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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, January 19, 2020, Vol. 24, No. 18

                            Headlines

ALLEGANY PARK: S&P Assigns BB- (sf) Rating to Class E Notes
ALLEGRO CLO XI: S&P Assigns BB- (sf) Rating to Class E-2 Notes
ANGEL OAK 2020-1: S&P Assigns Prelim B(sf) Rating to Cl. B-2 Certs
ANTARES CLO 2019-2: S&P Assigns Prelim BB- Rating to Cl. E Notes
APIDOS CLO XXXII: S&P Assigns Prelim BB-(sf) Rating to Cl. E Notes

APOLLO AVIATION 2014-1: Fitch Affirms BBsf Rating on Cl. C Debt
BANK 2018-BNK10: Fitch Affirms BB-sf Rating on 2 Tranches
BDS LTD 2020-FL5: DBRS Assigns Prov. B(low) Rating on Class G Notes
BRAZIL LOAN I: Fitch Affirms BB-sf Rating on Secured Notes
CARRINGTON MORTGAGE 2007-RFC1: Moody's Raises Cl. A-2 Debt to B1

CITIGROUP 2014-GC21: Fitch Affirms Bsf Rating on Class F Certs
CITIGROUP MORTGAGE 2007-WFHE1: Moody's Cuts Cl. M-1 Debt to B1
CITIGROUP MORTGAGE 2015-RP2: Moody's Hikes Cl. B-4 Debt to Ba1
COLT 2020-1: Fitch to Rate Class B-2 Certs 'B(EXP)'
CONNECTICUT AVENUE 2020-R01: Fitch to Rate 29 Tranches 'B(EXP)'

CPS AUTO 2020-A: DBRS Assigns Prov. B Rating on $6.5MM Cl. F Notes
CPS AUTO: DBRS Takes Actions on 14 Trust Transactions
CSAIL 2016-C5: Fitch Affirms B-sf Rating on Class F Certs
EXETER AUTOMOBILE 2018-4: S&P Hikes Cl. E Notes Rating to BB+ (sf)
FIRST EAGLE 2019-1: Moody's Rates $21.4MM Class D Notes 'Ba3'

FREED ABS 2020-1: Moody's Gives (P)Ba3 Rating to $48MM Cl. C Notes
GE COMMERCIAL 2005-C1: DBRS Confirms C Rating on 4 Cert. Classes
GS MORTGAGE 2010-C2: Fitch Affirms Bsf Rating on Class F Certs
GS MORTGAGE 2020-GC45: DBRS Gives Prov. B(low) Rating on SWD Certs
GS MORTGAGE 2020-PJJ1: Fitch to Rate Cl. B-5 Certs 'B(EXP)'

HARBORVIEW MORTGAGE 2005-8: Moody's Lowers Cl. 2-XA2 Debt to 'Csf'
JFIN CLO 2013: S&P Assigns Prelim BB- (sf) Rating to Cl. D-R Notes
JP MORGAN 2013-C16: Fitch Affirms Bsf Rating on Class F Certs
JP MORGAN 2020-LOOP: Moody's Assigns (P)B3 Rating on Cl. F Certs
JP MORGAN 2020-LTV1: Moody's Assigns (P)B3 Rating on 2 Tranches

NEW RESIDENTIAL 2020-1: DBRS Gives (P)B(high) Rating on 10 Tranches
NEW RESIDENTIAL 2020-1: Moody's Rates Class B-7 Notes 'B1(sf)'
OBX TRUST 2020-INV1: Moody's Assigns (P)B2 Rating on Cl. B-5 Debt
POPULAR ABS 2005-4: Moody's Hikes Class M-2 Debt Rating to Ca
RR 7: S&P Rates $16.25MM Class D Notes 'BB- (sf)'

SECURITIZED ASSET 2004-NC1: Moody's Ups Class M-2 Debt to Caa1
SOUND POINT XXV: Moody's Assigns Ba3 Rating on $18.9MM Cl. E Notes
TABERNA PREFERRED III: Moody's Hikes Class A-2A Notes Rating to B1
TOWD POINT 2015-1: Moody's Raises Class B1 Debt Rating to Ba3(sf)
TROPIC CDO V: Moody's Upgrades $51MM Class A-2L Notes to Ba3

TRUPS FINANCIALS 2019-2: Moody's Rates $47.3MM Cl. B Notes Ba2
WELLS FARGO 2012-C7: Fitch Affirms BBsf Rating on Class F Certs
[*] Moody's Upgrades $785.4-Mil. of RMBS Issued in 2003-2007

                            *********

ALLEGANY PARK: S&P Assigns BB- (sf) Rating to Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Allegany Park CLO
Ltd./Allegany Park CLO LLC's floating- and
fixed-rate notes.

The note issuance is a CLO securitization backed by a diversified
collateral pool, which consists primarily of broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.

The ratings reflect S&P's view of:

  -- The diversified collateral pool;

  -- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

  -- The collateral manager's experienced team, which can affect
the performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and

  -- The transaction's legal structure, which is expected to be
bankruptcy remote.

RATINGS ASSIGNED
Allegany Park CLO Ltd./Allegany Park CLO LLC

Class                Rating      Amount (mil. $)
A                    AAA (sf)            320.000
B-1                  AA (sf)              32.500
B-2                  AA (sf)              27.500
C (deferrable)       A (sf)               30.000
D (deferrable)       BBB- (sf)            30.000
E (deferrable)       BB- (sf)             19.000
Subordinated notes   NR                   45.595

NR--Not rated.


ALLEGRO CLO XI: S&P Assigns BB- (sf) Rating to Class E-2 Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Allegro CLO XI
Ltd./Allegro CLO XI LLC's fixed- and floating-rate notes.

The note issuance is CLO transaction backed primarily by broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.

The ratings reflect:

  -- The diversified collateral pool;

  -- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

  -- The collateral manager's experienced team, which can affect
the performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and

  -- The transaction's legal structure, which is expected to be
bankruptcy remote.

RATINGS ASSIGNED
Allegro CLO XI Ltd./Allegro CLO XI LLC

Class                  Rating       Amount (mil. $)
A-1a                   AAA (sf)              228.20
A-1b                   AAA (sf)               15.80
A-2a                   NR                      4.00
A-2b                   NR                     10.00
B (deferrable)         AA (sf)                46.00
C (deferrable)         A (sf)                 24.00
D (deferrable)         BBB- (sf)              20.00
E-1 (deferrable)(i)    BB- (sf)                9.00
E-2 (deferrable)(i)    BB- (sf)                9.00
Subordinated notes     NR                     38.00

(i)Classes E-1 and E-2 are paid sequentially. NR--Not rated.


ANGEL OAK 2020-1: S&P Assigns Prelim B(sf) Rating to Cl. B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Angel Oak
Mortgage Trust 2020-1's mortgage pass-through certificates.

The issuance is a residential mortgage-backed securities
transaction backed by U.S. residential mortgage loans.

The preliminary ratings are based on information as of Jan. 15,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty (R&W) framework;
and
-- The mortgage originators.

  PRELIMINARY RATINGS ASSIGNED
  Angel Oak Mortgage Trust 2020-1  

  Class       Rating(i)               Amount ($)
  A-1         AAA (sf)               228,480,000
  A-2         AA (sf)                 23,994,000
  A-3         A (sf)                  47,809,000
  M-1         BBB- (sf)               25,247,000
  B-1         BB (sf)                 12,714,000
  B-2         B (sf)                  12,534,000
  B-3         NR                       7,341,120
  A-IO-S      NR                        Notional(ii)
  XS          NR                        Notional(ii)
  R           N/A                            N/A

(i)The collateral and structural information in this report
reflects the term sheet dated Jan. 14, 2020. The preliminary
ratings address the ultimate payment of interest and principal.
(ii)The notional amount equals to the aggregate scheduled principal
balance of mortgage loans.
NR--Not rated.
N/A--Not applicable.


ANTARES CLO 2019-2: S&P Assigns Prelim BB- Rating to Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Antares CLO
2019-2 Ltd.'s fixed- and floating-rate notes.

The note issuance is a CLO transaction backed by primarily middle
market speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of Jan. 13,
2019. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversified collateral pool.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  PRELIMINARY RATINGS ASSIGNED
  Antares CLO 2019-2 Ltd.

  Class                     Rating       Amount (mil. $)
  A-1A                      AAA (sf)              200.00
  A-1B                      AAA (sf)               30.00
  A-2                       NR                      7.00
  B                         AA (sf)                38.90
  C (deferrable)            A (sf)                 30.00
  D (deferrable)            BBB- (sf)              22.10
  E (deferrable)            BB- (sf)               24.00
  Subordinated notes        NR                     48.80
  NR--Not rated.


APIDOS CLO XXXII: S&P Assigns Prelim BB-(sf) Rating to Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Apidos CLO
XXXII/Apidos CLO XXXII LLC's floating- and fixed-rate notes.

The note issuance is a CLO transaction backed by at least 90%
senior secured loans, with 80% of the loan issuers required to be
based in the U.S.

The preliminary ratings are based on information as of Jan. 14,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  PRELIMINARY RATINGS ASSIGNED
  Apidos CLO XXXII/Apidos CLO XXXII LLC

  Class                Rating      Amount (mil. $)
  X                    AAA (sf)               2.60
  A-1                  AAA (sf)             248.00
  A-2                  NR                    12.00
  B-1                  AA (sf)               34.00
  B-2                  AA (sf)               10.00
  C (deferrable)       A (sf)                24.00
  D (deferrable)       BBB- (sf)             22.00
  E (deferrable)       BB- (sf)              17.50
  Subordinated notes   NR                    34.50

  NR--Not rated.





APOLLO AVIATION 2014-1: Fitch Affirms BBsf Rating on Cl. C Debt
---------------------------------------------------------------
Fitch Ratings affirms Apollo Aviation Securitization Equity Trust
2014-1 Refinancing Loan, a 2018 Refinance and AASET 2018-1 Trust.

RATING ACTIONS

AASET 2018-1 Trust

Class A 000367AA0; LT Asf Affirmed;   previously at Asf

Class B 000367AB8; LT BBBsf Affirmed; previously at BBBsf

Class C 000367AC6; LT BBsf Affirmed;  previously at BBsf

AASET 2014-1, 2018 Refinance

Class A; LT Asf Affirmed;   previously at Asf

Class B; LT BBBsf Affirmed; previously at BBBsf

Class C; LT BBsf Affirmed;  previously at BBsf

KEY RATING DRIVERS

The affirmation of the outstanding class A, B and C notes in both
transactions reflects performance to date and ability of the notes
to pass stress scenarios in line with their current ratings.

For 2018-1, lease cash flow has been strong, and the notes are
paying as scheduled. There was one aircraft sale to date with
robust sales proceeds. In recent months, four aircraft were
grounded along with varying amounts in arrears from other lessees
leading to a decline in lease cash flows below initial
expectations, but the debt service coverage ratio (DSCR) still
remains above the trigger. As of the December 2019 distribution,
the DSCR was 1.69x, well above the set trigger level of 1.20x.

AASET 2014-1 experienced some stress over the past year, due to the
bankruptcy and subsequent repossession of several aircraft from
Germania, an airline which filed bankruptcy in early 2019, along
with varying amounts of arrears from other lessees. However, as a
result of six aircraft sales to date occurring in 2019, DSCR
remains above the trigger and payments on the senior notes are
ahead of the initial schedule.

For both transactions, assumptions for cash flow modelling
scenarios remained consistent with the initial review, with a few
exceptions. For both transactions, future lessee ratings during a
recessionary environment were assumed 'CCC'. Additionally, downtime
was assumed for grounded aircraft.

For 2018-1, Fitch assumed or revised three airline rating
assumptions as follows: Beijing Capital, SpiceJet, and Ukraine
International Airlines were all assumed at 'CCC'. For 2014-1, Fitch
assumed or revised six airline rating assumptions as follows: Air
Canada was revised to 'BB'; Tui Airways revised to 'BB-'; Air
Moldova, Corendon Dutch, SpiceJet and SriLankan Airlines were all
assumed at 'CCC'.

Further, Fitch expects certain aircraft to be sold in coming months
as per the servicer. Fitch also assumed additional downtime for
aircraft currently grounded to account for future uncertainty
around these leases.

Under these assumptions and stresses utilized in its cash flow
modeling for each transaction, each series of notes remains able to
pass their respective modeled stress scenarios, commensurate with
current ratings.

RATING SENSITIVITIES

Due to the correlation between global economic conditions and the
airline industry, the ratings may be impacted 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
transaction, either due to their nature or the way in which they
are being managed.


BANK 2018-BNK10: Fitch Affirms BB-sf Rating on 2 Tranches
---------------------------------------------------------
Fitch Ratings affirmed all ratings of BANK 2018-BNK10 Commercial
Mortgage Pass-Through Certificates, Series 2018-BNK10.

RATING ACTIONS

BANK 2018-BNK10

Class A-1 065404AW5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 065404AX3;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 065404AY1;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 065404BA2;  LT AAAsf Affirmed;  previously at AAAsf

Class A-5 065404BB0;  LT AAAsf Affirmed;  previously at AAAsf

Class A-S 065404BC8;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 065404AZ8; LT AAAsf Affirmed;  previously at AAAsf

Class B 065404BD6;    LT AA-sf Affirmed;  previously at AA-sf

Class C 065404BE4;    LT A-sf Affirmed;   previously at A-sf

Class D 065404AA3;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 065404AC9;    LT BB-sf Affirmed;  previously at BB-sf

Class X-A 065404BF1;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 065404BG9;  LT A-sf Affirmed;   previously at A-sf

Class X-D 065404AN5;  LT BBB-sf Affirmed; previously at BBB-sf

Class X-E 065404AQ8;  LT BB-sf Affirmed;  previously at BB-sf

KEY RATING DRIVERS

Stable Loss Expectations: The affirmations are based on the stable
performance of the underlying collateral. No loans have been
delinquent or transferred to special servicing since issuance.
Fitch has designated two (3.2%) loans as Fitch Loans of Concern
(FLOCs) primarily due to declining occupancy. One Newark Center
(2.7%), the largest FLOC, is secured by a 417,939 sf office
property built in 1992 and located in Newark, NJ. Occupancy as of
September 2019 was 95.7% but 14.2% of net rentable area (NRA) will
be vacating in early 2020 and an additional 1.7% rolled at the end
of 2019 and 8.9% have leases rolling in 2020. The loan had an
Interest-only NOI debt service coverage ratio (DSCR) of 2.73x at
June 2019 and 2.75x as of YE 2018. According to the borrower, the
second largest tenant, the department of housing and urban
development (11.9%) is on a short-term lease until February 2020
and a new 10-year lease will begin after a substantial portion of
the TI (Tenant Improvement) work has been completed. Additionally
the third largest tenant, the IRS (10.8%) with a lease that expired
Dec. 29, 2019, is expected to extend their lease. Five loans (3.7%)
are on the master servicer's watchlist. There have been no material
changes to the pool since issuance, therefore the original rating
analysis was considered in affirming the transaction.

Minimal Change to Credit Enhancement: There has been minimal change
to credit enhancement since issuance. As of the December 2019
distribution date, the pool's aggregate balance has been paid down
by 0.78% to $1.28 billion from $1.29 billion at issuance. All 68 of
the original loans remain in the pool and none are defeased. Twenty
four loans representing 54% of the pool are full-term interest-only
loans and 12 loans representing 21.2% of the pool remain in their
partial interest-only period. The pool is scheduled to amortize by
7.4% of the initial pool balance by maturity.

Pool and Loan Concentrations: The pool is in-line with recent
Fitch-rated transactions, with the top 10 loans representing 51.2%
of the pool by balance, comparable with the 2017 and 2018 averages
of 53.1% and 50.6%, respectively. Loans secured by office
properties represent 25.1% of the current pool by balance, retail
loans represent 22.2%, self storage loans represent 21.3% and
co-ops represent 4.5% of the pool.

Investment-Grade Credit Opinion Loans: At issuance, two loans had
investment-grade credit opinions. Apple Campus 3 (7.4% of the pool)
received a credit opinion of 'BBB-sf' on a stand-alone basis.
Moffett Towers II - Building 2 (3.2% of the pool) received a credit
opinion of 'BBB-sf' on a stand-alone basis.

RATING SENSITIVITIES

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

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.

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
transaction.


BDS LTD 2020-FL5: DBRS Assigns Prov. B(low) Rating on Class G Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes (the Notes) to be issued by BDS 2020-FL5 Ltd. (the Issuer):

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B as 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 will be privately placed.

The initial collateral consists of 24 floating-rate mortgage loans
secured by 26 mostly transitional real estate properties, with a
cut-off pool balance of approximately $492.2 million. During the
ramp-up period, the Issuer plans to acquire up to $57.8 million of
additional mortgage assets (the Ramp loans) using the proceeds from
the sale of the Notes, the Senior Preferred Shares, and the Junior
Preferred Shares that will comprise the remainder of the initial
portfolio of mortgage assets. The loans in the initial pool are
mostly secured by cash-flowing assets, most of which are in a
period of transition with plans to stabilize and improve the asset
value. The transaction has a two-year Reinvestment Period
(including a six-month ramp-up acquisition period) that is expected
to expire in February 2022. Reinvestment is subject to Eligibility
Criteria, which includes a rating agency condition by DBRS
Morningstar for funded companion participations that are being
acquired for more than $1.5 million and for any other mortgaged
assets. Additionally, DBRS Morningstar assessed the Ramp loans
using a worst-case pool construct, and as a result, the Ramp loans
have enhancement higher than the loan pool average.

The loans are generally secured by traditional property types
(i.e., retail, multifamily, and office) with only three loans,
comprising 10.7% of the cut-off date pool balance, secured by
hospitality properties. Additionally, only one of the multifamily
loans in the pool is secured by a student housing property, which
often exhibits higher cash flow volatility than traditional
multifamily properties. Only one loan, comprising 8.9% of the
initial pool balance, is secured by a property located in an area
with a DBRS Morningstar market rank of two or lower. Areas with a
DBRS Morningstar market rank of two or lower are generally
considered to be tertiary or rural markets. Additionally, four
loans, representing 14.7% of the initial pool balance, are secured
by properties located in areas with a DBRS Morningstar market rank
of six or higher. Areas with a DBRS Morningstar market rank of six
or higher are generally characterized as urbanized locations. 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. Areas with a DBRS Morningstar market
rank of seven or eight are especially densely urbanized and benefit
from significantly elevated liquidity; three loans, comprising
12.4% of the initial pool balance, are secured by properties
located in such areas.

The pool generally consists of transitional assets. Given the
nature of the assets, DBRS Morningstar determined a sample size
representing 88.2% of the cut-off date pool balance. This is higher
than the typical sample size for a traditional conduit commercial
mortgage-backed security (CMBS) transaction. Physical site
inspections were also performed, including management meetings.
DBRS Morningstar also notes that in the future when DBRS
Morningstar visits the markets, it 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 initial pool balances, the overall
weighted-average (WA) DBRS Morningstar As-Is Debt Service Coverage
Ratio (DSCR) of 0.89 times (x) and WA Issuance Loan-to-Value (LTV)
of 83.6% are generally reflective of high-leverage financing. The
assets are generally well-positioned to stabilize, and any realized
cash flow growth would help to offset a rise in interest rates and
improve the overall debt yield of the loans. The DBRS Morningstar
As-Is DSCR at issuance does not consider the sponsor's business
plan, as the DBRS Morningstar, As-Is Net Cash Flow (NCF) was
generally based on the most recent annualized period. The sponsor's
business plan could have an immediate impact on the underlying
asset performance that the DBRS Morningstar As-Is NCF is not
accounting for. Furthermore, when measured against the DBRS
Morningstar Stabilized NCF, the WA DBRS Morningstar As-Stabilized
DSCR is estimated to improve to 1.32x, suggesting the properties
are likely to have improved NCFs once the sponsor's business plan
has been implemented.

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 sponsor will not execute its
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 the modeled
probability of default for each loan is influenced by the perceived
risk of execution based on a business plan score. In addition, DBRS
Morningstar analyzes LGD based on the as-is LTV assuming the loan
is fully funded.

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


BRAZIL LOAN I: Fitch Affirms BB-sf Rating on Secured Notes
----------------------------------------------------------
Fitch Ratings affirmed the senior secured pass-through notes issued
by Brazil Loan Trust I at 'BB-sf' with a Stable Outlook.

RATING ACTIONS

Brazil Loan Trust I

  -- Senior Secured Pass Through Notes 105859AA0;
     LT BB-sf Affirmed; previously at BB-sf

  -- Senior Secured Pass Through Notes Reg S USU0952YAA83;
     LT BB-sf Affirmed; previously at BB-sf

TRANSACTION SUMMARY

The transaction is a pass-through securitization of a 10-year
amortizing loan originated by Bank of America N.A. (AA-/Stable) to
the Brazilian State of Maranhao (BB-/Stable). The loan is
guaranteed on an unconditional and irrevocable basis by the
Federative Republic of Brazil (BB-/Stable).

Payments on the loan are made to a bank account of Wilmington Trust
N.A. (administrative agent; A/Stable). On the next day, funds are
transferred to an Issuer account at The Bank of New York Mellon
(indenture trustee; AA/Stable). Payments are made under the notes
immediately thereafter.

Fitch's rating addresses timely payment of interest and principal
on the scheduled payment date until legal final maturity.

KEY RATING DRIVERS

The affirmation of the notes reflects the affirmation of Brazil's
Credit Quality. The transaction benefits from an unconditional an
irrevocable guarantee from Brazil as primary obligor on the
underlying loan. Therefore, the rating of senior secured
pass-through notes is equivalent to Brazil's sovereign long-term
Issuer Default Ratings (IDRs). Fitch affirmed Brazil's Foreign
Currency (FC) IDR on Nov. 14, 2019 at 'BB-'/Outlook Stable.

Brazil's ratings are constrained by high government indebtedness, a
rigid fiscal structure, limited economic potential and political
problems. A fragmented Congress and corruption-related issues
hamper progress on fiscal and economic reforms. Brazil's 'BB-'
ratings are supported by the country's large and diverse economy,
relatively high per capita income and a capacity to absorb external
shocks. Brazil also has a flexible exchange rate, low external
imbalances, robust international reserves and deep domestic
government debt markets.

The notes' rating also considers the timely payments of interest
and principal due to date. All semi-annual payments due until July
2019 were made directly by the State of Maranhao. The next interest
and principal payment date is January 2020.

RATING SENSITIVITIES

The transaction's rating is sensitive to changes to the FC IDR
assigned to Brazil as guarantor on an unconditional and irrevocable
basis. Whilst the State of Maranhao is currently rated equally to
the Sovereign, the rating of the transaction will not be sensitive
to changes to the rating of the state. If the rating assigned to
Maranhao's FC obligations surpasses the rating of Brazil, the
transaction's rating will be rated at the State of Maranhao's
rating.



CARRINGTON MORTGAGE 2007-RFC1: Moody's Raises Cl. A-2 Debt to B1
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 21 tranches from
10 RMBS transactions, backed by Subprime and Prime loans.

The complete rating actions are as follows:

Issuer: Carrington Mortgage Loan Trust, Series 2007-HE1

Cl. A-2, Upgraded to A2 (sf); previously on Apr 11, 2018 Upgraded
to Baa2 (sf)

Cl. A-3, Upgraded to Baa1 (sf); previously on Apr 11, 2018 Upgraded
to Ba1 (sf)

Cl. A-4, Upgraded to Baa2 (sf); previously on Apr 11, 2018 Upgraded
to Ba1 (sf)

Issuer: Carrington Mortgage Loan Trust, Series 2007-RFC1

Cl. A-2, Upgraded to B1 (sf); previously on Mar 27, 2018 Upgraded
to Caa1 (sf)

Cl. A-3, Upgraded to Caa1 (sf); previously on Mar 27, 2018 Upgraded
to Caa3 (sf)

Cl. A-4, Upgraded to Caa2 (sf); previously on Mar 27, 2018 Upgraded
to Caa3 (sf)

Issuer: CSFB Home Equity Asset Trust 2006-1

Cl. M-2, Upgraded to Aaa (sf); previously on May 31, 2018 Upgraded
to Aa1 (sf)

Cl. M-3, Upgraded to Ba1 (sf); previously on May 31, 2018 Upgraded
to B2 (sf)

Issuer: CSFB Home Equity Asset Trust 2006-3

Cl. M-1, Upgraded to A1 (sf); previously on Nov 17, 2017 Upgraded
to Baa1 (sf)

Issuer: CSFB Home Equity Asset Trust 2006-4

Cl. 1-A-1, Upgraded to Aa1 (sf); previously on May 23, 2018
Upgraded to A1 (sf)

Cl. 2-A-4, Upgraded to A3 (sf); previously on Jun 20, 2017 Upgraded
to Baa2 (sf)

Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-5

Cl. M-3, Upgraded to Aa2 (sf); previously on Apr 9, 2018 Upgraded
to A1 (sf)

Cl. M-4, Upgraded to Ba3 (sf); previously on Apr 9, 2018 Upgraded
to B2 (sf)

Issuer: Sequoia Mortgage Trust 2004-4

Cl. B-1, Upgraded to B2 (sf); previously on Apr 27, 2017 Upgraded
to Caa1 (sf)

Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2004-BC1

Cl. B-1, Upgraded to Caa2 (sf); previously on Mar 4, 2011
Downgraded to C (sf)

Cl. M-3, Upgraded to B1 (sf); previously on May 5, 2017 Upgraded to
B3 (sf)

Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-2
Trust

Cl. M-2, Upgraded to Baa1 (sf); previously on Dec 17, 2018 Upgraded
to Baa3 (sf)

Cl. M-3, Upgraded to B3 (sf); previously on Dec 17, 2018 Upgraded
to Caa1 (sf)

Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-3
Trust

Cl. A-2, Upgraded to Aaa (sf); previously on Mar 5, 2019 Upgraded
to Aa1 (sf)

Cl. A-3, Upgraded to Aaa (sf); previously on Mar 5, 2019 Upgraded
to Aa2 (sf)

Cl. M-1, Upgraded to Caa1 (sf); previously on Mar 5, 2019 Upgraded
to Caa3 (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to improved underlying
collateral performance and increased credit enhancement available
to the bond. Most of the bonds that have been upgraded in
transactions have benefited from the failure of performance
triggers that divert principal payments from subordinate bonds to
the senior bonds. In addition, higher levels of prepayment have
deleveraged the upgraded tranches. Both of these factors have
accelerated the buildup of credit enhancement for the upgraded
bonds. The actions also reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools.

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in Februay 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 November 2019 from 3.7% in
November 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. Lower increases than
Moody's expects or decreases could lead to negative rating actions.


CITIGROUP 2014-GC21: Fitch Affirms Bsf Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings affirmed 13 classes of Citigroup Commercial Mortgage
Trust, commercial mortgage pass-through certificates, series
2014-GC21.

RATING ACTIONS

CGCMT 2014-GC21

Class A-4 17322MAV8;  LT AAAsf Affirmed;  previously at AAAsf

Class A-5 17322MAW6;  LT AAAsf Affirmed;  previously at AAAsf

Class A-AB 17322MAX4; LT AAAsf Affirmed;  previously at AAAsf

Class A-S 17322MAY2;  LT AAAsf Affirmed;  previously at AAAsf

Class B 17322MAZ9;    LT AA-sf Affirmed;  previously at AA-sf

Class C 17322MBA3;    LT A-sf Affirmed;   previously at A-sf

Class D 17322MAA4;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 17322MAC0;    LT BBsf Affirmed;   previously at BBsf

Class F 17322MAE6;    LT Bsf Affirmed;    previously at Bsf

Class PEZ 17322MBD7;  LT A-sf Affirmed;   previously at A-sf

Class X-A 17322MBB1;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 17322MBC9;  LT A-sf Affirmed;   previously at A-sf

Class X-C 17322MAJ5;  LT BBsf Affirmed;   previously at BBsf

KEY RATING DRIVERS

Increased Credit Enhancement; Improved Loss Expectations: Fitch
Ratings' loss expectations have improved since the last rating
action due to increased credit enhancement from loan payoffs and
continued amortization. Since Fitch's last rating action, seven
loans ($75.7 million) were repaid at, or prior to, their scheduled
2019 and 2024 maturity dates. Additionally, the specially serviced
Hairston Village loan ($16.5 million) was resolved in October 2019
through a discounted payoff, incurring a 52% loss based on the
original balance of $17 million, slightly above Fitch's expected
loss for the loan at the last rating action. As of the December
2019 distribution date, the pool's aggregate principal balance had
paid down by 24.8% to $773.6 million from $1.04 billion at
issuance.

The pool has experienced $8.9 million (0.9% of original pool
balance) in realized losses since issuance from the disposition of
the Hairston Village loan by discounted payoff in October 2019.
Three loans (2.5%) have been defeased. The majority of the pool (55
loans; 76.3% of pool) is currently amortizing. Four loans (23.7%)
are full-term interest only.

High Concentration of Fitch Loans of Concern: Despite the
improvement in Fitch's base case loss expectations, there are
continued performance issues surrounding the Fitch Loans of Concern
(FLOCs). Fitch has designated nine loans (29.7% of pool) as FLOCs,
including four of the top 15 loans (23.3%), and one loan (The
Collegiate; 1%) that was transferred to special servicing in
December 2019. The largest loan, Maine Mall (16.2%), secured by a
regional mall in South Portland, ME, lost its largest collateral
anchor when The Bon-Ton terminated its lease in June 2017. A new
10-year lease was recently signed with Jordan's Furniture to
backfill the space beginning in April 2020, but the mall also has
exposure to weak anchors JCPenney (collateral), Macy's and Sears,
and its Forever 21 store closed in July 2019.

The second FLOC, Lanes Mill Marketplace (2.8%), is secured by a
retail property in Howell, NJ with a significant recent occupancy
decline after the second largest tenant, Barnes & Noble, vacated at
its February 2019 lease expiration, and the center's Stop & Shop
grocery anchor has reported declining sales since issuance. The
Regional One Medical (2.3%) loan is secured by a medical office
building located in Memphis, TN, where occupancy declined after the
second largest tenant downsized its space and another tenant
vacated at expiration. The Harbor Square loan (2.1%), which is
secured by a retail property in Egg Harbor Township, NJ, also
experienced a significant occupancy decline after its second
largest tenant, Burlington Coat Factory, vacated at its November
2019 expiration.

The specially serviced loan, The Collegiate (1%), is secured by a
98-bed student housing property located adjacent to the University
of Wisconsin-Madison campus in Madison, WI. The loan transferred to
special servicing in December 2019 due to borrower bankruptcy. The
other non-specially serviced FLOCs outside of the top 15 (combined
6.4%) were flagged for declines in occupancy and/or cash flow, lack
of updated financials and/or tenant bankruptcies.

Alternative Loss Considerations: Fitch's analysis included an
additional sensitivity scenario that factored in the paydown from
the defeased loans and applied a 25% loss severity on the maturity
balance of the Maine Mall loan to reflect the potential for
outsized losses given the exposure to weak collateral anchor
JCPenney and noncollateral anchors Macy's and Sears, as well as the
recent closure of the Forever 21 store. Although a new lease was
recently signed with Jordan's Furniture to backfill the vacant
anchor space, Fitch has concerns with the mall's ability to
refinance. This sensitivity analysis contributed to the Negative
Rating Outlooks on classes E, F and X-C.

Pool Concentrations: Loans secured by retail properties represent
34.5% of the current pool balance and include four of the top 15
loans (23.9%). The regional mall exposure is limited to the largest
loan, Maine Mall (16.2%), a regional mall in South Portland, ME
with exposure to Macy's and Sears as noncollateral tenants and
JCPenney as a collateral tenant. Loans secured by multifamily
properties constitute 22.3% of the current pool balance, including
four of the top 15 loans (14.3%). Upcoming loan maturities include
one loan (Newcastle North; 1.3%) in March 2021, one loan (Greene
Town Center; 5.6%) in 2023 and the remaining 57 loans (93.1%) in
2024.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E, F and X-C reflect
additional sensitivity analysis and potential downgrade concerns
should performance of the FLOCs, primarily the Maine Mall loan,
continue to deteriorate. The Stable Rating Outlooks for classes A-4
through D reflect increasing credit enhancement and expected
continued paydown. Future rating upgrades may occur with improved
pool performance and additional paydown or defeasance.

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

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

ESG CONSIDERATIONS

The transaction has an ESG Relevance Score of 4 for Exposure to
Social Impacts due to the pool's exposure to sustained structural
shift in secular preferences affecting consumer trends, occupancy
trends, etc., which, in combination with other factors, affects the
ratings.


CITIGROUP MORTGAGE 2007-WFHE1: Moody's Cuts Cl. M-1 Debt to B1
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two tranches and
downgraded the rating of one tranche from three transactions,
backed by Scratch and Dent and Subprime loans issued by multiple
issuers.

Complete rating actions are as follows:

Issuer: Citigroup Mortgage Loan Trust 2007-WFHE1

Cl. M-1, Downgraded to B1 (sf); previously on Jan 18, 2017 Upgraded
to Ba3 (sf)

Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-SC1

Cl. B-3, Upgraded to Caa1 (sf); previously on Jan 11, 2017 Upgraded
to Ca (sf)

Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2007-SP1

Cl. A-4, Upgraded to Aaa (sf); previously on Aug 28, 2018 Upgraded
to Aa3 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance and Moody's
updated loss expectations on the underlying pools. The rating
upgrades are a result of improving performance of the related pools
and/or an increase in credit enhancement available to the bonds.
The rating downgrade is due to outstanding interest shortfalls on
the bond which are not expected to be recouped as the bond has weak
reimbursement mechanism for interest shortfalls.

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 December 2019 from 3.9% in
December 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. 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.


CITIGROUP MORTGAGE 2015-RP2: Moody's Hikes Cl. B-4 Debt to Ba1
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 10 tranches from
five transactions issued by multiple issuers. The transactions are
backed by seasoned performing and re-performing mortgage loans.

Complete rating actions are as follows:

Issuer: Citigroup Mortgage Loan Trust 2015-RP2

Cl. B-1, Upgraded to Aaa (sf); previously on Oct 18, 2018 Upgraded
to Aa1 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Oct 18, 2018 Upgraded
to A3 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Oct 18, 2018 Upgraded
to Ba2 (sf)

Issuer: Citigroup Mortgage Loan Trust 2018-RP3

Cl. B-1, Upgraded to Ba2 (sf); previously on Aug 9, 2018 Definitive
Rating Assigned Ba3 (sf)

Cl. B-3, Upgraded to Ca (sf); previously on Aug 9, 2018 Definitive
Rating Assigned C (sf)

Cl. M-2, Upgraded to A2 (sf); previously on Aug 9, 2018 Definitive
Rating Assigned A3 (sf)

Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2016-1

Cl. M-1, Upgraded to A3 (sf); previously on Dec 20, 2016 Definitive
Rating Assigned Baa1 (sf)

Cl. M-2, Upgraded to Ba3 (sf); previously on Dec 20, 2016
Definitive Rating Assigned B2 (sf)

Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2017-1

Cl. M-1, Upgraded to Baa3 (sf); previously on Jan 30, 2019 Upgraded
to Ba1 (sf)

Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2017-2

Cl. M-1, Upgraded to Ba2 (sf); previously on Aug 11, 2017
Definitive Rating Assigned B1 (sf)

RATINGS RATIONALE

The rating upgrades are driven by the stronger performance of the
underlying loans in the pools relative to initial expectations and
an increase in the credit enhancement available to the rated bonds
due to high prepayments. The actions reflect Moody's updated loss
expectations on the pools which incorporate its assessment of the
representations and warranties frameworks of the transactions, the
due diligence findings of the third party review at the time of
issuance, and the strength of the transaction's servicers.

The loans underlying the pools have fewer delinquencies and have
prepaid at a faster rate than originally anticipated, resulting in
an improvement in its loss projections for the pools. Moreover,
cumulative losses realized on the pools till date have been small
and are largely driven by modification losses recognized on
principal forborne amounts. Moody's bases its expected losses on a
pool of re-performing mortgage loans 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. Its estimates of
defaults are driven by annual delinquency assumptions adjusted for
roll-rates, prepayments and default burnout factors. In estimating
defaults on these pools, Moody's used initial expected annual
delinquency rates of 4% to 11% and expected prepayment rates of 4%
to 9% based on the collateral characteristics of the individual
pools.

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.

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 December 2019 from 3.9% in
December 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. 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.


COLT 2020-1: Fitch to Rate Class B-2 Certs 'B(EXP)'
---------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2020-1 Mortgage Loan Trust.

RATING ACTIONS

COLT 2020-1

Class A-1;    LT AAA(EXP)sf; Expected Rating

Class A-2;    LT AA(EXP)sf;  Expected Rating

Class A-3;    LT A(EXP)sf;   Expected Rating

Class A-IO-S; LT NR(EXP)sf;  Expected Rating

Class B-1;    LT BB(EXP)sf;  Expected Rating

Class B-2;    LT B(EXP)sf;   Expected Rating

Class B-3;    LT NR(EXP)sf;  Expected Rating

Class M-1;    LT BBB(EXP)sf; Expected Rating

Class X;      LT NR(EXP)sf;  Expected Rating

TRANSACTION SUMMARY

The transaction consists of 554 loans with a total balance of
approximately $365.86 million as of the cutoff date.

All the loans in the pool were originated by Caliber Home Loans,
Inc. Approximately 56% of the pool is designated as Non-QM, 30%
consists of higher priced QM and more than 11% are Safe Harbor QM,
while for the remainder, ATR does not apply.

KEY RATING DRIVERS

Nonprime Credit Quality (Concern): The pool has a weighted average
model credit score of 725 and a WA combined loan to value ratio of
84%. Of the pool, 17% (by UPB) consists of borrowers with prior
credit events within the past seven years and 34% had a debt to
income ratio of over 43%. Investor properties and those run as
investor properties for loss modeling (i.e. nonpermanent residents)
account for 4.5% of the pool.

Fitch applied default penalties to account for these attributes,
and loss severity was adjusted to reflect the increased risk of ATR
challenges.

Primarily Full Income Documentation (Positive): The loans in the
mortgage pool were underwritten in material compliance with the
Appendix Q documentation standards defined by ATR, which is not
typical for nonprime RMBS. Mortgage pools of all other active
nonprime RMBS issuers include a significant percentage of
nontraditional income documentation. While a due diligence review
identified roughly 62% of loans (by count) as having minor
variations to Appendix Q, Fitch views those differences as
immaterial and substantially all loans as having full income
documentation. The COLT series transactions that are comprised of
100% Caliber origination are the only nonprime RMBS issued with
more than 98% full income documentation.

Excess Cash Flow (Positive): The transaction benefits from a
material amount of excess cash flow that provides benefit to the
rated notes before being paid out to the class X. In Fitch's
analysis, the excess is used to protect against realized losses,
resulting in required subordination below Fitch's collateral loss
expectations, as well as timely payment of interest for all classes
in their respective rating stress. To the extent that the
collateral weighted average coupon (WAC) and corresponding excess
is reduced through a rate modification, Fitch would view the impact
as credit neutral as the modification would reduce the borrower's
probability of default, resulting in a lower loss expectation.

Low Operational Risk (Positive): Fitch has reviewed Caliber and
Hudson Americas L.P.'s (Hudson's) origination and acquisition
platforms and found them to have sound underwriting and operational
control environments. Caliber has a long operating history and one
of the largest and most established Non-QM programs in the sector.
Hudson's oversight of Caliber's origination of Non-QM loans reduces
the risk of manufacturing defects. Strong loan quality was
evidenced with third-party due diligence performed by an Acceptable
- Tier 1 diligence firm on 100% of the pool. The issuer's retention
of at least 5% of the transaction's fair market value helps to
ensure an alignment of interest between the issuer and investors.

Alignment of Interests (Positive): The transaction benefits from an
alignment of interests between the issuer and investors. LSRMF
Acquisitions II, LLC (LSRMF), as sponsor and securitizer or an
affiliate will retain a horizontal interest in the transaction
equal to not less than 5% of the aggregate fair market value of all
certificates in the transaction. Lastly, the representations and
warranties are provided by Caliber, which is owned by LSRMF
affiliates and, therefore, also aligns the interest of the
investors with those of LSRMF to maintain high-quality origination
standards and sound performance, as Caliber will be obligated to
repurchase loans due to rep breaches.

Modified Sequential Payment Structure (Mixed): The structure
distributes principal pro rata among the senior certificates while
shutting out the subordinate bonds from principal until all senior
classes have been reduced to zero. If any of the cumulative loss
trigger event, the delinquency trigger event or the credit
enhancement trigger event occurs in a given period, principal will
be distributed sequentially to the class A-1, A-2 and A-3
certificates until they are reduced to zero.

R&W Framework (Concern): As originator, Caliber will be providing
loan-level representations and warranties to the trust. While the
reps for this transaction are substantively consistent with those
listed in Fitch's published criteria and provide a solid alignment
of interest, Fitch added approximately 131 bps to the expected loss
at the 'AAAsf' rating category to reflect the non-investment-grade
counterparty risk of the provider and the lack of an automatic
review of defaulted loans, other than for loans with a realized
loss that have a complaint or counterclaim of a violation of ATR.
The lack of an automatic review is mitigated by the ability of
holders of 25% of the total outstanding aggregate class balance to
initiate a review.

Servicing and Master Servicer (Positive): Servicing will be
performed on 100% of the loans by Caliber. Fitch rates Caliber
'RPS2-'/Negative due to its fast-growing portfolio and regulatory
scrutiny. Wells Fargo Bank, N.A. (Wells Fargo), rated 'RMSClass
1-'/Stable, will act as master servicer and securities
administrator. Advances required but not paid by Caliber will be
paid by Wells Fargo.

Performance Triggers (Mixed): Credit enhancement (CE), delinquency
and loan loss triggers convert principal distribution to a straight
sequential payment priority in the event of poor asset performance.
The delinquency trigger is based only on the current month and not
on a rolling six-month average. The triggers for this transaction
should help to protect the A-1 and A-2 classes from a high stress
scenario by cutting off principal payments to more junior classes
and ensuring a higher amount of protection as compared to when the
triggers are passing. The highest threshold for the loss trigger is
sized above the A-3 CE, potentially diluting the trigger and
resulting in principal leakage to the A-3 class while it is taking
losses. This was taken into account in Fitch's analysis and
resulted in a higher CE for the A-1 and A-2 bonds.

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 MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 4.8%. The analysis indicates that there is some
potential rating migration with higher MVDs, compared with the
model projection.

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



CONNECTICUT AVENUE 2020-R01: Fitch to Rate 29 Tranches 'B(EXP)'
---------------------------------------------------------------
Fitch Ratings expects to assign the following ratings and Rating
Outlooks to Fannie Mae's risk transfer transaction, Connecticut
Avenue Securities Trust, series 2020-R01:

RATING ACTIONS

CAS 2020- R01

Class 1-J1;  LT B(EXP)sf;    Expected Rating

Class 1-J2;  LT B(EXP)sf;    Expected Rating

Class 1-J3;  LT B(EXP)sf;    Expected Rating

Class 1-J4;  LT B(EXP)sf;    Expected Rating

Class 1-K1;  LT B(EXP)sf;    Expected Rating

Class 1-K2;  LT B(EXP)sf;    Expected Rating

Class 1-K3;  LT B(EXP)sf;    Expected Rating

Class 1-K4;  LT B(EXP)sf;    Expected Rating

Class 1-X1;  LT BB-(EXP)sf;  Expected Rating

Class 1-X2;  LT BB-(EXP)sf;  Expected Rating

Class 1-X3;  LT BB-(EXP)sf;  Expected Rating

Class 1-X4;  LT BB-(EXP)sf;  Expected Rating

Class 1-Y1;  LT B(EXP)sf;    Expected Rating

Class 1-Y2;  LT B(EXP)sf;    Expected Rating

Class 1-Y3;  LT B(EXP)sf;    Expected Rating

Class 1-Y4;  LT B(EXP)sf;    Expected Rating

Class 1A-H;  LT NR(EXP)sf;   Expected Rating

Class 1A-I1; LT BB+(EXP)sf;  Expected Rating

Class 1A-I2; LT BB+(EXP)sf;  Expected Rating

Class 1A-I3; LT BB+(EXP)sf;  Expected Rating

Class 1A-I4; LT BB+(EXP)sf;  Expected Rating

Class 1B-1;  LT NR(EXP)sf;   Expected Rating

Class 1B-1H; LT NR(EXP)sf;   Expected Rating

Class 1B-1X; LT NR(EXP)sf;   Expected Rating

Class 1B-1Y; LT NR(EXP)sf;   Expected Rating

Class 1B-2H; LT NR(EXP)sf;   Expected Rating

Class 1B-I1; LT BB-(EXP)sf;  Expected Rating

Class 1B-I2; LT BB-(EXP)sf;  Expected Rating

Class 1B-I3; LT BB-(EXP)sf;  Expected Rating

Class 1B-I4; LT BB-(EXP)sf;  Expected Rating

Class 1C-I1; LT B(EXP)sf;    Expected Rating

Class 1C-I2; LT B(EXP)sf;    Expected Rating

Class 1C-I3; LT B(EXP)sf;    Expected Rating

Class 1C-I4; LT B(EXP)sf;    Expected Rating

Class 1E-A1; LT BB+(EXP)sf;  Expected Rating

Class 1E-A2; LT BB+(EXP)sf;  Expected Rating

Class 1E-A3; LT BB+(EXP)sf;  Expected Rating

Class 1E-A4; LT BB+(EXP)sf;  Expected Rating

Class 1E-B1; LT BB-(EXP)sf;  Expected Rating

Class 1E-B2; LT BB-(EXP)sf;  Expected Rating

Class 1E-B3; LT BB-(EXP)sf;  Expected Rating

Class 1E-B4; LT BB-(EXP)sf;  Expected Rating

Class 1E-C1; LT B(EXP)sf;    Expected Rating

Class 1E-C2; LT B(EXP)sf;    Expected Rating

Class 1E-C3; LT B(EXP)sf;    Expected Rating

Class 1E-C4; LT B(EXP)sf;    Expected Rating

Class 1E-D1; LT BB-(EXP)sf;  Expected Rating

Class 1E-D2; LT BB-(EXP)sf;  Expected Rating

Class 1E-D3; LT BB-(EXP)sf;  Expected Rating

Class 1E-D4; LT BB-(EXP)sf;  Expected Rating

Class 1E-D5; LT BB-(EXP)sf;  Expected Rating

Class 1E-F1; LT B(EXP)sf;    Expected Rating

Class 1E-F2; LT B(EXP)sf;    Expected Rating

Class 1E-F3; LT B(EXP)sf;    Expected Rating

Class 1E-F4; LT B(EXP)sf;    Expected Rating

Class 1E-F5; LT B(EXP)sf;    Expected Rating

Class 1M-1;  LT BBB-(EXP)sf; Expected Rating

Class 1M-1H; LT NR(EXP)sf;   Expected Rating

Class 1M-2;  LT B(EXP)sf;    Expected Rating

Class 1M-2A; LT BB+(EXP)sf;  Expected Rating

Class 1M-2B; LT BB-(EXP)sf;  Expected Rating

Class 1M-2C; LT B(EXP)sf;    Expected Rating

Class 1M-2X; LT B(EXP)sf;    Expected Rating

Class 1M-2Y; LT B(EXP)sf;    Expected Rating

Class 1M-AH; LT NR(EXP)sf;   Expected Rating

Class 1M-BH; LT NR(EXP)sf;   Expected Rating

Class 1M-CH; LT NR(EXP)sf;   Expected Rating

TRANSACTION SUMMARY

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
Class 1M-1 notes reflects the 2.85% subordination provided by the
0.63% class Class 1M-2A, 0.64% class Class 1M-2B, 0.63% class Class
1M-2C, 0.75% class Class 1B-1 and their corresponding reference
tranches as well as the 0.20% Class 1B-2H reference tranche.

Connecticut Avenue Securities Trust series 2020-R01 (CAS 2020-R01)
is Fannie Mae's 38th 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 2020-R01 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 ninth 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 Class 1M-1 and Class 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 Class
1M-1, Class 1M-2A, Class 1M-2B and Class 1M-2C notes' ratings of
each group affected.

The Class 1M-1, Class 1M-2A, Class 1M-2B, Class 1M-2C and Class
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, and (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 Oct. 1, 2018 and Aug. 31, 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, similar to CAS 2019-R07 but unlike the CAS
transactions prior to CAS 2019-R04, 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 Class 1A-H senior reference tranche, which has an initial loss
protection of 3.95%, as well as the first loss Class 1B-2H
reference tranche, sized at 0.20%. Fannie Mae is also retaining a
vertical slice or interest of at least 5% in each reference tranche
(Class 1M-1H, Class 1M-AH, Class 1M-BH, Class 1M-CH and Class
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 ninth 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.

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

Fitch was provided with due diligence information from Adfitech,
Inc. (Adfitech) and AMC (AMC). The due diligence focused on credit
and compliance reviews, desktop valuation reviews and data
integrity. Adfitech and AMC examined selected loan files with
respect to the presence or absence of relevant documents. Fitch
received certification indicating that the loan-level due diligence
was conducted in accordance with Fitch's published standards. The
certification also stated that the company performed its work in
accordance with the independence standards, per Fitch's criteria,
and that the due diligence analysts performing the review met
Fitch's criteria of minimum years of experience. Fitch considered
this information in its analysis and the findings did not have an
impact on the analysis.

While Fitch was provided due diligence from a third-party, Form 15E
was not provided to or reviewed by Fitch in relation to this rating
action.


CPS AUTO 2020-A: DBRS Assigns Prov. B Rating on $6.5MM Cl. F Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by CPS Auto Receivables Trust 2020-A (CPS 2020-A
or the Issuer):

-- $130,000,000 Class A Notes rated AAA (sf)
-- $34,060,000 Class B Notes rated AA (sf)
-- $37,180,000 Class C Notes rated A (sf)
-- $26,000,000 Class D Notes rated BBB (sf)
-- $26,260,000 Class E Notes rated BB (sf)
-- $6,500,000 Class F Notes rated B (sf)

The ratings are based on DBRS Morningstar's review of the following
analytical considerations:

-- Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.

-- Credit enhancement will be in the form of
overcollateralization, subordination, amounts held in the reserve
fund, and excess spread. Credit enhancement levels are sufficient
to support the DBRS Morningstar-projected expected cumulative net
loss assumption under various stress scenarios.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the rating addresses the
payment of timely interest on a monthly basis and the payment of
principal by the legal final maturity date.

-- The capabilities of Consumer Portfolio Services, Inc. (CPS)
with regard to origination, underwriting, and servicing.

-- DBRS Morningstar has performed an operational review of CPS and
considers the entity to be an acceptable originator and servicer of
subprime automobile loan contracts. This transaction also has an
acceptable backup servicer.

-- The CPS senior management team has considerable experience and
a successful track record within the auto finance industry,
managing the Company through multiple economic cycles.

-- The quality and consistency of provided historical static pool
data for CPS originations and performance of the CPS auto loan
portfolio.

-- The May 29, 2014, settlement of the Federal Trade Commission
(FTC) inquiry relating to allegedly unfair trade practices. CPS
paid imposed penalties and restitution payments to consumers.

-- CPS has made considerable improvements to the collections
process, including management changes, upgraded systems, and
software, as well as new policies and procedures focused on
maintaining compliance and will be subject to the FTC's ongoing
monitoring of certain processes.

-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the non-consolidation of
the special-purpose vehicle with CPS, that the trust has a valid
first-priority security interest in the assets and the consistency
with DBRS Morningstar's "Legal Criteria for U.S. Structured
Finance."

The CPS 2020-A transaction represents the 36th securitization
completed by CPS since 2010 and will offer both senior and
subordinate rated securities. The receivables securitized in CPS
2020-A will be subprime automobile loan contracts secured primarily
by used automobiles, light-duty trucks, vans, and minivans.

The rating on the Class A Notes reflects the 51.00% of initial hard
credit enhancement provided by the subordinated notes in the pool
(50.00%) and the Reserve Account (1.00%). The ratings on Class B,
Class C, Class D, Class E, and Class F Notes reflect 37.90%,
23.60%, 13.60%, 3.50%, and 1.00% 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.


CPS AUTO: DBRS Takes Actions on 14 Trust Transactions
-----------------------------------------------------
DBRS, Inc., on Jan. 10, 2020, took rating actions on 58 outstanding
ratings from 14 CPS Auto Receivables Trust transactions. Of the
rated classes reviewed, DBRS Morningstar upgraded 20, discontinued
12 because of repayment, and confirmed 26. For the upgraded
ratings, performance trends reflect credit enhancement levels that
are sufficient to cover DBRS Morningstar's expected losses at their
new respective rating levels. For the confirmed ratings,
performance trends reflect credit enhancement levels that are
sufficient to cover DBRS Morningstar's expected losses at their
current respective rating levels.

The ratings are based on DBRS Morningstar's review of the following
analytical considerations:

-- Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.

-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.

-- The credit quality of the collateral pool and historical
performance.

The Affected Rating is Available at https://bit.ly/2FSxjAh


CSAIL 2016-C5: Fitch Affirms B-sf Rating on Class F Certs
---------------------------------------------------------
Fitch Ratings affirmed 16 classes of CSAIL 2016-C5 Commercial
Mortgage Trust commercial mortgage pass-through certificates.

RATING ACTIONS

CSAIL 2016-C5

Class A-2 12636LAV2;  LT AAAsf  Affirmed;  previously at AAAsf

Class A-3 12636LAW0;  LT AAAsf  Affirmed;  previously at AAAsf

Class A-4 12636LAX8;  LT AAAsf  Affirmed;  previously at AAAsf

Class A-5 12636LAY6;  LT AAAsf  Affirmed;  previously at AAAsf

Class A-S 12636LBC3;  LT AAAsf  Affirmed;  previously at AAAsf

Class A-SB 12636LAZ3; LT AAAsf  Affirmed;  previously at AAAsf

Class B 12636LBD1;    LT AA-sf  Affirmed;  previously at AA-sf

Class C 12636LBE9;    LT A-sf   Affirmed;  previously at A-sf

Class D 12636LAG5;    LT BBB-sf Affirmed;  previously at BBB-sf

Class E 12636LAL4;    LT BB-sf  Affirmed;  previously at BB-sf

Class F 12636LAN0;    LT B-sf   Affirmed;  previously at B-sf

Class X-A 12636LBA7;  LT AAAsf  Affirmed;  previously at AAAsf

Class X-B 12636LBB5;  LT AA-sf  Affirmed;  previously at AA-sf

Class X-D 12636LAJ9;  LT BBB-sf Affirmed;  previously at BBB-sf

Class X-E 12636LAA8;  LT BB-sf  Affirmed;  previously at BB-sf

Class X-F 12636LAC4;  LT B-sf   Affirmed;  previously at B-sf

Fitch does not rate the class NR and X-NR certificates. Class A-1
has paid in full.

Classes X-A, X-B, X-D, X-E and X-F are interest only.

KEY RATING DRIVERS

Increased Loss Expectations/Specially Serviced - FLOCs: Ten loans
(11.6%) are considered Fitch Loans of Concern (FLOC) largely due to
declines in occupancy and performance, including two loans within
the top 15 (4.1%) and five loans (4.8%) which are currently in
special servicing. The largest specially serviced loan, University
Plains (2% of the pool), is secured by a student housing property
consisting of 540 beds, built in 2001, renovated in 2015, and
located in Ames, IA, two miles southwest of Iowa State University.
The loan was transferred to special servicing in November 2018 for
imminent monetary default. Per the special servicer, the borrower
is in default and they are in the process of evaluating legal
remedies, including receivership. The property's occupancy declined
from 93.3% in February 2018 to 80.2% as of September 2018 and was
78.5% occupied as of June 2019.

The second largest specially serviced loan, Frisco Plaza (1.5%), is
secured by a 61,453 sf retail property located in Frisco, TX. The
loan was transferred to special servicing in April 2019 for
imminent default. Per the special servicer, they are negotiating a
reinstatement of the loan and payment of all amounts due under the
loan documents. The loan remains current on scheduled debt service
payments and is expected to be resolved in January 2020. The
property was 100% occupied as of the March 2019 rent roll.

The remaining three specially serviced loans are all below 1% of
the pool, of which, one is 90+ days delinquent, the special
servicer is pursing foreclosure and losses are expected, and the
other two loans are expected to be resolved and returned to the
master servicer.

The largest FLOC is the Stone Gables Apartments (2%), which is
secured by a garden-style multifamily property consisting of 192
units, built in 2013 and located in Raeford, NC, approximately
eight miles from Fort Bragg Army Base. Per the master servicer
watchlist commentary, the property's occupancy has significantly
declined to 32% as of September 2019 from 92.2% the prior year and
85% year-end (YE) 2017. The decline in occupancy is a result of 134
units being offline. Fitch has contacted the master servicer for an
update on the occupancy and confirmation of offline units. The
property is located within the Fayetteville market, and according
to Reis as of third-quarter 2019, the multifamily vacancy rate is
3.5% with average asking rent $817 per unit.

The remaining non-specially serviced FLOCs consist of two
multifamily properties, one retail property and one manufactured
housing property, all of which have suffered declining performance
either due to declines in occupancy, increased operating expenses
and/or deferred maintenance.

Increased Credit Enhancement: As of the December 2018 distribution
date, the pool's aggregate principal balance has been reduced by
11.8% to $826.0 million resulting in increased credit enhancement
to the investment-grade-rated classes due to the prepayment with
yield maintenance of the 2nd largest loan in the deal, GLP
Industrial Portfolio - A ($84 million), which prepaid in October
2019. Two loans (3.3%) are fully defeased. Four loans, representing
20.6% of the pool, are full-term, interest-only loans, 32 loans
(55.1% of the pool) are partial interest-only, and twenty-two
(24.5% of the pool) are balloon.

ADDITIONAL CONSIDERATIONS

Property Type Concentration: The pool's largest concentration by
property type is multifamily at 28.5%, followed by hotels which
make up 23.2% of the pool. Additionally, there are three loans
(3.3%) that are secured by student housing properties, two of which
are currently specially serviced and losses are expected.

Maturity Concentration: Five loans (14.7%) mature in 2020, one loan
(2.5%) in 2022 and 52 loans (82.8%) mature in 2025.

RATING SENSITIVITIES

Rating Outlooks on classes A-2 through D remain Stable due to
increased credit enhancement, prepayments, and scheduled
amortization and relatively overall stable collateral performance
for the majority of the pool. The Negative Rating Outlooks on
classes E, F, as well as interest-only classes X-E and X-F reflect
the potential for downgrades should the performance of the FLOCs
decline further and/or loss expectations on the specially serviced
loans increase. Near-term upgrades are unlikely but possible with
significant paydown, increased defeasance, and/or improved
performance of the overall pool.

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.

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
transaction.


EXETER AUTOMOBILE 2018-4: S&P Hikes Cl. E Notes Rating to BB+ (sf)
------------------------------------------------------------------
S&P Global Ratings raised its ratings on nine classes of notes from
Exeter Automobile Receivables Trust 2018-3 and 2018-4. At the same
time, S&P affirmed its ratings on two classes of notes from the
same transactions.

The rating actions reflect the transactions' collateral performance
to date, S&P's expectations regarding their future collateral
performance, and their structure and credit enhancement.
Additionally, S&P incorporated secondary credit factors, including
credit stability, payment priorities under various scenarios, and
sector- and issuer-specific analyses. Considering all these
factors, S&P believes the creditworthiness of the notes remains
consistent with the raised and affirmed ratings.

S&P maintained its expected cumulative net loss (CNL) ranges for
series 2018-3 and 2018-4, which are performing in line with its
initial expected CNL ranges.

  Table 1
  Collateral Performance (%)(i)

                     Pool   Current   60+ day
  Series     Mo.   factor       CNL   delinq.
  2018-3      17    59.37      8.73     10.66
  2018-4      14    64.46      6.76     10.27

  (i)As of the December 2019 distribution date.
  Mo.--Month.
  CNL--cumulative net loss.

  Table 2
  Cumulative Net Loss Expectations (%)

                 Original
                 lifetime     Current maintained
  Series         CNL exp.   lifetime CNL exp.(i)
  2018-3      20.50-21.50            20.50-21.50
  2018-4      20.50-21.50            20.50-21.50

  (i)As of December 2019.
  CNL exp.--Cumulative net loss expectations.

Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread. The credit
enhancement for each transaction is at the specified target or
floor, and each class' credit support continues to increase as a
percentage of the amortizing collateral balance.

In addition, the overcollateralization for each transaction can
step up to a higher target overcollateralization level if certain
CNL triggers are breached. Overcollateralization step-up tests
occur every three months and are curable on any following test
dates if the CNL rate is below the specified threshold. Both series
are currently below their CNL trigger levels.

  Table 3
  Hard Credit Support (%)(i)

                               Total hard    Current total hard
                           credit support        credit support
  Series         Class    at issuance(ii)    (% of current)(ii)
  2018-3         A                  58.00                101.89
  2018-3         B                  44.75                 79.57
  2018-3         C                  30.50                 55.57
  2018-3         D                  15.00                 29.46
  2018-3         E                   7.75                 17.25
  2018-3         F                   5.00                 12.62
  2018-4         A                  58.25                 97.74
  2018-4         B                  45.00                 77.19
  2018-4         C                  30.75                 55.08
  2018-4         D                  14.75                 30.26
  2018-4         E                   7.30                 18.70

  (i)As of the December 2019 distribution date.
  (ii)Calculated as a percentage of the total gross receivable pool
balance and includes a reserve account, overcollateralization, and,
if applicable, subordination.

S&P considered the current hard credit enhancement compared with
the expected remaining CNL for those classes for which hard credit
enhancement alone--without credit to the expected excess
spread--was sufficient, in S&P's view, to upgrade or affirm the
notes. For the other classes, S&P incorporated a cash flow analysis
to assess the loss coverage level, giving credit to excess spread.
S&P's various cash flow scenarios included forward-looking
assumptions on recoveries, timing of losses, and voluntary absolute
prepayment speeds that it believes are appropriate, given each
transaction's performance to date. Aside from its break-even cash
flow analysis, S&P also conducted sensitivity analyses for these
series to determine the impact that a moderate ('BBB') stress
scenario would have on its ratings if losses began trending higher
than its revised base-case loss expectation.

"We believe the results demonstrate that all of the classes for
which we have considered cash flow scenarios have adequate credit
enhancement at the raised or affirmed rating levels. We will
continue to monitor the performance of all outstanding transactions
to assess whether the credit enhancement remains sufficient, in our
view, to cover our cumulative net loss expectations under our
stress scenarios for each of the rated classes," S&P said.

  RATINGS RAISED
  Exeter Automobile Receivables Trust

                                 Rating
  Series        Class     To             From
  2018-3        B         AAA (sf)       AA (sf)
  2018-3        C         AA+ (sf)       A (sf)
  2018-3        D         A- (sf)        BBB (sf)
  2018-3        E         BBB- (sf)      BB (sf)
  2018-3        F         BB- (sf)       B (sf)
  2018-4        B         AAA (sf)       AA (sf)
  2018-4        C         AA (sf)        A (sf)
  2018-4        D         A- (sf)        BBB (sf)
  2018-4        E         BB+ (sf)       BB (sf)

  RATINGS AFFIRMED
  Exeter Automobile Receivables Trust

  Series        Class     Rating
  2018-3        A         AAA (sf)
  2018-4        A         AAA (sf)


FIRST EAGLE 2019-1: Moody's Rates $21.4MM Class D Notes 'Ba3'
-------------------------------------------------------------
Moody's Investors Service assigned ratings to one class of loans
and three classes of notes issued by First Eagle BSL CLO 2019-1
Ltd.

Moody's rating action is as follows:

US$301,000,000 Class A Loans due 2033 (the "Class A Loans"),
Definitive Rating Assigned Aa1 (sf)

US$20,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2033 (the "Class B Notes"), Definitive Rating Assigned A2 (sf)

US$23,600,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2033 (the "Class C Notes"), Definitive Rating Assigned Baa3
(sf)

US$21,400,000 Class D Secured Deferrable Floating Rate Notes due
2033 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf)

The Class A Loans, the Class B Notes, the Class C Notes and the
Class D Notes are referred to herein, collectively, as the "Rated
Debt."

RATINGS RATIONALE

The rationale for the ratings is based on its methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

First Eagle BSL 2019-1 is a managed cash flow CLO. The issued notes
and loans will be collateralized primarily by broadly syndicated
senior secured corporate loans. At least 92.5% of the portfolio
must consist of first lien senior secured loans, cash, and eligible
investments, and up to 7.5% of the portfolio may consist of second
lien loans, unsecured loans and first-lien last-out loans. The
portfolio is approximately 60% ramped as of the closing date.

First Eagle Private Credit Advisors, 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 Debt, the Issuer issued senior
subordinated notes and junior subordinated notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the debt 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: 60

Weighted Average Rating Factor (WARF): 2816

Weighted Average Spread (WAS): 3.65%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 46.25%

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 Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.


FREED ABS 2020-1: Moody's Gives (P)Ba3 Rating to $48MM Cl. C Notes
-------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to notes to
be issued by FREED ABS Trust 2020-1. The collateral backing FREED
2020-1 notes consists of a pool of unsecured consumer installment
loans originated by Cross River Bank, a New Jersey state-chartered
commercial bank, through a loan program established by Freedom
Financial Asset Management, LLC, who also acts as the servicer of
the loans.

The complete rating actions are as follows:

Issuer: FREED ABS Trust 2020-1

$247,000,000, Class A Notes, Assigned (P)A3 (sf)

$45,350,000, Class B Notes, Assigned (P)Baa3 (sf)

$48,420,000, Class C Notes, Assigned (P)Ba3 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital structure
and relatively fast amortization of the assets, and the experience
and expertise of FFAM as servicer and the back-up servicing
arrangement with Wilmington Trust, National Association (Wilmington
Trust, long-term counterparty risk assessment of A1(cr)).

Moody's median cumulative net loss expectation for the FREED 2020-1
pool is 15.0% down from 15.6% in the prior pool due to stronger
collateral composition. Moody's based its cumulative net loss
expectation on an analysis of the credit quality of the underlying
collateral; the historical performance of similar collateral,
including managed portfolio performance; the ability of FFAM to
perform the servicing functions and Wilmington Trust to perform the
backup servicing functions; and current expectations for the
macroeconomic environment during the life of the transaction.

At closing the Class A, Class B and Class C notes are expected to
benefit from 40.05%, 28.95% and 17.10% of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, a reserve account and
subordination, except for the Class C notes, which do not benefit
from subordination. The notes may also benefit from excess spread.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating Consumer Loan-Backed ABS" published in March
2019.

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

Up

Moody's could upgrade the notes if pool losses are lower than
expected and levels of credit enhancement are consistent with
higher ratings. In sequential pay structures, such as the one in
this transaction, credit enhancement grows as a percentage of the
collateral balance as collections pay down senior notes. Moody's
expectation of pool losses could decline as a result of better than
expected improvements in the economy, changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments. In addition, greater certainty
concerning the legal and regulatory risks facing this transaction
could lead to lower loss volatility assumptions, and thus lead to
an upgrade of the notes.

Down

Moody's could downgrade the ratings of the notes if pool losses
exceed its expectations and levels of credit enhancement are
consistent with lower ratings. Credit enhancement could decline if
excess spread is not sufficient to cover losses in a given month.
Moody's expectation of pool losses may increase, for example, due
to performance deterioration stemming from a downturn in the US
economy, deficient servicing, errors on the part of transaction
parties, inadequate transaction governance or fraud. In addition,
the legal and regulatory risks including the ones stemming from the
bank partner model that FFAM utilizes could expose the pool to
increased losses. For example, a successful legal challenge
asserting that Cross River Bank is not the true lender of the loans
in FREED 2020-1 or that state usury laws applied upon Cross River
Bank's sale of the loans could also lead to a downgrade of the
notes.


GE COMMERCIAL 2005-C1: DBRS Confirms C Rating on 4 Cert. Classes
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings of all classes of Commercial
Mortgage Pass-Through Certificates, Series 2005-C1 issued by GE
Commercial Mortgage Corporation, Series 2005-C1, as follows:

-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
-- Class G at C (sf)

None of the ratings carry trends. Classes D, E, F, and G have the
Interest in Arrears designation.

The rating confirmations reflect the anticipated losses to the
trust as a result of the liquidation of the Lakeside Mall loan
(Prospectus ID#1, 89.5% of the current pool balance). The loan
transferred to special servicing in May 2016 for imminent maturity
default and became real estate owned (REO) in August 2017 after a
deed in lieu of foreclosure was obtained from the sponsor, General
Growth Properties Inc. The property's performance has worsened
since becoming REO following the departures of the non-collateral
anchors Sears and Lord & Taylor in September 2018 and September
2019, respectively. Various public articles reported the mall had
been sold to Out of the Box Ventures for $26.5 million, which is
well below the issuance-appraised value of $305.0 million. DBRS
Morningstar is uncertain whether the sale also included the
non-collateral Sears, Lord & Taylor, Macy's, and JCPenney anchor
spaces; therefore, DBRS Morningstar utilized the most recent
appraised collateral value of $17.4 million dated November 2018 in
its analysis. The trust piece represents approximately 49.7% of the
whole loan balance, with an equal A-note piece held in the COMM
2005-LP5 trust (not rated by DBRS Morningstar) and a small B-note.
The DBRS Morningstar analysis projects a loss severity near 100%
for the loan inclusive of all anticipated fees, expenses, and
accrued interest. The servicer confirmed the sale; however,
liquidation proceeds were not finalized as of January 2020. DBRS
Morningstar anticipates Classes E, F, and G to have complete
principal losses and Class D to have a partial principal loss in
the near term.

The remaining loan in the pool, Versatile Warehouse (Prospectus
ID#53; 10.5% of the current pool balance), was placed on the
servicer's watchlist in November 2019 due to the upcoming loan
maturity date in February 2020. The loan is secured by 28 mixed-use
buildings that include warehouse, self-storage, and retail spaces
located in Davie, Florida, approximately 24 miles north of the
Miami central business district. The loan has exhibited strong and
stable operating history with a trailing nine-month ending
September 2019 debt service coverage ratio (DSCR) of 2.39 times
(x), compared with the year-end (YE) 2018 DSCR of 2.56x, YE2017
DSCR of 2.12x, and YE2016 DSCR of 2.02x. The servicer reported an
occupancy rate of 94.0% as of September 2019, slightly down from
the December 2018 occupancy rate of 97.0%. The tenant base is
granular and there appears to be no large lease rollover risk in
the near term. Based on the reported information, DBRS Morningstar
anticipates a full loan payoff upon maturity.

As of the December 2019 remittance, the transaction has had a
collateral reduction of 96.0% since issuance, with two of the
original 127 loans outstanding and a current trust balance of
approximately $67.3 million. The recent sale of Lakeside Mall and
the upcoming loan maturity of Versatile Warehouse suggests the
trust will be dissolved in the near term.

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


GS MORTGAGE 2010-C2: Fitch Affirms Bsf Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings upgraded two and affirmed six classes of Goldman
Sachs Commercial Mortgage Capital, L.P. commercial mortgage
pass-through certificates series 2010-C2.

RATING ACTIONS

GS Mortgage Securities 2010-C2

Class A-1 36248EAA3; LT AAAsf Affirmed; previously at AAAsf

Class A-2 36248EAB1; LT AAAsf Affirmed; previously at AAAsf

Class B 36248EAE5;   LT AAAsf Affirmed; previously at AAAsf

Class C 36248EAF2;   LT AAAsf Upgrade;  previously at AAsf

Class D 36248EAG0;   LT Asf Upgrade;    previously at BBB-sf

Class E 36248EAH8;   LT BBsf Affirmed;  previously at BBsf

Class F 36248EAJ4;   LT Bsf Affirmed;   previously at Bsf

Class X-A 36248EAC9; LT AAAsf Affirmed; previously at AAAsf

KEY RATING DRIVERS

Stabilized Performance and Decrease in Loss Expectations: The
rating upgrades reflect decreased loss expectations primarily due
to stabilization of the Payless & Brown Industrial Portfolio loan
(4.9%). The loan is secured by two single-tenant industrial
properties totaling 1,153,374 sf. The Brown Shoe distribution
facility is located in Lebec, CA, (approximately 40 miles south of
Bakersfield) and the Payless distribution center is located in
Brookville, OH (roughly 22 miles west of Dayton). Payless
ShoeSource, the sole tenant at the Brookville, OH property, filed
for bankruptcy in 2017 and again in 2019. The company's e-commerce
platform and all of its U.S. stores have been closed. Payless has
vacated and a logistics company has been signed as a replacement
tenant. The new lease is for five years and the new base rent is
significantly more than the previous tenant. The remaining majority
of the pool continues to exhibit generally stable property-level
performance. There are no delinquent or specially serviced loans.

The Whittwood Town Center loan (8%) remains a Fitch Loan of Concern
(FLOC). It is secured by a 686,220 sf retail property located in
Whitter, CA (approximately 15 miles southeast of Los Angeles). The
open-air power center is anchored by Target (ground lease), Sears,
JCPenney, Kohl's, and Vons. Sears remains open and continues to pay
rent; the store accounts for 7.5% of the net rentable area (NRA)
and has a lease expiration in July 2021. Vons reported YE 2018
sales of $411/sf, which is an increase from the YE 2017 sales of
$395/sf, but down from $475/sf at issuance. Fitch's analysis for
this loan included a sensitivity scenario, which assumed a 15% loss
severity to the maturity balance due to the exposure to Sears,
declining sales of Vons and upcoming maturity in December 2020;
there were no impact to the ratings from this sensitivity
analysis.

Increased Defeasance/Improved Credit Enhancement: The pool has
benefited from increased credit enhancement due to scheduled
amortization and defeasance. Of the original 43 loans, 27 loans
remain. Twelve loans (40.8% of the pool) are defeased, which is a
5% increase from Fitch's last review. As of the December 2019
remittance date, the pool has been reduced by 38.5% to $538.7
million from $876.5 million at issuance. The upgrades to classes C
and D reflect the expectation of further paydown as all of the
remaining loans approach their respective maturities during the
fourth quarter of 2020. The pool has experienced no realized losses
to date.

Alternative Loss Considerations: Fitch's base case analysis
included stresses to the probability of defaults, cap rates and NOI
haircuts applied to the loans within the pool. Fitch's analysis
also included two additional sensitivity scenarios to further
support the upgrades to classes C and D and the Outlook revision
for class F. In the first sensitivity scenario, Fitch applied
potential outsized losses of 15% on the maturity balance of the
FLOC (Whittwood Town Center) given the exposure to Sears and the
upcoming loan maturity. The second sensitivity scenario included
potential outsized losses of 100% on the maturity balance of four
loans within the pool that have a debt service coverage ratio below
1.50x. Both scenarios factored in the paydown from defeased
collateral.

Other Considerations:

Concentrated Pool: The transaction is concentrated, with only 27
loans remaining, down from 43 at issuance. The largest 10 loans
account for 69.5% of the pool, and the largest 15 account for 85%.

Single Tenant Exposure: Eight loans totalling 37.4% of the pool are
secured by single-tenant properties. Of this concentration, four
loans are secured by multiple properties, including Cole Portfolios
I and II, Brown and Payless Industrial Portfolio, and ARC Credit
Portfolio I, each among the largest 15 loans in the pool.

RATING SENSITIVITIES

The Rating Outlook for class F has been revised to Stable given the
leasing update for the Payless and Brown Industrial Portfolio.
Rating Outlooks on classes A-1 though E remain Stable as the
majority of the pool has maintained performance consistent with
issuance. Rating downgrades are considered unlikely for these
classes, but are possible should there be any significant
performance declines or loans fail to pay off at their respective
maturities. While considered unlikely, additional upgrades to
classes D through F are possible with increased defeasance and
earlier than expected payoffs.

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.

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
transaction.


GS MORTGAGE 2020-GC45: DBRS Gives Prov. B(low) Rating on SWD Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-GC45 to
be issued by GS Mortgage Securities Trust 2020-GC45:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A AAA (sf)
-- Class X-B at A (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 X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F-RR at BB (low) (sf)
-- Class G-RR at B (sf)
-- Class SW-A at A (low) (sf)
-- Class SW-B at BBB (low) (sf)
-- Class SW-C at BB (low) (sf)
-- Class SW-D at B (low) (sf)

All trends are Stable. Classes X-D, D, E, F-RR, G-RR, SW-A, SW-B,
SW-C, and SW-D will be privately placed.

DBRS Morningstar subsequently placed the provisional ratings
assigned to Class SW-A, SW-B, SW-C, and SW-D Under Review with
Developing Implications because of the request for comments (RFC)
on the "North American Single-Asset/Single-Borrower Ratings
Methodology" on November 14, 2019. If the updated methodology is
adopted following the RFC, there will likely be no rating impact to
the provisional ratings assigned to this transaction. For more
information, please see the press release, "DBRS Morningstar
Requests Comments on North American Single-Asset/Single-Borrower
Ratings Methodology."

The collateral consists of 52 fixed-rate loans secured by 152
commercial, hospitality, and multifamily properties. The
transaction is a sequential-pay pass-through structure. DBRS
Morningstar analyzed the conduit pool to determine the provisional
ratings, reflecting the long-term probability of loan default
within the term and its liquidity at maturity. DBRS Morningstar
shadow-rated eight loans, representing approximately 31.8% of the
pool, investment grade. The pool also includes 18 loans,
representing 21.2% of the pool by allocated loan balance, with
issuance loan-to-value (LTV) ratios higher than 67.1%, a threshold
historically indicative of above-average default frequency. The
weighted-average (WA) LTV of the pool at issuance was 54.6% and the
pool is scheduled to amortize down to a WA LTV of 51.4% at
maturity.

The collateral features eight loans, representing 31.8% of the
initial pool balance that DBRS Morningstar assessed as
investment-grade: 1633 Broadway, 560 Mission Street, Starwood Class
A Industrial Portfolio 1, Bellagio Hotel and Casino, Southcenter
Mall, 650 Madison Avenue, Parkmerced, and 510 East 14th Street.
DBRS Morningstar views the percentage of investment-grade loans in
the pool favorably and the proportion of investment-grade loans is
higher than other recent conduit/fusion transactions.

The pool is relatively granular and does not exhibit significant
loan size concentration. No loan represents more than 4.5% of the
pool cutoff balance and the top 10 loans represent only 41.1% of
the total pool balance. Eight loans, representing 17.7% of the
initial pool balance, are secured by multiple-property portfolios,
which provide additional diversity and cash flow stability compared
with a loan collateralized by a single property. Additionally, no
single property type accounts for more than 25.0% of the pool by
initial cutoff balance.

The pool exhibits heavy-leverage barbells. While the pool has 21
loans, comprising 54.3% of the pool balance, which have an issuance
LTV lower than 59.3%, a threshold historically indicative of
relatively low-leverage financing and generally associated with
below-average default frequency, there are also 18 loans,
comprising 21.2% of the pool balance, which have an issuance LTV of
higher than 67.1%, a threshold historically indicative of
relatively high-leverage financing and generally associated with
above-average default frequency. The WA Expected Loss of the pool's
investment-grade component was approximately 0.6% while the WA
Expected Loss of the pool's conduit component was substantially
higher at over 3.0%, further illustrating the barbell nature of the
transaction.

The pool features a relatively high concentration of loans secured
by properties located in less favorable suburban market areas.
Twenty-six loans, representing 49.9% of the pool's cutoff balance,
are secured by properties predominately located in areas with a
DBRS Morningstar Market Rank of either 3 or 4.

Twenty-eight loans, representing 67.5% of the cutoff pool balance,
are structured with full-term interest-only (IO) periods and an
additional 17 loans, representing 26.5% of the pooled cutoff
balance, are structured with partial-IO terms ranging from 12
months to 60 months.

Classes X-A, X-B, and X-D 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.


GS MORTGAGE 2020-PJJ1: Fitch to Rate Cl. B-5 Certs 'B(EXP)'
-----------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by GS Mortgage-Backed Securities Trust
2020-PJ1. The certificates are supported by 643 conforming and
non-conforming loans with a total balance of approximately $448.80
million as of the cutoff date.

RATING ACTIONS

GS Mortgage-Backed Securities Trust 2020-PJ1

Class A-1;    LT AAA(EXP)sf;  Expected Rating

Class A-10;   LT AA+(EXP)sf;  Expected Rating

Class A-2;    LT AAA(EXP)sf;  Expected Rating

Class A-3;    LT AA+(EXP)sf;  Expected Rating

Class A-4;    LT AA+(EXP)sf;  Expected Rating

Class A-5;    LT AAA(EXP)sf;  Expected Rating

Class A-6;    LT AAA(EXP)sf;  Expected Rating

Class A-7;    LT AAA(EXP)sf;  Expected Rating

Class A-8;    LT AAA(EXP)sf;  Expected Rating

Class A-9;    LT AA+(EXP)sf;  Expected Rating

Class A-IO-S; LT NR(EXP)sf;   Expected Rating

Class A-X-1;  LT AA+(EXP)sf;  Expected Rating

Class A-X-3;  LT AA+(EXP)sf;  Expected Rating

Class A-X-5;  LT AAA(EXP)sf;  Expected Rating

Class A-X-7;  LT AAA(EXP)sf;  Expected Rating

Class A-X-8;  LT AAA(EXP)sf;  Expected Rating

Class B-1;    LT AA(EXP)sf;   Expected Rating

Class B-2;    LT A(EXP)sf;    Expected Rating

Class B-3;    LT BBB(EXP)sf;  Expected Rating

Class B-4;    LT BB(EXP)sf;   Expected Rating

Class B-5;    LT B(EXP)sf;    Expected Rating

Class B-6;    LT NR(EXP)sf;   Expected Rating

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists
primarily of 30 year FRM fully amortizing loans, seasoned
approximately five months in aggregate. Generally all of the loans
were originated through the sellers' retail channels. The borrowers
in this pool have strong credit profiles (760 model FICO) and
relatively low leverage (72.5% sLTV). The collateral is a mix of
conforming agency eligible loans (51.7%) and non-conforming prime
jumbo loans (48.3%). The 379 conforming loans have an average
balance of $612,545, compared to a balance of $820,645 for the
non-conforming loans. The conforming loans have a slightly lower
FICO (758 vs. 761), but a lower CLTV (69.1 vs. 73.6).

Shifting Interest Deal Structure (Negative): 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. While there is
only minimal leakage to the subordinate bonds early on in the
transaction, the structure is more vulnerable to defaults occuring
later on in the life of the deal compared to a sequential or
modified sequential structure. To help mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.15% of the original balance will be
maintained for the senior certificates and a subordination floor of
0.75% of the original balance will be maintained for the
subordinate certificates.

Representation Framework (Negative): The loan-level representation,
warranty and enforcement (RW&E) framework is consistent with Tier 2
quality. Fitch increased its loss expectations by 48 bps at the
'AAAsf' rating category as a result of the Tier 2 framework and the
underlying sellers supporting the repurchase obligations of the
RW&E providers. The Tier2 framework was driven by the 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.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. Goldman Sachs is assessed as an 'Above
Average' aggregator by Fitch due to its robust sourcing strategy
and seller oversight, experienced senior management and staff,
strong risk management and corporate governance controls. Primary
and master servicing responsibilities are performed by Shellpoint
Mortgage Servicing (Shellpoint), which is rated 'RPS2-' by Fitch.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction. Due diligence
was performed by AMC, Clayton, and Digital Risk, which are assessed
by Fitch as 'Acceptable - Tier 1', 'Acceptable - Tier 1' and
'Acceptable - Tier 2', respectively. The review scope is consistent
with Fitch criteria and the results are generally similar to prior
prime RMBS transactions. Credit exceptions were supported by strong
mitigating factors and compliance exceptions were primarily cured
with subsequent documentation. Fitch applied a credit for the high
percentage of loan level due diligence, which reduced the 'AAAsf'
loss expectation by 28 bps.

Geographic Concentration (Negative): Almost 49% of the pool is
concentrated in California. The largest MSA concentration is in the
Los Angeles MSA (24.7%) followed by the New York MSA (8.9%) and San
Francisco MSA (8.9%). The top three MSAs account for approximately
42.5% of the pool. This resulted in an increase of 29 bps at the
'AAAsf' expected loss.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines 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 MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 6.5%. As shown in the table included in the presale
report, the analysis indicates that some potential rating migration
exists with higher MVDs compared with the model projection.

Additionally, 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'.


HARBORVIEW MORTGAGE 2005-8: Moody's Lowers Cl. 2-XA2 Debt to 'Csf'
------------------------------------------------------------------
Moody's Investors Service downgraded the rating of three tranches
from two transactions, backed by Option ARM and Subprime loans.

The complete rating action is as follows:

Issuer: HarborView Mortgage Loan Trust 2005-8

Cl. 2-XA2*, Downgraded to C (sf); previously on Feb 13, 2019
Upgraded to Ca (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE10

Cl. M-1, Downgraded to B1 (sf); previously on Nov 8, 2018
Downgraded to Baa3 (sf)

Cl. M-2, Downgraded to B1 (sf); previously on Apr 9, 2018 Upgraded
to Ba2 (sf)

*Reflects Interest-Only Class

RATINGS RATIONALE

The rating downgrades are primarily due to the outstanding interest
shortfalls on the bonds that are not expected to be reimbursed. The
action also reflects the recent performance of the underlying
collateral and Moody's updated loss expectation on the pool.

The downgrade of the rating to C (sf) on HarborView Mortgage Loan
Trust 2005-8, Cl. 2-XA2 reflects the nonpayment of interest for an
extended period of 12 months. For this bond, the coupon rate is
subject to a calculation that has reduced the required interest
distribution to zero. Because the coupon on this bond is subject to
changes in interest rate and/or collateral composition, there is a
remote possibility that it may receive interest in the future.

The principal methodology used in rating all classes except
interest-only classes was "US RMBS Surveillance Methodology"
published in February 2019. The methodologies used in rating
interest-only classes were "US RMBS Surveillance Methodology"
published in February 2019 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" 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 December 2019 from 3.9% in
December 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. 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.


JFIN CLO 2013: S&P Assigns Prelim BB- (sf) Rating to Cl. D-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-NR, A-1-FR, A-2-R, B-R, C-R, and D-R replacement notes from
JFIN CLO 2013 Ltd., a collateralized loan obligation (CLO)
originally issued in March 2013 that is managed by Apex Credit
Partners LLC, which is wholly owned by Jefferies Finance LLC.

This is a proposed refinancing and extension of JFIN CLO 2013
Ltd.'s March 2013 transaction, and also merges the JFIN CLO 2014
Ltd. transaction that will be redeemed as part of the refinancing.
The replacement notes will be issued via a proposed supplemental
indenture.

The preliminary ratings are based on information as of Jan. 10,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Jan. 21, 2020, refinancing date, proceeds from the issuance
of the replacement notes are expected to redeem the outstanding
notes from JFIN CLO 2013 Ltd. and JFIN CLO 2014 Ltd. At that time,
S&P anticipates withdrawing the ratings on the outstanding notes
and assigning ratings to the replacement notes. However, if the
refinancing doesn't occur, S&P may affirm the ratings on the
outstanding notes and withdraw its preliminary ratings on the
replacement notes.

The preliminary ratings assigned to JFIN CLO 2013 Ltd.'s
replacement notes reflect S&P's assessment of:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to
continue to remain bankruptcy remote.
   
  PRELIMINARY RATINGS ASSIGNED

  JFIN CLO 2013 Ltd.

  Replacement class      Rating       Amount (mil. $)

  A-1-NR                 AAA (sf)              204.00
  A-1-FR                 AAA (sf)               20.00
  A-2-R                  AA (sf)                39.50
  B-R (deferrable)       A (sf)                 18.80
  C-R (deferrable)       BBB- (sf)              16.00
  D-R (deferrable)       BB- (sf)               19.50
  E-R (deferrable)       NR                     14.80
  Subordinated notes     NR                     99.03

  NR--Not rated.


JP MORGAN 2013-C16: Fitch Affirms Bsf Rating on Class F Certs
-------------------------------------------------------------
Fitch Ratings 12 classes of J.P. Morgan Chase Commercial Mortgage
Securities Trust commercial mortgage pass-through certificates
series 2013-C16.

RATING ACTIONS

JPMCC 2013-C16

Class A-3 46641BAC7;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 46641BAD5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-S 46641BAH6;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 46641BAE3; LT AAAsf Affirmed;  previously at AAAsf

Class B 46641BAJ2;    LT AA-sf Affirmed;  previously at AA-sf

Class C 46641BAK9;    LT A-sf Affirmed;   previously at A-sf

Class D 46641BAP8;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 46641BAR4;    LT BBsf Affirmed;   previously at BBsf

Class EC 46641BAL7;   LT A-sf Affirmed;   previously at A-sf

Class F 46641BAT0;    LT Bsf Affirmed;    previously at Bsf

Class X-A 46641BAF0;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 46641BAG8;  LT AA-sf Affirmed;  previously at AA-sf

KEY RATING DRIVERS

Increasing Loss Expectations/Fitch Loans of Concern (FLOCs): Loss
expectations have increased primarily due to the increasing number
of FLOCs (32.9% of the pool). Two loans/assets (1.7% of the pool)
are specially serviced. The Holiday Inn Energy Corridor (1.1% of
the pool) transferred to the special servicer in July 2018 due to
imminent default. In March 2019, the special servicer and borrower
agreed to a forbearance agreement, which expired in July 2019, and
the borrower was unable to secure financing. Subsequently, the
special servicer and the borrower have agreed to a loan
modification, which includes interest only payments through
December 2020 and a property improvement plan expected to be
completed in May 2020. The loan is expected to be transferred back
to the master servicer as a performing loan in the near future.

The second specially serviced asset, Holiday Inn Express & Suites
Kingwood, is less than 1% of the pool and is currently REO.

Outside of the specially serviced loans/assets, eight loans (31.2%
of the pool) are considered FLOCs due to declining performance
and/or upcoming rollover concerns. The largest FLOC and largest
loan, the Aire (15.4% of the pool), is secured by a 310-unit
multifamily property located in the Upper West Side of Manhattan.
Despite the property's strong occupancy since issuance, the loan
has suffered declining performance with net operating income (NOI)
debt service coverage ratio (DSCR) declining to 0.81x as of Sept.
30, 2019 from 0.90x at YE 2018, 0.88x at YE 2017 and 1.05x at YE
2016. The declines in performance are primarily related to higher
operating expenses, primarily real estate taxes, which have
increased by $2.6 million since issuance at $1.1 million and are
expected to further increase to $6.6 million by 2023, when 10-year
tax abatement expires. Additionally, gross revenues have also
declined. Per the master servicer, the borrower has indicated the
New York City market remains soft; as a result, concessions and
incentives are being offered in order to lease up vacancies.
Additionally, residential renewal rates were lower than expected at
65%. The borrower made new improvements to the building in 2019,
which included out of pocket renovations to the gym and outdoor
furniture. The borrower intends to continue to fund property
shortfalls and has put new equity into the property on a quarterly
basis.

The second largest FLOC, 1610 L Street (4.2% of the pool), is
secured by a 417,383 sf office building located in downtown
Washington, DC, four blocks from the White House. The property was
built in 1984 and renovated in 2009. The property's top tenant,
Cardinia Real Estate (21.8% of the NRA), has approximately 63k sf
(15.1% of the NRA) expiring in September 2020 and per the master
servicer, the tenant has indicated they will not renew a portion
(approximately 43k sf) of their space. The departure will cause
property occupancy to decrease to 83.8% from 94.1% as of Sept. 30,
2019, 98.6% at YE 2018, and 96.1% at YE 2017. As part of Fitch's
base case scenario, Fitch applied a 15% haircut to the NOI to
adjust for the departure and expected declines in performance.

The third largest FLOC, Bridgemarket (3.7% of the pool), is secured
by 97,835 sf of retail space located underneath the Queensboro
Bridge at First Avenue and 59th Street in Manhattan. The property
has two tenants, TJMaxx (36.5% of NRA; March 2020) and Bridgemarket
Restaurant (27.4% of NRA; February 2020), which operates as
Gustavino's, an event space. Per the master servicer, TJMaxx has
renewed their lease through 2021. As of December 2018, the
property's occupancy declined to 64% from 100% since issuance. The
property's former major tenant, Food Emporium (formerly 36% of the
NRA), failed to pay their full rent in November and December 2017
and then subsequently vacated their space after litigation with no
termination fee required. The space remains vacant and the tenant
and borrower remain in litigation to re-coup past due rent. The
most recent NOI DSCR as of June 30, 2019 declined to 0.86x from
1.22x at YE 2018, 1.66x at YE 2017 and 1.43x at YE 2016. Fitch has
requested an update from the master servicer regarding an update on
the borrower's plans to improve performance as well as an update on
the Gustavino's space.

The fourth largest FLOC, GAI Building (2.4% of the pool), is
secured by a 106,504 sf office property located in Orlando, FL.
Property occupancy as of Sept. 30, 2019 improved to 100% from 82.4%
at YE 2018, 82.4% at YE 2017 and 94.1% at YE 2016. The property has
suffered declining occupancy after Orlando City Soccer (formerly
11.8% of the NRA) vacated at its 2017 lease expiration. Their
space, plus another previously vacant space, has since been
re-leased to Fattmerchant (17.4% of NRA). The new tenant is
receiving abated rent through August 2020. Per the master servicer,
despite the positive leasing momentum at the property, the top
tenant, GAI Consultants (currently 58.1% of the NRA) has indicated
they will only renew 48,691 sf of their total 62,112 sf upon lease
expiration in 2021. The non-renewal of the entire space triggered a
cash management event and all net cash flow is being deposited into
a lender controlled account. The borrower has indicated they are
marketing the future vacant space, however, GAI is currently paying
an above market rent of $34.69 psf compared to Reis' submarket and
market averages of $28 psf and $24 psf, respectively. Additionally,
NOI DSCR has declined to 1.37x as of June 30, 2019 from 1.42x at YE
2018, 1.55x at YE 2017 and 1.94x at YE 2016. The declines in NOI
DSCR are primarily related to the declines in gross revenues and
abated rent of the new tenant.

The fifth largest FLOC, College Grove Student Apartments (1.8% of
the pool), is secured by an 864-bed student housing complex located
in Murfreesboro, TN. The property is located 1.0 miles from the
Middle Tennessee State University (MTSU) campus. Property occupancy
as of September 2019 has slightly improved to 77% from 74% at YE
2018, but remains below 79% at YE 2017 and 96% at YE 2016. The
declines in performance are primarily related to a declining
market, lower enrolment trends at MTSU and increased operating
expenses namely advertising/marketing and repairs and maintenance.
The property is also the oldest of its competitive set. Per master
servicer commentary, the property has also suffered from increased
crime launching a safety initiative in the area. The borrower has
since hired a new property and regional manager, but performance
remains below issuance. In addition to modelling a base case loss,
Fitch also applied a 30% loss severity to address the property's
declining performance and enrollment trends at the nearby
university. This contributed to the Outlook remaining Negative on
class F.

The sixth largest FLOC, Northpointe Centre (1.6% of the pool), is
secured by a 190,196 sf retail center located in Zanesville, OH.
The property is shadow anchored by a Home Depot and Kohl's. Per the
rent roll dated Sept. 30, 2019, occupancy declined to 79.4% from
95.7% at YE 2018, 80.2% at YE 2017 and 96.9% at YE 2016. Occupancy,
however, appeared to be slightly inflated as part of the vacant
space was occupied by a seasonal tenant; as such, occupancy without
the seasonal tenant would have been 66%. The property has suffered
declining performance due to two tenant's vacating. MC Sports
(previously 13% of the NRA) vacated upon filing for bankruptcy and
closing all stores. The closure triggered a cash flow sweep and all
excess cash has been swept since 2017. Additionally, TJMaxx
(previously 15% of the NRA) vacated upon its January 2019 lease
expiration and re-located to the nearby Colony Square Mall. As of
Sept. 30, 2019, NOI DSCR had declined to 1.21x from 1.44x at YE
2018, 1.58x at YE 2017 and 1.76x at YE 2016. As part of Fitch's
base case analysis, Fitch applied a 10% NOI haircut to adjust for
the declines in occupancy and performance. In addition to modelling
a base case loss, Fitch also applied a 50% loss severity to address
the property's declining performance and tertiary market location.
This contributed to the Outlook remaining Negative on class F.

The remaining FLOCs are all on the master servicer's watchlist for
declining performance. Fitch will continue to monitor the loans for
further updates.

Improved Credit Enhancement: The pool has benefitted from increased
credit enhancement due to loan payoffs, scheduled amortization and
defeased collateral. As of December 2019, the pool's aggregate
principal balance has been reduced by 27.6% to $822.4 million from
$1,136 billion at issuance. To date, no losses have been incurred
by the pool. Nine loans (14.3% of the pool) are defeased, including
the third largest loan, Oracle & International Centre (6.1% of the
pool), which defeased since last review. One loan, 1615 L Street
(4.2% of the pool), is interest only. Approximately 52.8% of the
pool has partial interest only payments, all of which are now
amortizing.

Additional Loss Considerations: In addition to modeling a base case
loss, Fitch applied an additional loss severity of 30%, 50%, and
25% on College Grove Student Apartments (1.8% of the pool),
Northpointe Center (1.6% of the pool), and 121 Champion Way (1.3%
of the pool) respectively, in its sensitivity analysis to address
the potential for outsized, higher losses given the significant
upcoming lease rollover and declining performance.

High Multifamily Concentration: The pool has a multifamily
concentration of 24.2%, which is significantly higher than the 2013
average of 12.2%. The largest loan, the Aire (15.4% of the pool),
is a multifamily property located in Manhattan's Upper West Side.
The loan is currently on the master servicer's watchlist and was
considered a FLOC due to declining performance.

RATING SENSITIVITIES

The Negative Outlook on class F reflects the sensitivity analysis
applied to several loans in the pool and lack of improved
performance of the majority of the FLOCs. Fitch performed an
additional sensitivity analysis on the College Grove Student
Apartments (1.8% of the pool), Northpointe Center (1.6% of the
pool), and 121 Champion Way (1.3% of the pool) of 30%, 50%, and
25%, respectively, due to the declining performance and potential
for increased outsized losses. The remaining classes remain Stable
due to scheduled amortization, additional defeasance and overall
stable performance. Upgrades to senior classes may occur with
improved pool performance and additional paydown or defeasance.
Downgrades are possible given continued performance declines
related to the FLOCs.

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.

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
transaction.


JP MORGAN 2020-LOOP: Moody's Assigns (P)B3 Rating on Cl. F Certs
----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to six
classes of CMBS securities, issued by J.P. Morgan Chase Commercial
Mortgage Securities Trust 2020-LOOP, Commercial Mortgage
Pass-Through Certificates, Series 2020-LOOP:

Cl. B, Assigned (P)Aa3 (sf)

Cl. C, Assigned (P)A3 (sf)

Cl. D, Assigned (P)Baa3 (sf)

Cl. E, Assigned (P)Ba3 (sf)

Cl. F, Assigned (P)B3 (sf)

Cl. X-B*, Assigned (P)A3 (sf)

* Reflects interest-only class

RATINGS RATIONALE

The certificates are collateralized by a single loan secured by a
fee simple interest in a 946,099 SF, Class A, multi-tenant office
building known as 181 W. Madison Street, which is located in the
Central Loop submarket of downtown Chicago, Illinois. Its ratings
are based on the credit quality of the loans and the strength of
the securitization structure.

The property is well located within downtown Chicago. The property
is proximate to three of Chicago's major commuter rail stations
(Union Station, LaSalle Street Station and Ogilvie Transportation
Center), adjacent to the Washington and Wells CTA elevated train,
and in proximity to interstate 90/94 and I-290.

The property was built in 1990 and renovated in 2016, and recently
achieved LEED Gold certification. As of November 30, 2019, the
property was 87.7% leased to 29 tenants. The property serves as a
headquarter location for its three largest tenants: The Northern
Trust Company -- 42.3% of NRA, Quantitative Risk Management --
11.3% of NRA, and The Marmon Group -- 4.8% of NRA. Other notable
tenants include: The United States Government -- 3.9% of NRA,
Factset Research Systems Inc. -- 4.0% of NRA, and Duracell -- 1.2%
of NRA.

The securitization consists of the $133,100,000 of a seven-year,
interest-only, first lien mortgage loan with an outstanding
principal balance of $240,000,000 (the "whole loan" or the "loan").
The trust loan will contain senior and junior note components. The
loan will be non-recourse and made by JPMorgan Chase Bank, National
Association to 181 West Madison Property LLC, a Delaware limited
liability company and special purpose entity. Its ratings are based
on the credit quality of the loan and the strength of the
securitization structure.

Moody's approach to rating this transaction involved the
application of both its Large Loan and Single Asset/Single Borrower
CMBS methodology and its IO Rating methodology. The rating approach
for securities backed by a single loan compares the credit risk
inherent in the underlying collateral with the credit protection
offered by the structure. The structure's credit enhancement is
quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios
without causing an increase in the expected loss for various rating
levels. In assigning single borrower ratings, Moody's also
considers a range of qualitative issues as well as the
transaction's structural and legal aspects.

The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.

The first mortgage balance of $240,000,000 represents a Moody's LTV
ratio of 125.8% while the Moody's Total Debt Actual DSCR is 1.78X
and Moody's Total Debt Stressed DSCR is 0.75X.

Notable strengths of the transaction include: the property's strong
location, asset quality, and credit tenancy.

Notable credit challenges of the transaction include: the lack of
asset diversification, new supply, lease roll-over risk, and
certain credit negative loan structure and legal features.

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in July 2017. The
methodologies used in rating interest-only classes were "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from its
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IOs
references within the transaction; and IO type corresponding to an
IO type as defined in the published methodology.

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

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.


JP MORGAN 2020-LTV1: Moody's Assigns (P)B3 Rating on 2 Tranches
---------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 34
classes of residential mortgage-backed securities issued by J.P.
Morgan Mortgage Trust 2020-LTV1. The ratings range from (P)Aaa (sf)
to (P)B3 (sf).

The certificates are backed by 645, 30-year, fully-amortizing
fixed-rate mortgage loans with a total balance of $430,287,416 as
of the January 1st, 2020 cut-off date. GSE-eligible loans comprise
only 3.09% of the pool balance. All the loans are subject to the
Qualified Mortgage and Ability-to-Repay rules and are categorized
as either QM-Safe Harbor, QM-Agency Safe Harbor and QM - Rebuttable
Presumption.

JPMMT 2020-LTV1 is the fifth JPMMT transaction with the LTV
designation. The weighted average (WA) loan-to-value (LTV) ratio of
the mortgage pool is approximately 88.7%, which is in line with
those of the other JPMMT LTV transactions, but higher than other
prrior JPMMT transactions with WA LTVs of about 70% on average. All
loans have LTVs of between 80% and 90%, and about 85.4% 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 d/b/a United Wholesale
Mortgage and Shore Mortgage (United Shore) originated 67.1% of the
mortgage loans by balance, loanDepot.com, LLC originated 18.1% of
the mortgage loans by balance, and SoFi Lending Corp. originated
7.4% 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 64.7% 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, United Shore will service approximately 48.4% of the
pool and Shellpoint Mortgage Servicing will service 39.1% of the
pool. With respect to the Mortgage Loans serviced by United Shore,
Cenlar FSB, 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, United Shore and loanDepot 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 April 1st, 2020 (or such later date as
determined by the issuing entity and JPMCB). After the servicing
transfer date, JPMCB 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 2020-LTV1

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-15, Assigned (P)Aa1 (sf)

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

Cl. A-17, Assigned (P)Aaa (sf)

Cl. B-1, Assigned (P)Aa3 (sf)

Cl. B-1-A, Assigned (P)Aa3 (sf)

Cl. B-2, Assigned (P)A3 (sf)

Cl. B-2-A, Assigned (P)A3 (sf)

Cl. B-3, Assigned (P)Baa3 (sf)

Cl. B-3-A, Assigned (P)Baa3 (sf)

Cl. B-4, Assigned (P)Ba3 (sf)

Cl. B-5, Assigned (P)B3 (sf)

Cl. B-5-Y, Assigned (P)B3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 2.08%
and reaches 14.76% at a stress level consistent with its 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 (TPR) scope and results,
and the financial strength of the representation & warranty (R&W)
provider.

Collateral Description

JPMMT 2020-LTV1 is a securitization of a pool of 645 30-year,
fully-amortizing fixed-rate mortgage loans with a total balance of
$430,287,416 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 761. The WA LTV
ratio of the mortgage pool is 88.7%, 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 85.4% 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 4.5%. The mortgage loans in the pool were originated mostly in
California (34.8% by loan balance).

United Shore Financial Services (United Shore) originated 67.1% of
the mortgage loans by balance, loanDepot.com, LLC originated 18.1%
of the mortgage loans by balance, and SoFi Lending Corp. originated
7.4% 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 64.7% 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.

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.

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. 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. 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 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 2020-LTV1'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. 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 (JPMorgan
Chase Bank, N.A., Aa2), its affiliate, JPMMAC provided R&Ws since
they are highly rated and/or financially stable entities.
Furthermore, the R&W provider, Quicken Loans Inc. (Quicken), is
rated Ba1, has a strong credit profile and is a financially stable
entity. However, Moody's applied an adjustment to its expected
losses to account for the risk that Quicken may be unable to
repurchase defective loans in a stressed economic environment in
which a substantial portion of the loans breach the R&Ws, given
that it is a non-bank entity with a monoline business (mortgage
origination and servicing) that is highly correlated with the
economy. Moody's tempered this adjustment by taking into account
Quicken's relative financial strength and the strong TPR results
which suggest a lower probability that poorly performing mortgage
loans will be found defective following review by the independent
reviewer.

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. 1.5% 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 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.

Additional Counterparties

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 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.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.25% of the closing pool balance,
and a subordination lock-out amount of 1.00% of the closing pool
balance. The floors are consistent with the credit neutral floors
for the assigned ratings according to its methodology.

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.


NEW RESIDENTIAL 2020-1: DBRS Gives (P)B(high) Rating on 10 Tranches
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2020-1 (the Notes) to be issued by
New Residential Mortgage Loan Trust 2020-1 (NRMLT or the Trust):

-- $387.2 million Class A-1 at AAA (sf)
-- $387.2 million Class A-IO at AAA (sf)
-- $387.2 million Class A-1A at AAA (sf)
-- $387.2 million Class A-1B at AAA (sf)
-- $387.2 million Class A-1C at AAA (sf)
-- $387.2 million Class A-1D at AAA (sf)
-- $387.2 million Class A1-IOA at AAA (sf)
-- $387.2 million Class A1-IOB at AAA (sf)
-- $387.2 million Class A1-IOC at AAA (sf)
-- $387.2 million Class A1-IOD at AAA (sf)
-- $387.2 million Class A at AAA (sf)
-- $419.9 million Class A-2 at AA (high) (sf)
-- $32.7 million Class B-1 at AA (high) (sf)
-- $32.7 million Class B1-IO at AA (high) (sf)
-- $32.7 million Class B-1A at AA (high) (sf)
-- $32.7 million Class B-1B at AA (high) (sf)
-- $32.7 million Class B-1C at AA (high) (sf)
-- $32.7 million Class B-1D at AA (high) (sf)
-- $32.7 million Class B1-IOA at AA (high) (sf)
-- $32.7 million Class B1-IOB at AA (high) (sf)
-- $32.7 million Class B1-IOC at AA (high) (sf)
-- $24.9 million Class B-2 at A (high) (sf)
-- $24.9 million Class B2-IO at A (high) (sf)
-- $24.9 million Class B-2A at A (high) (sf)
-- $24.9 million Class B-2B at A (high) (sf)
-- $24.9 million Class B-2C at A (high) (sf)
-- $24.9 million Class B-2D at A (high) (sf)
-- $24.9 million Class B2-IOA at A (high) (sf)
-- $24.9 million Class B2-IOB at A (high) (sf)
-- $24.9 million Class B2-IOC at A (high) (sf)
-- $26.2 million Class B-3 at BBB (high) (sf)
-- $26.2 million Class B3-IO at BBB (high) (sf)
-- $26.2 million Class B-3A at BBB (high) (sf)
-- $26.2 million Class B-3B at BBB (high) (sf)
-- $26.2 million Class B-3C at BBB (high) (sf)
-- $26.2 million Class B-3D at BBB (high) (sf)
-- $26.2 million Class B3-IOA at BBB (high) (sf)
-- $26.2 million Class B3-IOB at BBB (high) (sf)
-- $26.2 million Class B3-IOC at BBB (high) (sf)
-- $15.7 million Class B-4 at BB (high) (sf)
-- $15.7 million Class B-4A at BB (high) (sf)
-- $15.7 million Class B-4B at BB (high) (sf)
-- $15.7 million Class B-4C at BB (high) (sf)
-- $15.7 million Class B4-IOA at BB (high) (sf)
-- $15.7 million Class B4-IOB at BB (high) (sf)
-- $15.7 million Class B4-IOC at BB (high) (sf)
-- $6.5 million Class B-5 at B (high) (sf)
-- $6.5 million Class B-5A at B (high) (sf)
-- $6.5 million Class B-5B at B (high) (sf)
-- $6.5 million Class B-5C at B (high) (sf)
-- $6.5 million Class B-5D at B (high) (sf)
-- $6.5 million Class B5-IOA at B (high) (sf)
-- $6.5 million Class B5-IOB at B (high) (sf)
-- $6.5 million Class B5-IOC at B (high) (sf)
-- $6.5 million Class B5-IOD at B (high) (sf)
-- $22.2 million Class B-7 at B (high) (sf)

Classes A-IO, A1-IOA, A1-IOB, A1-IOC, A1-IOD, B1-IO, B1-IOA,
B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IO, B3-IOA,
B3-IOB, B3-IOC, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC, and
B5-IOD are interest-only notes. The class balances represent
notional amounts.

Classes A-1A, A-1B, A-1C, A-1D, A1-IOA, A1-IOB, A1-IOC, A1-IOD,
A-2, A, B-1A, B-1B, B-1C, B-1D, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B,
B-2C, B-2D, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B-3D, B3-IOA,
B3-IOB, B3-IOC, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A,
B-5B, B-5C, B-5D, B5-IOA, B5-IOB, B5-IOC, B5-IOD, and B-7 are
exchangeable notes. These classes can be exchanged for combinations
of initial exchangeable notes as specified in the offering
documents.

The AAA (sf) ratings on the Notes reflect 26.00% of credit
enhancement provided by subordinated notes. The AA (high) (sf), A
(high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf)
ratings reflect 19.75%, 15.00%, 10.00%, 7.00%, and 5.75% 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 seasoned portfolio of
performing and re-performing first-lien residential mortgages
funded by the issuance of the Notes. The Notes are backed by 5,910
loans with a total principal balance of $523,210,632 as of the
Cut-Off Date (December 1, 2019).

The loans are significantly seasoned with a weighted-average (WA)
age of 186 months. As of the Cut-Off Date, 90.1% of the pool is
current, 8.9% is 30 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method, and 1.0% is in bankruptcy
(all bankruptcy loans are performing or 30 days delinquent).
Approximately 67.6% and 75.5% of the mortgage loans have been zero
times 30 days delinquent (0 x 30) for the past 24 months and 12
months, respectively, under the MBA delinquency method.

The portfolio contains 47.8% modified loans. The modifications
happened more than two years ago for 84.4% of the modified loans.
All but one loan is exempt from the Consumer Financial Protection
Bureau's Ability-to-Repay /Qualified Mortgage rules due to loan
seasoning.

The Seller, NRZ Sponsor VIII LLC (NRZ), acquired the loans prior to
the Closing Date in connection with the termination of various
securitization trusts. Upon acquiring the loans, NRZ, through an
affiliate, New Residential Funding 2020-1 LLC (the Depositor), will
contribute the loans to the Trust. As the Sponsor, New Residential
Investment Corp., through a majority-owned affiliate, will acquire
and retain a 5% eligible vertical interest in each class of
securities to be issued (other than the residual notes) to satisfy
the credit risk retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder. These loans were originated and previously serviced by
various entities through purchases in the secondary market.

As of the Cut-Off Date, 46.0% of the pool is serviced by Nationstar
Mortgage LLC (Nationstar) d/b/a Mr. Cooper Group, Inc., 41.6% by
PHH Mortgage Corporation, 6.5% by NewRez LLC d/b/a Shellpoint
Mortgage Servicing (SMS), 3.9% by Select Portfolio Servicing (SPS),
and 1.9% by PNC Bank, National Association. Nationstar will also
act as the Master Servicer, and SMS will act as the Special
Servicer.

The Seller will have the option to repurchase any loan that becomes
60 or more days delinquent under the MBA method or any real estate
owned property acquired in respect of a mortgage loan at a price
equal to the principal balance of the loan (Optional Repurchase
Price), provided that such repurchases will be limited to 10% of
the principal balance of the mortgage loans as of the
Cut-Off Date.

Unlike other seasoned re-performing loan securitizations, the
Servicers in this transaction will advance principal and interest
on delinquent mortgages to the extent such advances are deemed
recoverable. The transaction employs a senior-subordinate,
shifting-interest cash flow structure that is enhanced from a
pre-crisis structure.

The ratings reflect transactional strengths that include underlying
assets with significant seasoning, and robust loan attributes with
respect to product types and loan-to-value ratios.

The transaction employs a relatively weak representations and
warranties framework that includes an unrated representation
provider (NRZ), certain knowledge qualifiers and fewer mortgage
loan representations relative to DBRS Morningstar criteria for
seasoned pools.

Although limited, third-party due diligence was performed on the
pool for regulatory compliance, data integrity, title/lien, and
payment history. Updated Home Data Index and/or broker price
opinions were provided for the pool; however, a reconciliation was
not performed on the updated values.

Certain loans have missing assignments or endorsements as of the
Closing Date. Given the relatively clean performance history of the
mortgages and the operational capability of the servicers, DBRS
Morningstar believes that the risk of impeding or delaying
foreclosure is remote.

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


NEW RESIDENTIAL 2020-1: Moody's Rates Class B-7 Notes 'B1(sf)'
--------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 32 classes
of notes issued by New Residential Mortgage Loan Trust 2020-1. The
NRMLT 2020-1 transaction is a $523 million securitization of 5,910
first lien, seasoned performing and re-performing fixed-rate
mortgage loans with weighted average seasoning of 187 months, a
weighted average updated LTV ratio of 47.3% and a non-zero weighted
average updated FICO score of 681. Based on the OTS methodology,
83.6% of the loans by scheduled balance have been continuously
current for the past 24 months. Approximately 47.8% of the loans in
the pool (by scheduled balance) have been previously modified. Mr.
Cooper Group Inc, PHH Mortgage Corporation FKA OCWEN, Shellpoint
Mortgage Servicing and Select Portfolio Servicing, Inc are the top
four servicers who will service approximately 46.0%, 41.6%, 6.5%
and 3.9% of the loans (by scheduled balance), respectively.
Nationstar Mortgage LLC will act as master servicer and successor
servicer and Shellpoint will act as the special servicer.

The complete rating action is as follows:

Issuer: New Residential Mortgage Loan Trust 2020-1

Cl. A, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

Cl. A-2, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. B-4, Definitive Rating Assigned Ba2 (sf)

Cl. B-4A, Definitive Rating Assigned Ba2 (sf)

Cl. B-4B, Definitive Rating Assigned Ba2 (sf)

Cl. B-4C, Definitive Rating Assigned Ba2 (sf)

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

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

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

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

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

Cl. B-7, Definitive Rating Assigned B1 (sf)

RATINGS RATIONALE

Its losses on the collateral pool equal 4.50% in an expected
scenario and reach 22.00% at a stress level consistent with the Aaa
ratings on the senior classes. Moody's based its expected losses
for 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 final expected losses for the pool
reflect the third-party review (TPR) findings and its assessment of
the representations and warranties (R&Ws) framework for this
transaction. Also, the transaction contains a mortgage loan sale
provision, the exercise of which is subject to potential conflicts
of interest. As a result of this provision, Moody's increased its
expected losses for the pool.

To estimate the losses on the pool, Moody's used an approach
similar to its surveillance approach. Under this approach, Moody's
applies expected annual delinquency rates, conditional prepayment
rates (CPRs), loss severity rates and other variables to estimate
future losses on the pool. Its assumptions on these variables are
based on the observed performance of seasoned modified and
non-modified loans, the collateral attributes of the pool including
the percentage of loans that were delinquent in the past 36 months.
For this pool, Moody's used default burnout assumptions similar to
those detailed in its "US RMBS Surveillance Methodology" for Alt-A
loans originated pre-2005. Moody's then aggregated the
delinquencies and converted them to losses by applying
pool-specific lifetime default frequency and loss severity
assumptions.

Collateral Description

NRMLT 2020-1 is a securitization of 5,910 seasoned performing and
re-performing fixed-rate residential mortgage loans which the
seller, NRZ Sponsor VIII LLC, has purchased in connection with the
termination of various securitization trusts. Similar to prior
NRMLT transactions Moody's has rated, nearly all of the collateral
was sourced from terminated securitizations. Approximately 47.8% of
the loans had previously been modified.

The updated value of properties in this pool were provided by a
third-party firm using a home data index (HDI) and/or an updated
broker price opinion (BPO). BPOs were provided for a sample of
1,265 out of the 5,910 properties contained within the
securitization. HDI values were provided for all but two properies
contained within the securitization. The weighted average updated
LTV ratio on the collateral is 47.3%, implying an average of 52.7%
borrower equity in the properties.

Of note, the pool consists of 0.6% of mortgage loans by scheduled
balance that have a zero percent interest rate as of closing. In
addition, about 2.8% of the mortgage loans could potentially turn
into zero-percent-interest-rate loans in the future. These mortgage
loans were originated with a cap on maximum finance charges to be
collected over the life of the loans. Such mortgage loans amortize
like regular mortgage loans, except that the borrowers will not be
obligated to pay more interest than the maximum finance charges set
at origination. So long as the mortgage loans do not become
delinquent they will not exceed the maximum finance charges and
become zero-interest loans. However, if a borrower becomes
delinquent or seeks a term extension then the total interest
payment could reach the maximum finance charge before maturity date
(because the loans accrue interest on the outstanding principal
balance at any point in time) and at that point the respective
mortgage loan will become a zero-interest loan. Of note, the coupon
on the bonds are capped to Net WAC. However, Moody's does not
anticipate these zero interest rate loans to result in no interest
payment to the bonds for an extended period of time as these loans
only make-up about 3.4% of the total pool and also have a wide
range of maturity date. On the closing date, the depositor will
deposit $115,314 in reserve to cover trust expenses such as
servicing fees and other fee payments for all zero-interest-rate
loans in the pool. On any payment date, if the reserve is not
sufficient to make required payments, the depositor will be
required to remit an amount equal to such shortfall to the reserve
account.

Third-Party Review and Representations & Warranties

Two third-party due diligence providers, AMC and Recovco, conducted
a regulatory compliance review on a sample of 200 and 1,401
seasoned mortgage loans respectively for the initial due diligence
pool. The regulatory compliance review consisted of a review of
compliance with the federal Truth in Lending Act as implemented by
Regulation Z, the federal Real Estate Settlement Procedures Act as
implemented by Regulation X, the disclosure requirements and
prohibitions of Section 50(a)(6), Article XVI of the Texas
Constitution, federal, state and local anti-predatory regulations,
federal and state specific late charge and prepayment penalty
regulations, and document review.

AMC found that 33 out of 200 loans had compliance exceptions with
rating agency grade C or D. Recovco reviewed 1,401 loans and 344
loans have ratings of C or D. Based on its analysis of the TPR
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 or other
disclosure deficiencies. Although the TPR report indicated that the
statute of limitations for borrowers to rescind their loans has
already passed, borrowers can still raise these legal claims in
defense against foreclosure as a set off or recoupment and win
damages that can reduce the amount of the foreclosure proceeds.
Such damages include up to $4,000 in statutory damages, borrowers'
legal fees and other actual damages. Moody's increased its losses
for these loans to account for such damages.

AMC and Recovco reviewed the findings of various title search
reports covering 137 and 786 mortgage loans respectively in the
preliminary sample population in order to confirm the first lien
position of the related mortgages. Overall, AMC's review confirmed
that 86 mortgages were in first lien position. For the 51 remaining
loans reviewed by AMC the final title policy at loan origination
was accepted to be proof of a first lien position. Recovco reported
that the 785 out of 786 mortgage loans it reviewed were in
first-lien position. For one mortgage loans, the results were
pending. The seller, NRZ Sponsor VIII LLC, is providing a
representation and warranty for missing mortgage files. To the
extent that the master servicer, related servicer or depositor has
actual knowledge, or a responsible officer of the Indenture Trustee
has received written notice, of a defective or missing mortgage
loan document or a breach of a representation or warranty regarding
the completeness of the mortgage file or the accuracy of the
mortgage loan documents, and such missing document, defect or
breach is preventing or materially delaying the (a) realization
against the related mortgaged property through foreclosure or
similar loss mitigation activity or (b) processing of any title
claim under the related title insurance policy, the party with such
actual knowledge will give written notice of such breach, defect or
missing document, as applicable, to the seller, indenture trustee,
depositor, master servicer and related servicer. Upon notification
of a missing or defective mortgage loan file, the seller will have
120 days from the date it receives such notification to deliver the
missing document or otherwise cure the defect or breach. If it is
unable to do so, the seller will be obligated to replace or
repurchase the mortgage loan.

Trustee, Custodians, Paying Agent, Servicers, Master Servicer,
Successor Servicer and Special Servicer

The transaction indenture trustee is Wilmington Trust, National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A and U.S. Bank National Association. The paying
agent and cash management functions will be performed by Citibank,
N.A. In addition, Nationstar, as master servicer, is responsible
for servicer oversight, termination of servicers, and the
appointment of successor servicers. Having Nationstar as a master
servicer mitigates servicing-related risk due to the performance
oversight that it will provide. Shellpoint will serve as the
special servicer and, as such, will be responsible for servicing
mortgage loans that become 60 or more days delinquent. Nationstar
will serve as the designated successor servicer.

Mr. Cooper Group Inc, PHH Mortgage Corporation FKA OCWEN,
Shellpoint Mortgage Servicing (SMS) and Select Portfolio Servicing,
Inc (SPS) are the top four servicers who will service approximately
46.0%, 41.6%, 6.5% and 3.9% of the loans (by scheduled balance),
respectively. Nationstar will act as master servicer and successor
servicer and Shellpoint will act as the special servicer. Moody's
considers the overall servicing arrangement to be adequate.

Transaction Structure

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to increasingly receive principal
prepayments after an initial lock-out period of five years,
provided two performance tests are met. To pass the first test, the
delinquent and recently modified loan balance cannot exceed 50% of
the subordinate bonds outstanding. To pass the second test,
cumulative losses cannot exceed certain thresholds that gradually
increase over time.

Because a shifting interest structure allows subordinated bonds to
pay down over time as the loan pool shrinks, senior bonds are
exposed to tail risk, i.e., risk of back-ended losses when fewer
loans remain in the pool. The transaction provides for a senior and
subordination floor that helps to reduce this tail risk.
Specifically, the subordination floor prevents subordinate bonds
from receiving any principal if the amount of subordinate bonds
outstanding falls below 5.75% of the cut-off date principal
balance. There is also a provision that prevents subordinate bonds
from receiving principal if the credit enhancement for the Class
A-1 note falls below its percentage at closing, 26.00%. In
addition, there are provisions that "lock out" certain subordinate
bonds and allocate principal to more senior subordinate bonds if,
for a given class, credit enhancement levels decline below their
initial percentages or below 5.75% of the cut-off date principal
balance. These provisions have been incorporated into its cash flow
model and are reflected in its ratings

Other Considerations

The transaction contains a mortgage loan sale provision, the
exercise of which is subject to potential conflicts of interest.
The servicers in the transaction may sell mortgage loans that
become 60 or more days delinquent according to the MBA methodology
to any party in the secondary market in an arms-length transaction
and at a fair market value. For such sale to take place, the
related servicer must determine, in its reasonable commercial
judgment, that such sale would maximize proceeds on a present value
basis. If the sponsor or any of its subsidiaries is the purchaser,
the related servicer must obtain at least two additional
independent bids. The transaction documents provide little detail
on the method of receipt of bids and there is no set minimum sale
price. Such lack of detail creates a risk that the independent bids
could be weak bids from purchasers that do not actively participate
in the market. Furthermore, the transaction documents provide
little detail regarding how servicers should conduct present value
calculations when determining if a note sale should be pursued. The
special servicer, Shellpoint, is an affiliate of the sponsor. The
servicers in the transaction may have a commercial relationship
with the sponsor outside of the transaction. These business
arrangements could lead to conflicts of interest. Moody's took this
into account and adjusted its losses accordingly.

When analyzing the transaction, Moody's reviewed the transaction's
exposure to large potential indemnification payments owed to
transaction parties due to potential lawsuits. In particular,
Moody's assessed the risk that the indenture trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the seller. Moody's believes that NRMLT
2020-1 is adequately protected against such risk primarily because
the loans in this transaction are highly seasoned with a weighted
average seasoning of approximately 187 months. Although some loans
in the pool were previously delinquent and modified, the loans all
have a substantial history of payment performance. This includes
payment performance during the last recession. As such, if loans in
the pool were materially defective, such issues would likely have
been discovered prior to the securitization. Furthermore, third
party due diligence was conducted on a significant random sample of
the loans for issues such as data integrity, compliance, and title.
As such, Moody's did not apply adjustments in this transaction to
account for indemnification payment risk.

In addition, prior to closing, the collateral pool has
approximately $2,421,859 of unreimbursed servicing advances such as
taxes and insurance. The mortgage borrower is responsible for
reimbursing the related servicer for the pre-existing servicing
advances. The related servicer may choose to set the pre-existing
advances as escrow to be repaid by the borrower as part of monthly
mortgage payments. However, in the event the borrower defaults on
the mortgage prior to fully repaying the pre-existing servicing
advances, the related servicer will recoup the outstanding amount
of pre-existing advances from the loan liquidation proceeds. The
amount of pre-existing servicing advances only represents
approximately 46 basis points of total pool balance. As borrowers
make monthly mortgage payments, this amount would likely decrease.
Moreover, its loan loss severity assumption incorporates
reimbursement of servicing advances from liquidation proceeds.

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.


OBX TRUST 2020-INV1: Moody's Assigns (P)B2 Rating on Cl. B-5 Debt
-----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 29
classes of residential mortgage-backed securities issued by OBX
2020-INV1 Trust. The ratings range from (P)Aaa (sf) to (P)B2 (sf).

OBX 2020-INV1, the first rated issue from Onslow Bay Financial LLC
in 2020, is a prime RMBS securitization of fixed-rate,
agency-eligible mortgage loans secured by first liens on non-owner
occupied residential properties with original terms to maturity of
30 years. All of the loans are underwritten in accordance with
Freddie Mac or Fannie Mae underwriting guidelines, which take into
consideration, among other factors, the income, assets, employment
and credit score of the borrower. All of the loans were
underwritten using one of the government-sponsored enterprises'
automated underwriting systems and received an "Approve" or
"Accept" recommendation.

The mortgage loans for this transaction were acquired by the seller
and sponsor, Onslow Bay, either directly from Quicken Loans Inc.
(35.6%), loanDepot.com, LLC (25.6%), or from various mortgage
lending institutions, each of which originated less than 10% of the
mortgage loans in the pool.

Select Portfolio Servicing, Inc., Quicken Loans Inc. and PNC
Financial Services Group, Inc. will service 59.2%, 35.6%, and 5.2%
of the aggregate balance of the mortgage pool, respectively, and
Wells Fargo Bank, N.A. (Wells Fargo) will be the master servicer.
Certain servicing advances and advances for delinquent scheduled
interest and principal payments will be funded, unless the related
mortgage loan is 120 days or more delinquent or the servicer
determines that such delinquency advances would not be recoverable.
The master servicer is obligated to fund any required monthly
advances if the servicer fails in its obligation to do so. The
master servicer and servicer will be entitled to reimbursements for
any such monthly advances from future payments and collections with
respect to those mortgage loans.

OBX 2020-INV1 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordination floor. 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: OBX 2020-INV1 Trust

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-15, Assigned (P)Aa1 (sf)

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

Cl. A-17, Assigned (P)Aaa (sf)

Cl. A-18, Assigned (P)Aaa (sf)

Cl. A-19, Assigned (P)Aaa (sf)

Cl. A-20, Assigned (P)Aaa (sf)

Cl. A-21, Assigned (P)Aa1 (sf)

Cl. B-1, Assigned (P)Aa3 (sf)

Cl. B-1A, Assigned (P)Aa3 (sf)

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

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

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

Cl. B-3A, 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

Moody's expected losses in a base case scenario are 1.06% and reach
9.72% at a stress level consistent with its Aaa rating scenario.

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 but were not limited to
adjustments for origination quality and third party review (TPR)
scope and results. Its loss levels and ratings on the certificates
also took into consideration qualitative factors such as 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

The OBX 2020-INV1 transaction is a securitization of 1,055 mortgage
loans secured by fixed-rate, agency-eligible first liens on
non-owner occupied one-to-four family residential properties,
planned unit developments and condominiums with an unpaid principal
balance of $374,608,743. All of the loans have a 30-year original
term. The mortgage pool has a WA seasoning of about 6 months. The
loans in this transaction have strong borrower credit
characteristics with a weighted average original FICO score of 764
and a weighted-average original combined loan-to-value ratio (CLTV)
of 67.4%. In addition, 30.5% of the borrowers are self-employed and
refinance loans comprise about 48.1% of the aggregate pool. The
pool has a high geographic concentration with 51.9% of the
aggregate pool located in California, with 19.9% located in the Los
Angeles-Long Beach-Anaheim MSA and 10.1% located in the San
Francisco-Oakland-Hayward MSA. The characteristics of the loans
underlying the pool are generally comparable to other recent prime
RMBS transactions backed primarily by 30-year mortgage loans that
Moody's has rated.

Origination Quality

Majority of the mortgage loans in the pool were originated by
Quicken Loans (35.6%) and loanDepot.com, LLC. (25.6%). Moody's
applied an adjustment to the loss levels for loans originated by
Quicken Loans due to the relatively worse performance of their
agency-eligible investment property mortgage loans compared to
similar loans from other originators in the Freddie Mac and Fannie
Mae database. All of the loans comply with Freddie Mac and Fannie
Mae underwriting guidelines, which take into consideration, among
other factors, the income, assets, employment and credit score of
the borrower. All the loans received an "Approve" or "Accept"
recommendation from one of the government-sponsored enterprises'
(GSE) automated underwriting systems (AUS).

Servicing Arrangement

Quicken Loans and PNC will make principal and interest advances
(subject to a determination of recoverability) for the mortgage
loans that it services. The P&I Advancing Party (Onslow Bay) will
make principal and interest advances (subject to a determination of
recoverability) for the mortgage loans serviced by SPS to the
extent that such delinquency advances exceed amounts on deposit for
future distribution, the excess servicing strip fee that would
otherwise be paid to the Class A-IO-S notes and the P&I Advancing
Party fee.

The master servicer is obligated to fund any required monthly
advances if a servicer or any other party obligated to advance
fails in its obligation to do so. The master servicer and servicers
will be entitled to be reimbursed for any such monthly advances
from future payments and collections (including insurance and
liquidation proceeds) with respect to those mortgage loans.

No advances of delinquent principal or interest will be made for
mortgage loans that become 120 days or more delinquent under the
MBA method. Subsequently, if there are mortgage loans that are 120
days or more delinquent on any payment date, there will be a
reduction in amounts available to pay principal and interest
otherwise payable to note holders.

Similar to the previous OBX Trust transaction Moody's rated, with
respect to the mortgage loans serviced by SPS, the controlling
holder has the right (i) to oversee certain matters relating to the
servicing of defaulted mortgage loans (such as approving any
modifications and actions relating to the management of REO
property), (ii) to direct the master servicer to terminate a
servicer upon an uncured servicing event of default under the
related servicing agreement, and (iii) to direct the transaction
parties to take certain actions in connection with a proposed
acquisition of a mortgaged property as a result of an eminent
domain proceeding by a governmental entity.

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 checked to ensure that all of the reviewed loans were
in compliance with (AUS) underwriting guidelines and AUS loan
eligibility requirements with generally no material compliance,
credit data or valuation issues. The TPR results indicate that
there are no material compliance, credit, or data issues. For one
loan the property valuation was verified using AVM, Moody's took
this into consideration when calculating the expected losses since
Moody's considers AVMs to be typically less accurate than desk
reviews and field reviews.

The R&W provider is the sponsor (Onslow Bay), an unrated entity
that may not have the financial wherewithal to purchase defective
loans. However, all the loans in the pool had independent due
diligence review and the results of the review revealed compliance
with underwriting guidelines and regulations, as well as overall
strong valuation quality. These results indicate that the loans
most likely do not breach the R&Ws. Also, the transaction benefits
from unqualified R&Ws and an independent breach reviewer. The R&Ws
do not protect against issues discovered and disclosed during the
due diligence review. The R&W's are not subject to sunset, other
than the six-year statute of limitations for R&W claims in New
York. Moody's increased its loss levels to account for some
weaknesses in the overall R&W framework due to the financial
weakness of the R&W provider and the higher percentage of loans
experiencing an early payment default and weaknesses in the review
procedures compared to other prime jumbo transactions.

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
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility, as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.20% of the closing pool balance.
and a subordination lock-out amount equal 0.88% of the closing pool
balance. The floors are consistent with the credit neutral floors
for the assigned ratings according to its methodology.

Other Transaction Parties

Wilmington Savings Fund Society, FSB will act as the trustee for
this transaction. Wells Fargo will act as a paying agent, master
servicer, note registrar and custodian for this transaction. In its
capacity as custodian, Wells Fargo will hold the collateral
documents, which include, the original note and mortgage and any
intervening assignments of mortgage.

Wells Fargo provides oversight of the servicer. Moody's considers
Wells Fargo as a strong master servicer of residential loans. Wells
Fargo's oversight encompasses loan administration, default
administration, compliance and cash management.

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 RMBS Using the MILAN Framework" published in
October 2019.


POPULAR ABS 2005-4: Moody's Hikes Class M-2 Debt Rating to Ca
-------------------------------------------------------------
Moody's Investors Service downgraded the rating of Class M-1 and
upgraded the rating of Class M-2 from Popular ABS Mortgage
Pass-Through Trust 2005-4, backed by Subprime mortgage loans.

Complete rating actions are as follows:

Issuer: Popular ABS Mortgage Pass-Through Trust 2005-4

Cl. M-1, Downgraded to B1 (sf); previously on Feb 20, 2014 Upgraded
to Ba3 (sf)

Cl. M-2, Upgraded to Ca (sf); previously on Jul 21, 2010 Downgraded
to C (sf)

RATINGS RATIONALE

The rating downgrade on Class M-1 is primarily due to the
outstanding interest shortfalls on the bond that are not expected
to be reimbursed. As of December 2019, the Class M-1 has an
outstanding interest shortfall of $36,775. The rating upgrade on
Class M-2 is a result of improving performance of the related
pools. The action also reflects the recent performance of the
underlying collateral and Moody's updated loss expectation on the
pool.

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 December 2019 from 3.9% in
December 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. 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.


RR 7: S&P Rates $16.25MM Class D Notes 'BB- (sf)'
-------------------------------------------------
S&P Global Ratings assigned its ratings to RR 7 Ltd./RR 7 LLC's
floating-rate notes.

The note issuance is a CLO securitization backed by a diversified
collateral pool, which consists primarily of broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests.

The ratings reflect S&P's view of:

-- The diversified collateral pool;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  RATINGS ASSIGNED

  RR 7 Ltd./RR 7 LLC

  Class                Rating     Amount (mil. $)
  X                    AAA (sf)              2.00
  A-1a                 AAA (sf)            320.00
  A-1b                 NR                   10.00
  A-2 (deferrable)     AA (sf)              50.00
  B (deferrable)       A (sf)               30.00
  C-1 (deferrable)     BBB (sf)             27.50
  C-2 (deferrable)     BBB- (sf)             6.25
  D (deferrable)       BB- (sf)             16.25
  Subordinated notes   NR                   60.00

  NR--Not rated.



SECURITIZED ASSET 2004-NC1: Moody's Ups Class M-2 Debt to Caa1
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 15 tranches from
10 transactions, backed by subprime and Alt-A loans, issued by
multiple issuers.

The complete rating action is as follows:

Issuer: MortgageIT Trust 2005-2

Cl. 1-A-1, Upgraded to A2 (sf); previously on Aug 5, 2010
Downgraded to Baa2 (sf)

Cl. 1-A-2, Upgraded to Baa2 (sf); previously on Apr 26, 2013
Upgraded to Ba2 (sf)

Issuer: Securitized Asset Backed Receivables LLC Trust 2004-NC1

Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 4, 2011
Downgraded to Caa3 (sf)

Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 4, 2011
Downgraded to Ca (sf)

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC2

Cl. A-3, Upgraded to A1 (sf); previously on Jun 27, 2017 Upgraded
to Baa1 (sf)

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-OP1

Cl. M-6, Upgraded to Caa2 (sf); previously on Feb 26, 2018 Upgraded
to Ca (sf)

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC1

Cl. A-1, Upgraded to Caa1 (sf); previously on Feb 9, 2016 Upgraded
to Caa2 (sf)

Issuer: RALI Series 2006-QA3 Trust

Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010
Downgraded to Caa3 (sf)

Cl. A-2, Upgraded to Caa3 (sf); previously on Dec 14, 2010
Downgraded to Ca (sf)

Issuer: RALI Series 2006-QA7 Trust

Cl. I-A-1, Upgraded to Caa3 (sf); previously on Dec 14, 2010
Confirmed at Ca (sf)

Cl. II-A-1, Upgraded to Caa3 (sf); previously on Dec 14, 2010
Confirmed at Ca (sf)

Issuer: Structured Asset Investment Loan Trust 2005-3

Cl. M3, Upgraded to Aa1 (sf); previously on Jun 11, 2018 Upgraded
to A1 (sf)

Issuer: Structured Asset Investment Loan Trust 2006-1

Cl. A4, Upgraded to Caa1 (sf); previously on Oct 7, 2015 Upgraded
to Caa3 (sf)

Issuer: Terwin Mortgage Trust, Series TMTS 2005-4HE

Cl. M-3, Upgraded to A1 (sf); previously on Feb 27, 2018 Upgraded
to Baa1 (sf)

Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 31, 2017 Upgraded
to Ca (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to improved performance of
the underlying collateral and increases in 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 December 2019 from 3.9% in
December 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. 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.


SOUND POINT XXV: Moody's Assigns Ba3 Rating on $18.9MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service assigned ratings to ten classes of notes
issued by Sound Point CLO XXV, Ltd.

Moody's rating action is as follows:

US$4,000,000 Class X Senior Secured Floating Rate Notes due 2033
(the "Class X Notes"), Definitive Rating Assigned Aaa (sf)

US$275,000,000 Class A-1a Senior Secured Floating Rate Notes due
2033 (the "Class A-1a Notes"), Definitive Rating Assigned Aaa (sf)

US$13,000,000 Class A-1b Senior Secured Fixed Rate Notes due 2033
(the "Class A-1b Notes"), Definitive Rating Assigned Aaa (sf)

US$43,000,000 Class B-1a Senior Secured Floating Rate Notes due
2033 (the "Class B-1a Notes"), Definitive Rating Assigned Aa2 (sf)

US$11,000,000 Class B-1b Senior Secured Fixed Rate Notes due 2033
(the "Class B-1b Notes"), Definitive Rating Assigned Aa2 (sf)

US$12,000,000 Class C-1a Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class C-1a Notes"), Definitive Rating Assigned
A2 (sf)

US$1,500,000 Class C-1b Mezzanine Secured Deferrable Fixed Rate
Notes due 2033 (the "Class C-1b Notes"), Definitive Rating Assigned
A2 (sf)

US$16,875,000 Class C-2 Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class C-2 Notes"), Definitive Rating Assigned
A3 (sf)

US$21,375,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2033 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)

US$18,900,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2033 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)

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

RATINGS RATIONALE

The rationale for the ratings is based on its methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

Sound Point CLO XXV is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 95.0% of the portfolio must
consist of first lien senior secured loans and eligible
investments, and up to 5.0% of the portfolio may consist of second
lien loans and senior unsecured loans. The portfolio is required to
be at least 60% ramped as of the closing date.

Sound Point Capital Management, LP (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, 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 issued subordinated
notes.

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

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.

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

Par amount: $450,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2649

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 7.50%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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.


TABERNA PREFERRED III: Moody's Hikes Class A-2A Notes Rating to B1
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by Taberna Preferred Funding III, Ltd.:

US$188,500,000 Class A-1A First Priority Senior Secured Floating
Rate Notes Due 2036 (current balance of $104,506,304.73), Upgraded
to Ba1 (sf); previously on January 28, 2019 Upgraded to Ba3 (sf)

US$10,000,000 Class A-1C First Priority Senior Secured
Fixed/Floating Rate Notes Due 2036 (current balance of
$2,622,491.97), Upgraded to Ba1 (sf); previously on January 28,
2019 Upgraded to Ba3 (sf)

US$38,500,000 Class A-2A Second Priority Senior Secured Floating
Rate Notes Due 2036, Upgraded to B1 (sf); previously on January 28,
2019 Upgraded to B3 (sf)

Taberna Preferred Funding III, Ltd., issued in September 2005, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of REIT trust preferred securities (TruPS) with small exposure to
bank TruPS and CMBS securities.

RATINGS RATIONALE

The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
over-collateralization (OC) ratios, and the improvement in the
credit quality of the underlying portfolio since January 2019.

The Class A-1 notes have collectively paid down by approximately
19.2% or $25.6 million since January 2019, using principal proceeds
from the redemption of the underlying assets and the diversion of
excess interest proceeds. Based on Moody's calculations, the OC
ratios for the Class A-1 and Class A-2A notes have improved to
224.3% and 165.0%, respectively, from January 2019 levels of 193.5%
and 150.0%, respectively. The Class A-1 notes will continue to
benefit from the diversion of excess interest and the use of
proceeds from redemptions of any assets in the collateral pool.

The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 2847 from 3953 in
January 2019.

In August 2009, the transaction declared an Event of Default (EoD)
because of a missed interest payment on the Class B notes. In
September 2009, a majority of the controlling class have directed
the trustee to declare the notes immediately due and payable. As a
result of the declaration of acceleration of the notes, all
proceeds after paying Class A-1A, Class A-1C, Class A-2A and Class
A-2B interest are currently being used to pay down the principal of
the Class A-1A and Class A-1C notes pro rata.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $240.2 million,
defaulted/deferring par of $108.8 million, a weighted average
default probability of 37.97% (implying a WARF of 2847), and a
weighted average recovery rate upon default of 9.9%.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" 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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc or credit assessments.
Because these are not public ratings, they are subject to
additional estimation uncertainty.


TOWD POINT 2015-1: Moody's Raises Class B1 Debt Rating to Ba3(sf)
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 75 tranches from
17 transactions issued by Towd Point Mortgage Trust between 2015
and 2018. The transactions are backed by seasoned performing and
re-performing mortgage loans.

The complete rating actions are as follows:

Issuer: Towd Point Mortgage Trust 2015-1

Cl. A5, Upgraded to Aa1 (sf); previously on Aug 31, 2018 Upgraded
to Aa2 (sf)

Cl. A6, Upgraded to A2 (sf); previously on Aug 31, 2018 Upgraded to
A3 (sf)

Cl. AE10, Upgraded to Aa1 (sf); previously on Aug 31, 2018 Upgraded
to Aa2 (sf)

Cl. AE13, Upgraded to A1 (sf); previously on Aug 31, 2018 Upgraded
to A2 (sf)

Cl. AE14, Upgraded to A1 (sf); previously on Aug 31, 2018 Upgraded
to A2 (sf)

Cl. B1, Upgraded to Ba3 (sf); previously on Aug 31, 2018 Upgraded
to B2 (sf)

Issuer: Towd Point Mortgage Trust 2015-2

Cl. 1-B1, Upgraded to Aaa (sf); previously on Aug 31, 2018 Upgraded
to Aa1 (sf)

Cl. 1-B2, Upgraded to A1 (sf); previously on Aug 31, 2018 Upgraded
to A2 (sf)

Cl. 1-B3, Upgraded to B1 (sf); previously on Nov 16, 2017 Assigned
B2 (sf)

Issuer: Towd Point Mortgage Trust 2015-3

Cl. M2, Upgraded to Aaa (sf); previously on Jan 18, 2019 Upgraded
to Aa1 (sf)

Cl. B1, Upgraded to A1 (sf); previously on Jan 18, 2019 Upgraded to
A2 (sf)

Issuer: Towd Point Mortgage Trust 2015-4

Cl. B2, Upgraded to A2 (sf); previously on May 7, 2019 Upgraded to
Baa1 (sf)

Issuer: Towd Point Mortgage Trust 2015-6

Cl. B1, Upgraded to A1 (sf); previously on May 7, 2019 Upgraded to
A2 (sf)

Cl. B2, Upgraded to Baa1 (sf); previously on May 7, 2019 Upgraded
to Baa2 (sf)

Cl. M2, Upgraded to Aaa (sf); previously on Aug 31, 2018 Upgraded
to Aa2 (sf)

Cl. M2A, Upgraded to Aaa (sf); previously on Aug 31, 2018 Upgraded
to Aa2 (sf)

Issuer: Towd Point Mortgage Trust 2016-1

Cl. A5, Upgraded to Aaa (sf); previously on Aug 23, 2018 Assigned
Aa1 (sf)

Cl. B1, Upgraded to Aa3 (sf); previously on Aug 23, 2018 Assigned
A2 (sf)

Cl. M2, Upgraded to Aaa (sf); previously on Aug 23, 2018 Assigned
Aa2 (sf)

Issuer: Towd Point Mortgage Trust 2016-2

Cl. A4, Upgraded to Aaa (sf); previously on Nov 16, 2017 Assigned
Aa1 (sf)

Cl. A4A, Upgraded to Aaa (sf); previously on Nov 16, 2017 Assigned
Aa1 (sf)

Cl. A4B, Upgraded to Aaa (sf); previously on Nov 16, 2017 Assigned
Aa1 (sf)

Cl. A4C, Upgraded to Aaa (sf); previously on Nov 16, 2017 Assigned
Aa1 (sf)

Cl. A5, Upgraded to Aa1 (sf); previously on Nov 16, 2017 Assigned
A1 (sf)

Cl. B1, Upgraded to A2 (sf); previously on Oct 8, 2018 Upgraded to
Baa1 (sf)

Cl. B2, Upgraded to Baa2 (sf); previously on Oct 8, 2018 Upgraded
to Ba1 (sf)

Cl. B3, Upgraded to Caa2 (sf); previously on Nov 16, 2017 Assigned
Ca (sf)

Cl. M1, Upgraded to Aaa (sf); previously on Nov 16, 2017 Assigned
Aa2 (sf)

Cl. M2, Upgraded to Aa2 (sf); previously on Oct 8, 2018 Upgraded to
A2 (sf)

Issuer: Towd Point Mortgage Trust 2016-3

Cl. M2, Upgraded to Aa1 (sf); previously on Aug 31, 2018 Upgraded
to Aa2 (sf)

Cl. M2A, Upgraded to Aa1 (sf); previously on Aug 31, 2018 Upgraded
to Aa2 (sf)

Cl. M2B, Upgraded to Aa1 (sf); previously on Aug 31, 2018 Upgraded
to Aa2 (sf)

Cl. B1, Upgraded to A1 (sf); previously on Jul 24, 2019 Upgraded to
A2 (sf)

Cl. B2, Upgraded to Baa1 (sf); previously on May 7, 2019 Upgraded
to Baa2 (sf)

Issuer: Towd Point Mortgage Trust 2016-4

Cl. B1, Upgraded to A2 (sf); previously on Nov 30, 2018 Upgraded to
A3 (sf)

Cl. B2, Upgraded to Baa1 (sf); previously on Nov 30, 2018 Upgraded
to Baa3 (sf)

Issuer: Towd Point Mortgage Trust 2016-5

Cl. B1, Upgraded to Baa1 (sf); previously on Mar 30, 2018 Assigned
Baa3 (sf)

Cl. B2, Upgraded to Ba1 (sf); previously on Nov 30, 2018 Upgraded
to Ba2 (sf)

Cl. M1, Upgraded to Aa1 (sf); previously on Nov 30, 2018 Upgraded
to Aa2 (sf)

Cl. M2, Upgraded to A1 (sf); previously on May 7, 2019 Upgraded to
A2 (sf)

Issuer: Towd Point Mortgage Trust 2017-1

Cl. B1, Upgraded to Baa1 (sf); previously on Mar 16, 2018 Upgraded
to Baa3 (sf)

Cl. M1, Upgraded to Aa1 (sf); previously on Nov 30, 2018 Upgraded
to Aa2 (sf)

Cl. M1A, Upgraded to Aa1 (sf); previously on Nov 30, 2018 Upgraded
to Aa2 (sf)

Cl. M1B, Upgraded to Aa1 (sf); previously on Nov 30, 2018 Upgraded
to Aa2 (sf)

Cl. M2, Upgraded to A1 (sf); previously on Mar 16, 2018 Upgraded to
A3 (sf)

Cl. M2A, Upgraded to A1 (sf); previously on Mar 16, 2018 Upgraded
to A3 (sf)

Cl. M2B, Upgraded to A1 (sf); previously on Mar 16, 2018 Upgraded
to A3 (sf)

Cl. X3*, Upgraded to Aa1 (sf); previously on Nov 30, 2018 Upgraded
to Aa2 (sf)

Cl. X4*, Upgraded to Aa1 (sf); previously on Nov 30, 2018 Upgraded
to Aa2 (sf)

Cl. X5*, Upgraded to A1 (sf); previously on Mar 16, 2018 Upgraded
to A3 (sf)

Cl. X6*, Upgraded to A1 (sf); previously on Mar 16, 2018 Upgraded
to A3 (sf)

Issuer: Towd Point Mortgage Trust 2017-2

Cl. B1, Upgraded to Baa1 (sf); previously on Nov 30, 2018 Upgraded
to Baa2 (sf)

Cl. M1, Upgraded to Aa1 (sf); previously on Mar 16, 2018 Upgraded
to Aa2 (sf)

Cl. M2, Upgraded to Aa3 (sf); previously on Nov 30, 2018 Upgraded
to A2 (sf)

Issuer: Towd Point Mortgage Trust 2017-3

Cl. A2, Upgraded to Aaa (sf); previously on Jul 25, 2017 Definitive
Rating Assigned Aa2 (sf)

Cl. A3, Upgraded to Aaa (sf); previously on Jul 25, 2017 Definitive
Rating Assigned Aa1 (sf)

Cl. A4, Upgraded to Aa1 (sf); previously on Jul 25, 2017 Definitive
Rating Assigned A1 (sf)

Cl. M1, Upgraded to Aa2 (sf); previously on Nov 30, 2018 Upgraded
to A2 (sf)

Cl. M2, Upgraded to A3 (sf); previously on Nov 30, 2018 Upgraded to
Baa1 (sf)

Issuer: Towd Point Mortgage Trust 2017-5

Cl. A4, Upgraded to Aaa (sf); previously on Sep 4, 2018 Upgraded to
Aa1 (sf)

Cl. B1, Upgraded to A3 (sf); previously on Sep 4, 2018 Upgraded to
Baa2 (sf)

Cl. B2, Upgraded to Baa2 (sf); previously on Sep 4, 2018 Upgraded
to Ba1 (sf)

Cl. M1, Upgraded to Aaa (sf); previously on Sep 4, 2018 Upgraded to
Aa2 (sf)

Cl. M2, Upgraded to Aa3 (sf); previously on May 7, 2019 Upgraded to
A1 (sf)

Issuer: Towd Point Mortgage Trust 2017-6

Cl. A2, Upgraded to Aa1 (sf); previously on Nov 30, 2017 Definitive
Rating Assigned Aa2 (sf)

Cl. A4, Upgraded to Aa3 (sf); previously on Nov 30, 2017 Definitive
Rating Assigned A1 (sf)

Cl. B1, Upgraded to Baa3 (sf); previously on Mar 16, 2018 Upgraded
to Ba2 (sf)

Cl. B2, Upgraded to Ba3 (sf); previously on May 7, 2019 Upgraded to
B1 (sf)

Cl. M1, Upgraded to A1 (sf); previously on May 7, 2019 Upgraded to
A2 (sf)

Cl. M2, Upgraded to Baa1 (sf); previously on Nov 30, 2017
Definitive Rating Assigned Baa3 (sf)

Issuer: Towd Point Mortgage Trust 2018-1

Cl. A2, Upgraded to Aa1 (sf); previously on May 7, 2019 Upgraded to
Aa2 (sf)

Cl. M2, Upgraded to Baa1 (sf); previously on May 7, 2019 Upgraded
to Baa2 (sf)

Issuer: Towd Point Mortgage Trust 2018-2

Cl. B1, Upgraded to Ba1 (sf); previously on May 31, 2018 Definitive
Rating Assigned Ba3 (sf)

Cl. B2, Upgraded to B1 (sf); previously on May 31, 2018 Definitive
Rating Assigned B3 (sf)

Cl. M1, Upgraded to A2 (sf); previously on May 31, 2018 Definitive
Rating Assigned A3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating upgrades are driven by stronger performance of the
underlying loans in the pools relative to initial expectations and
an increase in the credit enhancement available to the rated bonds
due to sequential pay structures as well as high prepayments. The
actions reflect Moody's updated loss expectations on the pools
which incorporate its assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third party review at the time of issuance, and the
strength of the transaction's servicing arrangement. Select
Portfolio Servicing, Inc is the primary servicer for the majority
of the collateral for transactions issued by Towd Point Mortgage
Trust.

The loans underlying the pools have fewer delinquencies and have
prepaid at a faster rate than originally anticipated, resulting in
an improvement in its loss projections for the pools. In estimating
defaults on these pools, Moody's used initial expected annual
delinquency rates of 7% to 12% and expected prepayment rates of 5%
to 12% based on the collateral characteristics of the individual
pools.

The methodologies used in rating all deals except interest-only
classes 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.
The methodologies used in rating interest-only classes were
"Moody's Approach to Rating Securitizations Backed by
Non-Performing and Re-Performing Loans" published in February 2019
, "US RMBS Surveillance Methodology" published in February 2019 and
"Moody's Approach to Rating Structured Finance Interest-Only (IO)
Securities"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 December 2019 from 3.9% in
December 2018. Moody's forecasts an unemployment central range of
3.8% to 4.3% for the 2020 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 2020. 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.


TROPIC CDO V: Moody's Upgrades $51MM Class A-2L Notes to Ba3
------------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by Tropic CDO V Ltd.:

US$220,000,000 Class A-1L1 Floating Rate Notes Due July 2036
(current balance of $92,953,481), Upgraded to Aa1 (sf); previously
on April 25, 2019 Upgraded to Aa3 (sf)

US$220,000,000 Class A-1L2 Floating Rate Notes Due July 2036
(current balance of $116,052,848), Upgraded to Aa2 (sf); previously
on April 25, 2019 Upgraded to A1 (sf)

US$94,000,000 Class A-1LB Floating Rate Notes Due July 2036,
Upgraded to A3 (sf); previously on April 25, 2019 Upgraded to Baa1
(sf)

US$51,000,000 Class A-2L Deferrable Floating Rate Notes Due July
2036, Upgraded to Ba3 (sf); previously on April 25, 2019 Upgraded
to B2 (sf)

Tropic CDO V Ltd., issued in August 2006, is a collateralized debt
obligation (CDO) backed by a portfolio of bank and insurance trust
preferred securities (TruPS).

RATINGS RATIONALE

The rating actions result primarily from the correction of an
error. In the previous rating action, the weighted average spread
for non-REIT and REIT assets in the portfolio and the amortization
profile used for the REIT assets were modeled incorrectly. The
rating actions reflect the corrected modeling, as well as the
recent performance of the transaction. The Class A-1L1 and A-1L2
notes have deleveraged since April 2019. The Class A-1L1 and A-1L2
notes have paid down by approximately 1.3% or $1.2 million and 0.8%
or $1.0 million, respectively, since April 2019, using principal
proceeds from defaulted recoveries and the diversion of excess
interest proceeds. The Class A-2L deferred interest has also been
paid off since April 2019. The Class A-1L1 and A-1L2 notes will
continue to benefit from the diversion of excess interest so long
as the Class A-2L OC test is failing (currently reported at 112.11%
versus a 116.0% trigger by the trustee), and the Class A-1L1 and
A-1L2 notes will benefit from the use of proceeds from redemptions
of any assets in the collateral pool. Since the last rating action,
the trustee has issued updated versions of valuation reports for
April and July 2019. Moody's has factored this updated information
into the rating actions.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $400.5 million, defaulted/deferring par of $173.5 million, a
weighted average default probability of 11.3% (implying a WARF of
1033), and a weighted average recovery rate upon default of 10.0%.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" 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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
assessments. Because these are not public ratings, they are subject
to additional estimation uncertainty.


TRUPS FINANCIALS 2019-2: Moody's Rates $47.3MM Cl. B Notes Ba2
--------------------------------------------------------------
Moody's Investors Service assigned ratings to three classes of
notes issued by TruPS Financials Note Securitization 2019-2 Ltd.

Moody's rating action is as follows:

US$203,000,000 Class A-1 Senior Secured Floating Rate Notes due
2039 (the "Class A-1 Notes"), Definitive Rating Assigned Aa1 (sf)

US$30,500,000 Class A-2 Mezzanine Deferrable Floating Rate Notes
due 2039 (the "Class A-2 Notes"), Definitive Rating Assigned A2
(sf)

US$47,300,000 Class B Mezzanine Deferrable Floating Rate Notes due
2039 (the "Class B Notes"), Definitive Rating Assigned Ba2 (sf)

The Class A-1 Notes, the Class A-2 Notes and the Class B Notes are
referred to herein, together, as the "Rated Notes."

RATINGS RATIONALE

The rationale for the ratings is based on its methodology and
considers all relevant risks, particularly those associated with
the CDO's portfolio and structure.

TFINS 2019-2 is a static cash flow CDO. The issued notes will be
collateralized primarily by a portfolio of (1) trust preferred
securities issued by US community banks and their holding companies
and (2) TruPS, senior notes and surplus notes issued by insurance
companies and their holding companies. The portfolio is 100% ramped
as of the closing date.

EJF CDO Manager LLC, an affiliate of EJF Capital LLC, will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer. The Manager will direct the disposition of any
defaulted, deferring or credit risk securities. The transaction
prohibits any asset purchases or substitutions at any time.

In addition to the Rated Notes, the Issuer issued one class of
preferred shares.

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 transaction also includes an
interest diversion feature beginning on the November 2027 payment
date whereby 80% of the interest at a junior step in the priority
of interest payments is used to pay the principal on the Class A-1
Notes until the Class A-1 Notes' principal has been paid in full.

The portfolio of this CDO consists of (1) TruPS issued by 34 US
community banks and (2) TruPS, surplus notes and a corporate
backed-bond certificate issued by 22 insurance companies, the
majority of which Moody's does not rate. Moody's assesses the
default probability of bank obligors that do not have public
ratings through credit scores derived using RiskCalc, an
econometric model developed by Moody's Analytics. Moody's
evaluation of the credit risk of the bank obligors in the pool
relies on FDIC Q2-2019 financial data. Moody's assesses the default
probability of insurance company obligors that do not have public
ratings through credit assessments provided by its insurance
ratings team based on the credit analysis of the underlying
insurance companies' annual statutory financial reports. Moody's
assumes a fixed recovery rate of 10% for both the bank and
insurance obligations.

Moody's ratings on the Rated Notes took into account a stress
scenario for highly levered bank holding company issuers. The
transaction's portfolio includes primarily subordinated debt issued
by a number of bank holding companies with significant amounts of
other debt on their balance sheet which may increase the risk
presented by their subsidiaries. To address the risk from the
higher debt burden at the bank holding companies, Moody's conducted
a stress scenario in which Moody's made adjustments to the RiskCalc
credit scores for these highly leveraged holding companies
resulting in an adjusted portfolio WARF of 899. This stress
scenario was an important consideration in the assigned ratings.

In addition, its analysis considered the concentrated nature of the
portfolio. There are four issuers which are not publicly rated,
that each constitute approximately 2.8% to 3.0% of the portfolio
par. Moody's ran a stress scenario in which Moody's assumed certain
level of amortization of the portfolio which will result in these
issuers to be greater than 3% and applied a two notch downgrade for
these issuers. This stress scenario was an important consideration
in the assigned ratings.

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

Par amount: $338,396,000

Weighted Average Rating Factor (WARF): 894

Weighted Average Spread (WAS): 3.17%

Weighted Average Coupon (WAC): 7.15%

Weighted Average Life (WAL): 10.6 years

In addition to the quantitative factors that Moody's explicitly
models, qualitative factors were part of the rating committee
consideration. Moody's considers the structural protections in the
transaction, the risk of an event of default, the legal environment
and specific documentation features. All information available to
rating committees, including macroeconomic forecasts, inputs from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transaction, influenced the final rating decision.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" 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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc or credit assessments.
Because these are not public ratings, they are subject to
additional estimation uncertainty.

Moody's obtained a loss distribution for this CDO's portfolio by
simulating defaults using Moody's CDOROM, which used Moody's
assumptions for asset correlations and fixed recoveries in a Monte
Carlo simulation framework. Moody's then used the resulting loss
distribution, together with structural features of the CDO, as an
input in its CDOEdge cash flow model.


WELLS FARGO 2012-C7: Fitch Affirms BBsf Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings downgraded one and affirmed 11 classes of Wells Fargo
Bank, N.A.'s WFRBS 2012-C7 commercial mortgage pass-through
certificates.

RATING ACTIONS

WFRBS 2012-C7

Class A-1 92936TAA0;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 92936TAB8;  LT AAAsf Affirmed;  previously at AAAsf

Class A-FL 92936TAH5; LT AAAsf Affirmed;  previously at AAAsf

Class A-FX 92936TAZ5; LT AAAsf Affirmed;  previously at AAAsf

Class A-S 92936TAC6;  LT AAAsf Affirmed;  previously at AAAsf

Class B 92936TAD4;    LT AAsf Affirmed;   previously at AAsf

Class C 92936TAE2;    LT Asf Affirmed;    previously at Asf

Class D 92936TAJ1;    LT BBB+sf Affirmed; previously at BBB+sf

Class E 92936TAK8;    LT BBB-sf Affirmed; previously at BBB-sf

Class F 92936TAL6;    LT BBsf Affirmed;   previously at BBsf

Class G 92936TAM4;    LT CCCsf Downgrade; previously at Bsf

Class X-A 92936TAF9;  LT AAAsf Affirmed;  previously at AAAsf

KEY RATING DRIVERS

Increasing Loss Expectations/Fitch Loans of Concern: While the
majority of the pool has exhibited stable performance since
issuance, loss expectations have risen primarily due to the
increasing number and performance of the Fitch Loans of Concern
(FLOCs). As of the December 2019 remittance report, there are no
specially serviced or delinquent loans. Eight loans (37.8% of the
pool) were considered FLOCs due to declining performance, upcoming
rollover concerns, and/or exposure to troubled retailers JCPenney
and Sears.

The largest FLOC, Town Center at Cobb (12.7% of the pool), is
secured by 559,940-sf portion of a 1.3 million-sf regional mall in
Kennesaw, GA. The property is anchored by Belk, JCPenney, Sears,
Macy's and Macy's Home. A portion of the JCPenney is collateral;
both Macy's and Sears are non-collateral. The property has
experienced fluctuating sales and has exposure to JCPenney and
Forever 21 as top tenants. As of this publication, the store is not
listed on recent store closing lists; Fitch will continue to
monitor for further updates.

The second largest FLOC, Florence Mall (9.7% of the pool), is
secured by 384,111-sf of a 957,443-sf regional mall located in
Florence, KY. The property is anchored by a 10-screen, Cinemark
theater (17.3% of NRA; 6/2028) and non-collateral tenants JCPenney,
Macy's and Macy's Home. A non-collateral Sears closed in November
2018. The loan has experienced declining occupancy and sales and is
subject to increased potential upcoming rollover.

The third largest FLOC, Puente Hills East (6.7% of the pool), is
secured by a 401,170-sf office and retail center located in the
City of Industry, CA. The property is shadow anchored by Lowe's,
Costco and Target. There is 53.5% of upcoming rollover as the top
five collateral tenants have lease expirations in 2020. Fitch
requested leasing updates from the master servicer but has not yet
received a response.

The fourth largest FLOC, Fashion Square (3.7% of the pool), is
secured by 446,288-sf of a 711,114-sf regional mall located in
Saginaw, MI. The property is anchored by JC Penney and a
non-collateral Macy's and Sears. The property has experienced
declining performance with significant upcoming lease rollover and
declining sales including anchors JCPenney and the Fashion Square
10. Additionally, per local news reports, the non-collateral Sears
closed in October 2019. Fitch has requested updates from the master
servicer regarding the closure and any potentially triggered
co-tenancy clauses, but has not received a response.

The fifth largest FLOC, Isola Bella (3.2% of the pool), is secured
by an 851-unit multifamily property located in Oklahoma City, OK.
The property offers a mix of traditional and corporate units. As of
September 2019, property occupancy had steadily declined to 49.8%
from 78.3% at YE 2018 due to renovations at the property.

The three remaining FLOCs represent less than 1.0% of the pool and
are on the master servicer's watchlist for declining performance.
Fitch will continue to monitor the loans for further updates.

Improved Credit Enhancement: The pool has benefitted from increased
credit enhancement due to loan payoffs, scheduled amortization and
defeased collateral. Since Fitch's last review, two loans (1.3% of
the pool) paid off in full ahead of their respective maturity
dates. Eight loans are fully defeased (11.7% of the pool),
including three loans (8.7% of the pool) in the top 15. As of
December 2019, the pool's aggregate principal balance has been
reduced by 15.9% to $927.8 million from $1.1 billion at issuance.
The pool has experienced $5.0 million in realized losses (0.5% of
the pool), which have been isolated to the non-rated class H
certificates. Approximately 13.5% of the pool is full-term,
interest only, including the third largest loan, Florence Mall
(9.7% of the pool). All of the partial term, interest only loans
(22.5% of the pool) are amortizing.

Additional Loss Consideration: In addition to modeling a base case
loss, Fitch applied an additional loss severity of 25%, 25%, 15%
and 100%, respectively, on the Town Center at Cobb (12.7% of the
pool), Florence Mall (9.7% of the pool), Puente Hills East (6.7% of
the pool) and Fashion Square (3.7% of the pool) in its sensitivity
analysis to address the potential for outsized, higher losses given
the regional mall exposure and potential for further declines in
performance. This scenario contributed to the Negative Outlook
affirmations on classes D, E and F.

High Retail Concentration: The pool has a high concentration of
loans secured by retail properties (58.5% of the pool), including
seven loans in the top 15 (50.8%). The top three loans in the pool
are secured by regional malls with exposure to JCPenney, Sears and
Macy's. Per local media reports, the non-collateral Sears at the
Northridge Fashion Center is slated to close in January 2020. Fitch
has requested leasing updates from the master servicer regarding
the closure and any potential triggered co-tenancy clauses.
However, the loan was not considered a Fitch loan of concern given
tenant sales have remained above $500 psf for inline tenants,
excluding Apple, and above $600 psf for tenants including Apple.
Additionally, Northridge Fashion Center (14.7% of the pool) and
Florence Mall (9.7% of the pool), are now sponsored and managed by
Brookfield after its acquisition of General Growth Properties.
Fashion Square (3.7% of the pool) is sponsored and managed by
Namdar Realty Group.

RATING SENSITIVITIES

The downgrade of class G reflects the increasing number of Fitch
Loans of Concern, primarily secured by regional malls with
declining performance. The Negative Outlooks on classes D through F
reflect an additional sensitivity analysis on Town Center at Cobb,
Florence Mall, Puente Hills East and Fashion Square. Rating
downgrades are possible with further performance deterioration or
limited positive leasing momentum. The Rating Outlooks on classes
A- 1 through C remain Stable due to increasing credit enhancement
and expected continued paydown. Future rating upgrades may occur
with improved pool performance and additional defeasance or
paydown.

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

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

ESG CONSIDERATIONS

The transaction has a ESG Relevance Score of 4 for Exposure to
Social Impacts due to the large exposure to underperforming
regional malls as a result of changing consumer preference to
shopping, which has a negative impact on the credit profile, and is
highly relevant to the rating, resulting in a change to the rating
of class G to 'CCCsf' from 'Bsf' and affirmations of negative
outlooks on classes D through F.


[*] Moody's Upgrades $785.4-Mil. of RMBS Issued in 2003-2007
------------------------------------------------------------
Moody's Investors Service upgraded the rating of 37 tranches from
20 transactions backed Scratch and Dent, Alt-A, and Subprime
mortgage loans.

Complete rating actions are as follows:

Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series
2003-4XS

Cl. A-5, Upgraded to Baa2 (sf); previously on Sep 20, 2018 Upgraded
to Ba2 (sf)

Cl. A-6B, Upgraded to A2 (sf); previously on Sep 20, 2018 Upgraded
to Baa2 (sf)

Cl. A-6A, Upgraded to A2 (sf); previously on Sep 20, 2018 Upgraded
to Baa2 (sf)

Underlying Rating: Upgraded to A2 (sf); previously on Sep 20, 2018
Upgraded to Baa2 (sf)

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

Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan
Trust, Series 2004-3

Cl. I-A-5, Upgraded to Aa3 (sf); previously on Oct 25, 2018
Upgraded to A1 (sf)

Underlying Rating: Upgraded to Aa3 (sf); previously on Oct 25, 2018
Upgraded to A1 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Cl. I-A-6, Upgraded to Aa1 (sf); previously on Oct 25, 2018
Upgraded to Aa3 (sf)

Underlying Rating: Upgraded to Aa1 (sf); previously on Oct 25, 2018
Upgraded to Aa3 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Issuer: FBR Securitization Trust 2005-3

Cl. AV2-4, Upgraded to Aa2 (sf); previously on Jun 6, 2019 Upgraded
to A1 (sf)

Issuer: FBR Securitization Trust 2005-4, Mortgage-Backed Notes,
Series 2005-4

Cl. M-1, Upgraded to Ba2 (sf); previously on Mar 28, 2018 Upgraded
to B1 (sf)

Issuer: HSI Asset Securitization Corporation Trust 2006-NC1

Cl. I-A, Upgraded to A2 (sf); previously on Jun 7, 2018 Upgraded to
Baa1 (sf)

Issuer: Nationstar Home Equity Loan Asset-Backed Certificates,
Series 2007-C

Cl. 1-AV-1, Upgraded to Baa1 (sf); previously on Jun 21, 2019
Upgraded to Baa3 (sf)

Cl. 2-AV-3, Upgraded to A1 (sf); previously on Jun 21, 2019
Upgraded to Baa1 (sf)

Cl. 2-AV-4, Upgraded to Baa2 (sf); previously on Jun 21, 2019
Upgraded to Ba1 (sf)

Issuer: Nationstar Home Equity Loan Trust 2007-A

Cl. AV-4, Upgraded to Aaa (sf); previously on Jun 6, 2019 Upgraded
to Aa1 (sf)

Issuer: Nationstar Home Equity Loan Trust 2007-B

Cl. 2-AV-3, Upgraded to A1 (sf); previously on Jun 21, 2019
Upgraded to Baa1 (sf)

Cl. 2-AV-4, Upgraded to Baa1 (sf); previously on Jun 21, 2019
Upgraded to Baa3 (sf)

Issuer: PHH Alternative Mortgage Trust, Series 2007-3

Cl. A-3, Upgraded to Ba3 (sf); previously on Jun 21, 2019 Upgraded
to B3 (sf)

Cl. A-4, Upgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded
to Ca (sf)

Issuer: Aegis Asset Backed Securities Trust 2005-3

Cl. M3, Upgraded to Ca (sf); previously on Jul 18, 2011 Downgraded
to C (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE5

Cl. I-A-2, Upgraded to Aa1 (sf); previously on Feb 26, 2018
Upgraded to A1 (sf)

Cl. I-A-3, Upgraded to Aa3 (sf); previously on Feb 26, 2018
Upgraded to A3 (sf)

Cl. II-A, Upgraded to Aa3 (sf); previously on Feb 26, 2018 Upgraded
to A1 (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE4

Cl. I-A-2, Upgraded to Caa1 (sf); previously on Aug 7, 2013
Confirmed at Caa2 (sf)

Cl. I-A-3, Upgraded to Caa3 (sf); previously on Aug 7, 2013
Confirmed at Ca (sf)

Cl. I-A-4, Upgraded to Ca (sf); previously on May 21, 2010
Downgraded to C (sf)

Issuer: Fremont Home Loan Trust 2005-C

Cl. M2, Upgraded to Aaa (sf); previously on Dec 11, 2018 Upgraded
to Aa1 (sf)

Cl. M3, Upgraded to A3 (sf); previously on Jun 21, 2019 Upgraded to
Baa2 (sf)

Issuer: Fremont Home Loan Trust 2006-1

Cl. I-A-1, Upgraded to A3 (sf); previously on Jun 6, 2019 Upgraded
to Baa2 (sf)

Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2005-B

Cl. M-6, Upgraded to B3 (sf); previously on Mar 6, 2018 Upgraded to
Caa1 (sf)

Issuer: J.P. Morgan Alternative Loan Trust 2007-S1

Cl. A-1, Upgraded to Ba2 (sf); previously on Jul 9, 2018 Upgraded
to B1 (sf)

Cl. A-2, Upgraded to Caa2 (sf); previously on Jul 9, 2018 Upgraded
to Ca (sf)

Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-HE2

Cl. A-5, Upgraded to Aa2 (sf); previously on Apr 20, 2018 Upgraded
to A1 (sf)

Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CW2

Cl. AV-5, Upgraded to Aa3 (sf); previously on May 22, 2019 Upgraded
to A1 (sf)

Cl. MV-1, Upgraded to B1 (sf); previously on May 22, 2019 Upgraded
to B3 (sf)

Issuer: Prime Mortgage Trust 2006-CL1

Cl. A-1, Upgraded to Ba1 (sf); previously on Jul 19, 2018 Upgraded
to Ba3 (sf)

Cl. A-2*, Upgraded to Ba1 (sf); previously on Jul 19, 2018 Upgraded
to Ba3 (sf)

Cl. M-1, Upgraded to Ca (sf); previously on Nov 12, 2010 Downgraded
to C (sf)

Issuer: RAAC Series 2005-SP2 Trust

Cl. M-I-2, Upgraded to Aaa (sf); previously on Aug 21, 2018
Upgraded to Aa1 (sf)

Cl. M-I-3, Upgraded to B1 (sf); previously on Jun 5, 2019
Downgraded to B3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

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

The principal methodology used in rating all deals except
interest-only classes was "US RMBS Surveillance Methodology"
published in February 2019. The methodologies used in rating
interest-only classes were "US RMBS Surveillance Methodology"
published in February 2019 and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
Februay 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 December 2019 from 3.9% in
December 2018. Moody's forecasts an unemployment central range of
3.8% to 4.2% for the 2020 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 2020. 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.


                            *********

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