.

RATING ACTIONS

CGCMT 2016-GC36

Class A-1 17324TAA7;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 17324TAB5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 17324TAC3;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 17324TAD1;  LT AAAsf Affirmed;  previously at AAAsf

Class A-5 17324TAE9;  LT AAAsf Affirmed;  previously at AAAsf

Class A-AB 17324TAF6; LT AAAsf Affirmed;  previously at AAAsf

Class A-S 17324TAJ8;  LT AAAsf Affirmed;  previously at AAAsf

Class B 17324TAK5;    LT AA-sf Affirmed;  previously at AA-sf

Class C 17324TAM1;    LT A-sf Affirmed;   previously at A-sf

Class D 17324TAN9;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 17324TAQ2;    LT BB-sf Affirmed;  previously at BB-sf

Class EC 17324TAL3;   LT A-sf Affirmed;   previously at A-sf

Class F 17324TAS8;    LT B-sf Affirmed;   previously at B-sf

Class X-A 17324TAG4;  LT AAAsf Affirmed;  previously at AAAsf

Class X-D 17324TAY5;  LT BBB-sf Affirmed; previously at BBB-sf

Class A-S, B, and C certificates may be exchanged for class EC
certificates, and class EC certificates may be exchanged for the
class A-S, B, and C certificates. Fitch does not rate the class G
or H certificates.

KEY RATING DRIVERS

Generally Stable Performance and Loss Expectations: The rating
affirmations reflect the generally stable performance of the
majority of the pool. Although Fitch's loss expectations have
increased slightly since issuance due to the Fitch Loans of Concern
(FLOCs; 24.2% of pool), credit enhancement has increased relative
to Fitch's loss expectations. No loans have transferred to special
servicing since issuance.

Minimal Changes to Credit Enhancement: As of the October 2019
distribution date, the pool's aggregate principal balance has paid
down by 3.1% to $1.12 billion from $1.16 billion at issuance. The
transaction is expected to pay down by 10.3%, based on scheduled
loan maturity balances. Eight loans (30.5% of pool) are full-term,
interest-only and 12 loans (10.6%) are partial interest-only and
have yet to begin amortizing, compared to 42.3% of the original
pool at issuance. Three loans (1.4%) have been defeased.

Fitch Loans of Concern: Fitch has designated eight loans (24.2% of
pool) as FLOCs, including five of the top 15 loans (21.9%). The
largest FLOC, Glenbrook Square (8.8%), is secured by a
super-regional mall located in Fort Wayne, IN that has experienced
both declining occupancy and tenant sales since issuance. As of
March 2019, collateral occupancy had declined to 82.3% from 96.8%
in September 2017, after Carson's, a collateral anchor (12.2% of
net rentable area [NRA]), closed its store at the end of August
2018. Additionally, the non-collateral Sears anchor closed its
store at the property at the end of November 2018. As of March
2019, total mall occupancy was 67.4%, down from 85.5% in September
2018 and 97.4% in September 2017. Inquiries to the servicer for
information regarding co-tenancy clauses remain outstanding.
However, according to the servicer, the borrower entered into a new
10-year lease with Round 1, a Japanese amusement chain, for
approximately 50% of the collateral space previously occupied by
Carson's. Reported sales for both inline and anchor tenants have
also been trending downward since issuance. Comparable inline sales
for tenants occupying less than 10,000 sf were $415 psf for the TTM
period ended September 2018, down from $414 psf at YE 2017, $442
psf at YE 2016 and $443 psf at issuance.

The second largest FLOC, Westin Boston Waterfront (4.6%), is
secured by a 793-key full-service hotel located in the Seaport
District in Boston, MA. Per the June 2019 STR report, the property
was lagging its competitive set in terms of occupancy, ADR and
RevPAR, with penetration ratios of 86.7%, 91.7% and 79.5%,
respectively, for the TTM period ended June 2019. This represents a
decline from the penetration ratios of 94.9% (occupancy), 100.7%
(ADR) and 95% (RevPAR) reported for the hotel at the time of
issuance. Additionally, the servicer-reported YE 2018 net cash flow
(NCF) declined by 29% from YE 2017, primarily as a result of
increased operating expenses, mostly general and administrative
expenses that increased by 36% YoY. The servicer-reported YE 2018
NCF debt service coverage ratio was 1.41x, down from 2.00x at YE
2017.

The third largest FLOC, Park Place (4.4%), is secured by a 523,673
sf suburban office property in Chandler, AZ with a significant
recent occupancy decline. Property occupancy declined to 77.1% as
of June 2019 from 100% in June 2018 after the former second largest
tenant, Dream Center (19.3% of NRA) vacated in early 2019 ahead of
its scheduled January 2022 expiration, and another smaller tenant,
Infineon Technologies Americas, downsized its space. Additionally,
the current third largest tenant, Insys Therapeutics (6.7% of NRA),
filed for bankruptcy in June 2019. According to media reports, the
company was expected to wind down and close its facilities during
the second half of 2019, with a significant reduction in workforce
at the subject property starting in October 2019. The tenant's
lease is scheduled to expire in June 2021. Fitch's inquiry to the
servicer for an update on the Insys Therapeutics lease remains
outstanding.

The fourth largest FLOC, Northeast Corporate Center (2.2%), secured
by a suburban office property in Ann Arbor, MI, was flagged due to
the recent downsizing of its former largest tenant and significant
upcoming lease rollover. MB Financial Bank, which was previously
the largest tenant at the property, recently downsized its space to
15.3% of the NRA from 30.7%, and has a lease scheduled to expire in
May 2020. The bank announced in early 2018 its plans to close down
its mortgage origination business and all of its locations in
Michigan, including a full closure of its operations at the subject
property. The downsizing of MB Financial Bank was partially
mitigated by a new four-year lease with KLA-Tencor for 12.8% of the
NRA starting in March 2019. In addition, the property's current
largest tenant, ForeSee Results (26.7% of NRA), has a lease that
expired in May 2019. Fitch's inquiry to the servicer for an update
on this tenant's lease remains outstanding. ForeSee Results was
acquired by Verint in late 2018, and the company recently signed a
lease at another property in Ann Arbor. If both MB Financial Bank
and ForeSee Results vacate the property, occupancy is expected to
fall to 52% from 94.1% reported in March 2019.

The fifth largest FLOC, 6725 Sunset Office (1.9%), is secured by a
73,835 sf creative office property located in the Hollywood
District of Los Angeles, CA. Property occupancy declined to 73% as
of June 2019 from 96.7% in August 2018 after four tenants totaling
nearly 24% of the NRA vacated the property at expiration. According
to servicer commentary, all of these tenants had leases at
below-market rents and were unable to renew at market-level rents.
The borrower is using this as an opportunity to upgrade the
finishes and layout of the tenant spaces to re-lease at higher
rents. The property also faces moderate upcoming rollover risk,
with four tenants totaling 25.7% of the NRA with leases scheduled
to expire in 2020 and two tenants totaling 9.4% of the NRA rolling
in 2021.

The other FLOCs outside of the top 15 (three loans; 2.3% of pool)
were flagged for exposure to bankrupt tenants, recent occupancy
declines and/or upcoming rollover risk.

ADDITIONAL CONSIDERATIONS

Pool and Loan Concentrations: The largest 10 loans in the
transaction represent 59.8% of the current pool balance.
Additionally, loans secured by office properties represent 31.7% of
the pool by balance, including seven loans (25.3%) in the top 15.
Loans backed by retail properties represent 26.2% of the pool,
including three loans (14.1%) in the top 15. This includes two
regional mall properties, Glenbrook Square (8.8%) and South Plains
Mall (2.7%), located in the tertiary markets of Fort Wayne, IN and
Lubbock, TX, respectively.

RATING SENSITIVITIES

The Stable Rating Outlooks for all classes reflect the stable
performance of the majority of the underlying pool and expected
continued paydown. Rating downgrades are possible if performance of
the FLOCs continue to further deteriorate. Rating upgrades,
although unlikely in the near term, could occur with improved pool
performance and increased credit enhancement from additional
paydown and/or defeasance.


CLNC LTD 2019-FL1: DBRS Finalizes B(low) Rating on Class G Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes (the Notes) issued by CLNC 2019-FL1, Ltd. (the
Issuer):

-- Class A Notes at AAA (sf)
-- Class A-S Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class C Notes at A (low) (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BBB (low) (sf)
-- Class F Notes at BB (low) (sf)
-- Class G Notes at B (low) (sf)

All trends are Stable.

Classes A, A-S, B, C and D represent the offered notes. Classes E,
F and G and the Preferred Shares are non-offered and will be
retained by the Issuer. Classes F-E and G-E represent the principal
and interest modifiable and splittable/combinable tranche (MASCOT)
notes that will be exchangeable with the Class F and Class G Notes,
respectively. The combined interest rate on the Notes will be equal
to the original note interest rate, with the interest rates of the
MASCOT notes determined by the holder of the original notes being
exchanged.

The initial collateral consists of 21 floating-rate mortgages
secured by 39 mostly transitional properties with a cut-off balance
totaling $1.01 billion, excluding approximately $124.9 million of
future funding commitments attributed to 16 loans. Most loans are
in a period of transition with plans to stabilize and improve the
asset value. During the 24-month Reinvestment Period, the Issuer
may acquire future funding commitments and additional eligible
loans subject to the Eligibility Criteria. The transaction
stipulates a $5.0 million threshold on pari passu participation
acquisitions before a Rating Agency Condition is required if there
is already a participation of the underlying loan in the trust.

For the floating-rate loans, DBRS Morningstar used the one-month
LIBOR index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponds with the remaining fully extended
term of the loans or the strike price of the interest-rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is Net Cash
Flow, 19 loans, comprising 81.2% of the initial pool, had a DBRS
Morningstar As-Is Debt Service Coverage Ratio (DSCR) below 1.00
times (x), a threshold indicative of default risk. Additionally,
the DBRS Morningstar Stabilized DSCR for five loans, comprising
28.4% of the initial pool balance, is below 1.00x, which is
indicative of elevated refinance risk. The properties are often
transitioning with a potential upside in cash flow; however, DBRS
Morningstar does not give full credit to the stabilization if there
are no holdbacks or if other loan structural features in place are
insufficient to support such treatment. Furthermore, even with the
structure provided, DBRS Morningstar generally does not assume the
assets to stabilize above market levels.

The loans are generally secured by traditional property types
(i.e., retail, multifamily, office and industrial), though there
are two loans, representing 19.9% of the pool, that are secured by
hotels. Additionally, only one of the multifamily loans (Aspen
Heights Trio; representing 2.5% of the initial pool balance) in the
pool is currently secured by a student housing property, which
often exhibit higher cash flow volatility than traditional
multifamily properties.

Nine loans in the pool, totaling 56.0% of the DBRS Morningstar
sample by cut-off date pool balance, are backed by a property with
a quality deemed to be Above Average or Average (+) by DBRS
Morningstar. Fifteen loans, representing 60.6% of the pool,
represent acquisition financing wherein sponsors contributed
material cash equity as a source of funding in conjunction with the
mortgage loan, resulting in a moderately high sponsor cost basis in
the underlying collateral.

The weighted-average (WA) DBRS Morningstar As-Is Loan-to-Value
(LTV), which includes all future funding in the calculation, is
moderately high at 76.1%, reflecting the highly transitional nature
of the pool with substantial future funding as well as generally
high leverage. The high LTV results in a WA DBRS Morningstar
Expected Loss of 4.8% for the pool, which translates to credit
enhancement levels at each rating category that are generally in
line with other commercial real estate (CRE) collateralized loan
obligations (CLOs).

The pool is heavily concentrated geographically. Seven loans,
representing 52.5% of the pool, are located in California. Further,
of those loans located in California, there is a high concentration
in Northern California, with six loans representing 46.5% of the
pool. The particular metropolitan statistical areas represented in
this concentration are considered to be strong markets with good
liquidity.

All 21 loans have floating interest rates, and all loans are
interest only during the original term with original terms ranging
from 12 months to 36 months, creating interest rate risk. All loans
are short-term loans, and even with extension options, they have a
fully extended maximum loan term of five years. Additionally, all
have extension options, and in order to qualify for these options,
the loans must meet minimum leverage requirements.

The participations conveyed to the Issuer will not include record
title to the underlying mortgage in the name of the Issuer but
instead will include help from the Seller. This is contrary to
standard CRE CLO structures, where the issuer or institutional
custodian generally holds title to the participation loans. In the
case of a bankruptcy, the Issuer has a lesser claim to the loan
since it does not own the title. As a result, the Issuer's ability
to recover under such participation is subject to the credit risk
of the entity that holds legal title to the underlying collateral.
Payments to the Issuer will be affected if the legal titleholder of
the participated assets files for bankruptcy or is declared
insolvent. Added language will be provided in the Seller's
organization documents to limit the Seller to only acquiring
mortgage loans and participations therein and not engaging in any
other business through the entity. Additionally, there will be
language on limitations on indebtedness to only that debt arising
in connection with the loan participations.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the current in-place cash flow.
There is a possibility that the sponsors will not execute their
business plans as expected and that the higher stabilized cash flow
will not materialize during the loan term. Failure to execute the
business plan could result in a term default or the inability to
refinance the fully funded loan balance. DBRS Morningstar made
relatively conservative stabilization assumptions and, in each
instance, considered the business plan to be rational and the
future funding amounts to be sufficient to execute such plans. In
addition, DBRS Morningstar analyzes loss given default based on the
as-is LTV, assuming the loan is fully funded.

Notes: All figures are in U.S. dollars unless otherwise noted.


COLONNADE GLOBAL 2018-2: DBRS Confirms BB(high) Rating on Tranche K
-------------------------------------------------------------------
DBRS Ratings Limited confirmed its provisional ratings on 44
tranches of four unexecuted, unfunded financial guarantees in the
Colonnade Global 2018-2, Colonnade Global 2018-3X, Colonnade
Programme - Series Global 2018-4 (Colonnade Global 2018-4) and
Colonnade Programme - Series Global 2018-5 (Colonnade Global
2018-5) portfolios:

Colonnade Global 2018-2:

-- USD 1,102,790,000 Tranche A at AAA (sf)
-- USD 21,190,000 Tranche B at AA (high) (sf)
-- USD 6,390,000 Tranche C at AA (sf)
-- USD 7,330,000 Tranche D at AA (low) (sf)
-- USD 20,530,000 Tranche E at A (high) (sf)
-- USD 3,590,000 Tranche F at A (sf)
-- USD 10,930,000 Tranche G at A (low) (sf)
-- USD 20,260,000 Tranche H at BBB (high) (sf)
-- USD 3,990,000 Tranche I at BBB (sf)
-- USD 6,660,000 Tranche J at BBB (low) (sf)
-- USD 19,673,328 Tranche K at BB (high) (sf)

Colonnade Global 2018-3X:

-- USD 1,883,210,000 Tranche A at AAA (sf)
-- USD 35,630,000 Tranche B at AA (high) (sf)
-- USD 12,410,000 Tranche C at AA (sf)
-- USD 12,870,000 Tranche D at AA (low) (sf)
-- USD 39,080,000 Tranche E at A (high) (sf)
-- USD 6,200,000 Tranche F at A (sf)
-- USD 18,160,000 Tranche G at A (low) (sf)
-- USD 38,850,000 Tranche H at BBB (high) (sf)
-- USD 7,350,000 Tranche I at BBB (sf)
-- USD 11,490,000 Tranche J at BBB (low) (sf)
-- USD 33,600,569 Tranche K at BB (high) (sf)

Colonnade Global 2018-4:

-- USD 1,924,410,000 Tranche A at AAA (sf)
-- USD 35,110,000 Tranche B at AA (high) (sf)
-- USD 12,090,000 Tranche C at AA (sf)
-- USD 13,250,000 Tranche D at AA (low) (sf)
-- USD 33,250,000 Tranche E at A (high) (sf)
-- USD 6,510,000 Tranche F at A (sf)
-- USD 18,370,000 Tranche G at A (low) (sf)
-- USD 33,480,000 Tranche H at BBB (high) (sf)
-- USD 7,670,000 Tranche I at BBB (sf)
-- USD 11,160,000 Tranche J at BBB (low) (sf)
-- USD 30,281,391 Tranche K at BB (high) (sf)

Colonnade Global 2018-5:

-- USD 514,740,000 Tranche A at AAA (sf)
-- USD 9,240,000 Tranche B at AA (high) (sf)
-- USD 3,180,000 Tranche C at AA (sf)
-- USD 3,620,000 Tranche D at AA (low) (sf)
-- USD 9,120,000 Tranche E at A (high) (sf)
-- USD 1,810,000 Tranche F at A (sf)
-- USD 4,990,000 Tranche G at A (low) (sf)
-- USD 9,310,000 Tranche H at BBB (high) (sf)
-- USD 2,120,000 Tranche I at BBB (sf)
-- USD 3,060,000 Tranche J at BBB (low) (sf)
-- USD 8,809,997 Tranche K at BB (high) (sf)

Each transaction is a synthetic balance-sheet collateralized loan
obligation structured in the form of a financial guarantee (the
Guarantee). The tranches are collateralized by a portfolio of
corporate loans and credit facilities (the Guaranteed Portfolio)
originated by Barclays Bank PLC (Barclays or the Beneficiary). The
rated tranches are unfunded, and the senior guarantee remains
unexecuted.

The ratings address the likelihood of a loss under the guarantee on
the respective tranche resulting from borrower defaults at the
legal final maturity dates in 2026 for the four transactions.
Borrower default events are limited to failure to pay, bankruptcy
and restructuring. The ratings assigned by DBRS Morningstar to each
tranche are expected to remain provisional until the senior
guarantee is executed. The ratings do not address counterparty risk
nor the likelihood of any event of default or termination events
under the agreement occurring.

The rating actions follow an annual review of the transactions and
are based on the following analytical considerations:

-- Portfolio performance, in terms of cumulative defaults, and
compliance with portfolio profile tests under the replenishment
period as of the reporting date of September 2019;

-- Updated default rate, recovery rate and expected loss
assumptions for the reference portfolios; and

-- The current available credit enhancement to the rated tranches
and capacity to withstand losses under stressed interest
scenarios.

PORTFOLIO PERFORMANCE

The transactions are currently within their three-year
replenishment periods during which time the Beneficiary can add new
reference obligations or increase the notional amount of existing
reference obligations provided that they meet eligibility criteria,
portfolio profile tests and are made according to replenishment
guidelines. The replenishment period ends in November 2021 for
Colonnade Global 2018-2 and in December 2021 for the three other
transactions.

The Guaranteed Portfolio of Colonnade Global 2018-2 currently
stands at USD 1,323 million, below the maximum Guaranteed Portfolio
notional amount of USD 1,333 million. The Guaranteed Portfolio of
Colonnade Global 2018-3X currently stands at the maximum Guaranteed
Portfolio notional amount of USD 2,299 million. The Guaranteed
Portfolio of Colonnade Global 2018-4 currently stands at USD 2,195
million, below the maximum Guaranteed Portfolio notional amount of
USD 2,325 million. The Guaranteed Portfolios of Colonnade Global
2018-5 currently stands at USD 517 million, below the maximum
Guaranteed Portfolio notional amount of USD 625 million. For the
four transactions, the Guaranteed Portfolios are non-granular,
composed mainly of revolving credit facilities, bear a floating
interest rate and are mainly unsecured. The facilities in each
Guaranteed Portfolio are mainly drawn in the protection currency,
which is U.S. dollars for the four transactions.

The composition of the Guaranteed Portfolio of Colonnade Global
2018-2 is similar in terms of DBRS Ratings and DBRS Country Tiers
since closing. The composition of the Guaranteed Portfolios of
Colonnade Global 2018-3X, Colonnade Global 2018-4 and Colonnade
Global 2018-5 has deteriorated in terms of DBRS Ratings with an
increased concentration in the BBB rating, while it has improved or
is similar in terms of DBRS Country Tiers since closing.
Nevertheless, the performance observed in terms of DBRS Ratings is
compensated by the decrease in the weighted-average remaining term
of the portfolio, which is the main driver of the ratings
confirmations for the four transactions.

In terms of the DBRS Industry concentrations and of borrower group
concentrations that are both prescribed by the portfolio profile
tests, the Guaranteed Portfolio of Colonnade Global 2018-2 and
Colonnade Global 2018-5 show an increase since closing. The
Guaranteed Portfolio of Colonnade Global 2018-3X and Colonnade
Global 2018-4 are stable in terms of borrower group concentrations
and DBRS Industry concentrations, respectively, however both are
close to the limits prescribed by the Portfolio Profile Tests.

As of September 2019, there have not been any borrower defaults and
the portfolio profile tests allowing further replenishment of the
Guaranteed Portfolio have all been met.

PORTFOLIO ASSUMPTIONS

The transactions are subject to interest rate risk as the loans in
the Guaranteed Portfolios bear floating interest rates which could
lead to higher losses under the Guarantee in an upward interest
scenario. In addition, up to 2% of each Guaranteed Portfolio amount
can be drawn in currencies other than the U.S. dollar, British
pound sterling, euro, Canadian dollar, Swedish krona, Norwegian
krone, Danish krone, Australian dollar, Japanese yen and Swiss
franc (Minority Currencies). To mitigate the interest rate risk,
additional covenants on spread and the weighted-average payment
frequency of the portfolio are in place.

Based on its "Interest Rate Stresses for European Structured
Finance Transactions" methodology and incorporating these
covenants, DBRS Morningstar calculated a stressed interest rate
index at each rating level for the obligations denominated in
Eligible Currencies and Minority Currencies. For example, at the
AAA (sf) stress level, for the four transactions, the stressed
interest rate index for the obligations denominated in Eligible
Currencies is 7.1% and the stressed interest rate index for the
obligations denominated in Minority Currencies is 35.6%.

DBRS Morningstar calculated the weighted-average recovery rate at
each rating level based on the worst-case concentrations in terms
of DBRS Country Tier, security levels permissible under the
portfolio profile tests, borrower group and DBRS Industry
classification and adjusted its assumptions with the projected loss
on the guarantee under stressed interest rate scenarios. For
example, at the AAA (sf) stress level, the recovery rate was
reduced to 31.0% from 35.2% for Colonnade Global 2018-2, to 32.0%
from 35.9% for Colonnade Global 2018-3X, to 29.0% from 33.3% for
Colonnade Global 2018-4 and to 29.1% from 33.3% for Colonnade
Global 2018-5.

DBRS Morningstar used its CLO Asset Model to update its expected
default rates for the portfolio at each rating level. To determine
the credit risk of each underlying reference obligation, DBRS
Morningstar relied on either public ratings or a mapping from
Barclays' internal ratings models to DBRS ratings. The mapping was
completed in accordance with DBRS Morningstar's "Mapping Financial
Institution Internal Ratings to DBRS Ratings for Global Structured
Credit" methodology.

CREDIT ENHANCEMENT

The credit enhancement levels for each of the tranches remains the
same as at closing, given that no loss has been recorded to date.
Currency risk is mitigated in these transactions. Although the
obligations in the Guaranteed Portfolio can be drawn in various
currencies, any negative impact from currency movements is overall
neutralized and therefore movements in the foreign exchange rate
should not have a negative impact on the rated tranches.

Notes: All figures are in U.S. dollars unless otherwise noted.


CONNECTICUT AVENUE 2019-R07: Fitch to Rate 29 Tranches 'Bsf'
------------------------------------------------------------
Fitch Ratings expects to assign the following ratings and Rating
Outlooks to Fannie Mae's risk transfer transaction, Connecticut
Avenue Securities Trust, series 2019-R07:

  -- $249,578,000 class 1M-1 notes 'BBB-sf'; Outlook Stable;

  -- $524,112,000 class 1M-2 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $174,704,000 class 1M-2A notes 'BB+sf'; Outlook Stable;

  -- $174,704,000 class 1M-2B notes 'BB-sf'; Outlook Stable;

  -- $174,704,000 class 1M-2C notes 'Bsf'; Outlook Stable;

  -- $174,704,000 class 1E-A1 exchangeable notes 'BB+sf'; Outlook
Stable;

  -- $174,704,000 class 1A-I1 notional exchangeable notes 'BB+sf';
Outlook Stable;

  -- $174,704,000 class 1E-A2 exchangeable notes 'BB+sf'; Outlook
Stable;

  -- $174,704,000 class 1A-I2 notional exchangeable notes 'BB+sf';
Outlook Stable;

  -- $174,704,000 class 1E-A3 exchangeable notes 'BB+sf'; Outlook
Stable;

  -- $174,704,000 class 1A-I3 notional exchangeable notes 'BB+sf';
Outlook Stable;

  -- $174,704,000 class 1E-A4 exchangeable notes 'BB+sf'; Outlook
Stable;

  -- $174,704,000 class 1A-I4 notional exchangeable notes 'BB+sf';
Outlook Stable;

  -- $174,704,000 class 1E-B1 exchangeable notes 'BB-sf'; Outlook
Stable;

  -- $174,704,000 class 1B-I1 notional exchangeable notes 'BB-sf';
Outlook Stable;

  -- $174,704,000 class 1E-B2 exchangeable notes 'BB-sf'; Outlook
Stable;

  -- $174,704,000 class 1B-I2 notional exchangeable notes 'BB-sf';
Outlook Stable;

  -- $174,704,000 class 1E-B3 exchangeable notes 'BB-sf'; Outlook
Stable;

  -- $174,704,000 class 1B-I3 notional exchangeable notes 'BB-sf';
Outlook Stable;

  -- $174,704,000 class 1E-B4 exchangeable notes 'BB-sf'; Outlook
Stable;

  -- $174,704,000 class 1B-I4 notional exchangeable notes 'BB-sf';
Outlook Stable;

  -- $174,704,000 class 1E-C1 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $174,704,000 class 1C-I1 notional exchangeable notes 'Bsf';
Outlook Stable;

  -- $174,704,000 class 1E-C2 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $174,704,000 class 1C-I2 notional exchangeable notes 'Bsf';
Outlook Stable;

  -- $174,704,000 class 1E-C3 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $174,704,000 class 1C-I3 notional exchangeable notes 'Bsf';
Outlook Stable;

  -- $174,704,000 class 1E-C4 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $174,704,000 class 1C-I4 notional exchangeable notes 'Bsf';
Outlook Stable;

  -- $349,408,000 class 1E-D1 exchangeable notes 'BB-sf'; Outlook
Stable;

  -- $349,408,000 class 1E-D2 exchangeable notes 'BB-sf'; Outlook
Stable;

  -- $349,408,000 class 1E-D3 exchangeable notes 'BB-sf'; Outlook
Stable;

  -- $349,408,000 class 1E-D4 exchangeable notes 'BB-sf'; Outlook
Stable;

  -- $349,408,000 class 1E-D5 exchangeable notes 'BB-sf'; Outlook
Stable;

  -- $349,408,000 class 1E-F1 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $349,408,000 class 1E-F2 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $349,408,000 class 1E-F3 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $349,408,000 class 1E-F4 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $349,408,000 class 1E-F5 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $349,408,000 class 1-X1 notional exchangeable notes 'BB-sf';
Outlook Stable;

  -- $349,408,000 class 1-X2 notional exchangeable notes 'BB-sf';
Outlook Stable;

  -- $349,408,000 class 1-X3 notional exchangeable notes 'BB-sf';
Outlook Stable;

  -- $349,408,000 class 1-X4 notional exchangeable notes 'BB-sf';
Outlook Stable;

  -- $349,408,000 class 1-Y1 notional exchangeable notes 'Bsf';
Outlook Stable;

  -- $349,408,000 class 1-Y2 notional exchangeable notes 'Bsf';
Outlook Stable;

  -- $349,408,000 class 1-Y3 notional exchangeable notes 'Bsf';
Outlook Stable;

  -- $349,408,000 class 1-Y4 notional exchangeable notes 'Bsf';
Outlook Stable;

  -- $174,704,000 class 1-J1 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $174,704,000 class 1-J2 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $174,704,000 class 1-J3 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $174,704,000 class 1-J4 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $349,408,000 class 1-K1 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $349,408,000 class 1-K2 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $349,408,000 class 1-K3 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $349,408,000 class 1-K4 exchangeable notes 'Bsf'; Outlook
Stable;

  -- $524,112,000 class 1M-2Y exchangeable notes 'Bsf'; Outlook
Stable;

  -- $524,112,000 class 1M-2X notional exchangeable notes 'Bsf';
Outlook Stable.

Fitch will not be rating the following classes:

  -- $25,154,889,947 class 1A-H reference tranche;

  -- $224,620,000 class 1B-1 notes;

  -- $13,136,255 class 1M-1H reference tranche;

  -- $9,195,979 class 1M-AH reference tranche;

  -- $9,195,979 class 1M-BH reference tranche;

  -- $9,195,979 class 1M-CH reference tranche;

  -- $11,822,830 class 1B-1H reference tranche;

  -- $65,678,563 class 1B-2H reference tranche;

  -- $224,620,000 class 1B-1Y exchangeable notes;

  -- $224,620,000 class 1B-1X notional exchangeable notes.

The notes are issued from a bankruptcy remote vehicle and are
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 3.25% subordination provided by the 0.70% class
1M-2A, the 0.70% class 1M-2B, the 0.70% class 1M-2C, the 0.90%
class 1B-1 and their corresponding reference tranches as well as
the 0.25% 1B-2H reference tranche.

Connecticut Avenue Securities Trust series 2019-R07 (CAS 2019-R07)
is Fannie Mae's 37th risk transfer transaction issued as part of
the Federal Housing Finance Agency's Conservatorship Strategic Plan
for 2013 to 2019 for each of the government-sponsored enterprises
(GSEs) to demonstrate the viability of multiple types of risk
transfer transactions involving single-family mortgages.

The CAS 2019-R07 transaction includes one loan group that will
consist of loans with loan-to-value (LTV) ratios greater than 60%
and less than or equal to 80%.

This is the eighth risk transfer transaction Fannie Mae is issuing
in which the notes are not general, senior unsecured obligations of
Fannie Mae but are instead issued as a REMIC from a Bankruptcy
Remote Trust. Similarly to the prior transactions, however, the
notes are still subject to the credit and principal payment risk of
a pool of certain residential mortgage loans (reference pool) held
in various Fannie Mae-guaranteed MBS.

While the transaction structure simulates the behavior and credit
risk of traditional RMBS mezzanine and subordinate securities, the
bond payments are not made directly from the reference pool of
loans. Principal payments are made from a release of collateral
deposited into a segregated account as of the closing date.
Interest payments on the bonds are made from a combination of
interest accrued on the eligible investments in the CCA and certain
interest amounts received from the Designated Q-REMIC Interests on
certain designated loans acquired by Fannie Mae during the given
acquisition period. Fannie Mae acts as ultimate backstop with
regard to the portion of interest applicable to LIBOR in the event
the money from earnings on the CCA is insufficient.

Given the structure and counterparty dependence on Fannie Mae,
Fitch's ratings on the 1M-1 and 1M-2 notes will be based on the
lower of: the quality of the mortgage loan reference pool and
credit enhancement (CE) available through subordination, or Fannie
Mae's Issuer Default Rating (IDR). While this transaction reduces
counterparty exposure to Fannie Mae compared with prior
transactions, there is still a reliance on them to cover potential
interest shortfalls or principal losses on eligible investments.
The notes will be issued as uncapped LIBOR-based floaters and carry
a 20-year legal final maturity. This will be an actual loss risk
transfer transaction in which losses borne by the noteholders will
not be based on a fixed loss severity (LS) schedule. The notes in
this transaction will experience losses realized at the time of
liquidation or modification that will include both lost principal
and delinquent or reduced interest.

Under the Federal Housing Finance Regulatory Reform Act, the
Federal Housing Finance Agency (FHFA) must place Fannie Mae into
receivership if it determines that Fannie Mae's assets are less
than its obligations for more than 60 days following the deadline
of its SEC filing, as well as for other reasons. As receiver, FHFA
could repudiate any contract entered into by Fannie Mae if the
termination of such contract would promote an orderly
administration of Fannie Mae's affairs. Fitch believes that the
U.S. government will continue to support Fannie Mae; this is
reflected in Fannie Mae's current rating. However, if at some
point, Fitch observes that support is reduced and receivership
likely, Fannie Mae's ratings could be downgraded and the 1M-1,
1M-2A, 1M-2B and 1M-2C notes' ratings of each group affected.

The 1M-1, 1M-2A, 1M-2B, 1M-2C and 1B-1 notes will be issued as
LIBOR-based floaters. Should the one-month LIBOR rate fall below
the applicable negative LIBOR trigger value described in the
offering memorandum, the interest payment on the interest-only
notes will be capped at the excess of: (i) the interest amount
payable on the related class of exchangeable notes for that payment
date over (ii) the interest amount payable on the class of
floating-rate related combinable and recombinable (RCR) notes
included in the same combination for that payment date. If there
are no floating-rate classes in the related exchange, then the
interest payment on the interest-only notes will be capped at the
aggregate of the interest amounts payable on the classes of RCR
notes included in the same combination that were exchanged for the
specified class of interest-only RCR notes for that payment date.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of high-quality mortgage loans acquired by Fannie Mae
between May 1, 2018 and June 30, 2019. The reference pool will
consist of loans with loan-to-value (LTV) ratios greater than 60%
and less than or equal to 80%. Overall, the reference pool's
collateral characteristics reflect the strong credit profile of
post-crisis mortgage originations.

Very Low Operational Risk (Positive): Operational risk is well
controlled for this transaction. Fannie Mae is a leader in the
residential mortgage industry and assessed as an 'Above Average'
aggregator due to strong seller oversight and risk management
controls. Although multiple entities are performing primary
servicing functions for the loans in the pool, Fannie Mae maintains
robust servicer oversight to mitigate servicer disruption risk.

20-Year Hard Maturity (Negative): The notes have a 20-year legal
final maturity, unlike prior CAS transactions, which have a
12.5-year maturity. Thus, a large majority of the losses on the
reference pool will be passed through to the structure. As a
result, Fitch did not apply a maturity credit to reduce its default
expectations.

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 retain credit risk in the transaction by holding
the 1A-H senior reference tranche, which has an initial loss
protection of 4.25%, as well as the first loss 1B-2H reference
tranche, sized at 0.25%. Fannie Mae is also retaining a vertical
slice or interest of at least 5% in each reference tranche (1M-1H,
1M-AH, 1M-BH, 1M-CH and 1B-1H).

Limited Size and 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 QC
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.

Collateral Drift (Negative): While the credit attributes remain
significantly stronger than any pre-crisis vintage, the CAS credit
attributes have weakened relative to CAS transactions issued
several years ago. The credit migration has been a key driver of
Fitch's rising loss expectations, which have moderately increased
over time.

REMIC Structure (Neutral): This is Fannie Mae's eighth credit risk
transfer transaction being issued as a REMIC from a bankruptcy
remote trust. The change limits the transaction's dependency on
Fannie Mae for payments of principal and interest helping mitigate
potential rating caps in the event of a downgrade of Fannie Mae's
counterparty rating. Under the current structure, Fannie Mae still
acts as a final backstop with regard to payments of LIBOR on the
bonds as well as potential investment losses of principal. As a
result, ratings may still be limited in the future by Fannie Mae's
rating but to a lesser extent than in previous transactions as
there are now other recourses for investors for payments.

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 that 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 5%-10% and 25%-30% would potentially reduce the
'BBB-sf' rated class down one rating category and to 'CCCsf',
respectively.


CREDIT SUISSE 2007-C1: Fitch Affirms Bsf Rating on 3 Tranches
-------------------------------------------------------------
Fitch Ratings affirmed all 20 classes of Credit Suisse Commercial
Mortgage Trust series 2007-C1 commercial mortgage pass-through
certificates.

RATING ACTIONS

Credit Suisse Commercial Mortgage Trust 2007-C1   

Class A-J 22545XAG8;   LT  Dsf Affirmed; previously at Dsf

Class A-M 22545XAF0;   LT  Bsf Affirmed; previously at Bsf

Class A-MFL 22545XBC6; LT  Bsf Affirmed; previously at Bsf

Class A-MFX 22545XBD4; LT  Bsf Affirmed; previously at Bsf

Class B 22545XAJ2;     LT  Dsf Affirmed; previously at Dsf

Class C 22545XAK9;     LT  Dsf Affirmed; previously at Dsf

Class D 22545XAL7;     LT  Dsf Affirmed; previously at Dsf

Class E 22545XAM5;     LT  Dsf Affirmed; previously at Dsf

Class F 22545XAN3;     LT  Dsf Affirmed; previously at Dsf

Class G 22545XAP8;     LT  Dsf Affirmed; previously at Dsf

Class H 22545XAQ6;     LT  Dsf Affirmed; previously at Dsf

Class J 22545XAR4;     LT  Dsf Affirmed; previously at Dsf

Class K 22545XAS2;     LT  Dsf Affirmed; previously at Dsf

Class L 22545XAT0;     LT  Dsf Affirmed; previously at Dsf

Class M 22545XAU7;     LT  Dsf Affirmed; previously at Dsf

Class N 22545XAV5;     LT  Dsf Affirmed; previously at Dsf

Class O 22545XAW3;     LT  Dsf Affirmed; previously at Dsf

Class P 22545XAX1;     LT  Dsf Affirmed; previously at Dsf

Class Q 22545XAY9;     LT  Dsf Affirmed; previously at Dsf

Class S 22545XAZ6;     LT  Dsf Affirmed; previously at Dsf

KEY RATING DRIVERS

Increased Credit Enhancement: The affirmations reflect continued
paydown, increases in credit enhancement and loss protection for
the A-M classes. Since Fitch's last rating action, the $150 million
City Place loan was paid off; however, a full loss from the $50
million B note was applied to the trust. According to media
reports, and despite the payoff, the loan remains in litigation
surrounding the appraised value of the property prior to the loan
refinance.

As of the October 2019 distribution date, the pool's aggregate
principal balance has been reduced by 93.4% to $221.3 million from
$3.4 billion at issuance. Realized losses to date total $454.4
million (13.5% of original pool). Cumulative interest shortfalls
totaling $81.2 million are currently affecting classes A-J through
T.

Concentrated Pool: The pool is highly concentrated and consists of
five loans/assets, all of which are in specially servicing. There
are three real estate owned (REO) assets (44.8%) and two non-
performing loans (55.2%).

Increased Loss Expectations: The increase in loss expectations is
due to the recent transfer of the largest remaining loan in the
pool, Koger Center (52.5%). The loan is secured by a 849,765-sf
office complex located in Tallahassee, FL. It was modified in July
2017 and its maturity was extended to February 2020; however, the
loan transferred to special servicing in October 2019 for payment
default. The State of Florida is the largest tenant occupying 63%
of the net rentable area (NRA) and has a lease expiration in
October 2019. It has been reported that nearly six state agencies
who lease space at Koger Center will be vacating upon the lease
expiration. The servicer reports that it is gathering updated
information and is working to determine the status of the State of
Florida leases. The property was 93% occupied according to the
January 2019 rent roll, but is expected to drop significantly if
most of the State of Florida leases are not renewed or extended.

RATING SENSITIVITIES

The Outlooks on the A-M classes are Stable to reflect the
expectation that the classes will be paid off once the specially
serviced loans are disposed. Upgrades are unlikely due to the
concentrated nature of the pool and the reliance on the specially
serviced assets' liquidation proceeds to pay off the classes. All
losses are expected to be absorbed by the subordinate class A-J.


CSMC 2016-NXSR: Fitch Affirms B-sf Rating on 2 Tranches
-------------------------------------------------------
Fitch Ratings affirmed all the classes of CSMC 2016-NXSR Commercial
Mortgage Trust pass-through certificates. Fitch has also revised
the Rating Outlooks to Negative from Stable on classes E, F, X-E
and X-F.

RATING ACTIONS

CSMC 2016-NXSR

Class A-1 12594PAS0;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 12594PAT8;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 12594PAU5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 12594PAV3;  LT AAAsf Affirmed;  previously at AAAsf

Class A-S 12594PAZ4;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 12594PAW1; LT AAAsf Affirmed;  previously at AAAsf

Class B 12594PBA8;    LT AA-sf Affirmed;  previously at AA-sf

Class C 12594PBB6;    LT A-sf Affirmed;   previously at A-sf

Class D 12594PAG6;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 12594PAJ0;    LT BB-sf Affirmed;  previously at BB-sf

Class F 12594PAL5;    LT B-sf Affirmed;   previously at B-sf

Class V-1B 12594PBD2; LT AA-sf Affirmed;  previously at AA-sf

Class V-1C 12594PBE0; LT A-sf Affirmed;   previously at A-sf

Class V1-A 12594PBC4; LT AAAsf Affirmed;  previously at AAAsf

Class V1-D 12594PBF7; LT BBB-sf Affirmed; previously at BBB-sf

Class X-A 12594PAX9;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 12594PAY7;  LT AA-sf Affirmed;  previously at AA-sf

Class X-E 12594PAA9;  LT BB-sf Affirmed;  previously at BB-sf

Class X-F 12594PAC5;  LT B-sf Affirmed;   previously at B-sf

KEY RATING DRIVERS

Stable Loss Expectations: Overall pool performance remains
relatively stable and in-line with Fitch's expectations at
issuance. The affirmations reflect continued, stable pool
performance. Four loans (15.3%) were flagged as Fitch Loans of
Concern (FLOCs) including one loan (1% of the pool) in special
servicing, primarily due to occupancy declines as well as other low
performance metrics.

The largest FLOC and third largest loan, Gurnee Mills (9.6%), is
secured by a 1.7 million sf interest in a 1.9 million sf regional
mall is located in Gurnee, IL, roughly 45 miles north of Chicago.
The mall is anchored by non-collateral tenants Marcus Cinema,
Burlington Coat Factory, Value City Furniture, and collateral
tenants Bass Pro Shops, Kohl's, and Macy's. Occupancy has been
trending downward over the past several years: 88% (2017), 81%
(2018) and 80% (June 2019). The property lost anchor tenant Sears
Grand (12% NRA, 6% rent) in summer 2018 prior to its April 2019
lease expiration date. Neiman Marcus Last Call (2.8% NRA) also
vacated its space in first-quarter 2018 prior to its lease
expiration date in January 2020. Sales have declined since
issuance. Comparable inline sales for tenants occupying less than
10,000 sf were $332 psf at YE 2018, up from $313 psf at YE 2017 but
down from $347 psf at issuance. Macy's reported sales of $122 sf at
YE 2018, flat from $122 psf at YE 2017 but down from $134 psf at
issuance. Bass Pro Shops had sales of $169 psf at YE 2018, down
from $179 psf at YE 2017 and $189 psf at issuance.

The second largest FLOC and ninth largest loan, Greenwich Office
Park (4.2%), is secured by an approximately 380,000 sf office park
located in Greenwich, CT. The largest tenant at the property,
Interactive Brokers Group (11% NRA), has a lease expiration date at
the end of October 2019 and is expected to vacate. Freepoint
Commodities (6.8%) vacated at its July 2019 lease expiration,
however 82% (approx. 21,300 sf) was subsequently re-leased to two
tenants. As of June 2019, the property was 84.5% occupied. Nearly
17% of NRA expires in 2019, which could further reduce occupancy to
approximately 68%.

The third largest FLOC and 27th largest loan, Windmill Lakes Center
(1%), transferred to special servicing in July 2019 due to imminent
monetary default. The loan is secured by a 71,000 sf neighborhood
retail center located in Batavia, IL. The property was previously
anchored by Sears Home & Appliance (29% NRA), which vacated in July
2019, prior to its December 2019 lease expiration. However, the
tenant continues to meet its rent obligations. The remaining large
tenants are Xsport Fitness (25%, expiring April 2023) and Amish
Furniture Gallery (14%, expiring March 2022). Following the loss of
Sears, occupancy declined to 60% from 89% in June 2019. Foreclosure
proceedings have begun.

The smallest FLOC, Oak Court Apartments (0.5%), is secured by a 35
unit multifamily complex located in Wilmington, NC. Property
performance has been struggling due to new competition and lower
market rates. Although occupancy has increased, rents are
continuing to struggle. As of June 2019 YTD, the property was 88.6%
occupied with an NOI debt service coverage ratio (DSCR) of 0.60x,
compared with 80% and 0.93x, respectively, at YE 2018.

Minimal Changes in Credit Enhancement: As of the October 2019
distribution date, the pool has paid down by nearly 2%, down to
$594.8 million from $606.8 million at issuance. Nine loans (48.6%
of the pool) are full-term interest only. Eight loans (11% of the
pool) are partial interest only; four (5.6%) have exited their
interest only period. The pool is only scheduled to pay down by
9.3% based on scheduled maturity balances. There is one loan (1.1%
of pool) that has defeased. There have been no realized losses to
date.

Alternative Loss Consideration: Fitch ran an additional 25% loss
sensitivity to the maturity balance of the Gurnee Mills loan to
address concerns about the potential for outsized losses given
declining sales and occupancy trends. The outlooks on classes E, F,
X-E and X-F reflect this analysis.

ADDITIONAL CONSIDERATIONS

Pool and Property Concentrations: The top 10 loans comprise 66.4%
of the pool. The largest property types in the pool are retail
(37.3%), office (16.6%), and lodging (15.8%).Two loans in the top
15 (14.3%) are secured by regional malls.

681 Fifth Avenue: 681 Fifth Avenue is secured by a 17-story, 82,573
sf mixed-use (27.3% retail, 72.7% office) building located in the
Plaza submarket of Midtown Manhattan. Tommy Hilfiger leases 100% of
the 22,510 sf retail portion of the property through April 2023 and
accounts for approximately 79% of total rental income; the tenant
vacated in March 2019 and the space remains dark. At issuance, the
tenant pledged a $6.66 million letter of credit security deposit,
which has been assigned to the lender and will be held until the
expiration of the lease. Per the servicer, the tenant and borrower
are both working to sublease or directly lease the space. The loan
has tenant reserves and deposits totaling approximately $2.2
million as of October 2019.

RATING SENSITIVITIES

The Negative Rating Outlooks for classes E, F, X-E and X-F reflect
potential rating downgrades due to deteriorating performance of the
Gurnee Mills loan. Rating downgrades are possible if the
performance, particularly sales and occupancy, of this property
continues to decline. The Rating Outlooks for classes A-1 through E
remain Stable due to overall stable performance and continued
amortization. Upgrades may occur with improved pool performance and
additional pay down or defeasance.


CWABS ASSET-BACKED 2005-13: Moody's Hikes Cl. MV-2 Certs to B3
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 19 tranches from
seven RMBS transactions, backed by Subprime loans.

The complete rating actions are as follows:

Issuer: Asset Backed Securities Corporation Home Equity Loan Trust,
Series RFC 2007-HE1

Cl. A1A, Upgraded to Baa1 (sf); previously on Nov 20, 2018 Upgraded
to Ba1 (sf)

Cl. A1B, Upgraded to Baa1 (sf); previously on Nov 20, 2018 Upgraded
to Ba1 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2005-13

Cl. MV-2, Upgraded to B3 (sf); previously on Jun 26, 2017 Upgraded
to Caa3 (sf)

Cl. AF-4, Upgraded to Caa2 (sf); previously on Oct 26, 2016
Confirmed at Caa3 (sf)

Cl. AF-5, Currently Rated Caa1 (sf); previously on Oct 26, 2016
Confirmed at Caa1 (sf)

Underlying Rating: Upgraded to Caa2 (sf); previously on Oct 26,
2016 Confirmed at Caa3 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 12, 2018.)

Issuer: CWABS Asset-Backed Certificates Trust 2005-16

Cl. MV-3, Upgraded to B3 (sf); previously on Jun 26, 2017 Upgraded
to Caa3 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-13

Cl. MV-1, Upgraded to Caa3 (sf); previously on Jun 26, 2017
Upgraded to Ca (sf)

Cl. 2-AV, Upgraded to Aa2 (sf); previously on May 31, 2018 Upgraded
to A1 (sf)

Cl. 3-AV-2, Upgraded to Aaa (sf); previously on May 31, 2018
Upgraded to A2 (sf)

Cl. 3-AV-3, Upgraded to A2 (sf); previously on May 31, 2018
Upgraded to Baa1 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-5

Cl. 1-A, Upgraded to Aa3 (sf); previously on Jan 15, 2019 Upgraded
to A3 (sf)

Cl. 2-A-3, Upgraded to Aa3 (sf); previously on May 31, 2018
Upgraded to A3 (sf)

Cl. M-1, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Upgraded
to Ca (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-6

Cl. 1-A-1, Upgraded to Aa2 (sf); previously on Nov 20, 2018
Upgraded to A2 (sf)

Cl. 1-A-1M, Upgraded to Aa3 (sf); previously on Nov 20, 2018
Upgraded to A3 (sf)

Cl. 2-A-3, Upgraded to Aaa (sf); previously on Nov 20, 2018
Upgraded to Aa1 (sf)

Issuer: Morgan Stanley Capital I Inc. Trust 2006-NC2

Cl. A-1, Upgraded to Aaa (sf); previously on Mar 19, 2018 Upgraded
to Aa3 (sf)

Cl. A-2d, Upgraded to A2 (sf); previously on Mar 19, 2018 Upgraded
to Baa1 (sf)

Cl. M-1, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded
to C (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to improved underlying
collateral performance and increased credit enhancement available
to the bond. Bonds that have been upgraded in the transactions have
benefited from failed cumulative loss triggers that divert
principal payments from subordinate bonds to the senior bonds. The
cumulative loss triggers, in addition to higher levels of
prepayment in some transactions, have accelerated the buildup of
credit enhancement for the upgraded senior and mezzanine bonds. The
actions also reflect Moody's updated loss expectations on the
underlying pools.

The principal methodology used for these ratings was "US RMBS
Surveillance Methodology" published in February 2019.

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 3.5% in September 2019 from 3.7% in
September 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. Lower increases than
Moody's expects or decreases could lead to negative rating
actions.

Finally, the performance of RMBS continues to remain highly
dependent on servicer procedures. Any changes resulting from
servicing transfers, or other policy or regulatory shifts can
impact the performance of these transactions.


CWABS ASSET-BACKED 2006-23: Moody's Hikes Cl. 2-A-4 Certs to Caa1
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 15 tranches from
10 RMBS transactions, backed by subprime loans.

The complete rating action is as follows:

Issuer: CWABS Asset-Backed Certificates Trust 2006-23

Cl. 2-A-3, Upgraded to Baa2 (sf); previously on May 31, 2018
Upgraded to B1 (sf)

Cl. 2-A-4, Upgraded to Caa1 (sf); previously on Jun 26, 2017
Upgraded to Caa3 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-BC4

Cl. 2-A-3, Upgraded to A2 (sf); previously on Jan 15, 2019 Upgraded
to Baa3 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2007-10

Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Nov 22, 2016
Confirmed at Ca (sf)

Cl. 2-A-3, Upgraded to Ba3 (sf); previously on Jan 15, 2019
Upgraded to B3 (sf)

Cl. 2-A-4, Upgraded to B3 (sf); previously on Nov 22, 2016 Upgraded
to Caa2 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2007-11

Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Jan 25, 2019
Upgraded to Caa3 (sf)

Issuer: IXIS Real Estate Capital Trust 2005-HE1

Cl. M-4, Upgraded to B2 (sf); previously on Jan 20, 2015 Upgraded
to Caa2 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE4

Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 15, 2011
Downgraded to Ca (sf)

Issuer: Long Beach Mortgage Loan Trust 2005-WL1

Cl. I/II-M4, Upgraded to B2 (sf); previously on May 1, 2018
Upgraded to Caa1 (sf)

Issuer: Structured Asset Securities Corp Trust 2006-NC1

Cl. A1, Upgraded to B2 (sf); previously on May 9, 2018 Upgraded to
Caa1 (sf)

Cl. A4, Upgraded to Aaa (sf); previously on May 9, 2018 Upgraded to
A1 (sf)

Cl. A7, Upgraded to B2 (sf); previously on May 9, 2018 Upgraded to
Caa1 (sf)

Issuer: Terwin Mortgage Trust 2006-11ABS

Cl. A-1, Upgraded to A2 (sf); previously on Jan 15, 2019 Upgraded
to Baa3 (sf)

Issuer: Terwin Mortgage Trust 2006-5

Cl. I-A-2b, Upgraded to A2 (sf); previously on Jan 15, 2019
Upgraded to Baa1 (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to improved performance of
the underlying collateral and increased credit enhancement
available to the bonds. The action also reflects the recent
performance as well as Moody's updated losses expectations on the
underlying pools.

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in February 2019.

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 3.5% in September 2019 from 3.7% in
September 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, the performance of RMBS continues to remain highly
dependent on servicer procedures. Any changes resulting from
servicing transfers, or other policy or regulatory shifts can
impact the performance of this transaction.


FALCON 2019-1 AEROSPACE: Fitch Gives BB Rating on Series C Notes
----------------------------------------------------------------
Fitch Ratings assigned ratings to the aircraft ABS notes issued by
Falcon 2019-1 Aerospace Limited and Falcon 2019-1 Aerospace USA LLC
(Falcon USA, and together with the Falcon Cayman, the issuers;
collectively Falcon). The Cayman issuer is an exempted company
incorporated with limited liability under the laws of the Cayman
Islands, and resident in Ireland for tax purposes. The U.S. issuer,
a wholly owned subsidiary of Falcon Cayman, is a special-purpose
Delaware LLC.

The notes are secured by lease payments and disposition proceeds on
a pool of 23 mid-life aircraft purchased and owned by Falcon,
managed and serviced by Dubai Aerospace Enterprise (DAE) Ltd. This
is the second public, Fitch-rated transaction sponsored/serviced by
DAE, and the fourth serviced by DAE. The prior sponsored/serviced
DAE ABS were Kestrel Aircraft Funding Limited (Kestrel), Falcon
Aerospace Limited (Falcon 2017-1) issued in 2017 and Diamond Head
Aviation 2015 Limited (DHA), both NR by Fitch. DHA was initially
serviced by AWAS, which was purchased by DAE in 2017, and is
currently serviced by DAE. DAE is rated 'BBB-'/Stable by Fitch.

RATING ACTIONS

Falcon 2019-1 Aerospace Limited

Series A; LT Asf New Rating;   previously at A(EXP)sf

Series B; LT BBBsf New Rating; previously at BBB(EXP)sf

Series C; LT BBsf New Rating;  previously at BB(EXP)sf

KEY RATING DRIVERS

Unsecured Exposure to DAE Credit - Optional Standby Letters of
Credit: The sellers will have the option to obtain standby letters
of credit (LCs) for any or all of the undelivered aircraft over the
delivery period. The pre-delivery payment amount covered by the LCs
will then be transferred to the sellers out of the aircraft
acquisition account. Any LC providers will be required to maintain
a minimum rating of 'A' or higher by Fitch.

Stable Asset Quality - Mostly Liquid Narrowbody: The pool is
largely composed of liquid narrowbody, mid-life A320, A321 and B737
family current-generation aircraft with a weighted average (WA) age
of 10.4 years. There are three A330-300 widebody aircraft totaling
34.5%. Although widebodies are typically prone to higher transition
costs, two of the widebodies (27.1%) are young A330-300s with a WA
age of 5 years and long remaining lease terms through 2026.

Lease Term and Maturity Schedule - Neutral: The WA remaining lease
term is 4.5 years, in line with Kestrel and comparable to recently
rated pools. One lease comes due in 2020 totaling 2.7%, one (3.2%)
in 2021, eight (32.1%) in 2022, and seven (20.6%) in 2023.
Furthermore, DAE is proactive in working with lessees on lease
extensions, which is a positive, as longer lease terms contract
more cash flows.

Lessee Credits - Weak Credits: Lessees assumed at 'CCC' by Fitch
total 23.4%, higher than Kestrel (11.6%), but on the lower end
compared to recently rated transactions. Most of the 17 lessees are
either unrated or speculative-grade credits, typical of aircraft
ABS. The pool does include three lessees rated by Fitch: Wizz Air
(BBB/Stable), American Airlines (BB-/Stable) and Alaska Airlines
(BBB-/Stable), totaling six leases at 19.2%. Fitch assumed a 'B' or
'CCC' Issuer Default Rating (IDR) for unrated lessees, and stressed
IDRs downward in recessions to reflect pool default risk. Ratings
were further stressed for future assumed recessions and once
aircraft reach Tier 3 classification.

Country Credit Risk - Neutral: The largest country concentration is
the Philippines (BBB/Stable) totaling 13.7% comprised of one
widebody. The second largest is South Korea (13.4%) with three
aircraft followed by Malaysia (13.4%), Hungary (12.2%) and Russia
(9.2%). The top five countries total 61.9%, with 27.1% of lessees
concentrated in emerging Asia Pacific. All countries in the pool
have an investment-grade sovereign rating, including three rated
'AAA', namely the U.S., the Netherlands and Denmark, totaling
14.2%.

Consistent Transaction Structure: Credit enhancement (CE) comprises
overcollateralization (OC), a liquidity facility and a cash
reserve. The initial loan to value (LTV) ratios for the series A, B
and C notes are 66.0%, 78.0% and 84.0%, respectively, based on the
average of the maintenance-adjusted base values (MABV), which are
consistent with Kestrel.

Adequate Structural Protections: The notes make full payment of
interest and principal in the primary scenarios, commensurate with
their recommended ratings after applying Fitch's stressed asset and
liability assumptions. Fitch derived multiple alternative cash
flows to evaluate the structural sensitivity to different
scenarios.

Capable Servicing History and Experience: Fitch believes DAE has
the ability to collect lease payments, remarket and repossess
aircraft in an event of lessee default, and procure maintenance to
retain values and ensure stable performance. Fitch considers DAE to
be a capable servicer, evidenced by prior securitization
performance and its servicing experience of aviation assets and
managed aviation funds. DAE is rated 'BBB-'/Stable.

Aviation Market Cyclicality: Commercial aviation has been subject
to significant cyclicality due to macroeconomic and geopolitical
events. Fitch's analysis assumes multiple periods of significant
volatility over the life of the transaction. Downturns are
typically marked by reduced aircraft utilization rates, values and
lease rates, as well as deteriorating lessee credit quality. Fitch
employs aircraft value stresses in its analysis, which takes into
account age and marketability to simulate the decline in lease
rates expected over the course of an aviation market downturn, and
the decrease to potential residual sales proceeds.

Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings
to a maximum cap of 'Asf' due to the factors discussed, and the
potential volatility they produce.

RATING SENSITIVITIES

The performance of aircraft ABS can be affected by various factors,
which, in turn, could have an impact on the assigned ratings. Fitch
conducted multiple rating sensitivity analyses to evaluate the
impact of changes to a number of the variables in the analysis.
These sensitivity scenarios were also considered in determining
Fitch's recommended ratings.

Technological Obsolescence Stress Scenario

All aircraft in the pool face replacement programs over the next
decade, particularly the A320ceo and B737 NG aircraft in the form
of A320neo and B737 MAX aircraft. Deliveries of these models have
begun and will increase in the coming years. While commercial
flights have not yet begun, the first A330neo was delivered. If
received well, the increase in future deliveries could affect the
existing A330 fleet. Certain appraisers have started to adjust MVs
in response to this replacement risk; a majority of the pool's
market value appraisals are slightly lower than HL BVs. Fitch
believes current-generation aircraft are well insulated due to
large operator bases and the long lead time for full replacement,
particularly when considering conservative retirement ages and
aggressive production schedules for Airbus and Boeing new
technology.

However, Fitch believes a sensitivity scenario is warranted to
address these risks. Therefore, Fitch utilized a scenario in which
demand, and thus values, of existing aircraft would fall
significantly due to the replacement technology. The first
recession was assumed to occur two years following close. However,
all recessionary value decline stresses were increased 10% at each
rating category. Fitch additionally utilized a 25% residual
assumption, rather than the base level of 50%, to stress EOL
proceeds for each asset in the pool. Lease rates drop fairly
significantly under this scenario, and aircraft are essentially
sold for scrap at the end of their useful lives.

This scenario is stressful, as 'Asf' net cash flow including sales
proceeds drops to $530 million, compared with $593 million in the
primary scenario. The class A notes fail the 'Asf' and 'BBBsf'
scenarios, but are able to pass the 'BBsf' scenario. Meanwhile the
class B and C notes fail all scenarios; however, the unpaid balance
under the 'Bsf' scenario is relatively small. Such a scenario is
likely to result in a downgrade of class A, B and C notes by up to
two categories.

CCC Stress Scenario

Fitch assumed that all unrated airlines had a default probability
in line with a 'CCC' credit. This rating was assumed to decline to
'CC' during recessionary periods. Furthermore, Fitch's assumed
repossession time was increased by one month under all scenarios.
Such assumptions are materially conservative, as the default rate
and aircraft downtime significantly increase over the primary
scenarios. Net cash flow under the 'Asf' scenario declines to $509
million, while average utilization falls to 80.2%.

Under this scenario, class A fails the 'Asf' stress. Under Fitch's
'BBBsf' and 'BBsf' scenarios, class A is able to pay in full with
no principal shortfalls, while the class B and C notes fail. Under
the 'Bsf' scenario, class B notes pass and class C notes fail. Such
a stress to the transaction would likely result in a downgrade of
up to one to two categories for all classes of notes.

Widebody Stress Scenario

This pool contains a large concentration of A330s (34.5%). Although
the A330-300 variant is one of the most marketable variants on the
market, Fitch created a scenario in which the widebody aircraft in
the pool encounter a considerable amount of stress to their
residual values. First, Fitch assumed all were initially considered
to be Tier 3 aircraft to stress depreciation rates and recessionary
value declines. In addition, Fitch decreased its residual credit to
25% from 50% of stressed future market values. Essentially under
this scenario, A330-300s encounter severe value decline stresses
and are only granted part-out value at the end of their useful
lives.

Net cash flow under the 'Asf' scenario declines to $527 million,
while average utilization falls to 86.6%. All classes fail under
the 'Asf' and 'BBBsf' scenarios. Class A passes at 'BBsf', class B
passes at 'Bsf', and class C fails 'Bsf'.


FLAGSTAR MORTGAGE 2019-1INV: Moody's Rates Class B-5 Debt B1
------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to twenty-six
classes of residential mortgage-backed securities issued by
Flagstar Mortgage Trust 2019-1INV. The ratings range from Aaa (sf)
to B1 (sf).

Issuer: Flagstar Mortgage Trust 2019-1INV

Cl. A-1, Definitive Rating Assigned Aaa (sf)

Cl. A-2, Definitive Rating Assigned Aaa (sf)

Cl. A-3, Definitive Rating Assigned Aaa (sf)

Cl. A-4, Definitive Rating Assigned Aaa (sf)

Cl. A-5, Definitive Rating Assigned Aaa (sf)

Cl. A-6, Definitive Rating Assigned Aaa (sf)

Cl. A-7, Definitive Rating Assigned Aaa (sf)

Cl. A-8, Definitive Rating Assigned Aaa (sf)

Cl. A-9, Definitive Rating Assigned Aaa (sf)

Cl. A-10, Definitive Rating Assigned Aaa (sf)

Cl. A-11, Definitive Rating Assigned Aaa (sf)

Cl. A-12, Definitive Rating Assigned Aaa (sf)

Cl. A-13, Definitive Rating Assigned Aaa (sf)

Cl. A-14, Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Definitive Rating Assigned Aa1 (sf)

Cl. A-16, Definitive Rating Assigned Aaa (sf)

Cl. A-17, Definitive Rating Assigned Aaa (sf)

Cl. B-1, Definitive Rating Assigned Aa2 (sf)

Cl. B-1A, Definitive Rating Assigned Aa2 (sf)

Cl. B-2, Definitive Rating Assigned A1 (sf)

Cl. B-2A, Definitive Rating Assigned A1 (sf)

Cl. B-3, Definitive Rating Assigned Baa1 (sf)

Cl. B-4, Definitive Rating Assigned Ba1 (sf)

Cl. B-5, Definitive Rating Assigned B1 (sf)

Cl. RR-A, Definitive Rating Assigned Aa1 (sf)

Cl. RR-A2, Definitive Rating Assigned Aa2 (sf)

RATINGS RATIONALE

Summary credit analysis

Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis (MILAN) model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included, but were not limited to,
adjustments for origination quality, third-party review (TPR) scope
and results, and the financial strength of the representation &
warranty (R&W) provider. Its expected loss for this pool in a
baseline scenario is 1.16% and reaches 10.08% at a stress level
consistent with its Aaa scenario. Its expected loss reflects the
overall credit quality of the pool, with strong collateral
characteristics, such as Weighted Average (WA) original credit
score of 765 and the WA combined original LTV (CLTV) of 67.2%.

Earlier, Moody's published an updated methodology for rating and
monitoring US RMBS backed by government-sponsored enterprises
(GSEs) and private label prime first-lien mortgage loans originated
during or after 2009, "Moody's Approach to Rating US RMBS Using the
MILAN Framework," which replaces the methodology titled "Moody's
Approach to Rating US Prime RMBS" published on November 15, 2018.
As a result of the application of this updated methodology, the
definitive ratings assigned to eleven tranches in the action --
Classes A-14, A-15, A-16, A-17, B-1, B-1A, B-2, B-2A, B-3, B-4 and
B-5 -- are one notch higher than the provisional ratings assigned
to those tranches on October 22, 2019, and mostly reflect a reduced
stress level consistent with its Aaa scenario. The definitive
ratings for Classes RR-A and RR-A2 are two and three notches higher
than the provisional ratings, respectively, reflecting both the
application of the updated methodology and the thickness of the
senior notes relative to subordinate notes in their respective
exchangeable combinations.

Collateral description

Flagstar Mortgage Trust 2019-1INV (FSMT 2019-1INV) is the first
issue from Flagstar Mortgage Trust in 2019 and the third under the
FSMT-INV shelf. Flagstar Bank, FSB (Flagstar) is the sponsor of the
transaction.

FSMT 2019-1INV is a securitization of GSE eligible first-lien
investment purpose mortgage loans (97.6% of the aggregate pool) and
Jumbo Advantage fixed rate mortgages (2.4% of the aggregate pool).
48.9% of the pool by loan balance were originated by loanDepot.com,
LLC and 51.1% Flagstar Bank, FSB. Majority of the loans are
underwritten in accordance with Freddie Mac or Fannie Mae
guidelines, which take into consideration, among other factors, the
income, assets, employment and credit score of the borrower as well
as loan-to-value (LTV). The loans were run through one of the
government-sponsored enterprises' (GSE) automated underwriting
systems (AUS) and received an "Approve" or "Accept" recommendation.
Other loans consist of Jumbo Advantage fixed rate mortgages, which
are loans originated under Flagstar's expanded credit prime loan
program called "Jumbo Advantage". Flagstar's Jumbo Advantage
program is a prime program with credit parameters outside of
Flagstar's traditional prime jumbo program, "Jumbo Fixed." The
Jumbo Advantage program expands the low end of Flagstar's FICO
range to 661 from 700, while increasing the high end of eligible
loan-to-value ratios from 85% to 90%.

The mortgage loans are not subject to the Truth in Lending Act
(TILA) and therefore, are not subject to the ability-to-repay (ATR)
rules, unless they are cash-out loans used for personal use. The
majority of the mortgage loans in FSMT 2019-1INV are not subject to
TILA because each mortgage loan is an extension of credit primarily
for a business or commercial purpose and is not a "covered
transaction" as defined in Section 1026.43(b)(1) of Regulation Z.

The sponsor has represented that none of the mortgage loans (except
for cash-out loans used for personal use) in FSMT 2019-1INV are
subject to the Truth in Lending Act (TILA) or the Ability-To Prepay
(ATR) rules because each mortgage loan is an extension of credit
primarily for a business or commercial purpose and is not a
"covered transaction" as defined in Section 1026.43(b)(1) of
Regulation Z.

As of the cut-off date of October 1, 2019, the $365,569,043.46 pool
consisted of 1,064 mortgage loans secured by first liens on
residential investment properties. The average stated principal
balance is $343,580 and the weighted average (WA) current mortgage
rate is 4.8%. The majority of the loans have a 30-year term, with 3
loans with terms ranging from 20 to 25 years. All of the loans have
a fixed rate. The WA original credit score is 765 and the WA
combined original LTV (CLTV) is 67.2%. The WA original
debt-to-income (DTI) ratio is 35.1%. Approximately, 9.0% of the
borrowers have more than one mortgage loan in the mortgage pool.
The mortgage loans have a WA seasoning of three months.

All of the mortgage loans originated by Flagstar were originated
either directly or indirectly through correspondents.

Almost half of the mortgage loans by loan balance (49.5%) are
backed by properties located in California. The next two largest
geographic concentration of properties are New York and Colorado,
which represents 7.5% and 5.6% by loan balance, respectively. All
other states each represent less than 5% by loan balance.
Approximately 25.9% (by loan balance) of the pool is backed by
properties that are 2-4 unit residential properties whereas loans
backed by single family residential properties represent 43.5% (by
loan balance) of the pool.

Third-party review and representation & warranties

The credit, compliance, property valuation, and data integrity
portion of the third party review (TPR) was conducted on a total of
approximately 70% of the pool (by loan count) random sample of
Flagstar originated loans of 233 loans (21%) and on all of the 513
loans originated by loanDepot (48%). With sampling, there is a risk
that loans with grade C or grade D issues remain in the pool and
that data integrity issues were not corrected prior to
securitization for all of the loans in the pool. Moreover,
vulnerabilities of the R&W framework, such as the financial
condition of the R&W provider, may be amplified due to the TPR
sample. Moody's did not make an adjustment to loss levels to
account for this risk as the sample size meets its credit neutral
criteria, but Moody's made adjustments to loss levels to account
for TPR results.

Although the loan-level R&Ws themselves meet or exceed its baseline
set of R&Ws, Moody's took into account the financial condition of
the R&W provider. Furthermore, a cash-out refinance investor loan
could be subject to TILA and ATR if the borrower uses the cash
proceeds for non-business purposes. This issue is mitigated by the
tests related to TILA, which require the independent reviewer to
test all the loans for TILA compliance. As a result, a breach of
TILA related representations would require the Sponsor to
repurchase the loans if a cash-out refinance loan incurs a TILA or
ATR violation. Moody's made an adjustment to its loss levels to
account for financial condition of the R&W provider.

Servicing arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate. Flagstar will service the mortgage loans. Servicing
compensation is subject to a step-up incentive fee structure. Wells
Fargo Bank, N.A. (Wells Fargo) will be the master servicer.
Flagstar will be responsible for principal and interest advances as
well as servicing advances. The master servicer will be required to
make principal and interest advances if Flagstar is unable to do
so.

Servicing compensation for loans in this transaction is based on a
fee-for-service incentive structure. The fee-for-service incentive
structure includes an initial monthly base fee of $20.5 for all
performing loans and increases according to certain delinquent and
incentive fee schedules. By establishing a base servicing fee for
performing loans that increases with the delinquency of loans, the
fee-for-service structure aligns monetary incentives to the
servicer with the costs of the servicer. The fee-for-service
compensation is reasonable and adequate for this transaction. It
also better aligns the servicer's costs with the deal's performance
and structure. The Class B-6-C (NR) is first in line to absorb any
increase in servicing costs above the base servicing costs.
Delinquency and incentive fees will be deducted from the Class
B-6-C interest payment amount first and could result in interest
shortfall to the certificates depending on the magnitude of the
delinquency and incentive fees.

Trustee and master servicer

The transaction trustee is Wilmington Savings Fund Society, FSB.
The custodian functions will be performed by Wells Fargo Bank, N.A.
The paying agent and cash management functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells
Fargo, as master servicer, is responsible for servicer oversight,
and termination of servicers and for the appointment of successor
servicers. In addition, Wells Fargo is obligated to make servicing
advances if the servicer is unable to do so.

Tail risk & subordination floor

This deal has a shifting-interest structure, with a subordination
floor to protect against losses that occur late in the life of the
pool when relatively few loans remain (tail risk). When the total
senior subordination is less than 1.80% of the original pool
balance, the subordinate bonds do not receive any principal and all
principal is then paid to the senior bonds. In addition, if the
subordinate percentage drops below 11.20% of current pool balance,
the senior distribution amount will include all principal
collections and the subordinate principal distribution amount will
be zero. The subordinate bonds themselves benefit from a floor.
When the total current balance of a given subordinate tranche plus
the aggregate balance of the subordinate tranches that are junior
to it amount to less than 0.75% of the original pool balance, those
tranches do not receive principal distributions. Principal those
tranches would have received are directed to pay more senior
subordinate bonds pro-rata.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35% severity.
Given that FSMT 2019-1INV includes borrowers with more than one
mortgage loan in the pool, Moody's considered in its analysis of
tail risk the combined balance of the loans made to each unique
borrower to determine the largest loans in the pool. The senior
subordination floor of 1.80% and subordinate floor of 0.75% are
consistent with the credit neutral floors for the assigned
ratings.

Transaction structure

The securitization has a shifting interest structure that benefits
from a senior subordination floor and a subordinate floor. Funds
collected, including principal, are first used to make interest
payments and then principal payments on pro rata basis up to the
senior bond's principal distribution amount, and then interest and
principal payments on sequential basis up to each subordinate bond
principal distribution amount. As in all transactions with shifting
interest structures, the senior bonds benefit from a cash flow
waterfall that allocates all prepayments to the senior bond for a
specified period of time, and increasing amounts of prepayments to
the subordinate bonds thereafter, but only if loan performance
satisfies delinquency and loss tests.

The senior support certificates will only receive their pro-rata
share of scheduled principal payments allocated to the senior bonds
for five years, whereas all prepayments allocated to the senior
bonds will be paid to the super senior certificates, leading to a
faster buildup of super senior credit enhancement. After year five,
the senior support bond will receive an increasing share of
prepayments in accordance with the shifting percentage schedule.

All certificates (except Class B-6-C) in this transaction are
subject to a net WAC cap. Class B-6-C will accrue interest at the
net WAC minus the aggregate delinquent servicing and aggregate
incentive servicing fee. For any distribution date, the net WAC
will be the greater of (1) zero and (2) the weighted average net
mortgage rates minus the capped trust expense rate.

Realized losses are allocated reverse sequentially among the
subordinate, starting with most junior, and senior support
certificates and on a pro-rata basis among the super senior
certificates.

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
October 2019.

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.


GMACM HOME 2004-HE2: Moody's Hikes Class M-1 Debt Rating to Ba1
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings of seven tranches
from six transactions, backed by Second Lien loans, issued by
multiple issuers.

Complete rating actions are as follows:

Issuer: CSFB Home Equity Mortgage Trust 2005-HF1

Cl. M-1, Upgraded to Baa2 (sf); previously on May 3, 2018 Upgraded
to Ba1 (sf)

Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2004-C

Notes, Upgraded to Baa2 (sf); previously on Feb 28, 2019 Upgraded
to Ba2 (sf)

Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series
2004-G

Cl. 1-A, Upgraded to A3 (sf); previously on Feb 28, 2019 Upgraded
to Baa1 (sf)

Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-S

Cl. A, Upgraded to Caa1 (sf); previously on Jun 10, 2010 Downgraded
to Caa3 (sf)

Issuer: GMACM Home Equity Loan Trust 2004-HE2

Cl. A-4, Upgraded to Baa2 (sf); previously on Apr 14, 2015 Upgraded
to Ba1 (sf)

Cl. M-1, Upgraded to Ba1 (sf); previously on May 21, 2010
Downgraded to Ba3 (sf)

Issuer: GMACM Home Loan Trust 2006-HLTV1

Cl. A-5, Upgraded to A3 (sf); previously on Feb 28, 2019 Upgraded
to Baa2 (sf)

Underlying Rating: Upgraded to A3 (sf); previously on Feb 28, 2019
Upgraded to Baa2 (sf)

Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)

RATINGS RATIONALE

The rating upgrades are primarily due to improvement in pool
performances and credit enhancement available to the bonds. The
rating actions reflect the recent performance and Moody's updated
loss expectations on the underlying pools.

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in February 2019.

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 3.5% in September 2019 from 3.7% in
September 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.


GS MORTGAGE 2019-PJ3: Moody's Assigns B2 Rating on Cl. B-5 Debt
---------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 15 classes
of residential mortgage-backed securities issued by GS
Mortgage-Backed Securities Trust 2019-PJ3. The ratings range from
Aaa (sf) to B2 (sf).

GSMBS 2019-PJ3 is the third prime jumbo transaction of 2019 issued
by Goldman Sachs Mortgage Company. GSMC is a wholly owned
subsidiary of Goldman Sachs Bank USA and Goldman Sachs. The
certificates are backed by 394 30-year, fully-amortizing fixed-rate
mortgage loans with a total balance of $271,016,060 as of the
October 1, 2019 cut-off date. Government sponsored enterprises
eligible loans (GSE-eligible loans) comprise $110,160,694 of the
pool balance, representing 40.65% of the total pool. All the loans
are subject to the Qualified Mortgage (QM) and Ability-to-Repay
(ATR) rules and are categorized as QM-Safe Harbor or QM-Agency Safe
Harbor.

The mortgage loans for this transaction were acquired by the seller
and sponsor, GSMC, from HomeBridge Financial Services, Inc.
(25.33%), loanDepot.com, LLC (loanDepot) (19.86%) and Caliber Home
Loans, Inc. (13.57%). The remaining originators have less than 10%
by loan balance of the pool.

The weighted average (WA) loan-to-value ratio of the mortgage pool
is 73.08%, which is in line with the previous GSMBS 2019-PJ1 and
GSMBS 2019-PJ2 transaction and also with other prime jumbo J.P.
Morgan Mortgage Trust and Sequoia Mortgage Trust transactions which
had WA LTVs of approximately 70%. Similar to GSMBS PJ1 and PJ2,
JPMMT and SEMT prime jumbo transactions, the borrowers in the pool
have a WA FICO score of 762 and a WA debt-to-income ratio of 36.2%.
The WA mortgage rate of the pool is 4.41%. In addition, 1 loan in
the pool has mortgage insurance. Certain loan characteristics may
differ from the data provided by GSMC because the calculations
reflect its assumptions or adjustments based either on third-party
review results or other information provided.

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service 100% of the pool. The servicing fee for loans serviced by
Shellpoint will be 0.030%. Moody's considers the servicing fee
charged by Shellpoint low compared to the industry standard of
0.25% for prime fixed rate loans and in the event of a servicing
transfer, the successor servicer may not accept such an
arrangement. However, the transaction documents provide that any
successor servicer to Shellpoint will be paid the successor
servicing fee rate of 0.25%, which is not limited to the Shellpoint
servicing fee rate.

Wells Fargo Bank, N.A. will be the master servicer and securities
administrator (rated Aa1 by Moody's). U.S. Bank Trust National
Association will be the trustee. Pentalpha Surveillance LLC will be
the representations and warranties breach reviewer.

Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure that benefits from a
senior and subordination floor.

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2019-PJ3

Cl. A-1, Definitive Rating Assigned Aaa (sf)

Cl. A-2, Definitive Rating Assigned Aaa (sf)

Cl. A-3, Definitive Rating Assigned Aa1 (sf)

Cl. A-4, Definitive Rating Assigned Aa1 (sf)

Cl. A-5, Definitive Rating Assigned Aaa (sf)

Cl. A-6, Definitive Rating Assigned Aaa (sf)

Cl. A-7, Definitive Rating Assigned Aaa (sf)

Cl. A-8, Definitive Rating Assigned Aaa (sf)

Cl. A-9, Definitive Rating Assigned Aaa (sf)

Cl. A-10, Definitive Rating Assigned Aaa (sf)

Cl. B-1, Definitive Rating Assigned Aa2 (sf)

Cl. B-2, Definitive Rating Assigned A2 (sf)

Cl. B-3, Definitive Rating Assigned Baa2 (sf)

Cl. B-4, Definitive Rating Assigned Ba1 (sf)

Cl. B-5, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.69%
and reaches 7.77% at a stress level consistent with its Aaa
ratings.

Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis (MILAN) model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included, but were not limited to,
adjustments for origination quality, third-party review (TPR) scope
and results, and the financial strength of the representation &
warranty (R&W) provider.

Moody's published an updated methodology for rating and monitoring
US RMBS backed by government-sponsored enterprises (GSEs) and
private label prime first-lien mortgage loans originated during or
after 2009, "Moody's Approach to Rating US RMBS Using the MILAN
Framework" published on October 30, 2019 which replaces the
methodology titled "Moody's Approach to Rating US Prime RMBS"
published on November 15, 2018. The application of this updated
methodology resulted in a higher expected loss in a baseline
scenario and stress level consistent with its Aaa scenario but did
not lead to a change in ratings from the provisional ratings.

Collateral Description

GSMBS 2019-PJ3 is a securitization of a pool of 394 30-year
fully-amortizing fixed-rate mortgage loans with a total balance of
$271,016,060 as of the cut-off date, with a WA remaining term to
maturity of 356 months and a WA seasoning of 4 months. The WA
current FICO score of the borrowers in the pool is 762. The WA LTV
ratio of the mortgage pool is 73.08%, which is in line with GSMBS
PJ1 and PJ2, JPMMT and SEMT prime jumbo transactions which had WA
LTVs of about 70% on average. Other characteristics of the loans in
the pool are also generally comparable to that of GSMBS PJ1 and
PJ2, recent JPMMT and SEMT prime jumbo transactions. The mortgage
loans in the pool were originated mostly in California (47.36% by
loan balance). In addition, 1 loan in the pool has mortgage
insurance.

Aggregator/Origination Quality

GSMC is the loan aggregator and mortgage seller for the
transaction. GSMC is overseen by the mortgage capital markets group
within Goldman Sachs. Senior management averages 16 years of
mortgage experience and 15 years of Goldman Sachs tenure. The loans
sold to the trust come from bulk purchases and from unaffiliated
third-party originators.

Moody's considers GSMC's aggregation platform to be relatively
weaker than that of peers due to the lack of sufficient historical
performance and limited quality control process. Nevertheless,
since these loans were originated to the originators' underwriting
guidelines and Moody's reviewed each of the originators which
contributed at least 10% of the loans to the transaction
(HomeBridge, loanDepot and Caliber), among other considerations,
their underwriting guidelines, performance history, policies and
documentation (to the extent available, respectively), Moody's did
not apply a separate loss-level adjustment for aggregation quality.
Instead, Moody's based its loss-level adjustments on its reviews of
each of the originators.

HomeBridge, loanDepot and Caliber originated 25.33%, 19.86% and
13.57%, respectively. The remaining originators have less than 10%
by loan balance of the pool. Furthermore, because Moody's considers
Provident and Caliber to have stronger residential prime jumbo loan
origination practices than their peers due to their strong
underwriting processes and solid loan performance, Moody's
decreased its base case and Aaa loss expectations for
non-conforming loans originated by Provident and Caliber.
Furthermore, because Moody's considers Flagstar, loanDepot and
PenFed adequate originators of prime jumbo loans, Moody's did not
make any adjustments to its base case and Aaa loss expectations for
non-conforming loans originated by these three originators.
Finally, Moody's increased its base case and Aaa loss assumption
for the loans originated by Home Point Financial Corporation (3.48%
by balance) due to limited historical performance data, reduced
retail footprints which limits the originator's oversight on
originations, and lack of strong controls to support recent rapid
growth.

Of note, Moody's did not make an adjustment for GSE-eligible loans,
regardless of the originator, since those loans were underwritten
in accordance with GSE guidelines.

Servicing Arrangement

Shellpoint will be the named primary servicer for this transaction
and will service 100% of the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is located in
Greenville, South Carolina. Shellpoint services residential
mortgage assets for investors that include banks, financial
services companies, GSEs and government agencies.

Shellpoint will be paid a flat servicing fee of 0.030% per annum.
Moody's considers the servicing fee charged by Shellpoint as low
compared to the industry standard of 0.25% for prime fixed rate
loans. In the event of a servicing transfer, the successor servicer
may not accept such an arrangement. However, the transaction
documents provide that any successor servicer to Shellpoint will be
paid the successor servicing fee rate of 0.25%, which is not
limited to the Shellpoint servicing fee rate. The holder of 100% of
the voting interests in the Class A-IO-S certificates will have the
right to terminate Shellpoint and any successor servicer of the
mortgage loans at any time subject to the terms of the servicing
agreement, the consent of the master servicer and certain other
conditions.

Third-party Review

AMC Diligence, LLC (AMC), Clayton Services LLC (Clayton) and
Digital Risk, LLC (Digital Risk), which are third party review
(TPR) firms, verified the accuracy of the loan-level information
that Moody's received from the sponsor. The TPR firms conducted
detailed credit, regulatory compliance, property valuation and data
integrity reviews on 100% of the mortgage pool. The TPR results
indicated compliance with the originators' underwriting guidelines
for the vast majority of loans, no material compliance issues and
no material appraisal defects. The loans that had exceptions to the
originators' underwriting guidelines had strong documented
compensating factors such as significant liquid assets, low LTVs
and consistent long-term employment. The TPR firms also identified
minor compliance exceptions for reasons such as inadequate RESPA
disclosures (which do not have assignee liability) and TILA/RESPA
Integrated Disclosure (TRID) violations related to fees that were
out of variance but then were cured and disclosed. Moody's did not
make any adjustments to its expected or Aaa loss levels due to the
TPR results.

Representations & Warranties

GSMBS 2019-PJ3's R&W framework is in line with that of recent GSMBS
PJ1 and PJ2 and JPMMT transactions where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Its review of the R&W framework takes into
account the financial strength of the R&W providers, scope of R&Ws
(including qualifiers and sunsets) and enforcement mechanisms.

Pursuant to the related purchase agreement, each of the originators
in this pool will make certain R&Ws concerning the mortgage loans
(R&W providers). The R&W providers vary in financial strength. The
creditworthiness of the R&W provider determines the probability
that the R&W provider will be available and have the financial
strength to repurchase defective loans upon identifying a breach.
Because the R&W providers in this transaction are unrated and/or
exhibit limited financial flexibility Moody's applied an adjustment
to the loans for which these entities provided R&Ws. With respect
to certain R&Ws made by these originators, GSMC will make a "gap"
representation covering the period from the date on which the
related originator made the related representation and warranty to
the cut-off date or closing date, as applicable. GSMC will not
backstop any R&W providers who may become financially incapable of
repurchasing mortgage loans. In fact, none of the mortgage loan
seller, the depositor, the servicer or any other party will
backstop the obligations of any originator or aggregator with
respect to breaches of the mortgage loan representations and
warranties.

The loan-level R&Ws are strong and, in general, either meet or
exceed the baseline set of credit-neutral R&Ws Moody's identified
for US RMBS. Among other considerations, the R&Ws address property
valuation, underwriting, fraud, data accuracy, regulatory
compliance, the presence of title and hazard insurance, the absence
of material property damage, and the enforceability of the
mortgage. The transaction has a number of knowledge qualifiers,
which do not appear material. While a few R&Ws sunset after three
years, all of these provisions are subject to performance triggers
which extend the R&W an additional three years based on the
occurrence of certain events of delinquency.

The R&W enforcement mechanisms are adequate. Moody's analyzed the
triggers for breach review, the scope of the review, the
consistency and transparency of the review, and the likelihood that
a breached R&W would be put back to the R&W provider. The breach
review is systematic, transparent, consistent and independent. The
transaction documents prescribe a comprehensive set of tests that
the reviewer will perform to test whether the R&Ws are breached.
The tests, for the most part, are thorough, transparent and
consistent because the same tests will be performed for each loan
and the reviewer will report the results.

In accordance with the representations and warranties review
procedures undertaken by the breach reviewer, if the breach
reviewer determines that there has been a material test failure of
a test in respect of a representation and warranty, a repurchase
request will be made of the related responsible party. In such
case, the related responsible party may (1) dispute the repurchase
request, (2) cure the breach, (3) repurchase the affected mortgage
loan from the issuing entity or pay the loss amount with respect to
such affected mortgage loan, as applicable, or (4) in some
circumstances, substitute another mortgage loan. Overall, this
remedy mechanism is consistent with GSMBS 2019-PJ2, JPMMT and SEMT
prime jumbo transactions. Because third-party review was conducted
on 100% of the pool with adequate results, this mitigates the risk
of future R&W violations.

Trustee and Master Servicer

The transaction trustee is U.S. Bank Trust National Association
(U.S. Bank Trust). U.S. Bank Trust is a national banking
association and a wholly owned subsidiary of U.S. Bank National
Association, the fifth largest commercial bank in the United
States. U.S. Bank Trust has provided owner trustee services since
the year 2000.

Wells Fargo will act as master servicer and securities
administrator under the sale and servicing agreement and as
custodian under the custodial agreement. Wells Fargo is a national
banking association and a wholly-owned subsidiary of Wells Fargo &
Company. A diversified financial services company, Wells Fargo &
Company is a U.S. bank holding company with approximately $1.9
trillion in assets and approximately 263,000 employees as of June
30, 2019. As master servicer, Wells Fargo is responsible for
servicer oversight, the termination of servicers and the
appointment of successor servicers. Moody's considers the presence
of an experienced master servicer such as Wells Fargo to be a
mitigant for any servicing disruptions. Wells Fargo is committed to
act as successor servicer if no other successor servicer can be
engaged.

Tail Risk and Locked Out Percentage

The securitization is a single pool which has a shifting interest
structure that benefits from a senior subordination floor and a
subordinate floor. For deals in which the issuer does not exercise
a clean-up call option, the remaining subordination at the tail end
of transaction's life could become insufficient to support high
ratings on senior bonds as tranche performance depends highly on
the performance of a small number of loans. To address this risk,
the transaction has a senior floor of 2.35% and a locked out
percentage of 1.60%, both expressed as a percentage of the closing
pool balance. The subordinate locked out amount protects both the
senior tranches and non-locked subordinate tranches. It diverts
allocable principal payments from locked out subordinate tranches
to the non-locked subordinate tranches. Of note, other than the
Class B1, a subordinate tranche is locked out if its outstanding
balance plus the outstanding balance of all classes subordinate to
it. Class B1 will not be subject to the locked out amount. If the
Class B1 is paid to zero and the aggregate amount of outstanding
subordinate tranches is equal to or less than the locked out
amount, than the allocable principal payments from all subordinate
tranches are diverted to pay senior tranches until they are paid
off.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35% severity.
The senior subordination floor of 2.35% and subordinate floor of
1.60% are consistent with the credit neutral floors for the
assigned ratings.

Transaction Structure

The transaction uses the shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero, i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds is based on the net
WAC as reduced by the sum of (i) the reviewer annual fee rate and
(ii) the capped trust expense rate. In the event that there is a
small number of loans remaining, the last outstanding bonds' rate
can be reduced to zero.

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 of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework " published in
October 2019.


HALCYON LOAN 2014-2: Moody's Lowers Rating on Cl. D Notes to B3
---------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Halcyon Loan Advisors Funding 2014-2 Ltd.:

US$27,500,000 Class D Senior Secured Deferrable Floating Rate Notes
Due April 2025, Downgraded to B3 (sf); previously on December 5,
2018 Affirmed Ba3 (sf)

Halcyon Loan Advisors Funding 2014-2 Ltd., issued in April 2014 and
partially refinanced in April 2017, is a collateralized loan
obligation backed primarily by a portfolio of senior secured loans.
The transaction's reinvestment period ended in April 2018.

RATING RATIONALE

The downgrade rating action on the Class D notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's October 2019 report, the over-collateralization (OC)
ratio for the Class D notes is reported at 99.96% versus June 2019
level of 103.71%. Furthermore, the trustee-reported weighted
average rating factor has been deteriorating and the current level
is 3056, compared to 2886 in June 2019.

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,
WARF, diversity score and the weighted average recovery rate, are
based on its published methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
collateral pool as having a performing par and principal proceeds
balance of $223.8 million, defaulted par of $27.0 million, a
weighted average default probability of 18.05% (implying a WARF of
2922), a weighted average recovery rate upon default of 47.75%, a
diversity score of 45 and a weighted average spread of 3.67%.

Methodology Underlying the Rating Action:

The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

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 CLO manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.



HORIZON AIRCRAFT III: Fitch Assigns BBsf Rating on Class C Notes
----------------------------------------------------------------
Fitch Ratings assigned ratings and Outlooks to Horizon Aircraft
Finance III Limited notes.

RATING ACTIONS

Horizon Aircraft Finance III Limited

Class A; LT Asf New Rating;   previously at A(EXP)sf

Class B; LT BBBsf New Rating; previously at BBB(EXP)sf

Class C; LT BBsf New Rating;  previously at BB(EXP)sf

TRANSACTION SUMMARY

The notes will be issued by Horizon Aircraft Finance III Limited
(Horizon III Cayman), a Cayman Islands limited company with tax
residency in Ireland, which will co-issue the notes with Horizon
Aircraft Finance III LLC (Horizon III USA) (collectively Horizon
III). Horizon III USA is a special purpose Delaware LLC and wholly
owned subsidiary of Horizon III Cayman. Horizon III expects to use
the rated note and equity proceeds to acquire the initial 18
aircraft, fund the maintenance reserve account (MRA), security
deposit and series C reserve accounts, pay certain expenses and
fund the expense account.

The pool will be serviced by BBAM US LP (BBAM US; U.S. servicer)
and BBAM Aviation Services Limited (Irish servicer; collectively
the Servicers), both wholly owned subsidiaries of BBAM LP (BBAM;
not rated [NR] by Fitch), with the notes secured by each aircraft's
future lease and residual cash flows. This is the fourth
Fitch-rated aircraft ABS serviced by BBAM, and the company has
serviced four prior aircraft ABS (BBAIR NR by Fitch; ECAF I,
Horizon I and Horizon II rated by Fitch). BBAM is one of the
largest aircraft servicing and management companies in the world.

KEY RATING DRIVERS

Strong Collateral Quality - 100% Liquid Narrowbody (NB) Aircraft:
The pool consists solely of 18 narrowbody (NB), Tier 1 aircraft
including 11 B737-800 (58.1%) and seven A320-200 (41.9%). The WA
age is 8.4 years, similar to Horizon II and recent transactions.

Lease Term/Maturity Schedule - Positive: The WA original lease term
is 9.9 years with 5.1 years remaining. This is a credit positive as
longer lease terms give more certainty to the cash flows, and
aircraft coming off leases will be subject to remarketing costs and
downtime. 54.8% of the leases mature in 2020-2023, with three
leases (13.6%) maturing in 2020, risks that Fitch took into account
when applying asset assumptions and stresses.

Lessee Credit Risk - Diverse/Weaker Credits: There are 15 airline
lessees with a significant amount of unrated/speculative-grade
airlines, typical of aircraft ABS. The pool is diverse with the top
three totaling 36.1% and 24.2% flag-carriers. Fitch assumed unrated
lessees would perform consistently with a 'B' or lower Issuer
Default Rating (IDR) to accurately reflect the default risk in the
pool. Lessee ratings were further stressed during assumed future
recessions and as aircraft reach Tier 3 classification. The
concentration of assumed 'CCC' or lower lessees total 44.5%,
consistent with Horzion II and on the higher end of recent ABS
transactions.

Operational and Servicing Risk - Adequate Servicing Capability:
BBAM was founded in 1989 and is a very experienced/tenured aircraft
servicer/manager. Fitch believes BBAM is a capable servicer as
evidenced by its experienced team, the servicing of their managed
fleet and prior serviced/managed securitizations. Horizon Aircraft
Manager III Co., Ltd. (Asset Manager), a wholly owned subsidiary of
BBAM and affiliate of the Servicers, will be the Asset Manager,
which Fitch views positively.

Transaction Structure - Consistent: Credit enhancement (CE)
comprises overcollateralization (OC), a liquidity facility and a
cash reserve. The initial loan to value (LTV) ratios for the class
A, B and C notes are 67.0%, 78.9% and 86.0%, respectively, slightly
higher than Horizon II and based on the average of
maintenance-adjusted base value. Structural features include DSCR
trigger, utilization thresholds, concentration limits and tiered
disposition limits, consistent with recent aircraft ABS
transactions.

Aviation Market Cyclicality: Commercial aviation has been subject
to significant cyclicality due to macroeconomic and geopolitical
events. Fitch's analysis assumes multiple periods of significant
volatility over the life of the transaction.

Asset Value and Lease Rate Volatility: Downturns are typically
marked by reduced aircraft utilization rates, values and lease
rates, as well as deteriorating lessee credit quality. Fitch
employs aircraft value stresses in its analysis, which takes into
account age and marketability to simulate the decline in lease
rates expected over the course of an aviation market downturn, and
the decrease to potential residual sales proceeds.

Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings
to a maximum cap of 'Asf' due to the factors, and the potential
volatility they produce.

RATING SENSITIVITIES

The performance of aircraft ABS can be affected by various factors,
which, in turn, could have an impact on the assigned ratings. Fitch
conducted multiple rating sensitivity analyses to evaluate the
impact of changes to a number of the variables in the analysis.
These sensitivity scenarios were also considered in determining
Fitch's recommended ratings.

LRF Stress Scenario

Increased competition, largely from newly established APAC lessors,
has contributed to declining lease rates in the aircraft leasing
market over the past few years. Additionally, certain variants have
been more prone to declines in values and lease rates due to
oversupply issues. For current aircraft fleet, this may be
exacerbated in the coming years due to the introduction of
replacement technology. Reflecting the LRFs represented in the
Horizon III pool as discussed earlier, Fitch performed a
sensitivity analysis assuming that LRFs would plateau after 11
years of age. Per Fitch's criteria LRF curve, this results in no
lease being executed at a LRF greater than 1.13%.

Under this scenario, total lifetime net cash flow declined by 7%
and expenses remained flat relative to the primary runs. This
scenario is more taxing in the latter stages of the transaction's
life as aircraft are assumed to not receive increasing LRFs as they
age into mid- and end-of-life status. Across the rating scenarios,
gross lease cash flow collected decreases approximately $37
million-$43 million.

Despite the declines, the increased stress is only like to cause a
downgrade to the series A notes, as the other series remain able to
pay in full by legal final maturity at their respective rating
stress levels. Series A may be downgraded by up to one rating
category.

Obligor Stress Scenario

Airlines across the globe are generally viewed as speculative
grade. While Fitch gives credit to available ratings of the initial
lessees in the pool, assumptions must be made for the unrated
lessees in the pool as well as all future unknown lessees. While
Fitch typically utilizes a 'B' assumption for most unrated lessees,
with some assumed to be 'CCC', Fitch evaluated a scenario in which
all current unrated airlines and all future airlines were assumed
to carry a 'CCC' rating and decline to 'CC' during recessionary
periods.

This scenario mimics a recessionary environment in which airlines
become susceptible to increased likelihood of default. This would
subject the aircraft in the pool to increased downtime and
expenses, as repossession and remarketing events would increase.

Under this scenario, total lifetime net cash flow declined by
12%-18% and expenses increased by approximately $17 million-$22
million from Fitch's primary scenarios. Under this level of stress,
both the series A and series C may be downgraded by up to one
rating category each.

Technological Obsolescence Stress Scenario

All aircraft in the pool face replacement programs over the next
decade, particularly the A320ceo and B737 NG aircraft in the form
of A320neo and B737 MAX aircraft. Deliveries of these models have
begun and will be increasing in the coming years. While commercial
flights have not yet begun, the first A330neo has been delivered.
If received well, the increase in future deliveries could affect
the existing A330 fleet.

Certain appraisers have started to adjust market values (MV) in
response to this replacement risk; the majority of the pool's
market value appraisals are slightly lower than half-life base
values (HL BV). Fitch believes current generation aircraft are well
insulated due to large operator bases and the long lead time for
full replacement, particularly when considering conservative
retirement ages and aggressive production schedules for Airbus and
Boeing new technology.

However, Fitch believes a sensitivity scenario is warranted to
address these risks. Therefore, Fitch utilized a scenario in which
demand, and thus values, of existing aircraft would fall
significantly due to the replacement technology. The first
recession was assumed to occur two years following close and all
recessionary value decline stresses were increased 10% at each
rating category. Fitch additionally utilized a 25% residual
assumption rather than the base level of 50% to stress end-of-life
proceeds for each asset in the pool. Lease rates drop fairly
significantly under this scenario, and aircraft are essentially
sold for scrap at the end of their useful lives.

Under this scenario, total lifetime net cash flow declined by
9%-11% and expected sales proceeds were less than half of amounts
under Fitch's primary runs. This scenario is more severe than the
others, resulting in two-category downgrades of series A and B, and
a one category downgrade of series C.


JP MORGAN 2019-8: Moody's Assigns B3 Rating on 2 Tranches
---------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 34 classes
of residential mortgage-backed securities issued by J.P. Morgan
Mortgage Trust 2019-8. The ratings range from Aaa (sf) to B3 (sf).

The certificates are backed by 872 30-year, fully-amortizing
fixed-rate mortgage loans with a total balance of $638,226,330 as
of the October 1, 2019 cut-off date. Similar to prior JPMMT
transactions, JPMMT 2019-8 includes agency-eligible mortgage loans
(11.4% by loan balance) underwritten to the government sponsored
enterprises guidelines in addition to prime jumbo non-agency
eligible mortgages purchased by J.P. Morgan Mortgage Acquisition
Corp., the sponsor and mortgage loan seller, from various
originators and aggregators. United Shore Financial Services, LLC
d/b/a United Wholesale Mortgage and Shore Mortgage originated
approximately 79% of the mortgage pool by balance. All other
originators accounted for less than 10% of the pool by balance.
With respect to the mortgage loans, each originator or the
aggregator, as applicable, made a representation and warranty that
the mortgage loan constitutes a qualified mortgage (QM) under the
qualified mortgage rule.

The primary servicers for majority of the pool are JPMorgan Chase
Bank, N.A. and United Shore. JPMCB will ultimately be the servicer
for majority of the pool (57.5% by balance) and United Shore will
account for 35.7% by balance. Shellpoint Mortgage Servicing will
act as interim servicer for the JPMorgan Chase Bank, N.A. mortgage
loans until the servicing transfer date, which is expected to occur
on or about December 1, 2019, but may occur on a later date as
determined by the issuing entity. After the servicing transfer
date, these mortgage loans will be serviced by JPMCB. The servicing
fee for loans serviced by United Shore and JPMCB will be based on a
step-up incentive fee structure with a monthly base fee of $40 per
loan and additional fees for delinquent or defaulted loans
(variable fee framework). All other servicers will be paid a
monthly flat servicing fee equal to one-twelfth of 0.25% of the
remaining principal balance of the mortgage loans (fixed fee
framework). Nationstar Mortgage LLC d/b/a Mr. Cooper Group Inc will
be the master servicer and Citibank, National Association
(Citibank) will be the securities administrator and Delaware
trustee. Pentalpha Surveillance LLC will be the representations and
warranties breach reviewer. Distributions of principal and interest
and loss allocations are based on a typical shifting interest
structure that benefits from senior and subordination floors.

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2019-8

Cl. A-1, Definitive Rating Assigned Aaa (sf)

Cl. A-2, Definitive Rating Assigned Aaa (sf)

Cl. A-3, Definitive Rating Assigned Aaa (sf)

Cl. A-3-A, Definitive Rating Assigned Aaa (sf)

Cl. A-4, Definitive Rating Assigned Aaa (sf)

Cl. A-4-A, Definitive Rating Assigned Aaa (sf)

Cl. A-5, Definitive Rating Assigned Aaa (sf)

Cl. A-5-A, Definitive Rating Assigned Aaa (sf)

Cl. A-6, Definitive Rating Assigned Aaa (sf)

Cl. A-6-A, Definitive Rating Assigned Aaa (sf)

Cl. A-7, Definitive Rating Assigned Aaa (sf)

Cl. A-7-A, Definitive Rating Assigned Aaa (sf)

Cl. A-8, Definitive Rating Assigned Aaa (sf)

Cl. A-8-A, Definitive Rating Assigned Aaa (sf)

Cl. A-9, Definitive Rating Assigned Aaa (sf)

Cl. A-9-A, Definitive Rating Assigned Aaa (sf)

Cl. A-10, Definitive Rating Assigned Aaa (sf)

Cl. A-10-A, Definitive Rating Assigned Aaa (sf)

Cl. A-11, Definitive Rating Assigned Aaa (sf)

Cl. A-12, Definitive Rating Assigned Aaa (sf)

Cl. A-13, Definitive Rating Assigned Aaa (sf)

Cl. A-14, Definitive Rating Assigned Aa2 (sf)

Cl. A-15, Definitive Rating Assigned Aa2 (sf)

Cl. A-16, Definitive Rating Assigned Aaa (sf)

Cl. A-17, Definitive Rating Assigned Aaa (sf)

Cl. B-1, Definitive Rating Assigned A1 (sf)

Cl. B-1-A, Definitive Rating Assigned A1 (sf)

Cl. B-2, Definitive Rating Assigned A3 (sf)

Cl. B-2-A, Definitive Rating Assigned A3 (sf)

Cl. B-3, Definitive Rating Assigned Baa3 (sf)

Cl. B-3-A, Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Definitive Rating Assigned B3 (sf)

Cl. B-5-Y, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected cumulative net loss on the aggregate pool is 0.61%
in a base scenario and reaches 6.05% at a stress level consistent
with the Aaa ratings.

Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis model based on the loan-level collateral
information as of the cut-off date. Loan-level adjustments to the
model results included, but were not limited to, adjustments for
origination quality, third-party review scope and results, and the
financial strength of the representation & warranty (R&W)
provider.

Moody's published an updated methodology for rating and monitoring
US RMBS backed by government-sponsored enterprises and private
label prime first-lien mortgage loans originated during or after
2009, "Moody's Approach to Rating US RMBS Using the MILAN
Framework" published on October 30, 2019, which replaces the
methodology titled "Moody's Approach to Rating US Prime RMBS"
published on November 15, 2018. Changes in its expected cumulative
net loss are reflective of the updated methodology where Moody's
took into consideration the credit quality of the mortgage loans,
the structural features of the transaction, the origination
quality, the servicing arrangement, the strength of the third-party
due diligence and the R&W framework of the transaction.

Collateral Description

JPMMT 2019-8 is a securitization of a pool of 872 30-year,
fully-amortizing fixed-rate mortgage loans with a total balance of
$638,226,330 as of the cut-off date, with a weighted average (WA)
remaining term to maturity of 360 months, and a WA seasoning of 3.4
months. The WA current FICO score is 773 and the WA original
combined loan-to-value ratio (CLTV) is 72.0%. The characteristics
of the loans underlying the pool are generally comparable to those
of other JPMMT transactions backed by prime mortgage loans that
Moody's has rated.

Aggregation/Origination Quality

Moody's considers JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC as an
aggregator, Moody's has also reviewed the originators contributing
a significant percentage of the collateral pool (above 10%). For
these originators, Moody's reviewed their underwriting guidelines
and their policies and documentation (where available). Moody's
increased its base case and Aaa loss expectations for certain
originators of non-conforming loans where Moody's does not have
clear insight into the underwriting practices, quality control and
credit risk management. Moody's did not make an adjustment for
GSE-eligible loans, regardless of the originator, since those loans
were underwritten in accordance with GSE guidelines.

United Shore (originator): Loans originated by United Shore have
been included in several prime jumbo securitizations that Moody's
has rated. United Shore originated approximately 79% of the
mortgage loans by pool balance (compared with about 11% by pool
balance in JPMMT 2018-9, an exposure by pool balance which has been
steadily increasing over the past year). The majority of these
loans were originated under United Shore's High Balance Nationwide
program which are processed using the Desktop Underwriter (DU)
automated underwriting system, and are therefore underwritten to
Fannie Mae guidelines. The loans receive a DU Approve Ineligible
feedback due to the loan amount only. Moody's made a negative
origination adjustment (i.e. Moody's increased its loss
expectations) for United Shore's loans due mostly to 1) the lack of
statistically significant program specific loan performance data
and 2) the fact that United Shore's High Balance Nationwide program
is unique and fairly new and no performance history has been
provided to Moody's on these loans. Under this program, the
origination criteria rely on the use of GSE tools (DU/LP) for
prime-jumbo non-conforming loans, subject to Qualified Mortgage
(QM) overlays. More time is needed to assess United Shore's ability
to consistently produce high-quality prime jumbo residential
mortgage loans under this program.

Servicing Arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. However,
the servicers may perform their servicing obligations through
sub-servicers. In this transaction, Nationstar Mortgage LLC (rated
B2) will act as the master servicer. The servicers are required to
advance principal and interest on the mortgage loans. To the extent
that the servicers are unable to do so, the master servicer will be
obligated to make such advances. In the event that the master
servicer, Nationstar, is unable to make such advances, the
securities administrator, Citibank (rated Aa3) will be obligated to
do so to the extent such advance is determined by the securities
administrator to be recoverable.

Servicing Fee Framework

The servicing fee for loans serviced by United Shore and JPMCB will
be based on a step-up incentive fee structure with a monthly base
fee of $40 per loan and additional fees for servicing delinquent
and defaulted loans. The other servicers will be paid a monthly
flat servicing fee equal to one-twelfth of 0.25% of the remaining
principal balance of the mortgage loans. Shellpoint will act as
interim servicer for the JPMCB mortgage loans until the servicing
transfer date, December 1, 2019 or such later date as determined by
the issuing entity and JPMCB.

The servicing fee framework is comparable to other recent JPMMT
transactions backed by prime mortgage loans that Moody's has rated.
However, while this fee structure is common in non-performing
mortgage securitizations, it is relatively new to rated prime
mortgage securitizations which typically incorporate a flat 25
basis point servicing fee rate structure. By establishing a base
servicing fee for performing loans that increases with the
delinquency of loans, the fee-for-service structure aligns monetary
incentives to the servicer with the costs of the servicer. The
servicer receives higher fees for labor-intensive activities that
are associated with servicing delinquent loans, including loss
mitigation, than they receive for servicing a performing loan,
which is less labor-intensive. The fee-for-service compensation is
reasonable and adequate for this transaction because it better
aligns the servicer's costs with the deal's performance.
Furthermore, higher fees for the more labor-intensive tasks make
the transfer of these loans to another servicer easier, should that
become necessary. By contrast, in typical RMBS transactions a
servicer can take actions, such as modifications and prolonged
workouts, that increase the value of its mortgage servicing
rights.

The incentive structure includes an initial monthly base servicing
fee of $40 for all performing loans and increases according to a
pre-determined delinquent and incentive servicing fee schedule. The
transaction does not have a servicing fee cap, so, in the event of
a servicer replacement, any increase in the base servicing fee
beyond the current fee will be paid out of the available
distribution amount.

Third-Party Review

Five third party review firms, AMC Diligence, LLC (AMC), Clayton
Services LLC (Clayton), Inglet Blair, Digital Risk and Opus Capital
Markets Consultants, LLC (Opus) (collectively, TPR firms) verified
the accuracy of the loan-level information that Moody's received
from the sponsor. These firms conducted detailed credit, valuation,
regulatory compliance and data integrity reviews on 100% of the
mortgage pool. The TPR results indicated compliance with the
originators' underwriting guidelines for majority of loans, no
material compliance issues, and no appraisal defects. Overall, the
loans that had exceptions to the originators' underwriting
guidelines had strong documented compensating factors such as low
DTIs, low LTVs, high reserves, high FICOs, or clean payment
histories. The TPR firms also identified minor compliance
exceptions for reasons such as inadequate RESPA disclosures (which
do not have assignee liability) and TILA/RESPA Integrated
Disclosure (TRID) violations related to fees that were out of
variance but then were cured and disclosed.

The property valuation review consisted of reviewing the valuation
materials utilized at origination to ensure the appraisal report
was complete and in conformity with the underwriting guidelines.
The TPR firms also reviewed each loan to determine whether a
third-party valuation product was required and if required, that
the third-party product value was compared to the original
appraised value to identify a value variance. In some cases, if a
variance of more than 10% was noted, the TPR firms ensured any
required secondary valuation product was ordered and reviewed. The
property valuation portion of the TPR was conducted using, among
other methods, a field review, a third-party collateral desk
appraisal (CDA), broker price opinion (BPO), automated valuation
model (AVM) or a Collateral Underwriter (CU) risk score. In some
cases, a CDA, BPO or AVM was not provided because these loans were
originated under United Shore's High Balance Nationwide program
(i.e. non-conforming loans underwritten using Fannie Mae's Desktop
Underwriter Program) and had a CU risk score less than or equal to
2.5. Moody's considers the use of CU risk score for non-conforming
loans to be credit negative due to (1) the lack of human
intervention which increases the likelihood of missing emerging
risk trends, (2) the limited track record of the software and
limited transparency into the model and (3) GSE focus on non-jumbo
loans which may lower reliability on jumbo loan appraisals. Moody's
applied an adjustment to the loss for such loans since the
statistically significant sample size and valuation results of the
loans that were reviewed using a CDA or a field review (which
Moody's considers to be a more accurate third-party valuation
product) were insufficient.

In addition, there were loans for which the original appraisal was
evaluated using only AVMs. Moody's believes that utilizing only
AVMs as a comparison to verify the original appraisals is much
weaker and less accurate than utilizing CDAs for the entire pool.
Moody's took this framework into consideration and applied an
adjustment to its expected or Aaa loss levels for such loans.

R&W Framework

JPMMT 2019-8's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance. Its
review of the R&W framework considers the financial strength of the
R&W providers, scope of R&Ws (including qualifiers and sunsets) and
enforcement mechanisms. The R&W providers vary in financial
strength. The creditworthiness of the R&W provider determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment grade rated R&W provider lends substantial
strength to its R&Ws. Moody's analyzes the impact of less
creditworthy R&W providers case by case, in conjunction with other
aspects of the transaction.

Moody's made no adjustments to the loans for which JPMCB (Aa2), its
affiliate, JPMMAC and USAA Federal Savings Bank (a subsidiary of
USAA Capital Corporation, rated Aa1) provided R&Ws since they are
highly rated and/or financially stable entities. In contrast, the
rest of the R&W providers are unrated and/or financially weaker
entities. Moody's applied an adjustment to the loans for which
these entities provided R&Ws. JPMMAC will make the mortgage loan
representations and warranties with respect to mortgage loans
originated by certain originators (approx. 2.4% by loan balance).
For loans that JPMMAC acquired via the MAXEX Clearing LLC (MaxEx)
platform, MaxEx under the assignment, assumption and recognition
agreement with JPMMAC, will make the R&Ws. The R&Ws provided by
MaxEx to JPMMAC and assigned to the trust are in line with the R&Ws
found in other JPMMT transactions.

No other party will backstop or be responsible for backstopping any
R&W providers who may become financially incapable of repurchasing
mortgage loans. With respect to the mortgage loan R&Ws made by such
originators or the aggregator, as applicable, as of a date prior to
the closing date, JPMMAC will make a "gap" representation covering
the period from the date as of which such R&W is made by such
originator or the aggregator, as applicable, to the cut-off date or
closing date, as applicable. Additionally, no party will be
required to repurchase or substitute any mortgage loan until such
loan has gone through the review process.

Trustee and Master Servicer

The transaction Delaware trustee is Citibank. The custodian's
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Citibank.
Nationstar, as master servicer, is responsible for servicer
oversight, servicer termination and for the appointment of any
successor servicer. In addition, Nationstar is committed to act as
successor if no other successor servicer can be found. The master
servicer is required to advance principal and interest if the
servicer fails to do so. If the master servicer fails to make the
required advance, the securities administrator is obligated to make
such advance.

Tail Risk & Subordination Floor

This deal has a standard shifting interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 1.00% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. The
subordinate bonds benefit from a floor as well. When the total
current balance of a given subordinate tranche plus the aggregate
balance of the subordinate tranches that are junior to it amount to
less than 0.75% of the original pool balance, those tranches that
are junior to it do not receive principal distributions. The
principal those tranches would have received is directed to pay
more senior subordinate bonds pro-rata.

In addition, until the aggregate class principal amount of the
senior certificates (other than the interest only certificates) is
reduced to zero, if on any distribution date, the aggregate
subordinate percentage for such distribution date drops below 6.00%
of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35% severity.
The senior subordination floor of 1.00% and subordinate floor of
0.75% are consistent with the credit neutral floors for the
assigned ratings.

Transaction Structure

The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds (other than the
Class A-R Certificates) is based on the net WAC as reduced by the
sum of (i) the reviewer annual fee rate and (ii) the capped trust
expense rate. In the event that there is a small number of loans
remaining, the last outstanding bonds' rate can be reduced to
zero.

The Class A-11 Certificates will have a pass-through rate that will
vary directly with the rate of one-month LIBOR and the Class A-11-X
Certificates will have a pass-through rate that will vary inversely
with the rate of one-month LIBOR. If the securities administrator
notifies the depositor that it cannot determine one-month LIBOR in
accordance with the methods prescribed in the sale and servicing
agreement and a benchmark transition event has not yet occurred,
one-month LIBOR for such accrual period will be one-month LIBOR as
calculated for the immediately preceding accrual period. Following
the occurrence of a benchmark transition event, a benchmark other
than one-month LIBOR will be selected for purposes of calculating
the pass-through rate on the class A-11 certificates.

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 of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework " published in
October 2019.


JP MORGAN 2019-LTV3: Moody's Assigns B3 Rating on Cl. B-5 Certs
---------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 33 classes
of residential mortgage-backed securities (RMBS) issued by J.P.
Morgan Mortgage Trust 2019-LTV3. The ratings range from Aaa (sf) to
B3 (sf).

The certificates are backed by 675 30-year, fully-amortizing
fixed-rate mortgage loans with a total balance of $426,992,185 as
of the October 1st cut-off date. GSE-eligible loans comprise only
2.06% of the pool balance. All the loans are subject to the
Qualified Mortgage (QM) and Ability-to-Repay rules and are
categorized as either QM-Safe Harbor or QM-Agency Safe Harbor.

JPMMT 2019-LTV3 is the fourth JPMMT transaction with the LTV
designation. The weighted average loan-to-value ratio of the
mortgage pool is approximately 88.4%, which is in line with those
of the other JPMMT LTV transactions, but higher than those of
previous JPMMT transactions which had WA LTVs of about 78.6% on
average. All loans have LTVs of between 80% and 90%, and about
83.7% of the loans by balance have LTVs greater than 85%. None of
the loans in the pool have mortgage insurance. The other credit
characteristics of the loans in the pool are generally comparable
to that of recent JPMMT transactions.

United Shore Financial Services, LLC originated 83.1% of the
mortgage loans by balance. The remaining originators each account
for less than 3.0% of the aggregate principal balance of the loans
in the pool. About 79.5% of the mortgage pool was originated under
United Shore's High Balance Nationwide program, in which, using the
Desktop Underwriter (DU) automated underwriting system, loans are
underwritten to Fannie Mae guidelines with overlays. The loans
receive a DU Approve Ineligible feedback due to the loan amount
exceeding the GSE limit for certain markets.

At closing, NewRez LLC f/k/a New Penn Financial, LLC d/b/a
Shellpoint Mortgage Servicing will service approximately 87.4% of
the pool and United Shore will service 12.6% of the pool. With
respect to the Mortgage Loans serviced by United Shore, either
Cenlar, FSB or Nationstar Mortgage LLC d/b/a Mr. Cooper Group Inc
(Mr. Cooper) will act as the subservicer. A subservicer performs
substantially all of the servicing obligations (other than
advancing obligations) for certain of the mortgage loans under a
subservicing agreement with the related servicer. The servicing fee
for loans serviced by Shellpoint and United Shore will be based on
a step-up incentive fee structure with a $40 base servicing fee and
additional fees for servicing delinquent and defaulted loans.
Shellpoint will be an interim servicer from the closing date until
the servicing transfer date, which is expected to occur on or about
December 1st, 2019 (or such later date as determined by the issuing
entity and JPMCB). After the servicing transfer date, JPMorgan
Chase Bank, N.A. will assume servicing responsibilities for the
mortgage loans previously serviced by Shellpoint.

Nationstar Mortgage LLC will be the master servicer and Citibank,
N.A. will be the securities administrator and Delaware trustee.
Pentalpha Surveillance LLC will be the representations and
warranties breach reviewer. Distributions of principal and interest
and loss allocations are based on a typical shifting interest
structure that benefits from senior and subordination floors.

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2019-LTV3

Cl. A-1, Definitive Rating Assigned Aaa (sf)

Cl. A-2, Definitive Rating Assigned Aaa (sf)

Cl. A-3, Definitive Rating Assigned Aaa (sf)

Cl. A-3-A, Definitive Rating Assigned Aaa (sf)

Cl. A-4, Definitive Rating Assigned Aaa (sf)

Cl. A-4-A, Definitive Rating Assigned Aaa (sf)

Cl. A-5, Definitive Rating Assigned Aaa (sf)

Cl. A-5-A, Definitive Rating Assigned Aaa (sf)

Cl. A-6, Definitive Rating Assigned Aaa (sf)

Cl. A-6-A, Definitive Rating Assigned Aaa (sf)

Cl. A-7, Definitive Rating Assigned Aaa (sf)

Cl. A-7-A, Definitive Rating Assigned Aaa (sf)

Cl. A-8, Definitive Rating Assigned Aaa (sf)

Cl. A-8-A, Definitive Rating Assigned Aaa (sf)

Cl. A-9, Definitive Rating Assigned Aaa (sf)

Cl. A-9-A, Definitive Rating Assigned Aaa (sf)

Cl. A-10, Definitive Rating Assigned Aaa (sf)

Cl. A-10-A, Definitive Rating Assigned Aaa (sf)

Cl. A-11, Definitive Rating Assigned Aaa (sf)

Cl. A-12, Definitive Rating Assigned Aaa (sf)

Cl. A-13, Definitive Rating Assigned Aaa (sf)

Cl. A-14, Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Definitive Rating Assigned Aa1 (sf)

Cl. A-16, Definitive Rating Assigned Aaa (sf)

Cl. A-17, Definitive Rating Assigned Aaa (sf)

Cl. B-1, Definitive Rating Assigned Aa3 (sf)

Cl. B-1-A, Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Definitive Rating Assigned A2 (sf)

Cl. B-2-A, Definitive Rating Assigned A2 (sf)

Cl. B-3, Definitive Rating Assigned Baa3 (sf)

Cl. B-3-A, Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 1.92%
and reaches 13.93% at a stress level consistent with its Aaa
ratings.

Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis (MILAN) model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included, but were not limited to,
adjustments for origination quality, third-party review (TPR) scope
and results, and the financial strength of the representation &
warranty (R&W) provider.

Moody's published an updated methodology for rating and monitoring
US RMBS backed by government-sponsored enterprises (GSEs) and
private label prime first-lien mortgage loans originated during or
after 2009, "Moody's Approach to Rating US RMBS Using the MILAN
Framework" published on October 30, 2019, which replaces the
methodology titled "Moody's Approach to Rating US Prime RMBS"
published on November 15, 2018. The application of this updated
methodology resulted in a higher expected loss in a baseline
scenario and stress level consistent with its Aaa scenario but did
not lead to a change in ratings from the provisional ratings.

Overall Moody's based its definitive ratings on the certificates on
the credit quality of the mortgage loans, the structural features
of the transaction, its evaluation of the origination quality and
servicing arrangement, the strength of the third-party due
diligence and the representations and warranties (R&W) framework of
the transaction.

Aggregation/Origination Quality

Moody's considers J.P. Morgan Mortgage Acquisition Corp.'s
aggregation platform to be adequate and Moody's did not apply a
separate loss-level adjustment for aggregation quality. In addition
to reviewing JPMMAC as an aggregator, Moody's has also reviewed the
originators contributing a significant percentage of the collateral
pool (above 10%). For these originators, Moody's reviewed their
underwriting guidelines and their policies and documentation (where
available). Moody's increased its base case and Aaa loss
expectations for certain originators of non-conforming loans where
Moody's does not have clear insight into the underwriting
practices, quality control and credit risk management. Moody's did
not make an adjustment for GSE-eligible loans, regardless of the
originator, since those loans were underwritten in accordance with
GSE guidelines.

United Shore: Its originator quality analysis generally consists of
a review of the originator's past loan performance, and its
policies and practices, which could affect future loan performance.
While USFS' guidelines are generally in line with its credit
neutral criteria, Moody's considers the origination quality of
United Shore to be relatively weaker than that of peers due to lack
of loan performance information by product type and information
related to United Shore's quality control policies and procedures
with reference to how they evaluate a borrower's ability and
willingness to repay the loan, and assess the collateral value,
particularly with respect to its High Balance Nationwide program.
The loans originated by United Shore were mostly underwritten in
accordance with Fannie Mae guidelines through DU (High Balance
Nationwide program) with overlays and a few were underwritten to
their prime jumbo guidelines. Moody's notes that United Shore
originated loans have been included in several prime jumbo
securitizations that Moody's has rated. Performance of prime jumbo
securitizations to date shows minimal delinquencies and even less
cumulative losses. United Shore's guidelines are generally in line
with its credit neutral criteria. All prime jumbo loans must be
manually underwritten and fully documented, and no streamline
documentation or documentation waivers based on agency AUS
decisions are permitted. United Shore has overlays for loan amount,
income and employment. Underwriting guidelines require adherence to
CFPB rules for ATR.

Servicing arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. However,
the servicers may perform their servicing obligations through
sub-servicers. In this transaction, Nationstar (rated B2) will act
as the master servicer. The servicers are required to advance
principal and interest on the mortgage loans. To the extent that
the servicers are unable to do so, the master servicer will be
obligated to make such advances. In the event that the master
servicer, Nationstar, is unable to make such advances, the
securities administrator, Citibank (rated Aa3) will be obligated to
do so to the extent such advance is determined by the securities
administrator to be recoverable.

JPMCB (servicer): JPMCB, a wholly-owned bank subsidiary of JPMorgan
Chase & Co., is a seasoned servicer with over 20 years of
experience servicing residential mortgage loans and has
demonstrated adequate servicing ability as a primary servicer of
prime residential mortgage loans. JPMCB also is the originator with
respect to the JPMCB serviced mortgage loans and is an affiliate of
the mortgage loan seller, of the depositor and of J.P. Morgan
Securities LLC, an initial purchaser. Third-party mortgage loans
(including those serviced by JPMCB for certain unconsolidated
affiliates of JPMCB) serviced by JPMCB (by aggregate unpaid
principal balance) were $519.6 billion as of December 31, 2018. In
addition to servicing mortgage loans securitized by the depositor,
JPMCB also services mortgage loans that are held in its portfolio
and whole loans that are sold to a variety of investors.

Shellpoint (interim servicer): Shellpoint has demonstrated adequate
servicing ability as a primary servicer of prime residential
mortgage loans. Shellpoint, an approved servicer in good standing
with Ginnie Mae, Fannie Mae and Freddie Mac, has the necessary
processes, staff, technology and overall infrastructure in place to
effectively service the transaction.

Nationstar (master servicer): Nationstar is the master servicer for
the transaction and provides oversight of the servicers. Nationstar
is a mortgage servicer and lender formed in 1994 originally under
the name Nova Credit Corporation that engages in servicing
activities for itself as well as various third parties, primarily
as a "high touch" servicer and originating primarily GSE-eligible
residential mortgage loans. On August 21, 2017 Nationstar Mortgage
became known as Mr. Cooper for its mortgage servicing and
originations operations. Moody's considers Nationstar's master
servicing operation to be above average compared to its peers.
Nationstar has strong reporting and remittance procedures and
strong compliance and monitoring capabilities. The company's senior
management team has on average more than 20 years of industry
experience, which provides a solid base of knowledge and
leadership. Nationstar's oversight encompasses loan administration,
default administration, compliance, and cash management. Nationstar
is an indirectly held, wholly owned subsidiary of Nationstar
Mortgage Holdings Inc. Moody's rates Nationstar at B2.

Collateral Description

JPMMT 2019-LTV3 is a securitization of a pool of 675 30-year,
fully-amortizing fixed-rate mortgage loans with a total balance of
$426,992,185 as of the cut-off date, with a WA remaining term to
maturity of 356 months and a WA seasoning of 4 months. The WA
current FICO score of the borrowers in the pool is 758. The WA LTV
ratio of the mortgage pool is 88.4%, which is in line with those of
the other JPMMT LTV transactions, but higher than those of previous
JPMMT transactions which had WA LTVs of about 78.6% on average. All
loans have LTVs of between 75% and 90%, and about 83.7% of the
loans by balance have LTVs greater than 85%. None of the loans in
the pool have mortgage insurance. The WA mortgage rate of the pool
is 4.7%. The mortgage loans in the pool were originated mostly in
California (28.4% by loan balance).

United Shore originated 83.1% of the mortgage loans by balance. The
remaining originators each account for less than 3.0% of the
aggregate principal balance of the loans in the pool. About 79.5%
of the mortgage pool was originated under United Shore's High
Balance Nationwide program, in which, using the Desktop Underwriter
(DU) automated underwriting system, loans are underwritten to
Fannie Mae guidelines with overlays. The loans receive a DU Approve
Ineligible feedback due to the loan amount exceeding the GSE limit
for certain markets.

Servicing Fee Framework

The servicing fee will be based on a step-up incentive fee
structure with a monthly base fee of $40 per loan and additional
fees for servicing delinquent and defaulted loans. Shellpoint will
act as interim servicer for the JPMCB mortgage loans until the
servicing transfer date.

The servicing fee framework is comparable to other recent JPMMT
transactions backed by prime mortgage loans that Moody's has rated.
However, while this fee structure is common in non-performing
mortgage securitizations, it is relatively new to rated prime
mortgage securitizations which typically incorporate a flat 25
basis point servicing fee rate structure. By establishing a base
servicing fee for performing loans that increases with the
delinquency of loans, the fee-for-service structure aligns monetary
incentives to the servicer with the costs of the servicer. The
servicer receives higher fees for labor-intensive activities that
are associated with servicing delinquent loans, including loss
mitigation, than they receive for servicing a performing loan,
which is less labor-intensive. The fee-for-service compensation is
reasonable and adequate for this transaction because it better
aligns the servicer's costs with the deal's performance.
Furthermore, higher fees for the more labor-intensive tasks make
the transfer of these loans to another servicer easier, should that
become necessary. By contrast, in typical RMBS transactions a
servicer can take actions, such as modifications and prolonged
workouts, that increase the value of its mortgage servicing
rights.

The incentive structure includes an initial monthly base servicing
fee of $40 for all performing loans and increases according to a
pre-determined delinquent and incentive servicing fee schedule. The
delinquent and incentive servicing fees will be deducted from the
available distribution amount and Class B-6 net WAC. The Class B-6
is first in line to absorb any increase in servicing costs above
the base servicing fee. Once the Class B-6 is written off, the
Class B-5 will absorb any increase in servicing costs. The
transaction does not have a servicing fee cap, so, in the event of
a servicer replacement, any increase in the base servicing fee
beyond the current fee will be paid out of the available
distribution amount.

Third-party Review

Three third-party review (TPR) firms verified the accuracy of the
loan-level information that Moody's received from the sponsor.
These firms conducted detailed credit, regulatory compliance,
property valuation and data integrity reviews on 100% of the
mortgage pool.

The TPR results indicated compliance with the originators'
underwriting guidelines for the majority of loans, no material
compliance issues, and no appraisal defects. The loans that had
exceptions to the originators' underwriting guidelines had strong
documented compensating factors such as low DTIs, low LTVs, high
reserves, high FICOs, or clean payment histories. The TPR firms
also identified minor compliance exceptions for reasons such as
inadequate RESPA disclosures (which do not have assignee liability)
and TILA/RESPA Integrated Disclosure (TRID) violations related to
fees that were out of variance but then were cured and disclosed.
Besides the adjustment for loans for which the only third-party
valuation check was an AVM or a CU risk score for prime jumbo
non-conforming loans, Moody's did not make any adjustments to its
expected or Aaa loss levels due to the TPR results.

The TPR firms compared third-party valuation products to the
original appraisals. Property valuation was conducted using, among
other things, a field review, a third-party collateral desk
appraisal (CDA), broker price opinion (BPO), automated valuation
model (AVM) or a Collateral Underwriter (CU) risk score. In some
cases, for loans that had a CU risk score of 2.5 or less, a third
party valuation product was not ordered. Of note, Moody's considers
the use of only a CU risk score for non-conforming loans to be
credit negative due to (1) the lack of human intervention which
increases the likelihood of missing emerging risk trends, (2) the
limited track record of the software and limited transparency into
the model and (3) GSE focus on non-jumbo loans which may lower
reliability on jumbo loan appraisals. Moody's applied an adjustment
to the loss for such loans since the sample size and valuation
result of the loans that were reviewed using a third-party
valuation product such as a CDA and field review (excluding AVMs)
were insufficient. In addition, there were loans for which the
original appraisal was evaluated using only an AVM. Moody's applied
an adjustment to the loss for such loans, since Moody's considers
AVM valuations to be less accurate than desk reviews and field
reviews due to inherent data limitations that could adversely
impact the reliability of AVM results. Besides the adjustment for
loans for which the only third-party valuation check was an AVM or
a CU risk score for prime jumbo non-conforming loans, Moody's did
not make any other adjustments to its loss levels for appraisal
quality issues.

Reps & Warranties

JPMMT 2019-LTV3's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
the costs and manner of review are clearly outlined at issuance.
Its review of the R&W framework considers the financial strength of
the R&W providers, scope of R&Ws (including qualifiers and sunsets)
and enforcement mechanisms.

The R&W providers vary in financial strength. Moody's made no
adjustments to the loans for which JPMMAC (an affiliate of JPMorgan
Chase Bank, N.A. which is rated Aa2) provided R&Ws since they are
affiliates of highly rated entities. In contrast, the rest of the
R&W providers are unrated and/or financially weaker entities and
Moody's applied an adjustment to the loans for which these entities
provided R&Ws. JPMMAC will not backstop any R&W providers who may
become financially incapable of repurchasing mortgage loans.

For loans that JPMMAC acquired via the MaxEx platform, MaxEx under
the assignment, assumption and recognition agreement with JPMMAC,
will make the R&Ws. The R&Ws provided by MaxEx to JPMMAC and
assigned to the trust are in line with the R&Ws found in the JPMMT
transactions. No other party will backstop or be responsible for
backstopping the representations and warranties of any originator.
Additionally, no party will be required to repurchase or substitute
any mortgage loan until such loan has gone through the review
process.

Other Transaction Parties

The Delaware trustee and securities administrator is Citibank. The
custodian is Wells Fargo Bank, N.A. As master servicer, Nationstar
is responsible for servicer oversight, the termination of servicers
and the appointment of successor servicers. Nationstar is committed
to act as successor servicer if no other successor servicer can be
engaged.

Transaction Structure

The transaction uses the shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero, i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds is based on the net
WAC as reduced by the sum of (i) the reviewer annual fee rate and
(ii) the capped trust expense rate. In the event that there is a
small number of loans remaining, the last outstanding bonds' rate
can be reduced to zero.

The floating rate note coupons reference LIBOR which is earmarked
for withdrawal after 2021. Intending to facilitate transition to an
alternative reference rate, the transaction documents incorporate
fallback language addressing both the timing of transition and the
choice of alternative reference rate. The fallback language is
generally consistent with the Federal Reserve's Alternative
Reference Rates Committee (ARRC) template language, published on
May 31, 2019. As such, if the securities administrator notifies the
depositor or that it cannot determine one-month LIBOR in accordance
with the methods prescribed in the sale and servicing agreement and
a benchmark transition event has not yet occurred, one-month LIBOR
for such accrual period will be one-month LIBOR as calculated for
the immediately preceding accrual period. Following the occurrence
of a benchmark transition event, a benchmark other than one-month
LIBOR will be determined by the depositor for purposes of
calculating the pass-through rate on the class A-11 certificates,
and such benchmark replacement will replace one-month LIBOR and
will be the benchmark for the next following accrual period and
each accrual period thereafter (unless and until a subsequent
benchmark transition event is determined to have occurred). Any
determination made by the depositor with respect to the occurrence
of a benchmark transition event or a benchmark replacement, and any
calculation by the securities administrator of the applicable
benchmark for an accrual period, will be final and binding on the
certificate holders in the absence of manifest error.

Tail Risk & Subordination Floor

This deal has a standard shifting-interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 1.40% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. In
addition, if the subordinate percentage drops below 12.00% of
current pool balance, the senior distribution amount will include
all principal collections and the subordinate principal
distribution amount will be zero. The subordinate bonds themselves
benefit from a floor. When the total current balance of a given
subordinate tranche plus the aggregate balance of the subordinate
tranches that are junior to it amount to less than approximately
0.90% of the original pool balance, those tranches do not receive
principal distributions. Principal those tranches would have
received are directed to pay more senior subordinate bonds
pro-rata.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35% severity.
The senior subordination floor of 1.40% and subordinate floor of
0.90% are consistent with the credit neutral floors for the
assigned ratings.

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 of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
October 2019.


JPMCC COMMERCIAL 2016-JP4: Fitch Affirms BB Rating on Cl. E Certs
-----------------------------------------------------------------
Fitch Ratings affirmed 13 classes of JPMCC Commercial Mortgage
Securities Trust 2016-JP4 commercial mortgage pass-through
certificates.

RATING ACTIONS

JPMCC 2016-JP4

Class A-1 46645UAQ0;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 46645UAR8;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 46645UAS6;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 46645UAT4;  LT AAAsf Affirmed;  previously at AAAsf

Class A-S 46645UAX5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 46645UAU1; LT AAAsf Affirmed;  previously at AAAsf

Class B 46645UAY3;    LT AA-sf Affirmed;  previously at AA-sf

Class C 46645UAZ0;    LT A-sf Affirmed;   previously at A-sf

Class D 46645UAC1;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 46645UAE7;    LT BB-sf Affirmed;  previously at BB-sf

Class X-A 46645UAV9;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 46645UAW7;  LT AA-sf Affirmed;  previously at AA-sf

Class X-C 46645UAA5;  LT BBB-sf Affirmed; previously at BBB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: The affirmations reflect
the overall stable performance and loss expectations with no
material changes to pool metrics since issuance. There are no
delinquent loans and no loans have transferred to special
servicing. Fitch designated three loans (7.6% of pool), including
one (5.2%) in the top 15, as Fitch Loans of Concern (FLOCs) due to
occupancy declines/concerns.

Fitch Loans of Concern: The Summit Mall (5.2%) is a regional mall
located in the secondary market of Fairlawn, OH and has exposure to
weaker anchors, including a non-collateral Dillard's and a
collateral Macy's. Macy's has been reporting declining sales since
issuance and has an upcoming scheduled lease expiration in October
2020. Occupancy has declined to 84% as of June 2019 from 90.5% at
YE 2018, but the NOI debt service coverage ratio (DSCR) remains
strong at 4.32x at June 2019 and 4.65x at YE 2018.

The Franklin Marketplace loan (1.8%), which is secured by a
223,434sf anchored community shopping center located in
Philadelphia, PA (15 miles northwest of the Central Business
District), experienced significant performance decline following
the December 2018 closure of Brightwood Career Institute (16.8% of
NRA). Occupancy declined to 61% at YE 2018, compared with 83.4% at
YE 2017. NOI DSCR declined to 0.88x for the first half of 2019,
compared with 1.31x at YE 2018 and 1.69x at YE 2017.

The Hebron Heights loan (0.6%), which is secured by a 36,092sf
neighborhood retail center located in Carrollton, TX also
experienced occupancy decline following three tenants (21.6% of
NRA) vacating in 2019. Two tenants vacated upon their April 2019
lease expiration and one tenant vacated prior to their August 2021
lease expiration. Occupancy declined to 78.4% as of June 2019,
compared with 94% at YE 2018 and 100% at YE 2017. NOI DSCR was
1.65x for the first half of 2019, comparedwitho 1.74x at YE 2018
and 1.41x at YE 2017.

Minimal Change to Credit Enhancement: There has been minimal change
to credit enhancement since issuance. As of the October 2019
distribution date, the pool's aggregate balance has been reduced by
3.3% to $964.6 million from $997.6 million at issuance. Since
issuance, one loan (1.6% of original pool) prepaid with yield
maintenance and one loan (0.6%) was fully-defeased. Of the
remaining 39 loans in the pool, nine (38.3%) are full-term
interest-only, six (15.1%) remain in their partial interest-only
term and the remaining twenty four (46.6%) are amortizing. Two ARD
loans represent 0.2% of the pool.

ADDITIONAL CONSIDERATIONS

Alternative Loss Consideration: Fitch performed an additional
sensitivity scenario that assumed a potential outsized loss of 10%
on the maturity balance of the Summit Mall loan (5.2% of pool),
while also factoring in the paydown of the transaction from the
defeased loan (0.6%). The sensitivity Scenario did not affect the
ratings.

Retail Concentration: Eighteen loans (37.2% of pool) are secured by
retail properties, two of which (13.5%) are secured by regional
malls.

High Percentage Investment-Grade Credit Opinion Loans: At issuance,
Fitch considered three loans (22.5% of pool) to have
investment-grade characteristics on a stand-alone basis. These
include Hilton Hawaiian Village (9.8%; BBB-sf), 9 West 57th Street
(6.5%; AAAsf) and Moffett Gateway (6.2%; BBB-sf).

RATING SENSITIVITIES

The Rating Outlooks for all classes remain Stable due to the
overall stable performance of the pool. Fitch does not foresee
positive or negative ratings migration until a material economic or
asset-level event changes the transaction's portfolio level
metrics.


LENDMARK FUNDING 2019-2: DBRS Assigns Prov. BB Rating on D Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following notes to
be issued by Lendmark Funding Trust 2019-2 (Lendmark 2019-2 or the
Issuer):

-- $278,900,000 Series 2019-2, Class A rated AA (sf)
-- $21,570,000 Series 2019-2, Class B rated A (sf)
-- $27,420,000 Series 2019-2, Class C rated BBB (low) (sf)
-- $22,660,000 Series 2019-2, Class D rated BB (sf)

The provisional ratings are based on a review by DBRS Morningstar
of the following analytical considerations:

-- The transaction's capital structure, proposed ratings and form
and sufficiency of available credit enhancement.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.

-- Lendmark Financial Services, LLC's (Lendmark) capabilities with
regard to originations, underwriting and servicing.

-- The credit quality of the collateral and performance of
Lendmark's consumer loan portfolio. DBRS Morningstar has used a
hybrid approach in analyzing the Lendmark portfolio that
incorporates elements of static pool analysis, employed for assets
such as consumer loans, and revolving asset analysis, employed for
assets such as credit card master trusts.

-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
the special-purpose vehicle with Lendmark and that the trust has a
valid first-priority security interest in the assets and is
consistent with DBRS Morningstar's "Legal Criteria for U.S.
Structured Finance."

Lendmark 2019-2 represents the eight securitization of a portfolio
of non-prime and subprime personal loans originated through
Lendmark's branch network.

Notes: All figures are in U.S. dollars unless otherwise noted.


MARYLAND TRUST 2006-1: Moody's Lowers Ser. A Certs to Caa1
----------------------------------------------------------
Moody's Investors Service downgraded the Series A Investor
Certificates from Maryland Trust 2006-1, a securitization of a
small pool of insurance policies (primarily life insurance
policies, single premium life annuities and supplemental
policies).

The complete rating action is as follow:

Issuer: Maryland Trust 2006-1

Ser. A, Downgraded to Caa1 (sf); previously on Jan 25, 2018
Downgraded to B3 (sf)

RATINGS RATIONALE

The downgrade was prompted by continued shortfalls of the Series A
Additional Monthly Income Distribution, and the cumulative
shortfall has risen to approximately 5.5% of the original Series A
Investor Certificate balance. The shortfall has been accrued to the
outstanding certificate balance as per the transaction documents
and this will likely result in future principal loss to investors.
The shortfall is due to rising insurance premiums, combined with
the priority of premium payments over the Series A Additional
Monthly Income Distribution which helps prevent lapse of the life
insurance policies.

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was "Moody's Approach
to Monitoring Life Insurance ABS" published in January 2015.

Factors that would lead to an upgrade or downgrade of the rating:

Significant increase in shortfall of Series A Additional Monthly
Income Distribution, change in mortality or lapse risk, or
potentially a change in the insurance financial strength ratings of
the life insurance, annuity, annuity guaranty, or gap policy
providers.


MERRILL LYNCH 2005-CK11: Moody's Raises Class E Debt to B1
----------------------------------------------------------
Moody's Investors Service upgraded the rating on one class and
affirmed the rating on one class in Merrill Lynch Mortgage Trust
2005-CKI1 as follows:

Cl. E, Upgraded to B1 (sf); previously on Mar 1, 2019 Upgraded to
Caa1 (sf)

Cl. F, Affirmed C (sf); previously on Mar 1, 2019 Affirmed C (sf)

RATINGS RATIONALE

The rating on Cl. E was upgraded due to a significant increase in
defeasance, to 43.6% of the current pool balance from 0.0% at the
last review.

The rating on Cl. F was affirmed because the ratings are consistent
with Moody's expected loss. Cl. F has already experienced a 65%
realized loss as a result of previously liquidated loans.

Moody's rating action reflects a base expected loss of 24.1% of the
current pooled balance, compared to 26.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.7% of the
original pooled balance, the same as at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, 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 "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 30% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 27% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior class and the recovery as a pay down of principal to
the most senior class.

DEAL PERFORMANCE

As of the October 15, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 98.5% to $45.0
million from $3.07 billion at securitization. The certificates are
collateralized by three mortgage loans. One loan, constituting
43.6% of the pool, has defeased and is secured by US government
securities.

Twenty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $194 million (for an average loss
severity of 38%).

One loan, the Orchard Hardware Plaza Loan ($13.3 million -- 29.7%
of the pool), is currently in special servicing. The loan is
secured by a 145,957 square foot (SF) retail center in Rancho
Cucamonga, California. The loan transferred to special servicing in
September 2012, following a significant decline in occupancy from
93% to 57% in 2011. As of December 2018, the property was 96%
leased compared to 94% in November 2017. The loan is currently real
estate owned (REO). The special servicer indicated the property is
now being marketed for sale.

The sole non-defeased performing loan is the Green Valley Technical
Plaza 33 Loan ($12.1 million -- 26.8% of the pool), which is
secured by a 108,288 SF suburban office property in Fairfield,
California. As of June 2019, the property was only 48% leased to
two tenants. The loan had an anticipated repayment date (ARD) in
October 2015 and has a final maturity in October 2035. The loan has
amortized nearly 20% since securitization, however, the loan is
currently on the master servicer's watchlist due to the low
occupancy and DSCR. Due to the low occupancy, Moody's has
identified this a troubled loan.


METAL LIMITED 2017-1: Fitch Affirms B Rating to Class C-2 Debt
--------------------------------------------------------------
Fitch Ratings affirmed the ratings on the outstanding notes issued
by METAL 2017-1 Limited (METAL).

RATING ACTIONS

METAL 2017-1

Class A 59111RAA0;   LT Asf Affirmed;   previously at Asf

Class B 59111RAB8;   LT BBBsf Affirmed; previously at BBBsf

Class C-1 59111RAC6; LT BBsf Affirmed;  previously at BBsf

Class C-2 59111RAD4; LT Bsf Affirmed;   previously at Bsf

KEY RATING DRIVERS

The affirmation of the series A, B, C-1 and C-2 fixed-rate secured
notes reflects stabilizing performance and cash flow modeling
results commensurate with current ratings. Over the past year, the
transaction had experienced some stress following the bankruptcies
and subsequent repossession of several aircraft on lease to Shaheen
Air and Jet Airways, along with varying amounts in arrears from
other lessees. As a result, utilization, lease collections and the
debt service coverage ratio (DSCR) had been under pressure since
the prior review. The DSCR has recovered in recent months and the
transaction has cured from a period of rapid amortization.

There have been five aircraft sales to date since closing, all
occurring this year. A number of additional sales are expected to
follow in the fourth quarter. As a result of sales and DSCR trigger
breaches, payments on senior notes are ahead of the initial
schedule. The majority of aircraft remain on their initial leases,
with one lease transition in the October report to TruJet, a small
Indian regional airline. Based on the June 2019 appraisals, Fitch
calculates that approximately 17% of the pool remains off lease,
contributing to lower maintenance reserve and lease collections.
Performance remains within expectations and has begun to recover
following the bankruptcies that put several aircraft on ground.
Triggers are currently above threshold levels.

A few revisions have been made to modeling assumptions from the
prior review. First, Fitch assumed or revised five lessee rating
assumptions as follows: TruJet was assumed at 'CCC'; Malindo
Airways, Sun Country Airlines, Lion Air and Thai Lion Air were
revised to 'B'. Secondly, Fitch received notice that a portfolio
sale comprising five aircraft will take place over the coming few
months, along with director resolution in September to amend
certain concentration limits to allow the sales to occur.

As a result, Fitch gave 100% credit to near-term sales values, up
from 50% typically assumed for future sales. Third, each of the
seven on-ground aircraft are assumed to remain on ground for an
additional six months, before undergoing re-leasing activity to
stress cash flows after the portfolio sale. Under these
assumptions, each series of notes remains able to pass modeled
stress scenarios, commensurate with current ratings.

RATING SENSITIVITIES

Due to the correlation between global economic conditions and the
airline industry, ratings may be affected by global macroeconomic
or geopolitical factors over the remaining term of the transaction.
In the initial and subsequent rating analyses, Fitch evaluated
various sensitivity scenarios that could affect future cash flows
from the pool and the ratings of the notes. For the current review,
Fitch performed three additional sensitivity scenarios to assess
the potential ratings impact from the upcoming portfolio sale and
aircraft on ground.

Sensitivity 1: Sales at 85% realization of then-depreciated market
value

The near-term sales values at time-of-sale are haircut by 15%, to
simulate a situation where residual realization is below
expectations. This cuts approximately $25 million of sales proceeds
at each rating stress level. Under this scenario, senior notes
remain able to pay in full at respective rating stress levels.
Series C-1 and C-2 notes each fail to pay in full and may be
considered for a downgrade from current ratings.

Sensitivity 2: All 'CCC' rating assumptions

All lessee rating assumptions are assumed at 'CCC', consistent with
the initial rating of the deal and also with the prior annual
review. Expenses increase by 5% (~$2 million) and gross cash flow
decreases by 2% (+$10 million) resulting in 3% decrease to net cash
flow at each rating stress level. Under this scenario, all series
of notes are able to pay in full and unlikely to be considered for
downgrades.

Sensitivity 3: Portfolio sale does not occur

This scenario simulates the situation where the portfolio sales do
not occur and the aircraft continue to be re-leased through their
useful lives. While the sales proceeds decrease significantly,
increases to gross cash flows are able to offset those amounts.
Series B and C-2 notes are able to pay in full one category above
current ratings, driven by stronger lease cash flows.


MILL CITY 2019-GS2: DBRS Assigns Prov. B(low) Rating on 3 Tranches
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Securities, Series 2019-GS2 (the Notes) to be
issued by Mill City Mortgage Loan Trust 2019-GS2 (the Issuer):

-- $66.0 million Class A1A at AAA (sf)
-- $197.9 million Class A1B at AAA (sf)
-- $263.8 million Class A1 at AAA (sf)
-- $301.1 million Class A2 at AA (low) (sf)
-- $323.7 million Class A3 at A (low) (sf)
-- $341.2 million Class A4 at BBB (low) (sf)
-- $37.3 million Class M1 at AA (low) (sf)
-- $22.6 million Class M2 at A (low) (sf)
-- $8.7 million Class M3A at BBB (low) (sf)
-- $8.7 million Class M3B at BBB (low) (sf)
-- $17.4 million Class M3 at BBB (low) (sf)
-- $11.8 million Class B1A at BB (low) (sf)
-- $11.8 million Class B1B at BB (low) (sf)
-- $23.7 million Class B1 at BB (low) (sf)
-- $11.3 million Class B2A at B (low) (sf)
-- $11.3 million Class B2B at B (low) (sf)
-- $22.6 million Class B2 at B (low) (sf)

Classes A1, A2, A3, A4, M3, B1 and B2 are exchangeable notes. These
classes can be exchanged for combinations of exchange notes as
specified in the offering documents.

The AAA (sf) rating on the Class A1A and A1B Notes reflects 38.75%
of credit enhancement provided by subordinated Notes in the pool.
The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf) and
B (low) (sf) ratings reflect 30.10%, 24.85%, 20.80%, 15.30% and
10.05% of credit enhancement, respectively.

Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.

This transaction is a securitization of a portfolio of primarily
first-lien, seasoned, performing and re-performing residential
mortgages funded by the issuance of the Notes. The Notes are backed
by 3,565 loans with a total principal balance of approximately
$453,428,271 as of the Cut-Off Date (September 30, 2019).

The loans are approximately 147 months seasoned. As of the Cut-Off
Date, 86.1% of the pool is current, 6.5% is 30 days to 59 days
delinquent, 1.4% is 60 days to 89 days delinquent, 2.0% is 90+ days
delinquent under the Mortgage Bankers Association delinquency
method and 4.0% of the pool is in bankruptcy. Approximately 28.3%
of the pool has been zero times 30 (0 x 30) days delinquent for the
past 24 months, 55.1% has been 0 x 30 for the past 12 months and
72.6% has been 0 x 30 for the past six months. Approximately 10.9%
of loans were missing data in certain months and, as such, are not
included when determining the 0 x 30 days delinquent duration.

Modified loans comprise 75.9% of the portfolio. The modifications
happened more than two years ago for 78.4% of the modified loans.
Within the pool, 1,129 loans have non-interest-bearing deferred
amounts, which equates to 8.7% of the total principal balance.

In accordance with the Consumer Financial Protection Bureau's
Qualified Mortgage (QM) rules, 3.0% of the loans are designated as
QM Safe Harbor, 0.7% as QM Rebuttable Presumption and 3.2% as
non-QM. Approximately 93.0% of the loans are not subject to the QM
rules.

Approximately 9.0% of the pool comprises non-first-lien loans.

Goldman Sachs Mortgage Company (GSMC) is the Sponsor for the
transaction and is acquiring (most of) the loans from various Mill
City entities in connection with the securitization. GSMC is
acquiring a small percentage of the loans into MTGLQ Investors L.P.
to be contributed to the transaction. As the Sponsor, GSMC,
directly or through a majority-owned affiliate, will acquire and
retain a 5.0% uncertificated eligible vertical interest in the
transaction to satisfy the credit risk retention requirements under
Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder. These loans were originated and
previously serviced by various entities through purchases in the
secondary market.

As of the Cut-Off Date, the loans are serviced by NewRez LLC doing
business as Shellpoint Mortgage Servicing (55.6%) and Fay
Servicing, LLC (44.4%).

There will not be any advancing of delinquent principal or interest
on any mortgages by the servicer or any other party to the
transaction; however, the servicer is obligated to make advances in
respect of homeowner association fees, taxes and insurance as well
as reasonable costs and expenses incurred in the course of
servicing and disposing of properties.

When the aggregate pool balance of the mortgage loans is reduced to
less than 20% of the Cut-Off Date balance, the holders of more than
50% of the Class X Certificates will have the option to cause the
Issuer to sell its remaining property (other than amounts in the
Breach Reserve Account) to one or more third-party purchasers so
long as the aggregate proceeds meet a minimum price.

When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-Off Date, the holder(s) of more than 50% of
the most subordinate class of Notes, or their affiliates, may
purchase all mortgage loans, real estate-owned properties and other
properties from the Issuer as long as the aggregate proceeds meet a
minimum price.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class M2 and more subordinate bonds
will not be paid until the more senior classes are retired.

The DBRS Morningstar ratings of AAA (sf) and AA (low) (sf) address
the timely payment of interest and full payment of principal by the
legal final maturity date in accordance with the terms and
conditions of the related Notes. The DBRS Morningstar ratings of A
(low) (sf), BBB (low) (sf), BB (low) (sf) and B (low) (sf) address
the ultimate payment of interest and full payment of principal by
the legal final maturity date in accordance with the terms and
conditions of the related Notes.

Notes: All figures are in U.S. dollars unless otherwise noted.


MILL CITY 2019-GS2: Moody's Assigns Ba3 Rating on 2 Tranches
------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to fourteen
classes of notes issued by Mill City Mortgage Loan Trust 2019-GS2.

The certificates are backed by one pool of 3,565 seasoned
performing and modified re-performing loans which includes a small
portion of junior liens mortgage loans (9.02%) and loans that are
currently 60+ days MBA delinquent (5.08%). The collateral pool has
a non-zero updated weighted average FICO score of 648 and a
weighted average current LTV of 82.06% (including the deferred
balance for calculation).

Similar to MCMLT 2019-GS1, this pool does not have any HELOC loans.
In addition, approximately 12.14% of the loans are originated on or
after January 1, 2010 ("newly originated loans"). 75.85% of the
loans in the collateral pool were also previously modified and the
remaining loans have never been modified.

Fay Servicing LLC and Shellpoint Mortgage Servicing, are the
servicers for the loans in the pool. The servicers will not advance
any principal or interest on the delinquent loans. However, the
servicers will be required to advance costs and expenses incurred
in connection with a default, delinquency or other event in the
performance of its servicing obligations.

Goldman Sachs Mortgage Company is acquiring the collateral from a
CarVal Investors limited fund. GSMC as a sponsor and loan seller is
structuring the transaction. This arrangement is weaker than the
alignment of interests in the prior MCMLT transactions where the
sponsor, the depositor and the R&W provider are affiliates of
CarVal Investors. A mitigating factor is that GSMC will retain at
least 5% of the notes to satisfy U.S. risk retention requirements.
Similar to other MCMLT transactions, a non-rated limited fund from
Carval Investors will be the R&W provider.

The complete rating actions are as follows:

Issuer: Mill City Mortgage Loan Trust 2019-GS2

Cl. A1, Definitive Rating Assigned Aaa (sf)

Cl. A1A, Definitive Rating Assigned Aaa (sf)

Cl. A1B, Definitive Rating Assigned Aaa (sf)

Cl. A2, Definitive Rating Assigned Aa1 (sf)

Cl. A3, Definitive Rating Assigned A1 (sf)

Cl. A4, Definitive Rating Assigned A3 (sf)

Cl. B1, Definitive Rating Assigned Ba3 (sf)

Cl. B1A, Definitive Rating Assigned Ba1 (sf)

Cl. B1B, Definitive Rating Assigned Ba3 (sf)

Cl. M1, Definitive Rating Assigned Aa2 (sf)

Cl. M2, Definitive Rating Assigned A3 (sf)

Cl. M3, Definitive Rating Assigned Baa3 (sf)

Cl. M3A, Definitive Rating Assigned Baa1 (sf)

Cl. M3B, Definitive Rating Assigned Baa3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected losses on MCMLT 2019-GS2's collateral pool average
13.00% in its base case scenario. Its loss estimates take into
account the historical performance of loans that have similar
collateral characteristics as the loans in the pool.

For the non-modified portion of this pool, Moody's analyzed data on
delinquency rates for always current (including self-cured) loans.
Similarly, for the modified portion of this pool, Moody's analyzed
data on delinquency rates for modified loans. Its final loss
estimates also incorporates adjustments for the strength of the
third party due diligence, the servicing arrangement and the
representations and warranties (R&W) framework of the transaction.

The methodologies used in these ratings were "Moody's Approach to
Rating Securitizations Backed by Non-Performing and Re-Performing
Loans" published in February 2019, and "US RMBS Surveillance
Methodology" published in February 2019.

Collateral Description

MCMLT 2019-GS2 is a securitization of 3,565 loans and is primarily
comprised of seasoned performing and modified re-performing
mortgage loans. Approximately 75.85% of the loans in the collateral
pool have been previously modified (including the deferred balance
for calculation).

Moody's based its expected losses on its estimates of 1) the
default rate on the remaining balance of the loans and 2) the
principal recovery rate on the defaulted balances. The two factors
that most strongly influence a re-performing mortgage loan's
likelihood of re-default are the length of time that the loan has
performed since a loan modification, and the amount of the
reduction in the monthly mortgage payment as a result of the
modification. The longer a borrower has been current on a
re-performing loan, the less likely the borrower is to re-default.
Approximately 63.59% of the borrowers have been current (OTS method
of delinquency) on their payments for at least the past 24 months.

Moody's estimated expected losses for the pool using two approaches
-- (1) pool-level approach, and (2) re-performing loan level
analysis.

In the pool-level approach, Moody's estimates losses on the pool by
using a approach similar to its surveillance approach wherein
Moody's applies assumptions on expected future delinquencies,
default rates, loss severities and prepayments as observed from its
surveillance of similar collateral. Moody's projects future annual
delinquencies for eight years by applying an initial annual default
rate and delinquency burnout factors. Based on the loan
characteristics of the pool and the demonstrated pay histories,
Moody's expects an annual delinquency rate of 11.86% on the first
lien portion of the collateral pool for year one. Moody's then
calculated future delinquencies on the pool using its default
burnout and voluntary conditional prepayment rate assumptions. Its
assumptions also factor in the high delinquency rates expected in
the early stages of the transaction due to payment shock expected
for step-rate loans. The delinquency burnout factors reflect its
future expectations of the economy and the U.S. housing market.
Moody's then aggregated the delinquencies and converted them to
losses by applying pool-specific lifetime default frequency and
loss severity assumptions. Its loss severity assumptions are based
off observed severities on liquidated seasoned loans and reflect
the lack of principal and interest advancing on the loans.

Moody's also conducted a loan level analysis on MCMLT 2019-GS2's
collateral pool. Moody's applied loan-level baseline lifetime
propensity to default assumptions based on the historical
performance of loans with similar collateral characteristics and
payment histories. Moody's then adjusted this base default
propensity up for (1) adjustable-rate loans, (2) loans that have
the risk of coupon step-ups and (3) loans with high updated loan to
value ratios (LTVs). Moody's applied a higher baseline lifetime
default propensity for interest-only loans, using the same
adjustments. To calculate the final expected loss for the pool,
Moody's applied a loan-level loss severity assumption based on the
loans' updated estimated LTVs. Moody's further adjusted the loss
severity assumption upwards for loans in states that give
super-priority status to homeowner association (HOA) liens, to
account for potential risk of HOA liens trumping a mortgage. The
deferred balance in this transaction is approximately $39.40
million, representing approximately 8.69% of the total unpaid
principal balance.

Three loans in the pool currently feature an active HAMP Principal
Reduction Alternative. Under HAMP-PRA, the principal of the
borrower's mortgage may be reduced by a predetermined amount called
the PRA forbearance amount if the borrower satisfies certain
conditions during a trial period. If the borrower continues to make
timely payments on the loan for three years, the entire PRA
forbearance amount is forgiven. Also, if the loan is in good
standing and the borrower voluntary pays off the loan, the entire
forbearance amount is forgiven.

For non-PRA forborne amounts, the deferred balance is the full
obligation of the borrower and must be paid in full upon (i) sale
of property (ii) voluntary payoff or (iii) final scheduled payment
date. Upon sale of the property, the servicer therefore could
potentially recover some of the deferred amount. For loans that
default in future or get modified after the closing date, the
servicer may opt for partial or full principal forgiveness to the
extent permitted under the servicing agreement.

Based on performance data and information from servicers, Moody's
assumes that 100% of the remaining PRA amount would be forgiven and
not recovered. For non-PRA deferred balance, Moody's applied a
slightly higher default rate for these loans than what Moody's
assumed for the overall pool given that these borrowers have
experienced past credit events that required loan modification, as
opposed to borrowers who have been current and have never been
modified. Also, for non-PRA loans, based on performance data from
an RPL servicer, Moody's assumed approximately 95% severity as
servicers may recover a portion of the deferred balance. For this
pool, non-PRA deferred balance account for nearly 100.00% of the
deferred balance. The final expected loss for the collateral pool
reflects the due diligence scope and findings of the independent
third party review (TPR) firms as well as its assessment of MCMLT
2019-GS2's representations & warranties (R&Ws) framework.

Transaction Structure

Similar to other MCMLT transactions, MCMLT 2019-GS2 has a simple
sequential priority of payments structure without any cash flow
triggers. The transaction allocates excess cash flow (net of
realized losses and certain unreimbursed amounts) sequentially to
the senior notes A1A and A1B and then to the subordinated tranches,
class M1 through class B6B up to a target payment amount. This
arrangement is weaker than previous MCMLT transactions (except for
MCMLT 2019-1 and MCMLT 2019-GS1) where all the remaining excess
cash flow (net of realized losses, certain unreimbursed amount and
payment to senior notes) is distributed to the subordinated
tranches. In this transaction, after the excess cash flow is used
to pay the subordinated tranches the target payment amount, the
remaining excess cash flow will be distributed to the residual
certificates. Moody's took into consideration the change in the
monthly excess cashflow waterfall in its modeling of the
transaction's cash flows.

The transaction will benefit from overcollateralization but it will
experience spread compression due to deleveraging, prepayment and
modification. Moody's took this into account in its analysis. The
servicer will not advance any principal or interest on delinquent
loans. However, the servicer will be required to advance costs and
expenses incurred in connection with a default, delinquency or
other event in the performance of its servicing obligations.

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches and the
buildup of overcollateralization from available excess interest.
The principal payment received from excess interest collections
will limit the faster pay down on the senior notes as a smaller
percentage of the excess cash flow would be allocated to the
seniors due to structural features mentioned previously.

To the extent that the overcollateralization amount is zero or
insufficient monthly excess cash flow, realized losses will be
allocated to the notes in a reverse sequential order starting with
the lowest subordinate bond. The Class A1A, Class A1B and Class A1
notes carry a fixed-rate coupon but subject only to the applicable
available funds cap. The Class A2, Class A3, Class A4, Class M1,
Class M2, Class M3A, Class M3B, Class M3, Class B1A, Class B1B,
Class B1, Class B2A, Class B2B and Class B2 notes carry a
fixed-rate coupon subject to applicable available funds cap and the
collateral adjusted net weighted average coupon (WAC). The Class
B3A, Class B3B, Class B3, Class B4A, Class B4B, Class B4, Class
B5A, Class B5B, Class B5, Class B6A, Class B6B and Class B6 are
variable rate notes where the coupon is equal to the lesser of
adjusted net WAC-0.25% and applicable available funds cap.

To assess the final rating on the notes, Moody's ran 96 different
loss and prepayment scenarios through its cash flow model. The
scenarios encompass six loss levels, four loss timing curves, and
four prepayment curves.

Third Party Review

Three third party review (TPR) firms conducted due diligence on all
but few loans in MCMLT 2019-GS2's collateral pool. The TPR firms
reviewed compliance, data integrity and key documents, to verify
that loans were originated in accordance with federal, state and
local anti-predatory laws. The TPR firms also conducted audits of
designated data fields to ensure the accuracy of the collateral
tape. An independent firm also reviewed the title and tax reports
for all the loans in the pool.

Based on its analysis of the third-party review reports, Moody's
determined that a portion of the loans with some cited violations
are at enhanced risk of having violated TILA through an
under-disclosure of the finance charges. In addition, the diligence
providers were unable to determine if four loans were originated in
accordance with ATR rules. Moody's has made adjustments consistent
with its approach to account for the rating impact of ATR rules
that could cause future losses to the trust. Moody's incorporated
an additional hit to the loss severities for these loans to account
for this risk. The title review includes confirming the recordation
status of the mortgage and the intervening chain of assignments,
the status of real estate taxes and validating the lien position of
the underlying mortgage loan. Once securitized, delinquent taxes
will be advanced on behalf of the borrower and added to the
borrower's account. The servicer will be reimbursed for delinquent
taxes from the top of the waterfall, as a servicing advance. The
representation provider has deposited collateral of $650,000 in the
Assignment Reserve Account (ARA) to ensure one or more third
parties monitored by the Depositor completes all assignment and
endorsement chains and record an intervening assignment of mortgage
as necessary. The amount deposited in the ARA at the closing date
is lower than the previous Mill City transaction, MCMLT 2019-GS1.
Moody's has considered the ARA deposit and factors such as: (i) the
high historical cure rate in the previous Mill City transactions
and(ii) the low delinquency rate of the previous Mill City
transactions. Moody's did not make any additional adjustment for
this.

Representations & Warranties

Its ratings also factor in MCMLT 2019-GS2's weak representations
and warranties (R&Ws) framework because they contain many knowledge
qualifiers and the regulatory compliance R&W does not cover
monetary damages that arise from TILA violations whose right of
rescission has expired. The breach discovery process for this
transaction is in line with previous Mill City securitizations
(MCMLT 2017-3,MCMLT 2018-3, MCMLT 2018-4, MCMLT 2019-1 and MCMLT
2019-GS1) and other rated RPL transactions. Similar to MCMLT
2017-3, MCMLT 2018-3, MCMLT 2018-4, MCMLT 2019-1 and MCMLT
2019-GS1, an independent party reviews R&W breaches for every loan
that incurs a realized loss.

While the transaction provides for a Breach Reserve Account to
cover for any breaches of R&Ws, the size of the account is slightly
larger for MCMLT 2019-GS2 ($900,000 relative to aggregate
collateral balance of $453.43 million) compared to MCMLT 2019-GS1
($775,000 relative to aggregate collateral pool $386.29 million).
An initial deposit of $900,000 will be remitted to the Breach
Reserve Account on the closing date, with an initial Breach Reserve
Account target amount of $1.54 million. Moody's did not make any
adjustment for this as it was not much different in terms of
percentage of balance.

Trustee Indemnification

Moody's believes there is a very low likelihood that the rated
notes in MCMLT 2019-GS2 will incur any loss from extraordinary
expenses or indemnification payments owing to potential future
lawsuits against key deal parties. First, majority of the loans are
seasoned with demonstrated payment history, reducing the likelihood
of a lawsuit on the basis that the loans have underwriting defects.
Second, historical performance of loans aggregated by the sponsor
to date has been within expectation, with minimal losses on
previously issued Mill City transactions. Third, the transaction
has reasonably well defined processes in place to identify loans
with defects on an ongoing basis. In this transaction, an
independent breach reviewer must review loans for breaches of
representations and warranties when a realized loss is incurred on
a loan, which reduces the likelihood that parties will be sued for
inaction. Furthermore, the issuer has performed nearly 91% due
diligence by independent third parties with respect to compliance
and payment history and has disclosed the results of the review.

Transaction Parties

The transaction benefits from an adequate servicing arrangement.
Shellpoint will service 55.63% of the pool, Fay will service 44.37%
of the pool. Wells Fargo Bank, N.A. is the Custodian of the
transaction. MCMLT 2019-GS2's Indenture Trustee is U.S. Bank
National Association.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from its original expectations
as a result of a lower number of obligor defaults or appreciation
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above its 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.


MORGAN STANLEY 2013-C11: Fitch Lowers Class E Certs Rating to Bsf
-----------------------------------------------------------------
Fitch Ratings downgraded two and affirmed 10 classes of Morgan
Stanley Bank of America Merrill Lynch Trust commercial mortgage
pass-through certificates, series 2013-C11.

RATING ACTIONS

MSBAM 2013-C11
  
Class A-3 61762TAD8;  LT AAAsf Affirmed; previously at AAAsf

Class A-4 61762TAE6;  LT AAAsf Affirmed; previously at AAAsf

Class A-AB 61762TAC0; LT AAAsf Affirmed; previously at AAAsf

Class A-S 61762TAG1;  LT AAAsf Affirmed; previously at AAAsf

Class B 61762TAH9;    LT AA-sf Affirmed; previously at AA-sf

Class C 61762TAK2;    LT A-sf Affirmed;  previously at A-sf

Class D 61762TAN6;    LT BBsf Downgrade; previously at BBB-sf

Class E 61762TAQ9;    LT Bsf Downgrade;  previously at BBsf

Class F 61762TAS5;    LT CCCsf Affirmed; previously at CCCsf

Class G 61762TAU0;    LT Dsf Affirmed;   previously at Dsf

Class PST 61762TAJ5;  LT A-sf Affirmed;  previously at A-sf

Class X-A 61762TAF3;  LT AAAsf Affirmed; previously at AAAsf

KEY RATING DRIVERS

Realized Losses Negatively Impacts Credit Enhancement: The
downgrade of classes D and E is due to regional mall exposure and
credit enhancement declines for tranches lower in the capital stack
as a result of realized losses. The affirmations are based on the
overall stable performance of the remaining underlying collateral.
Three loans (previously 7.9% of the pool balance) have been paid in
full with yield maintenance penalties since the prior rating
action. As of the September 2019 distribution date, the pool's
aggregate principal balance was reduced by 30.5% to $594.9 million
from $856.3 million at issuance. Five loans (12.0% of the current
pool balance) have been defeased. Interest shortfalls are currently
affecting the non-rated class J.

Regional Malls: Three loans (39.9%) are collateralized by regional
malls, all of which are Fitch Loans of Concern (FLOCs). The largest
loan in the pool, Westfield Countryside (16.4%), is a regional mall
located in Clearwater, FL where Sears, a non-collateral anchor,
closed in July 2018. The box is owned by Seritage Growth
Properties. Sears had previously downsized its space to accommodate
a 37,000-sf Whole Foods, but approximately 123,000 sf of space in
the box is still vacant. Per the June 2019 rent roll, the
collateral was 89% occupied compared with 92% at YE 2017, 93% at YE
2016 and 95% at YE 2015.

The Mall at Tuttle Crossing (14.9%) is a 1.1 million sf regional
mall in Dublin, OH in the Columbus metro area and a FLOC. Sears, a
non-collateral anchor, closed in March 2019. Macy's previously
operated two non-collateral anchor stores at this mall but closed
one in 2017. Scene 75, an arcade and entertainment tenant, leased
the vacant box and opened in October 2019. Comparable in-line sales
for tenants occupying less than 10,000 sf were $337 psf in 2017,
down from $365 psf in 2016 and $367 psf at issuance.

Southdale Center (8.5%) is a 1.2 million sf mall in Edina, MN in
the Minneapolis-St. Paul metro area and a FLOC. Herberger's (an
affiliate of Bon-Ton and collateral anchor) closed in August 2018
as part of Bon-Ton's bankruptcy proceedings. JC Penney, a
non-collateral anchor, closed in June 2017, leaving only one anchor
(Macy's) open at the mall. Per the June 2019 rent roll, the
collateral was 55.8% occupied and the total mall, 70.5% occupied.
Despite the dark anchor spaces, the borrower has undertaken an
extensive redevelopment plan at the property. The former JC Penney
box has been demolished and a 120,000 sf Life Time Fitness and
approximately 35,000 sf of office space will be completed in late
2019. Additional development on outparcels includes a 146-key
Homewood Suites by Hilton that opened in September 2018; a
four-story Restoration Hardware showroom; a 3,800 sf Shake Shack;
and a three-building, 232-unit multifamily property that opened in
July 2015.

Fitch Loans of Concern: Other FLOCs include Bridgewater Campus
(6.8%), a mixed-use property in Bridgewater, NJ where Insmed
Incorporated (12.7% NRA) plans to vacate at the November 2019 lease
expiration; Autumn Sunrise Apartments (0.7%), an apartment complex
in Houston that sustained significant damage during Hurricane
Harvey; and Hampton Inn - Katy, TX (0.4%), a 69-key limited service
hotel where the NOI debt service coverage ratio (DSCR) declined to
0.74x as of the second-quarter 2019 TTM financials due to increased
competition and exposure to the oil industry.

Alternative Loss Considerations: Fitch applied an additional
sensitivity scenario of 25% on Westfield Countryside, 25% on the
Mall at Tuttle Crossing, and 15% on Southdale Center to reflect the
potential for outsized losses given additional vacancy, loss of
anchor tenants and weak in-line sales. The downgrades and Negative
Rating Outlooks reflect this scenario.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes B, C, D, PST and E reflect
the potential for outsized losses on the regional malls and FLOCs.
Rating Outlooks on classes A-3 through A-S remain Stable due to
sufficient credit enhancement for tranches higher in the capital
stack and the relatively stable performance of the pool. Further
downgrades are possible if the performance of the FLOCs
deteriorates or loss expectations increase. Upgrades are not likely
in the near term due to the decline in credit enhancement but are
possible in the future with significant defeasance or paydown.

Deutsche Bank is the trustee for the transaction, and serves as the
backup advancing agent. Fitch's Issuer Default Rating for Deutsche
Bank is currently 'BBB'/'F2'/Outlook Evolving. Fitch relies on the
master servicer, Wells Fargo Bank, N.A., a division of Wells Fargo
& Company (A+/F1/ Stable), which is currently the primary advancing
agent, as counterparty. Fitch provided ratings confirmation on Jan.
24, 2018.


MORGAN STANLEY 2013-C12: Moody's Affirms B1 Rating on Cl. F Certs
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings on eleven classes in
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12,
Commercial Mortgage Pass-Through Certificates as follows:

Cl. A-SB, Affirmed Aaa (sf); previously on Jul 19, 2018 Affirmed
Aaa (sf)

Cl. A-3, Affirmed Aaa (sf); previously on Jul 19, 2018 Affirmed Aaa
(sf)

Cl. A-4, Affirmed Aaa (sf); previously on Jul 19, 2018 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aaa (sf); previously on Jul 19, 2018 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa3 (sf); previously on Jul 19, 2018 Affirmed Aa3
(sf)

Cl. C, Affirmed A3 (sf); previously on Jul 19, 2018 Affirmed A3
(sf)

Cl. D, Affirmed Baa3 (sf); previously on Jul 19, 2018 Affirmed Baa3
(sf)

Cl. E, Affirmed Ba2 (sf); previously on Jul 19, 2018 Affirmed Ba2
(sf)

Cl. F, Affirmed B1 (sf); previously on Jul 19, 2018 Affirmed B1
(sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Jul 19, 2018 Affirmed
Aaa (sf)

Cl. PST**, Affirmed A1 (sf); previously on Jul 19, 2018 Affirmed A1
(sf)

* Reflects Interest Only Classes

** Reflects Exchangeable Classes

RATINGS RATIONALE

The ratings on nine P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value ratio,
Moody's stressed debt service coverage ratio and the transaction's
Herfindahl Index, are within acceptable ranges.

The rating on the IO class was affirmed based on the credit quality
of its referenced classes.

The rating on class PST was affirmed due to the credit quality of
its referenced exchangeable classes.

Moody's rating action reflects a base expected loss of 4.5% of the
current pooled balance, compared to 3.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.3% of the
original pooled balance, compared to 3.1% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The methodologies used in rating all classes except exchangeable
classes and interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The principal methodology used in
rating exchangeable classes was "Moody's Approach to Rating
Repackaged Securities" published in March 2019. The methodologies
used in rating interest-only classes were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017, and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.

DEAL PERFORMANCE

As of the October 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 27% to $937 million
from $1.28 billion at securitization. The certificates are
collateralized by 56 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans (excluding
defeasance) constituting 58% of the pool. Five loans, constituting
4.2% of the pool, have defeased and are secured by US government
securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19, compared to 26 at Moody's last review.

Five loans, constituting 14% 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.

The only specially serviced loan is the Deer Springs Town Center
($27.4 million -- 2.9% of the pool), which is secured by a 185,000
square foot (SF) anchored retail center located in North Las Vegas,
Nevada. The loan became delinquent and transferred to special
servicing in October 2018 following the closure of their former
largest tenant, Toys R Us (65,705 SF, 34% of the NRA). A Receiver
was appointed in July 2019 and is working with the property manager
to renew upcoming lease expirations and fill the vacant spaces. As
of December 2018, the property was 63% leased, down from 98% at
year-end 2017.

Moody's has also assumed a high default probability for two poorly
performing loans, constituting 2.3% of the pool. Both loans are
secured by student housing properties serving the student
population at the University of North Dakota and are located in
Grand Forks, ND. Property performance has declined at both
properties due to a decline in revenue and increased expenses.

Moody's has estimated an aggregate loss of $16 million (a 33%
expected loss based on average) from these specially serviced and
troubled loans.

Moody's received full year 2018 operating results for 100% of the
pool, and full or partial year 2019 operating results for 93% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 93%, unchanged from Moody's last
review. Moody's conduit component excludes loans with structured
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 16% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.5%.

Moody's actual and stressed conduit DSCRs are 1.54X and 1.15X,
respectively, compared to 1.62X and 1.16X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 29% of the pool balance. The
largest loan is the Merrimack Premium Outlets Loan ($119.6 million
-- 13% of the pool), which is secured by a 409,000 SF outlet center
located in Merrimack, NH, approximately ten miles north of the
Massachusetts/ New Hampshire border. The property was developed in
2012 by Simon Property Group. As of September 2019, the property
was 96% leased, down slightly from 97% at year-end 2018. The
property benefits from limited competition and considered to be the
dominant shopping center in its trade area. The loan benefits from
amortization and has paid down 8% since securitization. Moody's LTV
and stressed DSCR are 89% and 1.10X, respectively, compared to 91%
and 1.07X at the last review.

The second largest loan is the 15 MetroTech Center Loan ($78.2
million -- 8.3% of the pool), which represents a pari passu portion
of a $147.9 million mortgage loan. The loan is secured the
borrower's leasehold interest in a 21-story, Class A office
building in Brooklyn, NY. The property is situated within
Brookfield's MetroTech Center, a multi-block office campus which
totals approximately 5.5 million SF. The loan is on the watchlist
due to the upcoming June 2020 lease expiration of WellPoint Inc.,
representing 60% of the NRA and 61% of the 2018 base rent. At
securitization, WellPoint subleased 92% of their space to seven
subtenants and the loan was structured with cash sweeps (capped at
$4.4 million per year) to re-tenant the space. WellPoint has
confirmed they will not be renewing their lease and the loan's
tenant improvement reserve totaled $32.2 million as of September
2019. The property has benefited from a tax PILOT incentive that
began burning off in the 2018/2019 tax year and will be reduced by
10% per year until the PILOT amount is equal to the real property
taxes assessed. Moody's LTV and stressed DSCR are 85% and 1.14X,
respectively, compared to 82% and 1.18X at the last review.

The third largest loan is the City Creek Center Loan ($75.6 million
-- 8.1% of the pool), which is secured by a 348,537 SF portion of a
628,934 SF regional mall located in Salt Lake City, Utah. City
Creek Center opened in March 2012 and is part of a $1.5 billion
mixed-used redevelopment of downtown Salt Lake City. In addition to
the subject property, the development contains 2.1 million SF of
office space, 800 multi-family units and a 4,000-space subterranean
garage. The center is anchored by Macy's and Nordstrom. Both anchor
units are owned by their respective tenants and are not contributed
as collateral for the loan. The borrower owns a leasehold interest
in the majority of the collateral and a fee interest in three
restaurants. The ground-lease is with the Church of Latter-day
Saints with an initial term of 30 years through March 21, 2042 and
four additional 10-year options. As of June 2019, the property was
97% leased, compared to 100% at year-end 2018. However, the
property's year-end 2018 NOI was nearly 15% lower than underwritten
levels, primarily due to increased operating expenses. Additionally
as part of its bankruptcy filing in September 2019, Forever 21
(38,225 SF, 11% of the NRA, 9.1% of 2018 base rent), included this
location as one of its underperforming stores it may close. The
loan has amortized 11% since securitization and Moody's LTV and
stressed DSCR are 86% and 1.10X, respectively, compared to 75% and
1.23X at the last review.


MORGAN STANLEY 2014-C17: DBRS Cuts Rating on Cl. F Certs to B(low)
------------------------------------------------------------------
DBRS Limited downgraded two classes of the Commercial Mortgage
Pass-Through Certificates, Series 2014-C17 issued by Morgan Stanley
Bank of America Merrill Lynch Trust 2014-C17 as follows:

-- Class F downgraded to B (low) (sf) from B (sf)
-- Class X-C downgraded to B (sf) from B (high) (sf)

DBRS Morningstar also confirmed the ratings on the following
classes:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class PST at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)

In addition, DBRS Morningstar changed the trends on Classes E, F
and X-C to Negative from Stable. All other trends are Stable.

The Class PST certificates are exchangeable for the Class A-S,
Class B and Class C certificates (and vice versa).

The rating downgrades and Negative trend changes reflect DBRS
Morningstar's concerns regarding two loans in the top 15 that are
currently in special servicing, including the second-largest loan,
Aspen Heights – Statesboro (Prospectus ID#4; 6.0% of the current
pool balance), which has been in special servicing since April 2019
and real estate owned (REO) as of June 2019. The property is a
339-unit 1,087-bed student housing property in Statesboro, Georgia,
located 2.0 miles south of Georgia Southern University (GSU).
Occupancy at the property declined to 81.4% as of the March 2019
rent roll, down from 92.1% as at YE2016. This is a result of a
declining student population at GSU, which dropped by 9.4% from
2017 to 2018 with 18,499 students enrolled, the lowest since 2008.
The July 2019 appraisal obtained by the special servicer provided
an as-is value of $47.3 million, which is a significant decline
from the issuance value of $69.1 million. Based on the as-is value,
DBRS Morningstar assumed a loss severity approaching 25.0% for this
review; however, the final resolution could result in a higher loss
severity, as the property will continue to face headwinds over the
near to medium term and investor demand is expected to be tepid
given the market and cash flow history. Thus, due to the
possibility of a higher loss severity than implied by the most
recent value, DBRS Morningstar changed the trends on the Class E, F
and X-C certificates to Negative.

The second loan in special servicing is Holiday Inn Houston
Intercontinental Airport (Prospectus ID#17; 2.3% of the current
pool balance). The loan has been in special servicing since March
2017, and the property has been REO since July 2018. The collateral
is a 414-key full-service hotel located in Houston. Performance
declines came to a head in 2017 when the borrower could not
complete required performance improvement plan renovations as
required by the franchisor and the franchise agreement went into
default. The servicer has worked with the franchisor to negotiate
the franchise agreement's reinstatement, and the required
improvements are expected to be completed by November 2019. For
this review, DBRS Morningstar assumed a full loss on the loan based
on the most recent as-is appraised value of $15.9 million as of
April 2019.

There has been a collateral reduction of 20.9% since issuance, with
60 of the original 67 loans remaining in the pool as of the
September 2019 remittance report. The majority of the remaining
loans in the pool were structured with ten-year terms that will
mature in 2024. Four loans are fully defeased, representing 2.3% of
the pool. Loans representing 97.2% of the pool reported YE2018
financials with a weighted-average (WA) debt service coverage ratio
(DSCR) and debt yield of 1.69 times (x) and 10.7%, respectively.
The largest 15 loans reported YE2018 financials with a WA DSCR and
WA debt yield of 1.55x and 10.6%, respectively, representing a WA
cash flow improvement of 6.1% over the DBRS Morningstar Net Cash
Flow figures derived at issuance. As of the September 2019
remittance, there are four loans (including one in the top 15),
representing 5.0% of the pool, on the servicer's watchlist. Three
loans are being monitored for declines in performance, while one
loan was flagged for failure to submit financials.

Classes X-A, X-B and X-C and are interest-only (IO) certificates
that reference a single rated tranche or multiple rated tranches.
The IO rating mirrors the lowest-rated applicable reference
obligation tranche adjusted upward by one notch if senior in the
waterfall.

Notes: All figures are in U.S. dollars unless otherwise noted.


OBX TRUST 2019-EXP3: Fitch Assigns Bsf Rating on Class B-5 Debt
---------------------------------------------------------------
Fitch Ratings assigned final ratings to OBX 2019-EXP3 Trust.

OBX 2019-EXP3

                   Current Rating      Previous Rating

Class 1-A-1;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-10;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-11;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-11X;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-12;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-2;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-3;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-4;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-5;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-6;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-7;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-8;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-9;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO1;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO2;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO3;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO4;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO5;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO6;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO71; LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO72; LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO81; LT AAAsf New Rating; previously at AAA(EXP)sf

Class 1-A-IO82; LT AAAsf New Rating; previously at AAA(EXP)sf

Class 2-A-1;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 2-A-1A;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class 2-A-1B;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class 2-A-2;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 2-A-3;    LT AAAsf New Rating; previously at AAA(EXP)sf

Class 2-A-IO;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class B-1;      LT AA-sf New Rating; previously at AA-(EXP)sf

Class B-3;      LT BBBsf New Rating; previously at BBB(EXP)sf

Class B-4;      LT BBsf New Rating;  previously at BB(EXP)sf

Class B-5;      LT Bsf New Rating;   previously at B(EXP)sf

Class B-6;      LT NRsf New Rating;  previously at NR(EXP)sf

Class B1-A;     LT AA-sf New Rating; previously at AA-(EXP)sf

Class B1-IO;    LT AA-sf New Rating; previously at AA-(EXP)sf

Class B2-1;     LT A+sf New Rating;  previously at A+(EXP)sf

Class B2-1-A;   LT A+sf New Rating;  previously at A+(EXP)sf

Class B2-1-IO;  LT A+sf New Rating;  previously at A+(EXP)sf

Class B2-2;     LT Asf New Rating;   previously at A(EXP)sf

Class B2-2-A;   LT Asf New Rating;   previously at A(EXP)sf

Class B2-2-IO;  LT Asf New Rating;   previously at A(EXP)sf

TRANSACTION SUMMARY

The notes are supported by 735 loans with a total unpaid principal
balance of approximately $465.5 million as of the cut-off date. The
pool consists of fixed-rate mortgages (FRMs) and adjustable-rate
mortgages (ARMs) acquired by Annaly Capital Management, Inc. from
various originators and aggregators. Distributions of principal and
interest and loss allocations are based on a traditional
senior-subordinate, shifting-interest Y-structure.

The 'AAAsf' rating on the class A notes reflects the 12.60%
subordination provided by the 1.60% class B-1, 3.50% class B2-1,
2.00% class B2-2, 2.15% class B-3, 1.50% class B-4, 0.65% class B-5
and 1.20% class B-6 notes.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists primarily
of 30-year fixed-rate and adjustable-rate fully amortizing loans to
borrowers with strong credit profiles, relatively low leverage and
large liquid reserves. The loans are seasoned an average of 15
months. The pool has a weighted average (WA) model FICO score of
757, high average balance of $633,322 and a low sustainable
loan-to-value (sLTV) ratio of 65.8%.

Bank Statement and Investor property Concentration (Negative): The
pool also contains a meaningful amount of investor properties
(32.3%), non-qualified mortgage (non-QM) or higher-priced qualified
mortgage (HPQM) loans (60.6%), and non-full documentation loans
(62.8%). Fitch's loss expectations reflect the higher default risk
associated with these attributes as well as loss severity
adjustments for potential ability-to-repay (ATR) challenges. Higher
LS assumptions are assumed for the investor property product to
reflect potential risk of a distressed sale or disrepair.

Low Operational Risk (Positive): Operational risk is
well-controlled in this transaction. Annaly employs an effective
loan aggregation process and has an 'Average' assessment from
Fitch. Approximately 78.6% of the loans are being serviced by
Select Portfolio Servicing, Inc. (SPS), which is rated 'RPS1-', and
the remaining 21.4% is being serviced by Specialized Loan
Servicing, LLC (SLS), which is rated 'RPS2' for this product. The
issuer's retention of at least 5% of the bonds helps ensure an
alignment of interest between issuer and investor.

Representation and Warranty Framework (Negative): Fitch considers
the transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be consistent with Tier 2 quality. The RW&Es
are being provided by Onslow Bay Financial, LLC, which does not
have a financial credit opinion or public rating from Fitch. While
an automatic review can be triggered by loan delinquencies and
losses, the triggers can toggle on and off from period to period.
Additionally, a high threshold of investors is needed to direct the
trustee to initiate a review. The Tier 2 framework and non-rated
counterparty resulted in a loss penalty of 73 bps AAAsf.

Third-Party Due Diligence (Positive): A very low incidence of
material defects was found in the third-party credit, compliance
and valuation due diligence performed on 100% of loans where
applicable. A third party review (TPR) was conducted by AMC,
Clayton and IngletBlair; both AMC and Clayton are assessed by Fitch
as 'Acceptable - Tier 1' and IngletBlair is assessed as 'Acceptable
- Tier 2'. The due diligence results are in line with industry
averages, and based on loan count, 99% were graded 'A' or 'B'.
Since loan exceptions either had strong mitigating factors or were
accounted for in Fitch's loan loss model, no additional adjustments
were made. The model credit for the high percentage of loan level
due diligence combined with the adjustments for loan exceptions
reduced the 'AAAsf' loss expectation by 31 bps.

Servicing Advancing (Neutral): Advances of delinquent P&I will be
made on the mortgage loans for the first 120 days of delinquency to
the extent such advances are deemed recoverable. P&I advances will
be made from amounts on deposit for future distribution, the excess
servicing strip fee that would otherwise be allocable to the class
A-IO-S notes and the P&I advancing party fee. If such amounts are
insufficient, the P&I advancing party (Onslow Bay Financial LLC)
will be responsible for any remaining amounts. In the event the
underlying obligations are not fulfilled, Wells Fargo Bank, N.A.,
as master servicer, will be required to make advances.

High California Concentration (Negative): Approximately 48.0% of
the pool is located in California, which is higher than many other
recent Fitch-rated transactions. In addition, the metropolitan
statistical area (MSA) concentration is large, as the top three
MSAs (Los Angeles, New York and San Francisco) account for 58.8% of
the pool. As a result, a geographic concentration penalty of 1.14x
was applied to the probability of default (PD).

Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocations are based on a traditional senior-subordinate,
shifting-interest Y-structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The applicable
credit support percentage feature redirects subordinate principal
to classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordination floor
of 1.90% of the original balance will be maintained for the notes.
Additionally, there is no early stepdown test that might allow
principal prepayments to subordinate bondholders earlier than the
five-year lockout schedule.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the notes.
Furthermore, the expenses to be paid from the trust are capped at
$275,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

RATING SENSITIVITIES

Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.

Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10.0%, 20.0%, and 30.0%, in addition to the
model-projected 3.1%. The analysis indicates there is some
potential rating migration with higher MVDs, compared with the
model projection.

Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.


PSMC TRUST 2019-3: Fitch Rates Class B-5 Debt 'Bsf'
---------------------------------------------------
Fitch Ratings assigned final ratings to American International
Group, Inc.'s PSMC 2019-3 Trust.

RATING ACTIONS

PSMC 2019-3 Trust
  
Class A-1;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-10;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-11;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-12;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-13;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-14;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-15;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-16;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-17;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-18;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-19;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-2;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-20;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-21;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-22;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-23;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-24;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-25;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-26;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-3;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-4;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-5;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-6;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-7;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-8;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-9;   LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X1;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X10; LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X11; LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X2;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X3;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X4;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X5;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X6;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X7;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X8;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class A-X9;  LT AAAsf New Rating; previously at AAA(EXP)sf

Class B-1;   LT AAsf New Rating;  previously at AA(EXP)sf

Class B-2;   LT Asf New Rating;   previously at A(EXP)sf

Class B-3;   LT BBBsf New Rating; previously at BBB(EXP)sf

Class B-4;   LT BBsf New Rating;  previously at BB(EXP)sf

Class B-5;   LT Bsf New Rating;   previously at B(EXP)sf

Class B-6;   LT NRsf New Rating;  previously at NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by one collateral group that consists of
414 prime fixed-rate mortgages (FRMs) acquired by subsidiaries of
AIG from various mortgage originators with a total balance of
approximately $298.61 million as of the cut-off date.

The 'AAAsf' rating on the class A notes reflects the 4.45%
subordination provided by the 1.70% class B-1, 1.15% class B-2,
0.85% class B-3, 0.35% class B-4, 0.15% class B-5 and 0.25% class
B-6 notes.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year fixed-rate fully amortizing Safe Harbor
Qualified Mortgage (SHQM) loans to borrowers with strong credit
profiles, relatively low leverage, and large liquid reserves. The
loans are seasoned an average of three months. The pool has a
weighted average (WA) original FICO score of 777, which is
indicative of very high credit-quality borrowers. Approximately 88%
of the loans have a borrower with an original FICO score above 750.
In addition, the original WA CLTV ratio of 69.0% represents
substantial borrower equity in the property and reduced default
risk.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. AIG has strong operational practices and
is an 'Above Average' aggregator. The aggregator has experienced
senior management and staff, strong risk management and corporate
governance controls, and a robust due diligence process. Primary
and master servicing functions will be performed by Cenlar FSB and
Wells Fargo Bank, N.A., rated 'RPS2'/Outlook Stable and
'RMS1-'/Outlook Stable, respectively.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of loans in the transaction by AMC
Diligence, LLC (AMC) and Opus Capital Markets Consultants LLC
(Opus), respectively assessed as Acceptable - Tier 1 and Acceptable
- Tier 2 by Fitch. The results of the review identified no material
exceptions. Credit exceptions were supported by strong mitigating
factors and compliance exceptions were primarily TRID related and
cured with subsequent documentation. Fitch applied a credit for the
high percentage of loan level due diligence, which reduced the
'AAAsf' loss expectation by 18 bps.

Top Tier Representation and Warranty Framework (Positive): The
loan-level representation, warranty and enforcement (RW&E)
framework is consistent with Tier I quality. Fitch reduced its loss
expectations by 16 bps at the 'AAAsf' rating category as a result
of the Tier 1 framework and the 'A' Fitch-rated counterparty
supporting the repurchase obligations of the RW&E providers.

Straightforward Deal Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordination floor
of 1.25% of the original balance will be maintained for the
certificates. The floor is sufficient to protect against the seven
largest loans defaulting at Fitch's 'AAAsf' average loss severity
of 40.83%. Additionally, the stepdown tests do not allow principal
prepayments to subordinate bondholders in the first five years
following deal closing.

Geographic Concentration (Neutral): The pool is geographically
diverse and as a result, no geographic concentration penalty was
applied. Approximately 42% of the pool is located in California,
which is in line with other recent Fitch-rated transactions. The
top three metropolitan statistical areas (MSAs) account for 32.7%
of the pool. The largest MSA concentration is in the San Francisco
MSA (15.0%), followed by the Los Angeles MSA (11.5%) and the
Seattle MSA (6.2%).

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the certificates.
Furthermore, the expenses to be paid from the trust are capped at
$300,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

RATING SENSITIVITIES

Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the MSA and national levels. The implied
rating sensitivities are only an indication of some of the
potential outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction.

Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 5%. The analysis indicates there is some potential
rating migration with higher MVDs, compared with the model
projection.

Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.


RAAC TRUST 2007-RP2: Moody's Hikes Class A Debt Rating to Ba1
-------------------------------------------------------------
Moody's Investors Service upgraded the ratings of five tranches
from three transactions backed by Scratch and Dent loans.

Complete rating actions are as follows:

Issuer: RAAC Series 2005-RP2 Trust

Cl. M-3, Upgraded to Aaa (sf); previously on Aug 21, 2018 Upgraded
to Aa1 (sf)

Cl. M-4, Upgraded to Aa3 (sf); previously on Aug 21, 2018 Upgraded
to A1 (sf)

Cl. M-5, Upgraded to Baa3 (sf); previously on Aug 21, 2018 Upgraded
to Ba1 (sf)

Issuer: RAAC Series 2007-RP1 Trust

Cl. A, Upgraded to Baa1 (sf); previously on Nov 22, 2016 Upgraded
to Baa3 (sf)

Issuer: RAAC Series 2007-RP2 Trust

Cl. A, Upgraded to Ba1 (sf); previously on Nov 22, 2016 Upgraded to
Ba3 (sf)

RATINGS RATIONALE

The rating upgrade is primarily due to improvement in credit
enhancement available to the bonds. The rating actions reflect the
recent performance and Moody's updated loss expectations on the
underlying pools.

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in February 2019.

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 3.5% in September 2019 from 3.7% in
September 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.



SCF EQUIPMENT 2019-2: Moody's Assigns B3 Rating on Class F Notes
----------------------------------------------------------------
Moody's Investors Service, assigned definitive ratings to the
Equipment Contract Backed Notes, Series 2019-2, Class A, Class B,
Class C, Class D, Class E, and Class F issued by SCF Equipment
Leasing 2019-2 LLC and SCF Equipment Leasing Canada 2019-2 Limited
Partnership. Stonebriar Commercial Finance LLC (unrated) along with
its Canadian counterpart - Stonebriar Commercial Finance Canada
Inc. (unrated) are the originators and Stonebriar alone will be the
servicer of the assets backing this transaction. The issuers are
wholly-owned, limited purpose subsidiaries of Stonebriar and
Stonebriar Commercial Finance Canada Inc. The assets in the pool
will consist of loan and lease contracts, secured primarily by
railcars, corporate aircraft, manufacturing and assembly equipment,
and transportation equipment.

The complete rating actions are as follows:

Issuer: SCF Equipment Leasing 2019-2 LLC/SCF Equipment Leasing
Canada 2019-2 L.P.

Class A-1 Notes, Definitive Rating Assigned Aaa (sf)

Class A-2 Notes, Definitive Rating Assigned Aaa (sf)

Class B Notes, Definitive Rating Assigned Aa2 (sf)

Class C Notes, Definitive Rating Assigned A3 (sf)

Class D Notes, Definitive Rating Assigned Baa2 (sf)

Class E Notes, Definitive Rating Assigned Ba3 (sf)

Class F Notes, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

The Series 2019-2 transaction is the sixth securitization sponsored
by Stonebriar and fifth that Moody's rates. Stonebriar was founded
in 2015 and is led by a management team with an average of over 25
years of experience in equipment financing.

The definitive ratings that Moody's assigned to the notes are
primarily based on; the experience of Stonebriar's management team
and the company as servicer; U.S. Bank National Association
(long-term deposits Aa1/ long-term CR assessment Aa2(cr),
short-term deposits P-1, BCA aa3) as backup servicer for the
contracts; the weak credit quality and concentration of the
obligors backing the loans and leases in the pool; the assessed
value of the collateral backing the loans and leases in the pool;
the credit enhancement, including overcollateralization, excess
spread and non-declining reserve account and the sequential pay
structure.

At closing the Class A, Class B, Class C, Class D, Class E and
Class F notes benefit from 35.00%, 26.00%, 18.25%, 16.50%, 12.00%
and 6.50% of hard credit enhancement, respectively. Hard credit
enhancement for the notes consists of a combination of initial
overcollateralization of 3.50% which will build to a target of
7.50% of the outstanding pool balance with a floor of 5.50% of the
initial pool balance, a 1.50% fully funded, non-declining reserve
account and subordination. The notes will also benefit from excess
spread.

The equipment loans and leases that will back the notes were
extended primarily to middle market obligors and are secured by
various types of equipment including; aircraft, railcars,
manufacturing and assembly equipment, transportation equipment, and
a training facility.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in March 2019.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Moody's could upgrade the ratings on the notes if levels of credit
protection are greater than necessary to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or lower than
expected depreciation in the value of the equipment that secure the
obligor's promise of payment. As the primary drivers of
performance, positive changes in the US macro economy and the
performance of various sectors where the obligors operate could
also affect the ratings.

Down

Moody's could downgrade the ratings of the notes if levels of
credit protection are insufficient to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be worse than its original expectations because of higher
frequency of default by the underlying obligors of the contracts or
a greater than expected deterioration in the value of the equipment
that secure the obligor's promise of payment. As the primary
drivers of performance, negative changes in the US macro economy
could also affect Moody's ratings. Other reasons for worse
performance than Moody's expectations could include poor servicing,
error on the part of transaction parties, lack of transaction
governance and fraud.


TOWD POINT 2019-HY3: Moody's Assigns B2 Rating on Cl. B2 Notes
--------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to ten
classes of notes issued by Towd Point Mortgage Trust 2019-HY3.

The notes are backed by one pool of 2,758 predominantly seasoned
performing adjustable-rate residential mortgage loans. The
borrowers have a non-zero updated weighted average FICO score of
700 and a weighted average current combined LTV of 61.8% as of
September 30, 2019. First lien loans comprise about 100% of the
pool by balance and about 86.4% of the pool by balance consists of
non-modified seasoned performing loans. Select Portfolio Servicing,
Inc. and Specialized Loan Servicing LLC will be the primary
servicer for 95.8% and 4.2% of the collateral pool by balance,
respectively. FirstKey Mortgage, LLC will be the asset manager for
the transaction.

The complete rating actions are as follows:

Issuer: Towd Point Mortgage Trust 2019-HY3

Cl. A1, Definitive Rating Assigned Aaa (sf)

Cl. A1A, Definitive Rating Assigned Aaa (sf)

Cl. A1B, Definitive Rating Assigned Aaa (sf)

Cl. A2, Definitive Rating Assigned Aa2 (sf)

Cl. A3, Definitive Rating Assigned Aa1 (sf)

Cl. A4, Definitive Rating Assigned A1 (sf)

Cl. M1, Definitive Rating Assigned A1 (sf)

Cl. M2, Definitive Rating Assigned Baa3 (sf)

Cl. B1, Definitive Rating Assigned Ba2 (sf)

Cl. B2, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss on TPMT 2019-HY3's collateral pool is 1.70%
in its base case scenario and 10.65% at a stress level consistent
with the Aaa (sf) rating. Its loss estimate takes into account the
historical performance of the loans that have similar collateral
characteristics as the loans in the pool, and also incorporate an
expectation of a continued strong credit environment for RMBS,
supported by a current strong housing price environment.

Moody's estimated expected losses using two approaches -- (1)
pool-level approach, and (2) re-performing loan level analysis. In
the pool-level approach, Moody's estimated losses on the pool by
applying its assumptions on expected future delinquencies, default
rates, loss severities and prepayments as observed on similar
seasoned collateral. Moody's projected future annual delinquencies
for eight years by applying an initial annual default rate
assumption adjusted for future years through delinquency burnout
factors. The delinquency burnout factors reflect its future
expectations of the economy and the U.S. housing market. Based on
the loan characteristics of the pool and the demonstrated pay
histories, Moody's applied an initial expected annual delinquency
rate of 4.6% for first lien loans for year one. Moody's then
calculated future delinquencies using default burnout and voluntary
conditional prepayment rate (CPR) assumptions. Moody's aggregated
the delinquencies and converted them to losses by applying pool
specific lifetime default frequency and loss severity assumptions.
Its default, CPR and loss severity assumptions are based on actual
observed performance of seasoned performing, re-performing modified
loans and prior TPMT deals. In applying its loss severity
assumptions, Moody's accounted for the lack of principal and
interest advancing in this transaction. Of note, since the overall
profile of this pool is more similar to seasoned performing pools,
Moody's applied seasoned performing loss assumptions to this pool
to derive collateral losses.

Moody's also conducted a loan level analysis on TPMT 2019-HY3's
collateral pool. Moody's applied loan-level baseline lifetime
propensity to default assumptions and considered the historical
performance of seasoned loans with similar collateral
characteristics and payment histories. Moody's then adjusted this
base default propensity up for, if any, (1) adjustable-rate loans,
(2) loans that have the risk of coupon step-ups and (3) loans with
high updated loan to value ratios (LTVs). Moody's applied a higher
baseline lifetime default propensity for interest-only loans, using
the same adjustments. To calculate the final expected loss for the
pool, Moody's applied a loan-level loss severity assumption based
on the loans' updated estimated LTVs. Moody's further adjusted the
loss severity assumption upwards for loans in states that give
super-priority status to homeowner association (HOA) liens, to
account for potential risk of HOA liens trumping a mortgage.

The final expected loss for the collateral pool also reflects the
due diligence findings of three independent third-party review
(TPR) firms as well as its assessment of TPMT 2019-HY3's
representations & warranties (R&Ws) framework.

Unlike previous TPMT transactions Moody's has rated, FirstKey, as
seller, is not required to pay by the 18th month after the closing
date unpaid property taxes (or any resulting liens from such unpaid
taxes) or overdue payments for energy lien deficiency that exist at
closing and that may have priority over the lien of the related
mortgage, unless FirstKey, as asset manager, verifies, based on
information provided by the servicer, that all such unpaid property
taxes or energy lien deficiency either: (i) have been extinguished
by the related servicer or have otherwise been satisfied, (ii) have
been previously paid, (iii) are invalid, or (iv) constitute a lien
or charge that is subordinate to that of the related mortgage.
Consequently, the seller is no longer required to repurchase
mortgage loans for which it has not paid such delinquent taxes and
liens by the end of the 18th month after the closing date or for
which none of the conditions in clauses (i) to (iv) above have been
satisfied.

While Moody's considers this change to the roles of the asset
manager and seller to be credit negative, Moody's did not make an
adjustment to its loss levels because: (1) the amount of such
delinquent taxes and liens is small relative to the aggregate
unpaid principal balance of the pool at 0.13% and (2) the related
servicer will make a servicing advance for the payment of HOA
liens, energy lien deficiencies, real estate property taxes and
other municipal charges, but only to the extent necessary to
protect the lien of the related mortgage.

Collateral Description

TPMT 2019-HY3's collateral pool is primarily comprised of seasoned
performing first lien adjustable-rate mortgage loans. Approximately
14% of the loans in the collateral pool have been previously
modified. The majority of the loans underlying this transaction
exhibit collateral characteristics similar to that of seasoned
Alt-A mortgages.

This transaction has a higher proportion of loans for which the
value of the related underlying property was updated through an
automated valuation model (AVM) at 23% of the collateral balance.
Moody's applied a haircut to the AVM valuations since Moody's
considers AVM valuations to be less precise than broker price
opinions (BPOs). BPOs were used to update the property valuations
for 77% of the collateral pool.

Moody's based its expected loss on the pool on its estimates of 1)
the default rate on the remaining balance of the loans and 2) the
principal recovery rate on the defaulted balances. The two factors
that most strongly influence a re-performing mortgage loan's
likelihood of re-default are the length of time that the loan has
performed since modification, and the amount of the reduction in
monthly mortgage payments as a result of modification. The longer a
borrower has been current on a re-performing loan, the less likely
they are to re-default. Approximately 83.9% of the borrowers of the
loans in the collateral pool have been current on their payments
for the past 72 months or more under the OTS method.

Transaction Structure

TPMT 2019-HY3 has a sequential priority of payments structure, in
which a given class of notes can only receive principal payments
when all the classes of notes above it have been paid off.
Similarly, losses will be applied in the reverse order of priority.
The Class A1A, A1B, A2, M1, M2, B1, B2, B3 and B4 notes carry a
floating-rate coupon indexed to one-month LIBOR and subject to the
collateral adjusted net WAC and applicable available funds cap. The
Class A1, A3, and A4 notes are floating-rate notes where the coupon
is equal to the weighted average of the note rates of the related
exchange notes. The Class B5 notes are principal-only notes. There
are no performance triggers in this transaction. Additionally, the
servicer will not advance any principal or interest on delinquent
loans.

Moody's coded TPMT 2019-HY3's cashflows using its proprietary
cashflow tool. To assess the final rating on the notes, Moody's ran
96 different loss and prepayment scenarios through SFW. The
scenarios encompass six loss levels, four loss timing curves, and
four prepayment curves.

Third-Party Review

Three independent third-party review (TPR) firms -- Clayton
Services, LLC, AMC Diligence, LLC and Westcor Land Title Insurance
Company -- conducted due diligence for the transaction. Due
diligence was performed on about 71.0% of the loans by unpaid
principal balance in TPMT 2019-HY3's collateral pool for regulatory
compliance, 71.0% for data integrity, 70.2% for pay string history,
and 100% for title and tax review. The TPR firms reviewed
compliance, data integrity and key documents to verify that loans
were originated in accordance with federal, state and local
anti-predatory laws. The TPR firms conducted audits of designated
data fields to ensure the accuracy of the collateral tape.

Based on its analysis of the third-party review reports, Moody's
determined that a portion of the loans had legal or compliance
exceptions that could cause future losses to the trust. Moody's
incorporated an additional increase to its expected losses for
these loans to account for this risk. FirstKey Mortgage, LLC
retained AMC and Westcor to review the title and tax reports for
the loans in the pool, and will oversee AMC and Westcor and monitor
the loan sellers in the completion of the assignment of mortgage
chains. In addition, FirstKey expects a significant number of the
assignment and endorsement exceptions to be cleared within the
first eighteen months following the closing date of the
transaction. Moody's took these loans into account in its loss
analysis.

Representations & Warranties

Its ratings reflect TPMT 2019-HY3's weak representations and
warranties (R&Ws) framework. The representation provider, FirstKey
Mortgage, LLC is unrated by Moody's. Moreover, FirstKey's
obligations will be in effect for only thirteen months after
transaction settlement. The R&Ws themselves are weak because they
contain many knowledge qualifiers and the regulatory compliance R&W
does not cover monetary damages that arise from TILA violations
whose right of rescission has expired. While the transaction
provides a breach reserve account to cover for any breaches of
R&Ws, the target size of the account (0.25% of the current balance
of the Class A1A, A1B, A2, M1 and M2) is small relative to TPMT
2019-HY3's aggregate collateral pool.

Similar to recent TPMT transactions, the sponsor will not be
funding the breach reserve account at closing. On each payment
date, the paying agent will fund the reserve account from the Class
XS2 each month up to target balance based on the outstanding
principal balance of the Class A1A, A1B, A2, M1 and M2 notes. Since
its loss analysis already takes into account the weak R&W
framework, Moody's did not apply an additional penalty.

Transaction Parties

The transaction benefits from a strong servicing arrangement. SPS
and SLS will service 95.8% and 4.2% of TPMT 2019-HY3's collateral
pool, respectively. Moody's considers the overall servicing
arrangement for this pool to be better than average given the
ability and experience of the servicers, and the servicer oversight
from an experienced asset manager in FirstKey Mortgage, LLC. This
arrangement strengthens the overall servicing framework in the
transaction. U.S. Bank National Association is the indenture
trustee and custodian of the transaction. The Delaware Trustee is
Wilmington Trust, National Association.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from its original expectations
as a result of a lower number of obligor defaults or appreciation
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligors defaulting or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.

The methodologies used in these ratings were "Moody's Approach to
Rating Securitizations Backed by Non-Performing and Re-Performing
Loans" published in February 2019, and "US RMBS Surveillance
Methodology" published in February 2019.


TRTX 2019-FL3: DBRS Finalizes BB(low) Rating on Class F Notes
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings of the following
classes of Notes issued by TRTX 2019-FL3 Issuer, Ltd. (the
Issuer):

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable. Classes F and G have been privately placed.

The initial collateral consists of 22 floating-rate mortgage loans
secured by 98 mostly transitional real estate properties, with a
cut-off pool balance totaling more than $1.2 billion, excluding
approximately $231.8 million of future funding commitments. Most
loans are in a period of transition with plans to stabilize and
improve the asset value. During the Permitted Funded Companion
Participation Acquisition Period, the Issuer may acquire future
funding commitments and additional eligible loans subject to the
Eligibility Criteria. The transaction stipulates a $5.0 million
threshold on pari passu acquisitions before a rating agency
confirmation is required if there is already a participation of the
underlying loan in the trust.

For all floating-rate loans, DBRS Morningstar used the one-month
LIBOR index, which is based on the lower of a DBRS Morningstar
Stressed Rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. The pool exhibited a
relatively modestly high weighted-average (WA) issuance
loan-to-value ratio (LTV) of 69.4%, though the WA issuance LTV is
estimated to improve to 64.4% through stabilization. When the
cut-off date balances were measured against the DBRS Morningstar
As-Is NCF, ten loans representing 47.7% of the cut-off date pool
balance had a DBRS Morningstar As-Is DSCR below 1.00 times (x), a
threshold indicative of high default risk. Additionally, the DBRS
Morningstar Stabilized DSCR for four loans, representing 18.5% of
the initial pool balance, was below 1.00x, a threshold indicative
of elevated refinance risk. The properties are often transitional
with potential upside in cash flow. However, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if other loan structural features are insufficient to support
such treatment. Furthermore, even with the structure provided, DBRS
Morningstar generally does not assume the assets to stabilize above
market levels.

The loans are generally secured by traditional property types
(i.e., retail, multifamily and office). Additionally, none of the
multifamily loans in the pool are currently secured by
student-housing properties, which often exhibit higher cash flow
volatility than traditional multifamily properties. Eight loans,
representing 44.9% of the cut-off date pool balance, exhibited
either Average (+) or Above Average property quality. Six of the
loans were within the top ten loans. Additionally, only two loans,
representing 7.7% of the cut-off date pool balance, exhibited
either Average (-) or Below Average property quality. These loans
were the Jersey Portfolio II and Alister and Emerson Apartments,
respectively.

Eight loans, comprising nearly 39.0% of the cut-off date pool
balance, are secured by properties located in areas with a DBRS
Market Rank of 6, 7 or 8, which are characterized as urbanized
locations. These markets generally benefit from increased liquidity
that is driven by consistently strong investor demand. Such markets
therefore tend to benefit from lower default frequencies than less
dense suburban, tertiary or rural markets. Areas with a DBRS Market
Rank of 7 or 8 are especially densely urbanized and benefit from
significantly elevated liquidity. Five loans, comprising 24.5% of
the cut-off date pool balance. are secured by properties located in
these areas.

The borrowers of all 22 floating-rate loans have purchased LIBOR
rate caps that range from 2.5% to 4.5% to protect against rising
interest rates through the duration of the loan term. In addition
to the fulfillment of certain minimum performance requirements,
exercise of any extension options would also require the repurchase
of interest-rate cap protection through the duration of the
respectively exercised option.

The pool consists of transitional assets. Given the nature of the
assets, DBRS Morningstar determined a sample size, representing
79.2% of the cut-off date pool balance. This is higher than the
typical sample size for a traditional conduit commercial
mortgage-backed securities (CMBS) transaction. Physical site
inspections were also performed, including management meetings.
DBRS Morningstar also notes that when DBRS Morningstar analysts are
visiting the markets in the future, they may visit properties more
than once to follow the progress (or lack thereof) toward
stabilization. The service is also in constant contact with the
borrowers to track progress.

Based on the weighted initial pool balances, the overall WA DBRS
Morningstar As-Is DSCR of 1.00x is generally reflective of
high-leverage financing. Fortunately, the assets are generally well
positioned to stabilize, and any realized cash flow growth would
help to offset a rise in interest rates and also improve the
overall debt yield of the loans. DBRS Morningstar associates its
loss given default based on the assets' As-Is LTV that does not
assume that the stabilization plan and cash flow growth will ever
materialize.

The pool is heavily concentrated by property type with nine loans,
comprising 41.9% of the cut-off date pool balance, secured by
multifamily properties and eight loans comprising 33.5% of the
cut-off date pool balance secured by office properties. However,
loans secured by multifamily properties generally exhibit lower
average default frequencies relative to other commercial property
types. Additionally, no loans are secured by student-housing
multifamily properties, which often exhibit higher cash flow
volatility than traditional multifamily properties. As well,
traditional property types such as office, retail, industrial and
multifamily benefit from more readily available conventional
take-out financing than non-traditional property types such as
hospitality, self-storage and manufactured housing. The pool
features only two loans, comprising 10.6% of the cut-off date pool
balance, that are secured by hospitality properties, exclusive of
the Rockville Town Center loan, which is secured by a mixed-use
multifamily, hotel and retail property.

Twenty-two loans, comprising 100.0% of the cut-off date pool
balance, have floating interest rates. The aforementioned loans are
interest only during the original term and have original terms
ranging from 23 to 48 months, creating interest-rate risk.

All but one of the identified floating rate loans are short-term
loans with fully extended maximum loan terms of five years or less.
The single outlier (Lenox Park Portfolio) also has a relatively
short six-year fully extended loan term. Additionally, for all
floating-rate loans, DBRS Morningstar used the one-month LIBOR
index, which is based on the lower of a DBRS Morningstar Stressed
Rate that corresponded to the remaining fully extended term of the
loans or the strike price of the interest-rate cap with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. All identified floating-rate
loans have extension options and, in order to qualify for these
options, the loans must generally meet minimum leverage
requirements.

Twelve loans comprising 62.0% of the cut-off date pool balance
represent refinance financing. The refinance financings within this
securitization generally do not require the respective sponsor(s)
to contribute material cash equity as a source of funding in
conjunction with the mortgage loan, resulting in a lower sponsor
cost basis in the underlying collateral.

Of the 12 refinance loans, only three loans, comprising 19.5% of
the pool, reported occupancy of less than 80.0%. Additionally, the
12 refinance loans exhibited a WA growth between as-is and
stabilized appraised value estimates of 7.1% compared with the
overall WA appraised value growth of 20.5% for the pool. This
suggests that the refinance loans are generally closer to
stabilization than the acquisition loans, partially mitigating the
higher risk associated with a sponsor's lower cost basis.

Notes: All figures are in U.S. dollars unless otherwise noted.


VERUS SECURITIZATION 2019-4: DBRS Finalizes B Rating on B-2 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2019-4 (the
Certificates) issued by Verus Securitization Trust 2019-4 (the
Trust):

-- $454.0 million Class A-1 at AAA (sf)
-- $454.0 million Class A-1X at AAA (sf)
-- $454.0 million Class A-1B at AAA (sf)
-- $40.5 million Class A-2 at AA (sf)
-- $80.3 million Class A-3 at A (sf)
-- $50.0 million Class M-1 at BBB (sf)
-- $21.8 million Class B-1 at BB (sf)
-- $21.1 million Class B-2 at B (sf)

Class A-1X is an interest-only certificate. The class balance
represents a notional amount.

Classes A-1, A-1X and A1-B are exchangeable certificates. These
classes can be exchanged for combinations of exchange notes as
specified in the offering documents.

The AAA (sf) rating on the Class A-1 Certificates reflects 33.30%
of credit enhancement provided by subordinated Certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 27.35%, 15.55%, 8.00%, 5.00% and 1.65% of credit
enhancement, respectively.

Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.

This transaction is a securitization of a portfolio of fixed- and
adjustable-rate, expanded prime and non-prime, first-lien
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 1,451 mortgage loans with a total
principal balance of $680,699,684 as of the Cut-Off Date (October
1, 2019).

After the publication of the presale report on October 18, 2019,
one loan (representing 0.04% of the total balance) was dropped from
the pool. Unless specified otherwise, all the statistics regarding
the mortgage loans below are based on information provided as of
the presale report publication date.

The originators for the mortgage pool are Excelerate Capital
(Excelerate; 14.5%), Sprout Mortgage (Sprout; 12.8%) and other
originators, each comprising less than 10.0% of the mortgage loans.
The Servicers of the loans are Specialized Loan Servicing LLC (SLS;
5.7%) and Shellpoint Mortgage Servicing (Shellpoint; 94.3%).

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's Ability-to-Repay (ATR) rules, they
were made to borrowers who generally do not qualify for agency,
government or private-label non-agency prime jumbo products for
various reasons. In accordance with the Qualified Mortgage (QM)/ATR
rules, 80.5% of the loans are designated as non-QM, 0.6% as
QM-Rebuttable Presumption, and 0.5% as QM-Safe Harbor.
Approximately 18.4% of the loans are made to investors for business
purposes and, hence, are not subject to the QM/ATR rules.

The sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible horizontal residual interest
consisting of the Class B-2, Class B-3 and Class XS Certificates,
representing at least 5% of the Certificates to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.

On or after the earlier of (1) the three-year anniversary of the
Closing Date or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Administrator, at the Issuer's option, may redeem all
of the outstanding Certificates at a price equal to the class
balances of the related Certificates plus accrued and unpaid
interest, including any cap carryover amounts. After such purchase,
the Depositor must complete a qualified liquidation, which requires
(1) a complete liquidation of assets within the Trust and (2)
proceeds to be distributed to the appropriate holders of regular or
residual interests.

The Representation Provider will have the option, but not the
obligation, to repurchase any mortgage loan that becomes 90 or more
days delinquent at the repurchase price (par plus interest),
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.

The Servicers (or Advancing Party for loans serviced by Shellpoint)
will fund advances of delinquent principal and interest on any
mortgage until such loan becomes 180 days delinquent. The Servicers
are also obligated to make advances in respect of taxes, insurance
premiums and reasonable costs incurred in the course of servicing
and disposing of properties.

The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches.
Principal proceeds can be used to cover interest shortfalls on the
Certificates as the outstanding senior Certificates are paid in
full. Furthermore, reserve fund and excess spread can be used to
cover realized losses first before being allocated to unpaid cap
carryover amounts up to Class B-2.

Notes: All figures are in U.S. dollars unless otherwise noted.


WESTLAKE AUTOMOBILE 2019-3: DBRS Finalizes B Rating on Cl. F Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes (the Notes) issued by Westlake Automobile
Receivables Trust 2019-3 (Westlake 2019-3 or the Issuer):

-- $277,500,000 Class A-1 Notes at R-1 (high) (sf)
-- $492,600,000 Class A-2 Notes at AAA (sf)*
-- $115,490,000 Class B Notes at AA (sf)
-- $150,460,000 Class C Notes at A (sf)
-- $134,620,000 Class D Notes at BBB (sf)
-- $58,730,000 Class E Notes at BB (sf)
-- $70,600,000 Class F Notes at B (sf)

* DBRS Morningstar discontinued its provisional rating on the Class
A-2-B Notes and renamed the Class A-2-A Notes to the Class A-2
Notes.

The ratings are based on a review by DBRS Morningstar of the
following analytical considerations:

-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date for each class.

-- The credit quality of the collateral and performance of the
auto loan portfolio by origination channel.

-- The capabilities of Westlake Services, LLC (Westlake) with
regard to originations, underwriting and servicing.

-- The quality and consistency of provided historical static pool
data for Westlake originations and performance of the Westlake auto
loan portfolio.

-- Wells Fargo Bank, N.A. (rated AA/R-1 (high) with Stable trends
by DBRS Morningstar) has served as a backup servicer for Westlake
since 2003, when a conduit facility was put in place.

-- Westlake 2019-3 provides for Class F Notes with an assigned
rating of B (sf). While the DBRS Morningstar "Rating U.S. Retail
Auto Loan Securitizations" methodology does not set forth a range
of multiples for this asset class for the B (sf) level, the
analytical approach for this rating level is consistent with that
contemplated in the methodology. The typical range of multiples
applied in the DBRS Morningstar stress analysis for a B (sf) rating
is 1.00 times (x) to 1.25x.

-- The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
non-consolidation of the special-purpose vehicle with Westlake,
that the trust has a valid first-priority security interest in the
assets and the consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance" methodology.
The collateral securing the Notes consists entirely of a pool of
retail automobile contracts secured by predominantly used vehicles
that typically have high mileage. The loans are primarily made to
obligors who are categorized as subprime, largely because of their
credit history and credit scores.

The ratings on the Class A-1 and Class A-2 Notes reflect the 42.65%
of initial hard credit enhancement provided by the subordinated
Notes in the pool, the Reserve Account (1.00%) and
overcollateralization (1.50%). The ratings on the Class B, Class C,
Class D, Class E and Class F Notes reflect 33.90%, 22.50%, 12.30%,
7.85% and 2.50% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.

Notes: All figures are in U.S. dollars unless otherwise noted.


WFRBS COMMERCIAL 2011-C3: Fitch Cuts Class F Certs Rating to CCsf
-----------------------------------------------------------------
Fitch Ratings affirmed six classes and downgraded three classes of
Wells Fargo Bank, N.A. Commercial Mortgage Trust, commercial
mortgage pass-through certificates, series 2011-C3.

RATING ACTIONS

WFRBS Commercial Mortgage Trust 2011-C3

Class A-3 92935VAE8;   LT AAAsf Affirmed;  previously at AAAsf

Class A-3FL 92935VBE7; LT AAAsf Affirmed;  previously at AAAsf

Class A-4 92935VAG3;   LT AAAsf Affirmed;  previously at AAAsf

Class B 92935VAN8;     LT AAsf Affirmed;   previously at AAsf

Class C 92935VAQ1;     LT Asf Affirmed;    previously at Asf

Class D 92935VAS7;     LT BBsf Downgrade;  previously at BBB-sf

Class E 92935VAU2;     LT CCCsf Downgrade; previously at BBsf

Class F 92935VAW8;     LT CCsf Downgrade;  previously at Bsf

Class X-A 92935VAJ7;   LT AAAsf Affirmed;  previously at AAAsf

KEY RATING DRIVERS

Increased Loss Expectations; Specially Serviced Loans: The
downgrades to classes D, E and F reflect increased loss
expectations on the Fitch Loans of Concern (FLOCs; 16.6% of pool),
mainly from the two specially serviced loans, Park Plaza (9.6% of
pool) and Oakdale Mall (6%), which were transferred in June 2019
and June 2018, respectively.

The Park Plaza loan is secured by a 264,214 sf portion of a 561,550
sf regional mall located in Little Rock, AR. The property is
anchored by two non-collateral Dillard's stores. The loan
transferred to special servicing in June 2019 due to imminent
monetary default. Although occupancy was 94.2% as of July 2019,
five tenants (totaling 15.3% of collateral NRA) have confirmed
plans to vacate upon lease expiration, all in January 2020. The
servicer-reported NOI debt service coverage ratio (DSCR) was 1.10x
at YE 2018, compared with 1.17x at YE 2017 and 1.44x at YE 2016.

Comparable in-line sales have steadily declined, to $319 psf in
2018 from $349 psf in 2017, $391 psf in 2016 and $429 psf in 2015.
Additionally, Forever 21 (9.4% of NRA) represents the property's
second largest collateral tenant. However, it was not included on
the most recent store closure list and had previously renewed its
lease for five years through January 2023.

The Oakdale Mall loan is secured by a 706,559 sf portion of an
860,253 sf regional mall located in Johnson City, NY. The loan
transferred to special servicing in June 2018 for imminent monetary
default. The mall was initially anchored by Sears, Macy's,
JCPenney, Bon-Ton and Burlington Coat Factory. After the loss of
Macy's (March 2017), Sears (September 2017) and Bon-Ton (August
2018), the overall mall's physical occupancy declined to 43.1% as
of the August 2019 rent roll. The remaining achors are JCPenney and
Burlington Coat Factory. The collateral's physical occupancy, which
excludes the Sears owned box, declined to 51.1% as of August 2019
from 66.1% at YE 2017 and 85.4% at YE 2016.

The servicer-reported NOI DSCR at YE 2018 was 0.89x, compared with
1.46x at YE 2017 and 1.57x at YE 2016. Sixteen tenants (22.2% of
NRA) have exercised co-tenancy clauses due to the loss of the
anchor stores. The majority of the co-tenancy clauses allows for
the tenants to pay 4%-6% of sales in lieu of base rent, including
Burlington Coat Factory, which is paying 4%. Additionally, Forever
21 (1.6% of NRA) represents the property's fourth largest
collateral tenant and was included in a recent store closure list
following the company's September 2019 bankruptcy filing.

The last FLOC, Belleview Regional Shopping Center (1%), is secured
by a 204,474 sf retail center located in Belleview, FL. The
collateral has experienced declining occupancy and cash flow
following Winn Dixie (21.5% of NRA) vacating upon its April 2017
lease expiration. Kmart (40.6%) also closed in April 2018; however,
it will continue to make rental payments through its October 2020
lease expiration. Variety Wholesalers (Roses Discount Variety
Store) backfilled all of the former Winn Dixie space and began
operations in mid-2018. Additionally, the borrower is in the
process of committing $6 million-$7 million that includes a build
to suit/tear-down of the former Kmart box, and capex for a new
parking lot, new lighting, facade renovations and landscape
renovations.

Occupancy was 71% as of June 2019, compared with 71% at YE 2018,
77% at YE 2017 and 92% at YE 2016. NOI DSCR declined to 0.96x as of
June 2019 YTD from 1.11x at YE 2018, 1.49x at YE 2017 and 1.72x at
YE 2016. The loan remains current.

Increased Credit Enhancement: As of the October 2019 distribution
date, the pool's aggregate principal balance was reduced by 43.4%
to $818 million from $1.45 billion at issuance. Eighteen loans
(34.9% of pool) are fully defeased. One loan, CCPT III 11 Portfolio
(2.2%), is full-term, interest only. All other loans are currently
amortizing. Loan maturities are concentrated in 2020 (1.8%) and
2021 (96%). One loan (2.2%) has an ARD in 2021.

Alternative Loss Considerations: In addition to high base case
losses on the Park Plaza and Oakdale Mall loans, Fitch modeled
outsized losses of 50% and 100% respectively on the loans. The
downgrades to classes D, E and F and the Negative Rating Outlook on
class D incorporated the base case and alternative loss scenarios.

Additional Considerations

Pool and Regional Mall Concentrations: The top 10 and 15 loans
account for 64.2% and 74.9% of the pool, respectively. Four loans
(37.9%) are secured by regional malls.

RATING SENSITIVITIES

Further downgrades may occur should loss expectations increase on
the specially serviced loans or additional loans fail to refinance
at maturity. The Stable Rating Outlooks on classes A-3 through C
reflect the increased credit enhancement and expected continued
paydown. Rating upgrades, although unlikely due to pool
concentrations, may be realized with improved pool performance
and/or additional paydown or defeasance.


                            *********

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