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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 26, 2020, Vol. 24, No. 25

                            Headlines

ANCHORAGE CREDIT 2: Moody's Gives (P)Ba3 Rating to Class E-R Notes
BANK 2020-BNK25: Fitch to Rate 2 Debt Tranches 'B-sf'
BENCHMARK 2020-B16: Fitch to Rate $16MM Class F Certs BB-sf
COLT 2020-1: Fitch Assigns Bsf Rating on Class B-2 Debt
CONNECTICUT AVENUE 2020-R01: Fitch Rates 29 Debt Tranches 'Bsf'

CPS AUTO 2020-A: DBRS Finalizes B Rating on $6.5MM Class F Notes
CWABS ASSET-BACKED 2007-7: Moody's Hikes Cl. A-1 Debt to Ba1
CWALT INC 2007-OA6: Moody's Hikes Ratings on 2 Tranches to B1
FOURSIGHT CAPITAL 2020-1: Moody's Rates Class F Notes (P)B2(sf)
FREDDIE MAC 2020-HQA1: Fitch to Rate 16 Debt Tranches 'B(EXP)sf'

FREED ABS 2020-1: DBRS Assigns Prov. BB(low) Rating on C Notes
GENERAL ELECTRIC 2003-1: Fitch Hikes Rating on Class F Certs to B-
GS MORTGAGE 2017-GS5: Fitch Affirms B-sf Rating on Class F Certs
GS MORTGAGE 2020-PJ1: DBRS Gives Prov. B Rating on Class B-5 Certs
ICG US 2015-2R: Moody's Gives (P)Ba3 Rating to $25MM Class D Notes

JP MORGAN 2020-1 Moody's Assigns (P)B3 Rating to 2 Tranches
MORGAN STANLEY 2006-IQ11: Fitch Hikes Class C Certs Rating to BBsf
MORGAN STANLEY 2016-C29: Fitch Affirms B-sf Rating on 2 Tranches
NEW RESIDENTIAL 2016-3: Moody's Raises Cl. B-5 Debt to B1(sf)
NEW RESIDENTIAL 2020-1: DBRS Finalizes B(high) on 10 Classes

NEW RESIDENTIAL 2020-NQM1: Fitch Assigns B Rating on Cl. B-1 Debt
PSMC TRUST 2020-1: Fitch to Rate Class B-5 Debt 'B(EXP)sf'
RADNOR RE 2020-1: DBRS Assigns Prov. B(low) Rating on M-2B Notes
RAMP TRUST 2006-NC3: Moody's Hikes Class M-1 Debt to Ba2
RMF BUYOUT 2020-1: Moody's Assigns (P)Ba3 Rating on Cl. M4 Debt

SEQUOIA MORTGAGE 2020-1: Fitch Rates Class B-4 Certs BB-sf
TABERNA PREFERRED II: Moody's Ups Ratings on 3 Debt Classes to Ba1
TICP CLO III-2: Moody's Lowers $7.15MM Class F Notes to Caa1
TOWD POINT 2020-1: Fitch to Rate 5 Debt Classes 'BB(EXP)'
UBS COMMERCIAL 2018-C9: Fitch Affirms BB- Rating on Cl. E-RR Certs

VERTICAL BRIDGE 2018-1: Fitch Affirms BB-sf Rating on Cl. F Notes
WELLS FARGO 2016-C33: Fitch Affirms B-sf Rating on 2 Tranches
WFRBS COMMERCIAL 2013-C14: Fitch Affirms Bsf Rating on Cl. F Certs

                            *********

ANCHORAGE CREDIT 2: Moody's Gives (P)Ba3 Rating to Class E-R Notes
-------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to five
classes of CDO refinancing notes  to be issued by Anchorage Credit
Funding 2, Ltd.

US$233,000,000 Class A-R Senior Secured Fixed Rate Notes due 2038
(the "Class A-R Notes"), Assigned (P)Aaa (sf)

US$72,600,000 Class B-R Senior Secured Fixed Rate Notes due 2038
(the "Class B-R Notes"), Assigned (P)Aa3 (sf)

US$24,800,000 Class C-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2038 (the "Class C-R Notes"), Assigned (P)A3 (sf)

US$24,800,000 Class D-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2038 (the "Class D-R Notes"), Assigned (P)Baa3 (sf)

US$25,300,000 Class E-R Junior Secured Deferrable Fixed Rate Notes
due 2038 (the "Class E-R Notes"), Assigned (P)Ba3 (sf)

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.

The Issuer is a managed cash flow. The issued notes are
collateralized primarily by corporate bonds and loans. At least 30%
of the portfolio must consist of senior secured loans, senior
secured notes, and eligible investments, up to 20% of the portfolio
may consist of second lien loans, and up to 5% of the portfolio may
consist of letters of credit.

Anchorage Capital Group, L.L.C. will continue to direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest up to 50% of unscheduled principal
payments and proceeds from sales of credit risk assets.

The Issuer will issue the Refinancing Notes on February 13, 2020 in
connection with the refinancing of all classes of the secured notes
originally issued on January 12, 2016. On the Refinancing Date, the
Issuer will use proceeds from the issuance of the Refinancing Notes
and the new subordinated notes to redeem in full the Refinanced
Original Notes and the original subordinated notes.

In addition to the issuance of the Refinancing Notes and the
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test
levels.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Par amount: $500,000,000

Diversity Score: 60

Weighted Average Rating Factor (WARF): 3220

Weighted Average Coupon (WAC): 5.6%

Weighted Average Recovery Rate (WARR): 36.0%

Weighted Average Life (WAL): 11 years

Methodology Underlying the Rating Action:

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

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

The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.


BANK 2020-BNK25: Fitch to Rate 2 Debt Tranches 'B-sf'
-----------------------------------------------------
Fitch Ratings issued a presale report on BANK 2020-BNK25 commercial
mortgage pass-through certificates, series 2020-BNK25.

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

  -- $15,250,000 class A-1 'AAAsf'; Outlook Stable;

  -- $8,461,000 class A-2 'AAAsf'; Outlook Stable;

  -- $61,183,000 class A-3 'AAAsf'; Outlook Stable;

  -- $22,612,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $290,000,000a class A-4 'AAAsf'; Outlook Stable;

  -- $689,284,000a class A-5 'AAAsf'; Outlook Stable;

  -- $1,086,790,000b class X-A 'AAAsf'; Outlook Stable;

  -- $314,393,000b class X-B 'A-sf'; Outlook Stable;

  -- $194,070,000 class A-S 'AAAsf'; Outlook Stable;

  -- $62,102,000 class B 'AA-sf'; Outlook Stable;

  -- $58,221,000 class C 'A-sf'; Outlook Stable;

  -- $58,221,000bc class X-D 'BBB-sf'; Outlook Stable;

  -- $29,111,000bc class X-F 'BB-sf'; Outlook Stable;

  -- $15,525,000bc class X-G 'B-sf'; Outlook Stable;

  -- $36,874,000c class D 'BBBsf'; Outlook Stable;

  -- $21,347,000c class E 'BBB-sf'; Outlook Stable;

  -- $29,111,000c class F 'BB-sf'; Outlook Stable;

  -- $15,525,000c class G 'B-sf'; Outlook Stable.

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

  -- $48,518,274bc class X-H;

  -- $48,518,274c class H;

  -- $81,713,593cd class RR Interest.

(a) The initial certificate balances of classes A-4 and A-5 are
unknown and expected to be approximately $979,284,000 in aggregate,
subject to a 5% variance. The certificate balances will be
determined based on the final pricing of those classes of
certificates. The expected class A-4 balance range is $100,000,000
to $480,000,000, and the expected class A-5 balance range is
$499,284,000 to $879,284,000.

(b) Notional amount and interest only (IO).

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

(d) Represents the non-offered, eligible vertical credit-risk
retention interest.

The expected ratings are based on information provided by the
issuer as of Jan. 22, 2020.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 77 loans secured by 97
commercial properties having an aggregate principal balance of
$1,634,271,868 as of the cut-off date. The loans were contributed
to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank
of America, National Association, Wells Fargo Bank, National
Association, and National Cooperative Bank, N.A.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.6% of the properties
by balance, cash flow analysis of 81.7% and asset summary reviews
on 100% of the pool.

KEY RATING DRIVERS

Lower Fitch Leverage than Recent Transactions: The pool's Fitch
debt service coverage ratio (DSCR) of 1.59x is better than the 2018
and 2019 averages of 1.22x and 1.26x, respectively, for other
Fitch-rated multiborrower transactions. The pool's Fitch
loan-to-value (LTV) of 90.8% is below the 2018 and 2019 averages of
102.0% and 103.0%, respectively. Excluding the co-op and credit
assessed collateral, the pool has a Fitch DSCR and LTV of 1.34x and
110.2%, respectively.

Limited Amortization: The pool has 42 IO loans representing 84.5%
of the pool and nine loans representing 6.1% of the pool that are
partial IO. From securitization to maturity, the pool is scheduled
to pay down by only 2.6%, which is well below the 2019 and 2018
averages of 5.9% and 7.2%, respectively.

Investment-Grade Credit Opinion and Co-op Loans: Seven loans
representing 33.7% of the pool are credit assessed. This is
significantly above the 2019 and 2018 averages of 14.2% and 13.6%
for Fitch-rated multiborrower transactions. Jackson Park (4.6% of
the pool) received a credit opinion of 'Asf' on a stand-alone
basis. 560 Mission Street (3.1%) received a credit opinion of
'AA-sf' on a stand-alone basis. Kings Plaza (4.6%) received a
credit opinion of 'BBBsf' on a stand-alone basis. 55 Hudson Yards
(6.1%), Bellagio Hotel and Casino (6.1%), 1633 Broadway (6.1%), and
Park Tower at Transbay (3.1%) each received credit opinions of
'BBB-sf' on a stand-alone basis. Additionally, the pool contains 24
loans, representing 6.7% of the pool, that are secured by
residential cooperatives and exhibit leverage characteristics
significantly lower than typical conduit loans. The weighted
average DSCR and LTV for the coop loans are 4.92x and 33.3%,
respectively.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 9.9% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to the BANK
2020-BNK25 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.

ESG CONSIDERATIONS

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


BENCHMARK 2020-B16: Fitch to Rate $16MM Class F Certs BB-sf
-----------------------------------------------------------
Fitch Ratings issued a presale report on BENCHMARK 2020-B16
Mortgage Trust, commercial mortgage pass-through certificates,
Series 2020-B16.

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

  -- $4,592,000 class A-1 'AAAsf'; Outlook Stable;

  -- $10,098,000 class A-2 'AAAsf'; Outlook Stable;

  -- $40,489,000 class A-3 'AAAsf'; Outlook Stable;

  -- $9,800,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $133,000,000a class A-4 'AAAsf'; Outlook Stable;

  -- $399,560,000a class A-5 'AAAsf'; Outlook Stable;

  -- $93,955,000 class A-M 'AAAsf'; Outlook Stable;

  -- $691,854,000b class X-A 'AAAsf'; Outlook Stable;

  -- $36,301,000 class B 'AA-sf'; Outlook Stable;

  -- $34,166,000 class C 'A-sf'; Outlook Stable;

  -- $70,467,000b class X-B 'A-sf'; Outlook Stable;

  -- $23,489,000 class D 'BBBsf'; Outlook Stable;

  -- $17,083,000 class E 'BBB-sf'; Outlook Stable;

  -- $40,572,000b class X-D 'BBB-sf'; Outlook Stable;

  -- $16,015,000 class F 'BB-sf'; Outlook Stable;

  -- $16,015,000b class X-F 'BB-sf'; Outlook Stable;

  -- $8,541,000 class G 'B-sf'; Outlook Stable.

  -- $8,541,000b class X-G 'B-sf'; Outlook Stable.

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

  -- $26,692,872 class H;

  -- $26,692,872b class X-H;

  -- $44,955,000c class VRR.

(a) The initial certificate balances of class A-4 and A-5 are
unknown and expected to be $532,560,000 in aggregate, subject to a
5.0% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-4 balance range is $0 to $266,000,000, and the expected
class A-5 balance range is $266,560,000 to $532,560,000. Fitch's
certificate balances for classes A-4 and A-5 are assumed at
midpoint of the range for each class.

(b) Notional amount and interest only.

(c) Vertical credit-risk retention interest, which represents
approximately 5.0% of the certificate balance, notional amount or
percentage interest of each class of certificates.

TRANSACTION SUMMARY

The expected ratings are based on information provided by the
issuer as of Jan. 21, 2020.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 33 loans secured by 77
commercial properties having an aggregate principal balance of
$899,096,873 as of the cut-off date. The loans were contributed to
the trust by JPMorgan Chase Bank, National Association, Citi Real
Estate Funding Inc., and German American Capital Corporation.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 71.6% of the properties
by balance, cash flow analysis of 85.0% of the pool, and asset
summary reviews on 100.0% of the pool.

KEY RATING DRIVERS

Low Fitch Leverage: The pool's Fitch leverage is lower than that of
other recent Fitch-rated multiborrower transactions. The pool's
Fitch debt service coverage ratio (DSCR) of 1.28x is higher than
the 2019 and 2018 averages of 1.26x and 1.22x, respectively.
Additionally, the pool's Fitch loan-to-value (LTV) of 94.5% is
lower than the 2019 and 2018 averages of 103.0% and 102.0%,
respectively. Excluding investment-grade credit opinion loans, the
pool has a Fitch DSCR and LTV of 1.22x and 112.7%, respectively.

Very Limited Amortization: Based on the scheduled balance at
maturity, the pool will pay down by only 1.7%, which is below the
respective 2018 and 2019 averages of 7.2% and 5.9% and one of the
lowest paydown rates in the past five years. Twenty-five loans
totalling 88.6% of the deal are full interest-only (IO) loans,
which is higher than the 2018 and 2019 averages of 50.4% and 60.3%,
respectively. Another six loans, representing 7.5% of the pool, are
partial IO loans.

Credit Opinion Loans: Eight loans, representing 40.9% of the pool,
have investment-grade credit opinions. This is significantly above
the 2019 and 2018 averages of 14.2% and 13.6%, respectively. Six
loans including Bellagio Hotel (6.7% of the pool), 1633 Broadway
(5.0% of the pool), 650 Madison Avenue (5.0% of the pool), Starwood
Industrial Portfolio (5.0% of the pool), 181 West Madison Street
(4.8% of the pool) and 510 East 14th Street (3.9% of the pool)
received stand-alone credit opinions of 'BBB-sf*'. Kings Plaza
(5.6% of the pool) received a stand-alone credit opinion of
'BBBsf*', and 560 Mission Street received a stand-alone credit
opinion of 'AA-sf*'.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 20.9% below
the most recent year's NOI for properties for which a full-year NOI
was provided, excluding properties that were stabilizing during
this period. Unanticipated further declines in property-level NCF
could result in higher defaults and loss severities on defaulted
loans and in potential rating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to the
BMARK 2020-B16certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.


COLT 2020-1: Fitch Assigns Bsf Rating on Class B-2 Debt
-------------------------------------------------------
Fitch Ratings assigns ratings to the residential mortgage-backed
certificates to be issued by COLT 2020-1 Mortgage Loan Trust.

RATING ACTIONS

COLT 2020-1

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

Class A-2;    LT AAsf New Rating;  previously at AA(EXP)sf

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

Class M-1;    LT BBBsf New Rating; previously at BBB(EXP)sf

Class B-1;    LT BBsf New Rating;  previously at BB(EXP)sf

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

Class B-3;    LT NRsf New Rating;  previously at NR(EXP)sf

Class A-IO-S; LT NRsf New Rating;  previously at NR(EXP)sf

Class X;      LT NRsf New Rating;  previously at NR(EXP)sf

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 (HPQM) 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 (DTI) 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 (LS) 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
'RMS1-'/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 Rates 29 Debt Tranches 'Bsf'
---------------------------------------------------------------
Fitch Ratings assigned final 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 Bsf New Rating;    previously at B(EXP)sf

Class 1-J2;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-J3;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-J4;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-K1;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-K2;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-K3;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-K4;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-X1;  LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1-X2;  LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1-X3;  LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1-X4;  LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1-Y1;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-Y2;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-Y3;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1-Y4;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1A-H;  LT NRsf New Rating;   previously at NR(EXP)sf

Class 1A-I1; LT BB+sf New Rating;  previously at BB+(EXP)sf

Class 1A-I2; LT BB+sf New Rating;  previously at BB+(EXP)sf

Class 1A-I3; LT BB+sf New Rating;  previously at BB+(EXP)sf

Class 1A-I4; LT BB+sf New Rating;  previously at BB+(EXP)sf

Class 1B-1;  LT NRsf New Rating;   previously at NR(EXP)sf

Class 1B-1H; LT NRsf New Rating;   previously at NR(EXP)sf

Class 1B-1X; LT NRsf New Rating;   previously at NR(EXP)sf

Class 1B-1Y; LT NRsf New Rating;   previously at NR(EXP)sf

Class 1B-2H; LT NRsf New Rating;   previously at NR(EXP)sf

Class 1B-I1; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1B-I2; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1B-I3; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1B-I4; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1C-I1; LT Bsf New Rating;    previously at B(EXP)sf

Class 1C-I2; LT Bsf New Rating;    previously at B(EXP)sf

Class 1C-I3; LT Bsf New Rating;    previously at B(EXP)sf

Class 1C-I4; LT Bsf New Rating;    previously at B(EXP)sf

Class 1E-A1; LT BB+sf New Rating;  previously at BB+(EXP)sf

Class 1E-A2; LT BB+sf New Rating;  previously at BB+(EXP)sf

Class 1E-A3; LT BB+sf New Rating;  previously at BB+(EXP)sf

Class 1E-A4; LT BB+sf New Rating;  previously at BB+(EXP)sf

Class 1E-B1; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1E-B2; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1E-B3; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1E-B4; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1E-C1; LT Bsf New Rating;    previously at B(EXP)sf

Class 1E-C2; LT Bsf New Rating;    previously at B(EXP)sf

Class 1E-C3; LT Bsf New Rating;    previously at B(EXP)sf

Class 1E-C4; LT Bsf New Rating;    previously at B(EXP)sf

Class 1E-D1; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1E-D2; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1E-D3; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1E-D4; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1E-D5; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1E-F1; LT Bsf New Rating;    previously at B(EXP)sf

Class 1E-F2; LT Bsf New Rating;    previously at B(EXP)sf

Class 1E-F3; LT Bsf New Rating;    previously at B(EXP)sf

Class 1E-F4; LT Bsf New Rating;    previously at B(EXP)sf

Class 1E-F5; LT Bsf New Rating;    previously at B(EXP)sf

Class 1M-1;  LT BBB-sf New Rating; previously at BBB-(EXP)sf

Class 1M-1H; LT NRsf New Rating;   previously at NR(EXP)sf

Class 1M-2;  LT Bsf New Rating;    previously at B(EXP)sf

Class 1M-2A; LT BB+sf New Rating;  previously at BB+(EXP)sf

Class 1M-2B; LT BB-sf New Rating;  previously at BB-(EXP)sf

Class 1M-2C; LT Bsf New Rating;    previously at B(EXP)sf

Class 1M-2X; LT Bsf New Rating;    previously at B(EXP)sf

Class 1M-2Y; LT Bsf New Rating;    previously at B(EXP)sf

Class 1M-AH; LT NRsf New Rating;   previously at NR(EXP)sf

Class 1M-BH; LT NRsf New Rating;   previously at NR(EXP)sf

Class 1M-CH; LT NRsf New Rating;   previously at NR(EXP)sf

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 1M-1
notes reflects the 2.85% subordination provided by the 0.63% class
1M-2A, 0.64% class 1M-2B, 0.63% class 1M-2C, 0.75% class 1B-1 and
their corresponding reference tranches as well as the 0.20% 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 1M-1 and 1M-2 notes will be based on the
lower of the quality of the mortgage loan reference pool and credit
enhancement (CE) available through subordination, or Fannie Mae's
Issuer Default Rating (IDR). While this transaction reduces
counterparty exposure to Fannie Mae compared with prior
transactions, there is still a reliance on them to cover potential
interest shortfalls or principal losses on eligible investments.
The notes will be issued as uncapped LIBOR-based floaters and carry
a 20-year legal final maturity. This will be an actual loss risk
transfer transaction in which losses borne by the noteholders will
not be based on a fixed loss severity (LS) schedule. The notes in
this transaction will experience losses realized at the time of
liquidation or modification that will include both lost principal
and delinquent or reduced interest.

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

The 1M-1, 1M-2A, 1M-2B, 1M-2C and 1B-1 notes will be issued as
LIBOR-based floaters. Should the one-month LIBOR rate fall below
the applicable negative LIBOR trigger value described in the
offering memorandum, the interest payment on the interest-only
notes will be capped at the excess of (i) the interest amount
payable on the related class of exchangeable notes for that payment
date over, 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 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 1A-H senior reference tranche, which has an initial loss
protection of 3.95%, as well as the first loss 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 (1M-1H,
1M-AH, 1M-BH, 1M-CH and 1B-1H).

Limited Size and Scope of Third-Party Diligence (Neutral): Fitch
received third-party due diligence on a loan production basis, as
opposed to a transaction-specific review. Fitch believes that
regular, periodic third-party reviews (TPRs) conducted on a loan
production basis are sufficient for validating Fannie Mae's QC
processes. Fitch views the results of the due diligence review as
consistent with its opinion of Fannie Mae as an above-average
aggregator; as a result, no adjustments were made to Fitch's loss
expectations based on due diligence.

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

REMIC Structure (Neutral): This is Fannie Mae's 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.


CPS AUTO 2020-A: DBRS Finalizes B Rating on $6.5MM Class F Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes 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 is 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 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 the implementation of 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 offers 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 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.


CWABS ASSET-BACKED 2007-7: Moody's Hikes Cl. A-1 Debt to Ba1
------------------------------------------------------------
Moody's Investors Service upgraded the ratings of seven tranches
from five transactions, backed by Alt-A and Subprime loans issued
by multiple issuers.

The complete rating action is as follows:

Issuer: Citigroup Mortgage Loan Trust 2006-NC2

Cl. A-1, Upgraded to A3 (sf); previously on Jul 23, 2018 Upgraded
to Baa3 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2007-7

Cl. A-1, Upgraded to Ba1 (sf); previously on May 20, 2019 Upgraded
to Ba3 (sf)

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2004-8CB

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

Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series
2004-6CB

Cl. M-1, Upgraded to Aaa (sf); previously on Aug 16, 2018 Upgraded
to Aa1 (sf)

Cl. M-2, Upgraded to Baa1 (sf); previously on Aug 16, 2018 Upgraded
to Ba1 (sf)

Issuer: Merrill Lynch Mortgage Investors Trust 2006-FF1

Cl. B-1, Upgraded to Aaa (sf); previously on May 20, 2019 Upgraded
to Aa3 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on May 20, 2019 Upgraded
to A3 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance of the underlying
pools as well as Moody's updated loss expectation on the pools. The
rating upgrades are a result of the improving performance of the
related pools and/or an increase in credit enhancement available to
the bonds.

The principal methodology used in these ratings were "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.


CWALT INC 2007-OA6: Moody's Hikes Ratings on 2 Tranches to B1
-------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two tranches from
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OA6,
backed by Option Arm mortgage loans, issued by Countrywide Home
Loans, In.

Complete rating actions are as follows:

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-OA6

Cl. A-1-A, Upgraded to B1 (sf); previously on Sep 22, 2016 Upgraded
to B3 (sf)

Cl. A-1-B, Upgraded to B1 (sf); previously on Sep 22, 2016 Upgraded
to B3 (sf)

RATINGS RATIONALE

The rating actions are a result of improved performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. Additionally, higher levels of prepayment have
deleveraged the upgraded tranches.

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


FOURSIGHT CAPITAL 2020-1: Moody's Rates Class F Notes (P)B2(sf)
---------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to the notes
to be issued by Foursight Capital Automobile Receivables Trust
2020-1. This is the first auto loan transaction of the year for
Foursight Capital LLC (unrated) and the fourth rated by Moody's.
The notes will be backed by a pool of retail automobile loan
contracts originated by Foursight, who is also the servicer and
administrator for the transaction.

The complete rating actions are as follows:

Issuer: Foursight Capital Automobile Receivables Trust 2020-1

Class A-2 Notes, Assigned (P)Aaa (sf)

Class A-3 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa3 (sf)

Class C Notes, Assigned (P)A2 (sf)

Class D Notes, Assigned (P)Baa2 (sf)

Class E Notes, Assigned (P)Ba2 (sf)

Class F Notes, Assigned (P)B2 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, the experience and expertise of Foursight as the
servicer and administrator, a performance guarantee for the
servicing and custodian function from Jefferies Financial Group
(Baa3) and the backup servicing arrangement.

Moody's cumulative net loss expectation for the 2020-1 pool is
9.50% and the loss at a Aaa stress is 42%, both equal to the
initial cumulative net loss and loss at Aaa stress assigned to
2019-1. Both loss assumptions for 2020-1 are equal as a result of
the comparable collateral characteristics compared to the 2019-1
transaction. Moody's based its cumulative net loss expectation and
loss at a Aaa stress on an analysis of the credit quality of the
underlying collateral; the historical performance of similar
collateral, including securitization performance and managed
portfolio performance; the ability of Foursight to perform the
servicing functions; and current expectations for the macroeconomic
environment during the life of the transaction.

At closing, the Class A notes, Class B notes, Class C notes, Class
D notes, Class E notes and Class F notes are expected to benefit
from 34.50%, 28.00%, 21.60%, 15.30%, 10.00% and 4.75% of hard
credit enhancement respectively. Hard credit enhancement for the
notes consists of a combination of overcollateralization, a
non-declining reserve account, and subordination, except for the
Class F 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 Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
March 2019.

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

Up

Moody's could upgrade the subordinate notes if, given current
expectations of portfolio losses, 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. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, 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 could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud.


FREDDIE MAC 2020-HQA1: Fitch to Rate 16 Debt Tranches 'B(EXP)sf'
----------------------------------------------------------------
Fitch Ratings expects to rate Freddie Mac's Structured Agency
Credit Risk REMIC Trust 2020-HQA1 as follows:

RATING ACTIONS

STACR 2020-HQA1

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

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

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

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

Class M-2AH; LT NR(EXP)sf;   Expected Rating

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

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

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

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

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

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

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

Class M-2BH; LT NR(EXP)sf;   Expected Rating

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

TRANSACTION SUMMARY

Fitch Ratings expects to rate the M-1, M-2A and M-2B notes, along
with their corresponding modifications and combinations (MACR)
notes, STACR 2020-HQA1. This is Freddie Mac's fourth risk transfer
transaction in which the notes are not general, senior unsecured
obligations of Freddie Mac but are instead issued as a REMIC from a
bankruptcy-remote trust.

However, similar to prior transactions, 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 Freddie
Mac-guaranteed MBS. The switch in transaction structure is to
expand the investor base, align tax treatment and better align the
program with other mortgage-related securities as well as to reduce
counterparty exposure to Freddie Mac.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The reference mortgage loan
pool consists of high-quality loans acquired by Freddie Mac between
April 1, 2019 and June 30, 2019. The reference pool will consist of
loans with loan-to-value (LTV) ratios greater than 80% and less
than or equal to 97%. Overall, the reference pool's collateral
characteristics are similar to recent STACR transactions and
reflect the strong credit profile of post-crisis mortgage
originations.

Home Possible Exposure (Negative): Approximately 23% of the
reference pool was originated under Freddie Mac's Home Possible or
Home Possible Advantage program, which is one of the largest
concentrations that Fitch has seen in a Fitch-rated STACR
transaction. The Home Possible program targets low- to
moderate-income homebuyers or buyers in high-cost or
underrepresented communities and provides flexibility for a
borrower's LTV, income, down payment and mortgage insurance
coverage requirements. Fitch anticipates higher default risk for
Home Possible loans due to measurable attributes (such as FICO, LTV
and property value), which is reflected in increased CE.

30-year Legal Maturity (Negative): The M-1, M-2A, M-2B, B-1A, B-1B,
B-2A and B-2B notes have a 30-year legal final maturity, similar to
STACR 2019-HQA3. Thus, life-of-loan losses on the reference pool
will be passed through to noteholders. As a result, Fitch did not
apply a maturity credit to reduce its default expectations.

Mortgage Insurance Guaranteed by Freddie Mac (Positive): 98.7% of
the loans are covered either by borrower paid mortgage insurance
(BPMI), lender paid MI (LPMI) or investor paid mortgage insurance.
While the Freddie Mac guarantee allows for credit to be given to
MI, Fitch applied a haircut to the amount of BPMI available due to
the automatic termination provision as required by the Homeowners
Protection Act, when the loan balance is first scheduled to reach
78%. LPMI does not automatically terminate and remains for the life
of the loan.

Very Low Operational Risk (Positive): Fitch considers this
transaction to have very low operational risk. Freddie Mac is an
industry leader in residential mortgage activities and is assessed
by Fitch as an 'Above Average' aggregator. The agency maintains
strong seller oversight and implements a comprehensive risk
management framework on its acquisition processes. While multiple
counterparties are performing primary servicing functions for the
loans in the reference pool, Freddie Mac has robust servicer
oversight to mitigate servicer disruption risk.

Limited Size of Third-Party Due Diligence (Neutral): Third-party
due diligence was conducted on a sample of the reference pool by
Opus Capital Market Consultants, LLC (Opus), which is assessed by
Fitch as an 'Acceptable - Tier 2' third-party review (TPR) firm.
The review was performed on a statistically random sample of loans
selected from a pre-determined population that was also subject to
Freddie Mac's post-purchase quality control (QC) review. While the
review does not cover 100% of loans in the pool, the sampling
methodology and review scope for the due diligence is consistent
with Fitch criteria and prior Freddie Mac-issued CRT transactions.
The due diligence results support Fitch's opinion of Freddie Mac as
an 'Above Average' aggregator. Fitch did not apply loss adjustments
based on the results.

Solid Alignment of Interests (Positive): While the transaction is
designed to transfer credit risk to private investors, Fitch
believes the transaction benefits from solid alignment of
interests. Freddie Mac will retain credit risk in the transaction
by holding the senior reference tranche A-H, which has 4.25% of
loss protection, as well as a minimum of 5% of the M-1, M-2A, M-2B,
B-1A, B-1B, B-2A and B-2B reference tranches, and 100% of the
first-loss B-3H reference tranche. Initially, Freddie Mac will
retain an approximately 24% vertical slice/interest through the
M-1H, M-2AH, M-2BH, B-1AH, B-1BH, B-2AH and B-2BH reference
tranches.

REMIC Structure (Neutral): This is Freddie Mac's fourth credit risk
transfer transaction issued as a real estate mortgage investment
conduit (REMIC). This limits the transaction's dependency on
Freddie Mac for payments of principal and interest, helping
mitigate potential rating caps in the event of a downgrade of the
government-sponsored enterprise's (GSE) counterparty rating. Under
the current structure, Freddie Mac 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 Freddie Mac's rating but to a lesser
extent than in previous transactions, as there are now other
recourses for investors for payments.

Receivership Risk Considered (Neutral): Under the Federal Housing
Finance Regulatory Reform Act, the Federal Housing Finance Agency
(FHFA) must place Freddie Mac into receivership if it determines
that the government-sponsored enterprise's (GSE) assets are less
than its obligations for longer than 60 days following the deadline
of its SEC filing. As receiver, FHFA could repudiate any contract
entered into by Freddie Mac if it is determined that such action
would promote an orderly administration of the GSE's affairs. Fitch
believes that the U.S. government will continue to support Freddie
Mac, as reflected in its current rating of the GSE. However, if at
some point Fitch believes there is a reduction in support and
receivership likely, a downgrade of Freddie Mac's rating could
occur, and the ratings on the M-1, M-2A and M-2B notes, along with
their corresponding MACR notes, could be affected.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to, or may be considered in the surveillance of the transaction.
Two sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.

This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model projected MVD. 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'.


FREED ABS 2020-1: DBRS Assigns Prov. BB(low) Rating on C Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes (the Notes) to be issued by FREED ABS Trust 2020-1 (FREED
2020-FP1):

-- $247,000,000 Class A Notes at A (high) (sf)
-- $45,350,000 Class B Notes at BBB (high) (sf)
-- $48,420,000 Class C Notes at BB (low) (sf)

The provisional ratings are based on a review by DBRS Morningstar
of the following analytical considerations:

(1) The transaction's form and sufficiency of available credit
enhancement.

-- Subordination, over-collateralization, amounts held in the
Reserve Fund, and excess spread creates credit enhancement levels
that are commensurate with the proposed ratings.

-- Transaction cash flows are sufficient to repay investors under
all A (high) (sf), BBB (high) (sf), and BB (low) (sf) stress
scenarios in accordance with the terms of the FREED 2020-FP1
transaction documents.

(2) Structural features of the transaction that requires the Notes
to enter into full turbo principal amortization if certain triggers
are breached or if credit enhancement deteriorates.

(3) The experience, sourcing, and servicing capabilities of Freedom
Financial Asset Management, LLC (FFAM).

(4) The experience, underwriting, and origination capabilities of
Cross River Bank (CRB).

(5) The ability of the Wilmington Trust National Association (rated
AA (low) with a Stable trend by DBRS Morningstar) to perform duties
as a Backup Servicer and the ability of Nelnet Servicing, LLC d/b/a
Firstmark Services to perform duties as a Backup Servicer
Subcontractor.

(6) The annual percentage rate (APR) charged on the loans and CRB's
status as the true lender.

-- All loans included in FREED 2020-FP1 are originated by CRB, a
New Jersey state-chartered Federal Deposit Insurance
Corporation-insured bank.

-- Loans originated by CRB are all within the New Jersey state
usury limit of 30.00%.

-- The weighted-average APR of the loans in the pool is 21.32%.

-- Loans may be in excess of individual state usury laws; however,
CRB as the true lender can export rates that preempt state usury
rate caps.

-- Loans originated to borrowers in states with active litigation
(Second Circuit (New York, Connecticut, Vermont), Colorado, and
West Virginia) are excluded from the pool.

-- The FREED 2020-FP1 loan pool includes loans originated to
borrowers in Maryland, a state with active litigation. DBRS
Morningstar incorporated an additional stressed cash flow analysis
assuming that loans to borrowers in Maryland with APRs above the
state usury cap of 24.00% were subsequently reduced to the state
usury cap. Transaction cash flows are sufficient to repay investors
under all A (high) (sf), BBB (high) (sf), and BB (low) (sf) stress
scenarios.

-- Under the Loan Sale Agreement, FFAM must repurchase any loan if
there is a breach of a representation and warranty that materially
and adversely affects the interests of the purchaser.

(7) The legal structure and expected legal opinions that will
address the true sale of the personal loans, the non-consolidation
of the trust, that the trust has a valid first-priority security
interest in the assets and consistency with the DBRS Morningstar
"Legal Criteria for U.S. Structured Finance."

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


GENERAL ELECTRIC 2003-1: Fitch Hikes Rating on Class F Certs to B-
------------------------------------------------------------------
Fitch Ratings upgraded three classes and affirmed four classes of
General Electric Capital Assurance Company commercial mortgage
pass-through certificates series 2003-1.

RATING ACTIONS

General Electric Capital Assurance Company, GFCM 2003-1

Class C 36161RAX7; LT AAAsf Affirmed; previously at AAAsf

Class D 36161RAY5; LT AAAsf Affirmed; previously at AAAsf

Class E 36161RAZ2; LT AAsf Upgrade;   previously at Asf

Class F 36161RBA6; LT BBsf Upgrade;   previously at Bsf

Class G 36161RBB4; LT B-sf Upgrade;   previously at Csf

Class H 36161RBC2; LT Dsf Affirmed;   previously at Dsf

Class J 36161RBD0; LT Dsf Affirmed;   previously at Dsf

KEY RATING DRIVERS

Overall Stable Performance and Loss Projections: The overall pool
performance remains stable with minimal changes since the last
rating action. There are no specially serviced loans and all loans
are current. Six loans (20.8%) have been identified as Fitch Loans
of Concern (FLOCs) due to upcoming rollover concern or declining
performance, including five loans in the TOP 15 (19%); however,
minimal losses are expected given the remaining loans' low
leverage.

Increased Credit Enhancement Since Issuance: As of the January 2020
distribution date, the pool's aggregate principal balance has been
reduced by 94.4% to $46.1 million from $822.6 million at issuance.
Thirty of the original 171 loans remain. All loans are fully
amortizing. Cumulative interest shortfalls of $140,933 are
currently affecting classes H and J. There has been $2.9 million
(0.4% of original pool balance) in realized losses to date.

Amortization: The remaining loans are low levered and performing.
The loans mature between December 2020 and 2028 with a weighted
average coupon of 6.53%. Additional paydown is expected due to
scheduled amortization through the remaining loan terms.

Additional Loss Consideration: Fitch's base case loss included
additional stresses including stressed cap rates 100 bps higher
than Fitch's default stressed cap rates by property type and an
additional 15% haircuts to the loans' reported NOI.

In addition to modeling a base case loss, Fitch applied the
following loss severities in a sensitivity scenario: (i) 30% on the
Windhaven Plaza Retail, Carnegie VIII Office, California Avenue I &
II Industrial and Exeter Village Shopping Center loans due to
upcoming rollover of at least 30% within the next two years and/or
future performance concerns and (ii) 50% on the Valley Business
Park Portfolio and Biscayne Boulevard Retail loans due to upcoming
rollover of at least 50% and fluctuating DSCR without an update
from the servicer, respectively. Fitch's upgrades of classes E and
F took this sensitivity scenario into consideration. The upgrades
also reflect the limited expected losses given the fully amortizing
loans and low leverage

Fitch Loans of Concern: Carnegie VIII Office (6.5%), the fourth
largest loan and largest FLOC, is secured by a 105,055 sf suburban
office building in the Southpark submarket of Charlotte, NC.
Occupancy declined to 77% at YE 2017 from 98% at YE 2016 due to DAK
Americas (21% NRA) vacating upon its June 30, 2017 lease
expiration. Occupancy subsequently rebounded to 87% as of the March
2019 rent roll. Fitch will continue to monitor the loan for
continued improving performance.

Spencer Avenue Industrial (3.9%), the sixth largest loan and second
largest FLOC, is secured by a 99,223 SF office property in Fountain
Valley, CA. The property is 100% leased to two tenants, both of
which have leases expiring in 2020.

Valley Business Park Portfolio (3.7%), the seventh largest loan and
third largest FLOC, is secured by four single tenant industrial
buildings totaling 88,987 sf located in Fountain Valley, CA.
Approximately 34.9% NRA expired in 2019 and 27.4% expires in 2021.

California Avenue I & II Industrial (2.7%), the ninth largest loan
and fourth largest FLOC, is secured by two industrial buildings
with a total of 74,666 sf located in Salt Lake City, UT.
Approximately 26.2% NRA expired in 2019.

Biscayne Boulevard Retail (2.2%), the 12th largest loan and fifth
largest FLOC, is secured by a 42,500 sf retail property located in
Aventura, FL fully leased to Dick's Sporting Goods through 2022.
While occupancy has been 100% since issuance, DSCR has fluctuated
due to inconsistent reporting of taxes at a reported 1.43x at YE
2018, compared to 0.93x at YE 2017 and 1.74x at YE 2016.

Property Type Concentration: Approximately 33% of the pool,
including five (19.8%) of the top 15 loans, consists of retail
properties. Multifamily properties comprise 33.3%.

RATING SENSITIVITIES

The Stable Rating Outlooks on classes C, D and G reflect high
credit enhancement, continued deleveraging of the pool and low loss
expectations. The Positive Rating Outlook on classes E and F
reflect the possibility of future upgrades should large tenants
within the Top 15 renew, in addition to continued amortization
and/or defeasance and stable pool performance. Downgrades to
classes C through G are not expected, but are possible if loans
default and transfer to special servicing.

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

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 2017-GS5: Fitch Affirms B-sf Rating on Class F Certs
----------------------------------------------------------------
Fitch Ratings affirmed 15 classes of GS Mortgage Securities Trust,
commercial mortgage pass-through certificates, series 2017-GS5.

RATING ACTIONS

GS Mortgage Securities Trust 2017-GS5

Class A-1 36252HAA9;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 36252HAB7;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 36252HAC5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 36252HAD3;  LT AAAsf Affirmed;  previously at AAAsf

Class A-AB 36252HAE1; LT AAAsf Affirmed;  previously at AAAsf

Class A-S 36252HAH4;  LT AAAsf Affirmed;  previously at AAAsf

Class B 36252HAJ0;    LT AA-sf Affirmed;  previously at AA-sf

Class C 36252HAK7;    LT A-sf Affirmed;   previously at A-sf

Class D 36252HAL5;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 36252HAQ4;    LT BB-sf Affirmed;  previously at BB-sf

Class F 36252HAS0;    LT B-sf Affirmed;   previously at B-sf

Class X-A 36252HAF8;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 36252HAG6;  LT AA-sf Affirmed;  previously at AA-sf

Class X-C 36252HAY7;  LT A-sf Affirmed;   previously at A-sf

Class X-D 36252HAN1;  LT BBB-sf Affirmed; previously at BBB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: The affirmations reflect
the overall stable performance and loss expectations with no
material changes to pool metrics since issuance. There have been no
specially serviced loans since issuance. One loan (4.6% of pool)
has been designated as a Fitch Loan of Concern (FLOC) due to
occupancy declines/performance concerns.

Minimal Change to Credit Enhancement: There has been minimal change
to credit enhancement since issuance. As of the January 2020
distribution date, the pool's aggregate balance has been paid down
by 0.7% to $1.055 billion from $1.062 billion at issuance. All
original 32 loans remain in the pool. Based on the loans' scheduled
maturity balances, the pool is expected to amortize 4.4% during the
term. Fifteen loans (64.2% of pool) are full-term, interest-only
and 12 loans (21.8%) have a partial-term, interest-only component
of which seven have begun to amortize. One loan (2.1%) is fully
defeased.

ADDITIONAL CONSIDERATIONS

Pool Concentration: The top 10 loans comprise 64.6% of the pool.
Loan maturities are concentrated in 2027 (83.6%). Two loans (4.9%)
mature in 2021 and four loans (11.5%) in 2026.

Fitch Loan of Concern: Lyric Centre (4.6%), secured by a 381,831 sf
office property in Houston, TX, was designated a FLOC due to a
significant decline in occupancy since issuance. Occupancy declined
to 75.9% as of September 2019 from 81.5% at YE 2018 and 89.5% at
issuance. As a result servicer-reported NOI DSCR has declined to
1.65x as of YTD June 2019 from 2.33x at YE 2018 and 2.79x at
issuance. The primary driver of the performance decline in 2019 was
the departure of Bailey, Perrin & Bailey (8.3% NRA), upon its
September 2018 lease expiration. While property vacancy has
increased since issuance, it is only slightly above the 3Q 2019
Houston CBD submarket vacancy of 19.5%. Also, at the time of lease
expiration, Bailey, Perrin & Bailey had a base rent that was well
below the average 3Q 2019 Houston CBD submarket average asking
office rent.

Investment-Grade Credit Opinion Loans: Three loans representing
14.4% of the pool were issued investment-grade credit opinions at
issuance. The largest loan in the pool, 350 Park Avenue (9.5%), was
issued a stand-alone credit opinion of 'BBB-sf' at issuance. The
loan is secured by a 570,831 sf office building located in
Manhattan's Plaza District approximately a half mile from Grand
Central Terminal. While property performance continues to remain
in-line with Fitch's expectations at issuance, the largest tenant,
Ziff Brothers Investments, which leases approximately 50% NRA
partially vacated and will not be renewing its lease upon its April
2021 lease expiration. At issuance, Ziff Brothers Investments was
only utilizing 40% of its space, while subleasing 52%. The loan was
structured with a cash flow sweep that was to be triggered if Ziff
Brothers did not renew its lease at least 18 months prior to lease
expiration. The sweep would fund a rollover reserve account subject
to a $25 million cap that would be reduced as individual suites
were relet. Per servicer updates, Ziff Brother Investments has 65%
of its space sublet and will continue to pay 100% of rent through
the life of the lease. The physical occupancy of the property as of
September 2019 excluding sublet space was 49%. Lockbox activation
is in process, and the current rollover reserve balance is
approximately $1.2 million. The borrower is in discussion with
potential tenants and several of the Ziff Brothers Investments'
subtenants regarding direct leases.

The two other investment-grade credit opinion loans are AMA Plaza
(2.8%) and 225 Bush Street (2.1%), which were issued stand-alone
credit opinions of 'BBBsf' and 'BBB+sf', respectively, at issuance.
The performance of AMA Plaza remains strong, and 225 Bush Street is
fully defeased.

RATING SENSITIVITIES

Rating Outlooks for all classes remain Stable due to relatively
stable performance with no material changes to pool metrics since
issuance. Fitch does not foresee positive or negative ratings
migration until a material economic or asset-level event changes
the transaction's overall portfolio-level metrics.

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

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

ESG CONSIDERATIONS

ESG Considerations: Unless otherwise disclosed in this section, the
highest level of ESG credit relevance is a score of 3, which
indicates ESG issues are credit neutral or have only a minimal
credit impact on GSMS 2017-GS5, either due to their nature or the
way in which they are being managed by GSMS 2017-GS5.


GS MORTGAGE 2020-PJ1: DBRS Gives Prov. B Rating on Class B-5 Certs
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2020-PJ1 (the
Certificates) to be issued by GS Mortgage-Backed Securities Trust
2020-PJ1 (GSMBS 2020-PJ1):

-- $381.5 million Class A-1 at AAA (sf)
-- $381.5 million Class A-2 at AAA (sf)
-- $40.2 million Class A-3 at AAA (sf)
-- $40.2 million Class A-4 at AAA (sf)
-- $286.1 million Class A-5 at AAA (sf)
-- $286.1 million Class A-6 at AAA (sf)
-- $95.4 million Class A-7 at AAA (sf)
-- $95.4 million Class A-8 at AAA (sf)
-- $421.7 million Class A-9 at AAA (sf)
-- $421.7 million Class A-10 at AAA (sf)
-- $421.7 million Class A-X-1 at AAA (sf)
-- $40.2 million Class A-X-3 at AAA (sf)
-- $286.1 million Class A-X-5 at AAA (sf)
-- $95.4 million Class A-X-7 at AAA (sf)
-- $381.5 million Class A-X-8 at AAA (sf)
-- $5.8 million Class B-1 at AA (sf)
-- $9.0 million Class B-2 at A (sf)
-- $6.3 million Class B-3 at BBB (sf)
-- $3.1 million Class B-4 at BB (sf)
-- $898.0 thousand Class B-5 at B (sf)

Classes A-X-1, A-X-3, A-X-5, A-X-7, and A-X-8 are interest-only
certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-8, A-9, A-10, and A-X-8 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates as specified in the offering
documents.

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

The ratings on the Certificates reflect 6.05% of credit enhancement
provided by subordinated certificates in the pool. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 4.75%, 2.75%,
1.35%, 0.65%, and 0.45% of credit enhancement, respectively.

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

GSMBS 2020-PJ1 is a securitization of a portfolio of first-lien
fixed-rate prime residential mortgages funded by the issuance of
the Certificates. The Certificates are backed by 643 loans with a
total principal balance of $448,804,647 as of the Cut-Off Date
(January 1, 2020).

The originators for the mortgage pool are HomeBridge Financial
Services, Inc. (19.9%), loanDepot.com, LLC (loanDepot), Guaranteed
Rate, Inc. (16.3%), and various other originators, each comprising
less than 15.0% of the mortgage loans. Goldman Sachs Mortgage
Company is the Sponsor and the Mortgage Loan Seller of the
transaction. For certain originators, the related loans (16.4%)
were sold to MAXEX Clearing LLC and were subsequently acquired by
the Mortgage Loan Seller.

NewRez LLC doing business as Shellpoint Mortgage Servicing will
service all mortgage loans within the pool. Wells Fargo Bank, N.A.
(rated AA with a Stable trend by DBRS Morningstar) will act as the
Master Servicer, Securities Administrator, and Custodian. U.S. Bank
Trust National Association will serve as Delaware Trustee.
Pentalpha Surveillance LLC will serve as the representations and
warranties (R&W) File Reviewer.

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average loan age of five months. Approximately 51.7% of
the pool is conforming; high-balance mortgage loans that were
underwritten using an automated underwriting system designated by
Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. The remaining 48.3% of the pool are traditional,
non-agency, prime jumbo mortgage loans. Details on the underwriting
of conforming loans can be found in Key Probability of Default
Drivers section in the related presale report.

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

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

This transaction employs an R&W framework that contains certain
weaknesses, such as materiality factors, knowledge qualifiers, and
sunset provisions that allow for certain R&Ws to expire within
three to five years after the Closing Date. To capture the
perceived weaknesses in the R&W framework, DBRS Morningstar reduced
the originator scores in this pool. A lower originator score
results in increased default and loss assumptions and provides
additional cushions for the rated securities.

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


ICG US 2015-2R: Moody's Gives (P)Ba3 Rating to $25MM Class D Notes
-------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to five
classes of notes to be issued by ICG US CLO 2015-2R, Ltd.

Moody's rating action is as follows:

US$250,000,000 Class A-1 Senior Secured Floating Rate Notes due
2033 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)

US$49,000,000 Class A-2 Senior Secured Floating Rate Notes due 2033
(the "Class A-2 Notes"), Assigned (P)Aa2 (sf)

US$19,500,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2033 (the "Class B Notes"), Assigned (P)A2 (sf)

US$24,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2033 (the "Class C Notes"), Assigned (P)Baa3 (sf)

US$25,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2033 (the "Class D Notes"), Assigned (P)Ba3 (sf)

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

RATINGS RATIONALE

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.

ICG US CLO 2015-2R is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 95% of the portfolio must consist
of first lien senior secured loans, cash, and eligible investments,
and up to 5% of the portfolio may consist of second lien loans and
unsecured loans. Moody's expects the portfolio to be approximately
100% ramped as of the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 64

Weighted Average Rating Factor (WARF): 2975

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.25%

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 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.


JP MORGAN 2020-1 Moody's Assigns (P)B3 Rating to 2 Tranches
-----------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 34
classes of residential mortgage-backed securities issued by J.P.
Morgan Mortgage Trust 2020-1. The ratings range from (P)Aaa (sf) to
(P)B3 (sf).

The certificates are backed by 1,056 28-year and 30-year,
fully-amortizing fixed-rate mortgage loans with a total balance of
$776,561,029 as of the January 1, 2020 cut-off date. Similar to
prior JPMMT transactions, JPMMT 2020-1 includes agency-eligible
mortgage loans (approximately 25.7% by loan balance) underwritten
to the government sponsored enterprises guidelines in addition to
prime jumbo non-agency eligible mortgages purchased by J.P. Morgan
Mortgage Acquisition Corp., the sponsor and mortgage loan seller,
from various originators and aggregators. United Shore Financial
Services, LLC d/b/a United Wholesale Mortgage and Shore Mortgage
originated approximately 50.4% of the mortgage pool by balance.
loanDepot.com, LLC originated approximately 19.1% of the pool and
Guaranteed Rate Inc. originated approximately 12.5%. All other
originators accounted for less than 10% of the pool by balance.
With respect to the mortgage loans, each originator or the
aggregator, as applicable, made a representation and warranty that
the mortgage loan constitutes a qualified mortgage (QM) under the
qualified mortgage rule.

The primary servicers for majority of the pool are JPMorgan Chase
Bank, N.A. ("JPMCB") United Shore, LoanDepot and Guaranteed Rate.
United Shore, JPMCB, LoanDepot and Guaranteed Rate will own the
mortgage servicing rights for 40.69%, 28.40%, 18.82%, 12.02% of the
mortgage loans, respectively. Cenlar FSB will be the sub-servicer
for the United Shore and LoanDepot mortgage loans. Dovenmuehle
Mortgage, Inc. will be the sub-servicer for the Guaranteed Rate
loans. NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint
Mortgage Servicing will act as interim servicer for the JPMCB
mortgage loans until the servicing transfer date, which is expected
to occur on or about April 1, 2020, but may occur on a later date
as determined by the issuing entity. After the servicing transfer
date, these mortgage loans will be serviced by JPMCB. The servicing
fee for loans serviced by United Shore, JPMCB/Shellpoint,
Guaranteed Rate and LoanDepot will be based on a step-up incentive
fee structure with a monthly base fee of $40 per loan and
additional fees for delinquent or defaulted loans (variable fee
framework). The other servicer, TIAA, FSB, will be paid a monthly
flat servicing fee equal to one-twelfth of 0.25% of the remaining
principal balance of the mortgage loans (fixed fee framework).
Nationstar Mortgage LLC 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 2020-1

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 0.53%
and reaches 5.27% 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)
providers.

Collateral Description

JPMMT 2020-1 is a securitization of a pool of 1,056 28-year and
30-year, fully-amortizing fixed-rate mortgage loans with a total
balance of $776,561,029 as of the cut-off date, with a weighted
average (WA) remaining term to maturity of 357 months, and a WA
seasoning of 3 months. The WA current FICO score is 771 and the WA
original combined loan-to-value ratio (CLTV) is 69.4%. The
characteristics of the loans underlying the pool are generally
comparable to those of other JPMMT transactions backed by prime
mortgage loans that Moody's has rated.

Aggregation/Origination Quality

Moody's considers JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC as an
aggregator, Moody's has also reviewed the originator(s)
contributing a significant percentage of the collateral pool (above
10%). As such, for United Shore, Moody's reviewed United Shore's
underwriting guidelines and its policies and documentation (where
available). Additionally, 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. In addition, Moody's reviewed the loan performance
for some of these originators. Moody's viewed the loan performance
as comparable to the GSE loans due to consistently low
delinquencies, early payment defaults and repurchase requests.
United Shore and LoanDepot originated approximately 56.6% and
21.4%of the non-conforming mortgage loans (by balance) in the pool,
respectively. All other originators accounted for less than 10% of
the non-conforming mortgage loans by balance.

United Shore (originator): Loans originated by United Shore have
been included in several prime jumbo securitizations that Moody's
has rated. United Shore originated approximately 50.4% of the
mortgage loans by pool balance (compared with about 86.9% by pool
balance in JPMMT 2019-9). The majority of these loans were
originated under United Shore's High Balance Nationwide program
which are processed using the Desktop Underwriter (DU) automated
underwriting system, and are therefore underwritten to Fannie Mae
guidelines. The loans receive a DU Approve Ineligible feedback due
to the loan amount only. Moody's made a negative origination
adjustment (i.e. Moody's increased its loss expectations) for
United Shore's loans due mostly to 1) the lack of statistically
significant program specific loan performance data and 2) the fact
that United Shore's High Balance Nationwide program is unique and
fairly new and no performance history has been provided to Moody's
on these loans. Under this program, the origination criteria rely
on the use of GSE tools (DU/LP) for prime-jumbo non-conforming
loans, subject to Qualified Mortgage (QM) overlays. More time is
needed to assess United Shore's ability to consistently produce
high-quality prime jumbo residential mortgage loans under this
program.

Moody's considers LoanDepot an adequate originator of prime jumbo
loans. As a result, Moody's did not make any adjustments to its
loss levels for these loans.

Servicing Arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate given the strong servicing arrangement of the
servicers, as well as the presence of a strong master servicer to
oversee the servicers. The servicers are contractually obligated to
the issuing entity to service the related mortgage loans. However,
the servicers may perform their servicing obligations through
sub-servicers. In this transaction, Nationstar Mortgage LLC (rated
B2) will act as the master servicer. The servicers are required to
advance principal and interest on the mortgage loans. To the extent
that the servicers are unable to do so, the master servicer will be
obligated to make such advances. In the event that the master
servicer, Nationstar, is unable to make such advances, the
securities administrator, Citibank (rated Aa3) will be obligated to
do so to the extent such advance is determined by the securities
administrator to be recoverable.

Servicing Fee Framework

The servicing fee for loans serviced by United Shore, JPMCB,
Shellpoint and LoanDepot will be based on a step-up incentive fee
structure with a monthly base fee of $40 per loan and additional
fees for servicing delinquent and defaulted loans. The other
servicer, TIAA, will be paid a monthly flat servicing fee equal to
one-twelfth of 0.25% of the remaining principal balance of the
mortgage loans. Shellpoint will act as interim servicer for the
JPMCB mortgage loans until the servicing transfer date, April 1,
2020 or such later date as determined by the issuing entity and
JPMCB.

The servicing fee framework is comparable to other recent JPMMT
transactions backed by prime mortgage loans that Moody's has rated.
However, while this fee structure is common in non-performing
mortgage securitizations, it is relatively new to rated prime
mortgage securitizations which typically incorporate a flat 25
basis point servicing fee rate structure. By establishing a base
servicing fee for performing loans that increases with the
delinquency of loans, the fee-for-service structure aligns monetary
incentives to the servicer with the costs of the servicer. The
servicer receives higher fees for labor-intensive activities that
are associated with servicing delinquent loans, including loss
mitigation, than they receive for servicing a performing loan,
which is less labor-intensive. The fee-for-service compensation is
reasonable and adequate for this transaction because it better
aligns the servicer's costs with the deal's performance.
Furthermore, higher fees for the more labor-intensive tasks make
the transfer of these loans to another servicer easier, should that
become necessary. By contrast, in typical RMBS transactions a
servicer can take actions, such as modifications and prolonged
workouts, that increase the value of its mortgage servicing
rights.

The incentive structure includes an initial monthly base servicing
fee of $40 for all performing loans and increases according to a
pre-determined delinquent and incentive servicing fee schedule. The
delinquent and incentive servicing fees will be deducted from the
available distribution amount and Class B-6 net WAC. 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 firms, AMC Diligence, LLC (AMC), Clayton
Services LLC (Clayton), and Opus Capital Markets Consultants, LLC
(Opus) (collectively, TPR firms) verified the accuracy of the
loan-level information that Moody's received from the sponsor.
These firms conducted detailed credit, valuation, regulatory
compliance and data integrity reviews on 100% of the mortgage pool.
The TPR results indicated compliance with the originators'
underwriting guidelines for majority of loans, no material
compliance issues, and no appraisal defects. Overall, the loans
that had exceptions to the originators' underwriting guidelines had
strong documented compensating factors such as low DTIs, low LTVs,
high reserves, high FICOs, or clean payment histories. The TPR
firms also identified minor compliance exceptions for reasons such
as inadequate RESPA disclosures (which do not have assignee
liability) and TILA/RESPA Integrated Disclosure (TRID) violations
related to fees that were out of variance but then were cured and
disclosed.

The property valuation review consisted of reviewing the valuation
materials utilized at origination to ensure the appraisal report
was complete and in conformity with the underwriting guidelines.
The TPR firms also reviewed each loan to determine whether a
third-party valuation product was required and if required, that
the third-party product value was compared to the original
appraised value to identify a value variance. In some cases, if a
variance of more than 10% was noted, the TPR firms ensured any
required secondary valuation product was ordered and reviewed. The
property valuation portion of the TPR was conducted using, among
other methods, a field review, a third-party collateral desk
appraisal (CDA), broker price opinion (BPO), automated valuation
model (AVM) or a Collateral Underwriter (CU) risk score. In some
cases, a CDA, BPO or AVM was not provided because these loans were
originated under United Shore's High Balance Nationwide program
(i.e. non-conforming loans underwritten using Fannie Mae's Desktop
Underwriter Program) and had a CU risk score less than or equal to
2.5. Moody's considers the use of CU risk score for non-conforming
loans to be credit negative due to (1) the lack of human
intervention which increases the likelihood of missing emerging
risk trends, (2) the limited track record of the software and
limited transparency into the model and (3) GSE focus on non-jumbo
loans which may lower reliability on jumbo loan appraisals. Moody's
did not apply an adjustment to the loss for such loans since the
statistically significant sample size and valuation results of the
loans that were reviewed using a CDA or a field review (which
Moody's considers to be a more accurate third-party valuation
product) were sufficient.

R&W Framework

JPMMT 2020-1's R&W framework is in line with that of other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance. Its
review of the R&W framework considers the financial strength of the
R&W providers, scope of R&Ws (including qualifiers and sunsets) and
enforcement mechanisms. The R&W providers vary in financial
strength. The creditworthiness of the R&W provider determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment grade rated R&W provider lends substantial
strength to its R&Ws. Moody's analyzes the impact of less
creditworthy R&W providers case by case, in conjunction with other
aspects of the transaction.

Moody's made no adjustments to the loans for which JPMCB (Aa2), its
affiliate, JPMMAC provided R&Ws since they are highly rated and/or
financially stable entities. In contrast, the rest of the R&W
providers are unrated and/or financially weaker entities. Moody's
applied an adjustment to the loans for which these entities
provided R&Ws. JPMMAC will make the mortgage loan representations
and warranties with respect to mortgage loans originated by certain
originators (approx. 18% by loan balance). For loans that JPMMAC
acquired via the MAXEX Clearing LLC (MaxEx) platform, MaxEx under
the assignment, assumption and recognition agreement with JPMMAC,
will make the R&Ws. The R&Ws provided by MaxEx to JPMMAC and
assigned to the trust are in line with the R&Ws found in other
JPMMT transactions.

No other party will backstop or be responsible for backstopping any
R&W providers who may become financially incapable of repurchasing
mortgage loans. With respect to the mortgage loan R&Ws made by such
originators or the aggregator, as applicable, as of a date prior to
the closing date, JPMMAC will make a "gap" representation covering
the period from the date as of which such R&W is made by such
originator or the aggregator, as applicable, to the cut-off date or
closing date, as applicable. Additionally, no party will be
required to repurchase or substitute any mortgage loan until such
loan has gone through the review process.

Trustee and Master Servicer

The transaction Delaware trustee is Citibank. The custodian's
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Citibank.
Nationstar, as master servicer, is responsible for servicer
oversight, servicer termination and for the appointment of any
successor servicer. In addition, Nationstar is committed to act as
successor if no other successor servicer can be found. The master
servicer is required to advance principal and interest if the
servicer fails to do so. If the master servicer fails to make the
required advance, the securities administrator is obligated to make
such advance.

Tail Risk & Subordination Floor

This deal has a standard shifting interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 0.65% of the
original pool balance, the subordinate bonds do not receive any
principal and all principal is then paid to the senior bonds. The
subordinate bonds benefit from a floor as well. When the total
current balance of a given subordinate tranche plus the aggregate
balance of the subordinate tranches that are junior to it amount to
less than 0.55% of the original pool balance, those tranches that
are junior to it do not receive principal distributions. The
principal those tranches would have received is directed to pay
more senior subordinate bonds pro-rata.

In addition, until the aggregate class principal amount of the
senior certificates (other than the interest only certificates) is
reduced to zero, if on any distribution date, the aggregate
subordinate percentage for such distribution date drops below 6.00%
of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35% severity.
The credit neutral floor for Aaa rating is $4,861,296. The senior
subordination floor of 0.65% and subordinate floor of 0.55% are
consistent with the credit neutral floors for the assigned
ratings.

Transaction Structure

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

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

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

The Class A-11 Certificates will have a pass-through rate that will
vary directly with the rate of one-month LIBOR and the Class A-11-X
Certificates will have a pass-through rate that will vary inversely
with the rate of one-month LIBOR. If the securities administrator
notifies the depositor that it cannot determine one-month LIBOR in
accordance with the methods prescribed in the sale and servicing
agreement and a benchmark transition event has not yet occurred,
one-month LIBOR for such accrual period will be one-month LIBOR as
calculated for the immediately preceding accrual period. Following
the occurrence of a benchmark transition event, a benchmark other
than one-month LIBOR will be selected for purposes of calculating
the pass-through rate on the class A-11 certificates.

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

Down

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

Up

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


MORGAN STANLEY 2006-IQ11: Fitch Hikes Class C Certs Rating to BBsf
------------------------------------------------------------------
Fitch Ratings upgraded two classes and affirmed eight classes of
Morgan Stanley Capital I Trust, commercial mortgage pass-through
certificates, series 2006-IQ11.

RATING ACTIONS

Morgan Stanley Capital I Trust 2006-IQ11

Class B 617453AW5; LT AAsf Upgrade; previously at Asf

Class C 617453AX3; LT BBsf Upgrade; previously at Bsf

Class D 617453AY1; LT Dsf Affirmed; previously at Dsf

Class E 617453AC9; LT Dsf Affirmed; previously at Dsf

Class F 617453AD7; LT Dsf Affirmed; previously at Dsf

Class G 617453AE5; LT Dsf Affirmed; previously at Dsf

Class H 617453AF2; LT Dsf Affirmed; previously at Dsf

Class J 617453AG0; LT Dsf Affirmed; previously at Dsf

Class K 617453AH8; LT Dsf Affirmed; previously at Dsf

Class L 617453AJ4; LT Dsf Affirmed; previously at Dsf

KEY RATING DRIVERS

Decreased Loss Expectations & Increased Credit Enhancement: Loss
expectations have decreased and credit enhancement has increased
since the last rating action due to continued amortization, loan
repayment, and defeasance. The transaction has paid down 96.7%
since issuance compared with 95.6% at Fitch's last rating action.
There are five loans (24.8% of the pool) that are covered by fully
defeased collateral compared to two loans (6.0% of the pool) at the
last rating action. Five loans (23% of the pool balance at Fitch's
last rating action) have repaid since the last rating action. Of
the remaining non-specially serviced loans, three loans (4.2%)
mature in 2020, and five loans (27.3%) mature or fully amortize
during 2021.

Concentrated Pool: The pool has become very concentrated with only
21 of the original 234 loans remaining. There are three loans
(34.5%) in special servicing and an additional four loans flagged
as a Fitch Loan of Concern (FLOC). Fitch performed a sensitivity
analysis, which grouped the remaining loans based on loan
structural features, collateral quality and performance and ranked
them by their perceived likelihood of repayment and/or loss.

Fitch Loans of Concern: There are six FLOCs totaling 42.3% of the
pool. The specially-serviced FLOCs consist of Greater Lewistown
Plaza (14.9%), a large retail property in a tertiary market, which
failed to obtain takeout financing at maturity, Waverly Woods
(10.5%), a small office building in the Baltimore MSA, which has
recently experienced a substantial increase in occupancy, and
Wallkill Living Center (9.1% of the pool), a senior living facility
in Wallkill, NY, which was unable to secure refinancing before its
loan maturity in September 2019. The non-specially-serviced FLOCs
consist of Salisbury Commons (4.1% of the pool), a Salisbury, MD
apartment property with recent declines in occupancy and cash flow
and a NOI debt service coverage ratio (DSCR) of 1.03x; Central Park
Plaza (1.7% of the pool), a retail shopping center in Meridian, ID
with a NOI DSCR of 1.00x, historical NOI DSCR below 1.00x from 2010
through 2018; Arlington Heights Retail (1.2% of the pool), a retail
shopping center located in Arlington Heights, IL with rollover risk
for 70% of net rentable area (NRA) in 2020; and Hinson Centre (0.9%
of the pool), a suburban office property in Little Rock, AR with
rollover risk for their largest tenant (46.5% of NRA) that has been
renewing in six-month intervals. Fitch's sensitivity analysis
included stressed losses assumed on all the FLOCs, and the ratings
reflect this stressed analysis.

RATING SENSITIVITIES

The Positive Rating Outlooks on class B and C reflect the defeased
collateral, likely payoff of several loans with maturities in 2020
and 2021, as well as high credit enhancement. With continued
amortization and repayment of loans, upgrades are considered
likely.

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.


MORGAN STANLEY 2016-C29: Fitch Affirms B-sf Rating on 2 Tranches
----------------------------------------------------------------
Fitch Ratings affirmed 16 classes of Morgan Stanley Bank of America
Merrill Lynch Trust Mortgage Trust 2016-C29 commercial mortgage
pass-through certificates.

RATING ACTIONS

MSBAM 2016-C29

Class A-1 61766EBA2;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 61766EBB0;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 61766EBD6;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 61766EBE4;  LT AAAsf Affirmed;  previously at AAAsf

Class A-S 61766EBH7;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 61766EBC8; LT AAAsf Affirmed;  previously at AAAsf

Class B 61766EBJ3;    LT AA-sf Affirmed;  previously at AA-sf

Class C 61766EBK0;    LT A-sf Affirmed;   previously at A-sf

Class D 61766EAL9;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 61766EAN5;    LT BB-sf Affirmed;  previously at BB-sf

Class F 61766EAQ8;    LT B-sf Affirmed;   previously at B-sf

Class X-A 61766EBF1;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 61766EBG9;  LT AA-sf Affirmed;  previously at AA-sf

Class X-D 61766EAA3;  LT BBB-sf Affirmed; previously at BBB-sf

Class X-E 61766EAC9;  LT BB-sf Affirmed;  previously at BB-sf

Class X-F 61766EAE5;  LT B-sf Affirmed;   previously at B-sf

KEY RATING DRIVERS

Generally Stable Performance and Loss Expectations: Performance and
loss expectations for the majority of the pool have remained
generally stable since issuance. There have been no realized losses
to date. Fitch has designated eight loans (9.4% of pool) as Fitch
Loans of Concern (FLOCs), including two specially serviced loans
(2.2%), one of which is a new transfer since Fitch's last rating
action.

Minimal Change in Credit Enhancement: As of the December 2019
distribution date, the pool's aggregate principal balance has paid
down by 2.7% to $787.4 million from $809.5 million at issuance.
Eight loans (24.3% of pool) are full-term, interest-only and 16
loans (23%) are partial interest-only and have yet to begin
amortizing. Three loans (3.3%) have been defeased.

Specially Serviced Loans: The Crossings at Halls Ferry loan (1.2%
of pool), which is secured by a 140,267 sf retail center located in
Ferguson, MO, was transferred to special servicing in June 2019 for
imminent monetary default. The center, which is shadow-anchored by
Home Depot, has a dark Shop 'n Save grocery anchor that closed
prior to its September 2020 scheduled lease expiration, in addition
to multiple in-line vacancies. The property was 79.6% leased but
only 45.6% occupied as of March 2019, when accounting for the dark
Shop 'n Save space. The grocer previously accounted for
approximately 26% of the center's total annual base rent. The
special servicer is currently pursuing foreclosure.

The Brazie Industrial Portfolio loan (1%), which is secured by a
portfolio of two industrial properties located in the Portland, OR
metropolitan area, was transferred to special servicing in October
2018 after a vendor filed a foreclosure against one of the
properties (18055 NE San Rafael Street in Gresham, OR; 50.6% of
allocated loan balance) from a construction loan. The vendor filed
a construction lien in May 2018 for labor and materials used in the
construction of the Gresham, OR property. According to the special
servicer, a receiver was appointed in July 2019 and the receiver is
working with brokers to market and sell the properties. Servicer
commentary also reports that the borrower has indicated that they
are in the process of securing refinancing and paying off the
existing loan. However, the loan remains outstanding as of January
2020, and the loan was paid through to only Sept. 1, 2019 as of the
December 2019 distribution date.

Fitch Loans of Concern: Six additional, non-specially serviced
loans (7.2% of pool) were flagged as FLOCs for declining occupancy
and/or cash flow or the occurrence of a major casualty event
affecting future cash flows. The largest non-specially serviced
FLOC, Autumn Ridge Apartments (2.5%), which is secured by a
384-unit multifamily property located in Park Forest, IL, was
flagged for declining cash flow. The loan has been on the
servicer's watchlist since July 2017, most recently for debt
service coverage ratio (DSCR) declines and deferred maintenance.
The servicer-reported NOI DSCR for the YTD September 2019 period
was 0.87x, down from 1.50x at YE 2018, as cash flow has declined
due primarily to increased operating expenses (mostly the repairs
and maintenance, utilities and payroll expenses) as well as
slightly lower occupancy. Property occupancy was 88.8% as of June
2019, compared with 91.7% in March 2018 and 93% in November 2017.

The other non-specially serviced FLOCs outside of the top 15 (4.7%)
include Jefferson Place Apartments (1.4%), a multifamily property
in Baton Rouge, LA with recent occupancy and cash flow declines
from high tenant turnover at the property reported during 2018; The
Preserve at Mesa Hills (1.3%), a multifamily property in El Paso,
TX with cash flow declines from significant operating expense
increases in 2018; Metro Gateway (0.7%), a retail center in
Phoenix, AZ that suffered major wind damage in late 2019; La Quinta
Inn - Dallas, TX (0.6%), a hotel property in Dallas, TX with
occupancy and cash flow declines stemming from lower RevPAR and
increased repairs and maintenance costs; and Barcelone Plaza
(0.6%), a mixed-use property in Las Vegas, NV with occupancy and
cash flow declines after two tenants vacated at or prior to their
scheduled lease expiration dates.

Pool and Loan Concentrations: The largest 10 loans in the
transaction represent 41.4% of the current pool balance.
Additionally, loans secured by retail properties represent 37.2% of
the pool by balance, including one regional mall (5.9%) and two
outlet properties (9.2%) in the top 15. Three loans, Grove City
Premium Outlets (7.1%; Grove City, PA), Penn Square Mall (5.9%;
Oklahoma City, OK) and Gulfport Premium Outlets (2.1%; Gulfport,
MS) are all sponsored by Simon Property Group, L.P.

Leasehold Interests: Approximately 11% of the pool consists of
leasehold-only ownership interests. The leasehold-only collateral
in this transaction includes three of the top 15 loans, Penn Square
Mall (5.9%), Le Meridien Cambridge MIT (2.6%) and Gulfport Premium
Outlets (2.1%). Each of these ground leases is on a long-term lease
extending at least 30 years beyond their respective loan terms.

RATING SENSITIVITIES

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

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.


NEW RESIDENTIAL 2016-3: Moody's Raises Cl. B-5 Debt to B1(sf)
-------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 120 tranches from
six transactions issued by New Residential Mortgage Loan 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: New Residential Mortgage Loan Trust 2015-2

Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 25, 2015
Definitive Rating Assigned Aa2 (sf)

Cl. B1-IO*, Upgraded to Aa1 (sf); previously on Nov 25, 2015
Definitive Rating Assigned Aa2 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 25, 2015
Definitive Rating Assigned A2 (sf)

Cl. B2-IO*, Upgraded to Aa3 (sf); previously on Nov 25, 2015
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on May 7, 2019 Upgraded to
A3 (sf)

Cl. B-4, Upgraded to Baa1 (sf); previously on Oct 25, 2018 Upgraded
to Baa3 (sf)

Cl. B-5, Upgraded to Baa3 (sf); previously on May 7, 2019 Upgraded
to Ba2 (sf)

Issuer: New Residential Mortgage Loan Trust 2016-3

Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Aa2 (sf)

Cl. B-1A, Upgraded to Aa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Aa2 (sf)

Cl. B-1B, Upgraded to Aa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Aa2 (sf)

Cl. B-1C, Upgraded to Aa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Aa2 (sf)

Cl. B1-IO*, Upgraded to Aa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Aa2 (sf)

Cl. B1-IOA*, Upgraded to Aa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Aa2 (sf)

Cl. B1-IOB*, Upgraded to Aa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Aa2 (sf)

Cl. B1-IOC*, Upgraded to Aa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Aa2 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Sep 29, 2016 Definitive
Rating Assigned A3 (sf)

Cl. B-2A, Upgraded to A1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned A3 (sf)

Cl. B-2B, Upgraded to A1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned A3 (sf)

Cl. B-2C, Upgraded to A1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned A3 (sf)

Cl. B2-IO*, Upgraded to A1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned A3 (sf)

Cl. B2-IOA*, Upgraded to A1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned A3 (sf)

Cl. B2-IOB*, Upgraded to A1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned A3 (sf)

Cl. B2-IOC*, Upgraded to A1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned A3 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Baa3 (sf)

Cl. B-3A, Upgraded to Baa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Baa3 (sf)

Cl. B-3B, Upgraded to Baa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Baa3 (sf)

Cl. B-3C, Upgraded to Baa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Baa3 (sf)

Cl. B3-IOA*, Upgraded to Baa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Baa3 (sf)

Cl. B3-IOB*, Upgraded to Baa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Baa3 (sf)

Cl. B3-IOC*, Upgraded to Baa1 (sf); previously on Sep 29, 2016
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on May 7, 2019 Upgraded
to Ba2 (sf)

Cl. B-5, Upgraded to B1 (sf); previously on Sep 29, 2016 Definitive
Rating Assigned B3 (sf)

Issuer: New Residential Mortgage Loan Trust 2017-5

Cl. A-2, Upgraded to Aaa (sf); previously on Jul 31, 2017
Definitive Rating Assigned Aa1 (sf)

Cl. A-3, Upgraded to Aa1 (sf); previously on Mar 18, 2019 Upgraded
to Aa3 (sf)

Cl. A-5, Upgraded to Aaa (sf); previously on Jul 31, 2017
Definitive Rating Assigned Aa1 (sf)

Cl. A-6, Upgraded to Aa1 (sf); previously on Mar 18, 2019 Upgraded
to Aa3 (sf)

Cl. B-IO*, Upgraded to Aa1 (sf); previously on Mar 18, 2019
Upgraded to Aa3 (sf)

Cl. B-1, Upgraded to Aaa (sf); previously on Mar 18, 2019 Upgraded
to Aa1 (sf)

Cl. B1-IO*, Upgraded to Aaa (sf); previously on Mar 18, 2019
Upgraded to Aa1 (sf)

Cl. B-1A, Upgraded to Aaa (sf); previously on Mar 18, 2019 Upgraded
to Aa1 (sf)

Cl. B-2, Upgraded to Aa2 (sf); previously on Mar 18, 2019 Upgraded
to A1 (sf)

Cl. B2-IO*, Upgraded to Aa2 (sf); previously on Mar 18, 2019
Upgraded to A1 (sf)

Cl. B-2A, Upgraded to Aa2 (sf); previously on Mar 18, 2019 Upgraded
to A1 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Mar 18, 2019 Upgraded
to A3 (sf)

Cl. B-3A, Upgraded to A2 (sf); previously on Mar 18, 2019 Upgraded
to A3 (sf)

Cl. B-3B, Upgraded to A2 (sf); previously on Mar 18, 2019 Upgraded
to A3 (sf)

Cl. B-3C, Upgraded to A2 (sf); previously on Mar 18, 2019 Upgraded
to A3 (sf)

Cl. B3-IOA*, Upgraded to A2 (sf); previously on Mar 18, 2019
Upgraded to A3 (sf)

Cl. B3-IOB*, Upgraded to A2 (sf); previously on Mar 18, 2019
Upgraded to A3 (sf)

Cl. B3-IOC*, Upgraded to A2 (sf); previously on Mar 18, 2019
Upgraded to A3 (sf)

Cl. B-4, Upgraded to Baa1 (sf); previously on Mar 18, 2019 Upgraded
to Baa3 (sf)

Cl. B-4A, Upgraded to Baa1 (sf); previously on Mar 18, 2019
Upgraded to Baa3 (sf)

Cl. B-4B, Upgraded to Baa1 (sf); previously on Mar 18, 2019
Upgraded to Baa3 (sf)

Cl. B4-IOB*, Upgraded to Baa1 (sf); previously on Mar 18, 2019
Upgraded to Baa3 (sf)

Cl. B4-IOA*, Upgraded to Baa1 (sf); previously on Mar 18, 2019
Upgraded to Baa3 (sf)

Cl. B-5, Upgraded to Ba1 (sf); previously on Mar 18, 2019 Upgraded
to Ba2 (sf)

Cl. B-5A, Upgraded to Ba1 (sf); previously on Mar 18, 2019 Upgraded
to Ba2 (sf)

Cl. B-5B, Upgraded to Ba1 (sf); previously on Mar 18, 2019 Upgraded
to Ba2 (sf)

Cl. B5-IOA*, Upgraded to Ba1 (sf); previously on Mar 18, 2019
Upgraded to Ba2 (sf)

Cl. B5-IOB*, Upgraded to Ba1 (sf); previously on Mar 18, 2019
Upgraded to Ba2 (sf)

Issuer: New Residential Mortgage Loan Trust 2017-6

Class B-3, Upgraded to A3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned Baa2 (sf)

Class B-3A, Upgraded to A3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned Baa2 (sf)

Class B-3B, Upgraded to A3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned Baa2 (sf)

Class B-3C, Upgraded to A3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned Baa2 (sf)

Class B-4, Upgraded to Baa3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned Ba2 (sf)

Class B-4A, Upgraded to Baa3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned Ba2 (sf)

Class B-4B, Upgraded to Baa3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned Ba2 (sf)

Class B-4C, Upgraded to Baa3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned Ba2 (sf)

Class B-5, Upgraded to Ba3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned B2 (sf)

Class B-5A, Upgraded to Ba3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned B2 (sf)

Class B-5B, Upgraded to Ba3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned B2 (sf)

Class B-5C, Upgraded to Ba3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned B2 (sf)

Class B-5D, Upgraded to Ba3 (sf); previously on Oct 13, 2017
Definitive Rating Assigned B2 (sf)

Class B-7, Upgraded to Ba2 (sf); previously on Oct 13, 2017
Definitive Rating Assigned B1 (sf)

Issuer: New Residential Mortgage Loan Trust 2018-2

Cl. B-1, Upgraded to Aa1 (sf); previously on May 3, 2018 Definitive
Rating Assigned Aa2 (sf)

Cl. B-1A, Upgraded to Aa1 (sf); previously on May 3, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. B-1B, Upgraded to Aa1 (sf); previously on May 3, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. B-1C, Upgraded to Aa1 (sf); previously on May 3, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. B-1D, Upgraded to Aa1 (sf); previously on May 3, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on May 3, 2018 Definitive
Rating Assigned A2 (sf)

Cl. B-2A, Upgraded to Aa3 (sf); previously on May 3, 2018
Definitive Rating Assigned A2 (sf)

Cl. B-2B, Upgraded to Aa3 (sf); previously on May 3, 2018
Definitive Rating Assigned A2 (sf)

Cl. B-2C, Upgraded to Aa3 (sf); previously on May 3, 2018
Definitive Rating Assigned A2 (sf)

Cl. B-2D, Upgraded to Aa3 (sf); previously on May 3, 2018
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on May 3, 2018 Definitive
Rating Assigned Baa2 (sf)

Cl. B-3A, Upgraded to A3 (sf); previously on May 3, 2018 Definitive
Rating Assigned Baa2 (sf)

Cl. B-3B, Upgraded to A3 (sf); previously on May 3, 2018 Definitive
Rating Assigned Baa2 (sf)

Cl. B-3C, Upgraded to A3 (sf); previously on May 3, 2018 Definitive
Rating Assigned Baa2 (sf)

Cl. B-3D, Upgraded to A3 (sf); previously on May 3, 2018 Definitive
Rating Assigned Baa2 (sf)

Cl. B-5, Upgraded to Ba1 (sf); previously on May 7, 2019 Upgraded
to B1 (sf)

Cl. B-5A, Upgraded to Ba1 (sf); previously on May 7, 2019 Upgraded
to B1 (sf)

Cl. B-5B, Upgraded to Ba1 (sf); previously on May 7, 2019 Upgraded
to B1 (sf)

Cl. B-5C, Upgraded to Ba1 (sf); previously on May 7, 2019 Upgraded
to B1 (sf)

Cl. B-5D, Upgraded to Ba1 (sf); previously on May 7, 2019 Upgraded
to B1 (sf)

Cl. B-7, Upgraded to Ba1 (sf); previously on May 7, 2019 Upgraded
to Ba3 (sf)

Issuer: New Residential Mortgage Loan Trust 2018-5

Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. B-1A, Upgraded to Aa1 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. B-1B, Upgraded to Aa1 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. B-1C, Upgraded to Aa1 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. B-1D, Upgraded to Aa1 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Aa2 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned A2 (sf)

Cl. B-2A, Upgraded to Aa3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned A2 (sf)

Cl. B-2B, Upgraded to Aa3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned A2 (sf)

Cl. B-2C, Upgraded to Aa3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned A2 (sf)

Cl. B-2D, Upgraded to Aa3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Nov 30, 2018 Definitive
Rating Assigned Baa2 (sf)

Cl. B-3A, Upgraded to A3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Baa2 (sf)

Cl. B-3B, Upgraded to A3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Baa2 (sf)

Cl. B-3C, Upgraded to A3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Baa2 (sf)

Cl. B-3D, Upgraded to A3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Ba2 (sf)

Cl. B-4A, Upgraded to Baa3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Ba2 (sf)

Cl. B-4B, Upgraded to Baa3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Ba2 (sf)

Cl. B-4C, Upgraded to Baa3 (sf); previously on Nov 30, 2018
Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 30, 2018
Definitive Rating Assigned B2 (sf)

Cl. B-5A, Upgraded to Ba2 (sf); previously on Nov 30, 2018
Definitive Rating Assigned B2 (sf)

Cl. B-5B, Upgraded to Ba2 (sf); previously on Nov 30, 2018
Definitive Rating Assigned B2 (sf)

Cl. B-5C, Upgraded to Ba2 (sf); previously on Nov 30, 2018
Definitive Rating Assigned B2 (sf)

Cl. B-5D, Upgraded to Ba2 (sf); previously on Nov 30, 2018
Definitive Rating Assigned B2 (sf)

Cl. B-7, Upgraded to Ba1 (sf); previously on Nov 30, 2018
Definitive Rating Assigned B1 (sf)

*Reflects Interest Only Classes

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 and
the due diligence findings of the third party review at the time of
issuance.

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 4% to 8% and expected prepayment rates of 10%
to 13% based on the collateral characteristics of the individual
pools.

The methodologies used in rating all deals except interest-only
classes were "US RMBS Surveillance Methodology" published in
Februay 2019 and "Moody's Approach to Rating Securitizations Backed
by Non-Performing and Re-Performing Loans" published in Februay
2019. The methodologies used in rating interest-only classes were
"US RMBS Surveillance Methodology" published in Februay 2019 ,
"Moody's Approach to Rating Securitizations Backed by
Non-Performing and Re-Performing Loans" published in Februay 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.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.


NEW RESIDENTIAL 2020-1: DBRS Finalizes B(high) on 10 Classes
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2020-1 (the Notes) 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 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 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.
The entire pool 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, 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) doing business as 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 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, 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 credit scores, 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-NQM1: Fitch Assigns B Rating on Cl. B-1 Debt
-----------------------------------------------------------------
Fitch Ratings assigned final ratings to New Residential Mortgage
Loan Trust 2020-NQM1. The 'AAAsf' rating for NRMLT 2020-NQM1
reflects the satisfactory operational review conducted by Fitch of
the originator, 100% loan-level due diligence review with no
material findings, a Tier 2 representation and warranty framework
and the transaction's structure.

RATING ACTIONS

NRMLT 2020-NQM1

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

Class A-2;    LT AAsf New Rating;  previously at AA(EXP)sf

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

Class A-IO-S; LT NRsf New Rating;  previously at NR(EXP)sf

Class B-1;    LT BBsf New Rating;  previously at BB(EXP)sf

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

Class B-3;    LT NRsf New Rating;  previously at NR(EXP)sf

Class M-1;    LT BBBsf New Rating; previously at BBB(EXP)sf

Class P;      LT NRsf New Rating;  previously at

Class XS-1;   LT NRsf New Rating;  previously at NR(EXP)sf

Class XS-2;   LT NRsf New Rating;  previously at NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by 475 loans with a balance of $278.48
million as of the Jan. 1, 2020 cutoff date. This will be the
seventh Fitch-rated non-qualified mortgages transaction consisting
of loans solely originated by NewRez LLC, which was formerly known
as New Penn Financial, LLC.

The notes are secured mainly by NQMs as defined by the Ability to
Repay Rule. Approximately 75% of the loans in the pool are
designated as NQM and the remaining 25% are investor properties
and, thus, not subject to the ATR Rule.

KEY RATING DRIVERS

Expanded Prime Credit Quality (Positive): The collateral consists
mostly of 30-year fixed-rate (70%) and five-, seven- and 10-year
adjustable-rate mortgage (ARM) loans (18%). Roughly 4% are five- or
seven-year interest-only (IO) ARMs. The weighted average (WA) Fitch
model credit score is 730 and the WA combined loan-to-value ratio
(CLTV) is 74.1%.

Alternative Income Documentation (Negative): Approximately 45% of
the pool was to self-employed borrowers underwritten using bank
statements to verify income (26% using 12 months of statements and
17% using 24 months). Roughly 19% were to self-employed borrowers
underwritten to full documentation. Fitch views the use of bank
statements as a less reliable method of calculating income than the
traditional method of two years of tax returns. Fitch applied
approximately a 1.5x penalty to its probability of default (PD) for
these loans. This adjustment assumes slightly less relative risk
than a pre-crisis "stated income" loan.

Investor Loans (Negative): Approximately 24.7% of the pool
comprises investment property loans, including 9.5% underwritten to
a cash flow ratio rather than the borrower's debt-to-income ratio.
Investor property loans exhibit higher PDs and higher loss
severities (LS) than owner-occupied homes. The borrowers of the
investor properties in the pool have strong credit profiles, with a
WA FICO of 738 and an original CLTV of 69% (loans underwritten to
the cash flow ratio have a WA FICO of 730 and an original CLTV of
69%). Fitch increased the PD by approximately 2.0x for the cash
flow ratio loans (relative to a traditional income documentation
investor loan) to account for the increased risk.

Geographic Concentration (Negative): Approximately 36% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in the New York MSA
(23.5%), followed by the Los Angeles MSA (17.7%) and the San
Francisco MSA (7.9%). The top three MSAs account for 49.1% of the
pool. As a result, there was a 1.06x adjustment for geographic
concentration.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. NewRez, a wholly owned subsidiary of New
Residential Investment Corp. (NRZ), contributed 100% of the loans
in the securitization pool. NewRez employs robust sourcing and
underwriting processes and is assessed by Fitch as an 'Average'
originator. Fitch believes NRZ has solid RMBS experience despite
its limited NQM issuance and is an 'Acceptable' aggregator. Primary
and master servicing functions will be performed by Shellpoint
Mortgage Servicing (Shellpoint) and Nationstar Mortgage LLC
(Nationstar), rated 'RPS2-' and 'RMS2+', respectively. The
sponsor's retention of at least 5% of each class of bonds helps
ensure an alignment of interest between the issuer and investors.

R&W Framework (Negative): The seller is providing loan-level
representations (reps) and warranties (R&W) with respect to the
loans in the trust. The R&W framework for this transaction is
classified as a Tier 2 due to the lack of an automatic review for
loans other than those with ATR realized losses. While the seller,
NRZ Sponsor XIII LLC, is not rated by Fitch, its parent, NRZ, has
an internal credit opinion from Fitch. Through an agreement, NRZ
ensures that the seller will meet its obligations and remain
financially viable. Fitch increased its loss expectations 75 bps at
the 'AAAsf' rating category to account for the limitations of the
Tier 2 framework and the counterparty risk.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction by AMC Diligence,
LLC (AMC), an 'Acceptable - Tier 1' third-party review (TPR). The
results of the review confirm strong origination practices with no
material exceptions. Exceptions on loans with 'B' grades either had
strong mitigating factors or were mostly accounted for in Fitch's
loan loss model. Fitch applied a credit for the high percentage of
loan-level due diligence, which reduced the 'AAAsf' loss
expectation by 0.50%.

Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while shutting out the subordinate bonds from principal until all
three classes are reduced to zero. To the extent that either the
cumulative loss trigger event or the delinquency trigger event
occurs in a given period, principal will be distributed
sequentially to the class A-1, A-2 and A-3 bonds until they are
reduced to zero.

Servicer and Master Servicer: Shellpoint Mortgage Servicing
(Shellpoint), rated 'RPS3+'/Stable by Fitch, will be the primary
servicer for the loans. Nationstar, rated 'RMS2+'/Stable, will act
as master servicer. Delinquent principal and interest (P&I)
advances required but not paid by Shellpoint will be paid by
Nationstar, and if Nationstar is unable to advance, advances will
be made by U.S. Bank, N.A., the transaction's paying agent. The
servicer will be responsible for advancing P&I for 180 days of
delinquency.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool. This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model projected 2.2% at the base case. 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'.


PSMC TRUST 2020-1: Fitch to Rate Class B-5 Debt 'B(EXP)sf'
----------------------------------------------------------
Fitch Ratings expects to rate American International Group, Inc.'s
PSMC 2020-1 Trust.

RATING ACTIONS

PSMC 2020-1 Trust

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

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

Class A-11;  LT AAA(EXP)sf; Expected Rating

Class A-12;  LT AAA(EXP)sf; Expected Rating

Class A-13;  LT AAA(EXP)sf; Expected Rating

Class A-14;  LT AAA(EXP)sf; Expected Rating

Class A-15;  LT AAA(EXP)sf; Expected Rating

Class A-16;  LT AAA(EXP)sf; Expected Rating

Class A-17;  LT AAA(EXP)sf; Expected Rating

Class A-18;  LT AAA(EXP)sf; Expected Rating

Class A-19;  LT AAA(EXP)sf; Expected Rating

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

Class A-20;  LT AAA(EXP)sf; Expected Rating

Class A-21;  LT AAA(EXP)sf; Expected Rating

Class A-22;  LT AAA(EXP)sf; Expected Rating

Class A-23;  LT AAA(EXP)sf; Expected Rating

Class A-24;  LT AAA(EXP)sf; Expected Rating

Class A-25;  LT AAA(EXP)sf; Expected Rating

Class A-26;  LT AAA(EXP)sf; Expected Rating

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

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

Class A-X1;  LT AAA(EXP)sf; Expected Rating

Class A-X10; LT AAA(EXP)sf; Expected Rating

Class A-X11; LT AAA(EXP)sf; Expected Rating

Class A-X2;  LT AAA(EXP)sf; Expected Rating

Class A-X3;  LT AAA(EXP)sf; Expected Rating

Class A-X4;  LT AAA(EXP)sf; Expected Rating

Class A-X5;  LT AAA(EXP)sf; Expected Rating

Class A-X6;  LT AAA(EXP)sf; Expected Rating

Class A-X7;  LT AAA(EXP)sf; Expected Rating

Class A-X8;  LT AAA(EXP)sf; Expected Rating

Class A-X9;  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

TRANSACTION SUMMARY

The notes are supported by one collateral group that consists of
602 prime fixed-rate mortgages acquired by subsidiaries of AIG from
various mortgage originators with a total balance of approximately
$430.42 million as of the cut-off date.

The 'AAAsf' rating on the class A notes reflects the 4.45%
subordination provided by the 1.70% class B-1, 1.10% class B-2,
0.90% class B-3, 0.35% class B-4, 0.20% class B-5 and 0.20% class
B-6 notes.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year and 20-year fixed-rate fully amortizing Safe
Harbor Qualified Mortgage loans to borrowers with strong credit
profiles, relatively low leverage and large liquid reserves. The
loans are seasoned an average of three months. The pool has a
weighted average original FICO score of 775, which is indicative of
very high credit-quality borrowers. Approximately 85% of the loans
have a borrower with an original FICO score above 750. In addition,
the original WA CLTV ratio of 69.9% represents substantial borrower
equity in the property and reduced default risk.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. AIG has strong operational practices and
is an 'Above Average' aggregator. The aggregator has experienced
senior management and staff, strong risk management and corporate
governance controls, and a robust due diligence process. Primary
and master servicing functions will be performed by Cenlar FSB and
Wells Fargo Bank, N.A., rated 'RPS2'/Stable and 'RMS1-'/Stable,
respectively.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of loans in the transaction by AMC
Diligence, LLC (AMC) and Opus Capital Markets Consultants LLC
(Opus), respectively assessed as Acceptable - Tier 1 and Acceptable
- Tier 2 by Fitch. The results of the review identified no material
exceptions. Credit exceptions were supported by strong mitigating
factors and compliance exceptions were primarily TRID related and
cured with subsequent documentation. Fitch applied a credit for the
high percentage of loan level due diligence, which reduced the
'AAAsf' loss expectation by 19 bps.

Top Tier Representation and Warranty Framework (Positive): The
loan-level representation, warranty and enforcement (RW&E)
framework is consistent with Tier I quality. Fitch reduced its loss
expectations by 17 bps at the 'AAAsf' rating category as a result
of the Tier 1 framework and the 'A' Fitch-rated counterparty
supporting the repurchase obligations of the RW&E providers.

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

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordination floor
of 1.25% of the original balance will be maintained for the
certificates. The floor is sufficient to protect against the ten
largest loans defaulting at Fitch's 'AAAsf' average loss severity
of 43.34%. Additionally, the stepdown tests do not allow principal
prepayments to subordinate bondholders in the first five years
following deal closing.

Geographic Concentration (Neutral): The pool is geographically
diverse and, as a result, no geographic concentration penalty was
applied. Approximately 40% of the pool is located in California,
which is in line with other recent Fitch-rated transactions. The
top three Metropolitan Statistical Areas (MSAs) account for 28.4%
of the pool. The largest MSA concentration is in the Los Angeles
MSA (11.6%), followed by the San Francisco MSA (10.8%) and the
Seattle MSA (6.0%).

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the certificates.
Furthermore, the expenses to be paid from the trust are capped at
$300,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

RATING SENSITIVITIES

Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.

Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 4.8%. The analysis indicates there is some
potential rating migration with higher MVDs, compared with the
model projection.

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


RADNOR RE 2020-1: DBRS Assigns Prov. B(low) Rating on M-2B Notes
----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Insurance-Linked Notes, Series 2020-1 (the Notes) to be
issued by Radnor Re 2020-1 Ltd. (RMIR 2020-1):

-- $84.3 million Class M-1A at BBB (low) (sf)
-- $118.8 million Class M-1B at BB (high) (sf)
-- $69.0 million Class M-1C at BB (low) (sf)
-- $111.2 million Class M-2A at B (sf)
-- $38.3 million Class M-2B at B (low) (sf)

The BBB (low) (sf), BB (high) (sf), BB (low) (sf), B (sf), and B
(low) (sf) ratings reflect 6.90%, 5.35%, 4.45%, 3.00%, and 2.50% of
credit enhancement, respectively.

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

RMIR 2020-1 is Essent Guaranty, Inc.'s (Essent Guaranty or the
ceding insurer) fourth rated mortgage insurance (MI)-linked note
transaction. The Notes are backed by reinsurance premiums, eligible
investments, and related account investment earnings, in each case
relating to a pool of MI policies linked to residential loans. The
Notes are exposed to the risk arising from losses paid by the
ceding insurer to settle claims on the underlying MI policies. As
of the Cutoff Date, the pool of insured mortgage loans consists of
145,128 fully amortizing first-lien fixed- and variable-rate
mortgage loans underwritten primarily to a full documentation
standard with original loan-to-value (LTV) ratios less than or
equal to 100%, which have never been reported as more than 60 days
delinquent. The mortgage loans were originated on or after February
2018.

On the Closing Date, the Issuer will enter into the Reinsurance
Agreement with the ceding insurer. As per the agreement, the ceding
insurer will get protection for the funded portion (80.0%) of the
MI losses. In exchange for this protection, the ceding insurer will
make premium payments related to the underlying insured mortgage
loans to the Issuer.

The Issuer is expected to use the proceeds from the sale of the
Notes to purchase certain eligible investments that will be held in
the reinsurance trust account. The eligible investments are
restricted to AAA- or equivalent-rated U.S. Treasury money-market
funds and securities. Unlike other residential mortgage-backed
security (RMBS) transactions, cash flow from the underlying loans
will not be used to make any payments; rather, in MI-linked Notes
(MILN) transactions, a portion of the eligible investments held in
the reinsurance trust account will be liquidated to make principal
payments to the noteholders and to make loss payments to the ceding
insurer when claims are settled with respect to the MI policy.

The issuer will use the investment earnings on the eligible
investments, together with the ceding insurer's premium payments,
to pay interest to the noteholders.

The calculation of principal payments to the Notes will be based on
a reduction in aggregate exposed principal balance on the
underlying MI policy. The subordinate notes will be allocated their
pro-rata share of available principal funds if performance tests
are satisfied. The minimum credit enhancement test — one of the
two performance tests — has been set to fail at the Closing Date,
thus locking out the rated classes from initially receiving any
principal payments until the senior credit enhancement percentage
grows to 9.0% from 8.0%. Interest payments are funded via (1)
premium payments that the ceding insurer must make under the
reinsurance agreement and (2) earnings on eligible investments.

On the Closing Date, the ceding insurer will establish a cash and
securities account, the premium deposit account, and deposit an
amount that covers 70 days of interest payments to be made to the
noteholders. The calculation of the initial deposit amount also
takes into account any potential investment income that may be
earned on eligible investments held in the trust account. In case
of the ceding insurer's default in paying coverage premium payments
to the Issuer, the amount available in this account will be used to
make interest payments to the noteholders. The presence of this
account mitigates certain counterparty exposure that the trust has
to the ceding insurer. On each payment date, if the amount
available in the premium deposit account is less than the target
premium amount, and the ceding insurer's average financial strength
rating is lower than the highest rating assigned to the Notes, then
the ceding insurer must fund the premium deposit account up to its
target amount.

The Notes are scheduled to mature on the payment date is February
2030, but will be subject to early redemption for a 10% clean-up
call on or following the payment date in February 2027, among
others. The Notes are also subject to mandatory redemption before
the scheduled maturity date upon the termination of the Reinsurance
Agreement.

The ceding insurer of the transaction is Essent Guaranty. The Bank
of New York Mellon (rated AA (high) with a Stable trend by DBRS
Morningstar) will act as the Indenture Trustee, Paying Agent, Note
Registrar, and Reinsurance Trustee.


RAMP TRUST 2006-NC3: Moody's Hikes Class M-1 Debt to Ba2
--------------------------------------------------------
Moody's Investors Service upgraded the ratings of three tranches
from two transactions backed by Subprime collateral.

Complete rating actions are as follows:

Issuer: RAMP Series 2006-NC3 Trust

Cl. A-3, Upgraded to Aaa (sf); previously on May 31, 2019 Upgraded
to Aa2 (sf)

Cl. M-1, Upgraded to Ba2 (sf); previously on Apr 12, 2017 Upgraded
to B1 (sf)

Issuer: RASC Series 2004-KS11 Trust

Cl. M-1, Upgraded to Aa1 (sf); previously on May 31, 2019 Upgraded
to A1 (sf)

RATINGS RATIONALE

The rating upgrade is primarily due to improvement in credit
enhancement available to the tranches. The upgraded bonds 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 rating actions also
reflect the recent performance and Moody's updated loss
expectations on the underlying pools.

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

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

Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.5% in 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.


RMF BUYOUT 2020-1: Moody's Assigns (P)Ba3 Rating on Cl. M4 Debt
---------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to five
classes of residential mortgage-backed securities (RMBS) issued by
RMF Buyout Issuance Trust 2020-1. The ratings range from (P)Aaa
(sf) to (P)Ba3 (sf).

The certificates are backed by a pool that includes 744 inactive
home equity conversion mortgages (HECMs) and 74 real estate owned
properties. The servicer for the deal is Reverse Mortgage Funding,
LLC

The complete rating actions are as follows:

Issuer: RMF Buyout Issuance Trust 2020-1

Cl. A, Provisional Rating Assigned (P)Aaa (sf)

Cl. M1, Provisional Rating Assigned (P)Aa3 (sf)

Cl. M2, Provisional Rating Assigned (P)A3 (sf)

Cl. M3, Provisional Rating Assigned (P)Baa3 (sf)

Cl. M4, Provisional Rating Assigned (P)Ba3 (sf)

RATINGS RATIONALE

The collateral backing RBIT 2020-1 consists of first-lien inactive
HECMs covered by Federal Housing Administration (FHA) insurance
secured by properties in the US along with Real-Estate Owned (REO)
properties acquired through conversion of ownership of reverse
mortgage loans that are covered by FHA insurance. If a borrower or
their estate fails to pay the amount due upon maturity or otherwise
defaults, the sale of the property is used to recover the amount
owed. The mortgage assets were acquired from Ginnie Mae sponsored
HECM mortgage backed (HMBS) securitizations, from the collapse of
previous private-label securitizations by an unrelated third-party
sponsor or from a third party unaffiliated with the seller. All of
the mortgage assets are covered by FHA insurance for the repayment
of principal up to certain amounts.

There are 818 mortgage assets with a balance of $175,730,590. The
assets are in either default, due and payable, bankruptcy,
foreclosure or REO status. Loans that are in default may cure or
move to due and payable; due and payable loans may cure or move to
foreclosure; and foreclosure loans may cure or move to REO. 26.8%
of the assets are in default of which 1.5% (of the total assets)
are in default due to non-occupancy and 25.3% (of the total assets)
are in default due to delinquent taxes and insurance. 20.8% of the
assets are due and payable, 2.2% are in bankruptcy status and 42.7%
are in foreclosure. Finally, 7.7% of the assets are REO properties
and were acquired through foreclosure or deed-in-lieu of
foreclosure on the associated loan. This transaction has a
relatively low percentage of REO properties when compared to RBIT
2019-1. All else equal, a higher percentage of REO properties
suggests that a larger percentage of assets will be liquidated
shortly after closing and therefore the weighted average life may
be shorter.

The initial weighted average loan-to-value-plus-insurance ratio is
53.0%, which is comparable to RBIT 2019-1. This implies that, all
else equal, similar loans in this pool will have their insurance
claims capped by the MCA. Also, the weighted average LTV ratio is
119.1% which is lower than 120.1% in RBIT 2019-1.

There are 85 loans in this transaction, 9.2% of the asset balance,
backed by properties in Puerto Rico. The concentration of Puerto
Rico is much higher than RBIT 2019-1. Puerto Rico HECMs pose
additional risk due to the poor state of the Puerto Rico economy,
declining population, and bureaucratic foreclosure process.
Furthermore, Puerto Rico is still struggling to recover from
Hurricane Maria and the region has experienced over 500 earthquakes
since late December 2019 . In August 2018, HUD extended the
foreclosure moratorium in areas affected by Hurricane Maria for an
additional month. The moratorium ended on September 15, 2018. Even
though the moratorium has now been lifted, there are likely to be
additional delays due to court related backlogs, additional
foreclosure procedures for impacted properties, and difficulties in
tracking down borrowers or their heirs. Moody's applied additional
stresses in its analysis to account for the risks posed by
properties in Puerto Rico. However, Moody's has not made any
earthquake related adjustments because the damages are still
unknown and the transaction will be covered under the property
condition representation.

Of note, On November 29, 2019, Reverse Mortgage Investment Trust
(RMIT) which is the parent company of the seller and servicer,
entered into a definitive agreement to be acquired by BNGL Parent,
L.L.C., an affiliate of Starwood Capital Group Global II, L.P. The
transaction is expected to close during 2020. The members of the
management team of RMF and RMIT have entered into agreements with
the acquirer that provide for such management team members to
continue performing the same respective roles following the closing
of the transaction. Therefore, Moody's does not expect this
transaction to materially affect RMF's ability to either service
the assets or perform its obligations under the servicing
agreement.

On May 30, 2019, RMF received a civil investigative demand from the
U.S. Department of Justice relating to allegations that RMF
submitted noncompliant properties and property appraisals for
reverse mortgage insurance by the FHA. There are 20 mortgage assets
(which represents approximately 2.7% of total UPB of the pool)
originated by RMF (or one of its approved partners) in this pool
which are within the scope of the demand. Moody's has not made any
adjustments for these 20 mortgages because the allegations would
not affect the validity of the FHA insurance for the affected
mortgages. Per 12 U.S.C. § 1709(e), the statutory incontestability
clause prevents HUD from asserting origination errors against a
subsequent holder of the loan, except for such holder's own fraud
or misrepresentation. At the closing of the securitization, RMF
will transfer the mortgage to the acquisition trust and the
acquisition trustee on behalf of the acquisition trust would be the
subsequent holder of the loans. Any monetary damages associated
with the allegations would be paid by RMF (or its affiliates) and
would not be passed on to the noteholders. There is a strong
mechanism to ensure continuous advancing for the assets in the pool
along with a clear and efficient process for choosing a successor
servicer that protects the noteholders if this alleged violation
adversely affects RMF's ability to perform its obligations under
the sale and servicing agreement.

Servicing

RMF will be the named servicer for the portfolio under the sale and
servicing agreement. RMF has the necessary processes, staff,
technology and overall infrastructure in place to effectively
oversee the servicing of this transaction. RMF will use Compu-Link
Corporation, d/b/a Celink ("Celink") as subservicer to service the
mortgage assets. Based on an operational review of RMF, it has
adequate sub-servicing monitoring processes, a seasoned servicing
oversight team and direct system access to the sub-servicers' core
systems. In addition, a third party will review RMF's monthly
servicing reports on a quarterly basis to ensure data accuracy
throughout the life of the transaction.

Similar to the prior two RBIT transactions, a firm of independent
accountants or a due-diligence review firm (the verification agent)
will perform quarterly procedures with respect to the monthly
servicing reports delivered by the servicer to the trustee. These
procedures will include comparison of the underlying records
relating to the subservicer's servicing of the loans and
determination of the mathematical accuracy of calculations of loan
balances stated in the monthly servicing reports delivered to the
trustee. Any material exceptions identified as a result of the
procedures will be described in the verification agent's report. To
the extent the verification agent identifies errors in the monthly
servicing reports, the servicer will be obligated to correct them.

Of note, unlike prior RBIT transactions, the servicer will also
reimburse the trust for curtailments resulting from a failure of a
prior servicer to comply with the HUD HECM guidelines.

Transaction Structure

The securitization has a sequential liability structure amongst six
classes of notes with structural subordination. All funds
collected, prior to an acceleration event, are used to make
interest payments to the notes, then principal payments to the
Class A notes, then to a redemption account until the amount on
deposit in the redemption account is sufficient to cover future
principal and interest payments for the subordinate notes up to
their expected final payment dates. The subordinate notes will not
receive principal until the beginning of their respective target
amortization periods (in the absence of an acceleration event). The
notes benefit from structural subordination as credit enhancement,
and an interest reserve account funded with cash received from the
initial purchasers of the notes for liquidity and credit
enhancement.

The transaction is callable on or after six months with a 1.0%
premium and on or after 12 months without a premium. The mandatory
call date for the Class A notes is in March 2022. For the Class M1
notes, the expected final payment date is in June 2022. For the
Class M2 notes, the expected final payment date is in August 2022.
For the Class M3 notes, the expected final payment date is in
October 2022. For the Class M4 notes, the expected final payment
date is in December 2022. Finally, for the Class M5 notes, the
expected final payment date is in February 2023. For each of the
subordinate notes, there are target amortization periods that
conclude on the respective expected final payment dates. The legal
final maturity of the transaction is 10 years.

Available funds to the transaction are expected to primarily come
from the liquidation of REO properties and receipt of FHA insurance
claims. These funds will be received with irregular timing. In the
event that there are insufficient funds to pay interest in a given
period, the interest reserve account may be utilized. Additionally,
any shortfall in interest will be classified as an available funds
cap shortfall. These available funds cap carryover amounts will
have priority of payments in the waterfall and will also accrue
interest at the respective note rate.

Certain aspects of the waterfall are dependent upon RMF remaining
as servicer. Servicing fees and servicer related reimbursements are
subordinated to interest and principal payments while RMF is
servicer. However, servicing advances will instead have priority
over interest and principal payments in the event that RMF defaults
and a new servicer is appointed.

The transaction provides a strong mechanism to ensure continuous
advancing for the assets in the pool. Specifically, if the servicer
fails to advance and such failure is not remedied for a period of
15 days, the sub-servicer can fund their advances from collections
and from an interim advancing reserve account. Given the
significant amount of advancing required to service inactive HECMs
with tax delinquencies, this provision helps to minimize
operational disruption in the event RMF encounters financial
difficulties.

In addition, the transaction establishes a clear and efficient
process for choosing a successor servicer following the removal of
the servicer. Specifically, the servicer will provide a list of
eligible successor servicers to the indenture trustee on a
semiannual basis and if the controlling noteholders have directed
the indenture trustee to terminate the servicer, a successor
servicer will be selected based on a voting process that does not
require a supermajority of the senior noteholders to actively
consent.

Third-Party Review

A third party firm conducted a review of certain characteristics of
the mortgage assets on behalf of RMF. The review focused on data
integrity, FHA insurance coverage verification, accuracy of
appraisal recording, accuracy of occupancy status recording,
borrower age documentation, identification of excessive corporate
advances, documentation of servicer advances, and identification of
tax liens with first priority in Texas. Also, broker price opinions
(BPOs) were ordered for 204 properties in the pool.

The third party review (TPR) firm conducted an extensive data
integrity review. Certain data tape fields, such as the mortgage
insurance premium (MIP) rate, the current UPB, current interest
rate, and marketable title date were reviewed against RMF's
servicing system. Additionally, a significant number of data tape
fields were reviewed against imaged copies of original documents of
record, screen shots of HUD's HERMIT system, or HUD documents. Some
key fields reviewed in this manner included the original note rate,
the debenture rate, foreclosure first legal date, and the called
due date.

The TPR results are stronger than RBIT 2019-1. There are no data
exceptions, fewer categories with exceptions and the number of
exceptions found are also lower in most of the categories. For
example, RBIT 2020-1's TPR results showed a 1.7% initial-tape
exception rate related to the taxes and insurance disbursement
compared to 10.7% in RBIT 2019-1. Similarly, there is 4.9%
initial-tape exception rate related to borrower age documentation
compared to 12.5% in RBIT 2019-1. In its analysis, Moody's applied
adjustments to account for the TPR results in certain areas.

Reps & Warranties (R&W)

RMF is the loan-level R&W provider and is not rated. This
relatively weak financial profile is mitigated by the fact that RMF
will subordinate its servicing advances, servicing fees, and MIP
payments in the transaction and thus has significant alignment of
interests. Another factor mitigating the risks associated with a
financially weak R&W provider is that a third-party due diligence
firm conducted a review on the loans for evidence of FHA
insurance.

RMF represents that the mortgage loans are covered by FHA insurance
that is in full force and effect. RMF provides further R&Ws
including those for title, first lien position, enforceability of
the lien, and the condition of the property. Although RMF provides
a no fraud R&W covering the origination of the mortgage loans,
determination of value of the mortgaged properties, and the sale
and servicing of the mortgage loans, the no fraud R&W is made only
as to the initial mortgage loans. Aside from the no fraud R&W, RMF
does not provide any other R&W in connection with the origination
of the mortgage loans, including whether the mortgage loans were
originated in compliance with applicable federal, state and local
laws. Although certain representations are knowledge qualified, the
transaction documents contain language specifying that if a
representation would have been breached if not for the knowledge
qualifier then RMF will be obligated to remedy the breach in the
same manner as if no knowledge qualifier had been made.

Upon the identification of an R&W breach, RMF has to cure the
breach. If RMF is unable to cure the breach, RMF must repurchase
the loan within 90 days from receiving the notification. Moody's
believes the absence of an independent third party reviewer who can
identify any breaches to the R&W makes the enforcement mechanism
weak in this transaction. Also, RMF, in its good faith, is
responsible for determining if a R&W breach materially and
adversely affects the interests of the trust or the value the
collateral. This creates the potential for a conflict of interest.

When analyzing the transaction, Moody's reviewed the transaction's
exposure to large potential indemnification payments owed to
transaction parties due to potential lawsuits. In particular,
Moody's assessed the risk that the acquisition trustee would be
subject to lawsuits from investors for a failure to adequately
enforce the R&Ws against the seller. Moody's believes that RBIT
2020-1 is adequately protected against such risk in part because a
third-party data integrity review was conducted on a significant
random sample of the loans. In addition, the third-party due
diligence firm verified that all of the loans in the pool are
covered by FHA insurance.

Trustee & Master Servicer

The acquisition and owner trustee for the RBIT 2020-1 transaction
is Wilmington Savings Fund Society, FSB. The paying agent and cash
management functions will be performed by U.S. Bank National
Association. U.S. Bank National Association will also serve as the
claims payment agent and as such will be the HUD mortgagee of
record for the mortgage assets in the pool.

Methodology

The methodologies used in these ratings were "Moody's Approach to
Rating Securitizations Backed by Non-Performing and Re-Performing
Loans" published in February 2019 and "Reverse Mortgage
Securitizations Methodology" published in November 2019.

Its quantitative asset analysis is based on a loan-by-loan modeling
of expected payout amounts given the structure of FHA insurance and
with various stresses applied to model parameters depending on the
target rating level.

FHA insurance claim types: funds come into the transaction
primarily through the sale of REO properties and through FHA
insurance claim receipts. There are uncertainties related to the
extent and timing of insurance proceeds received by the trust due
to the mechanics of the FHA insurance. HECM mortgagees may suffer
losses if a property is sold for less than 95% of its appraised
value.

The amount of insurance proceeds received from the FHA depends on
whether a sales based claim (SBC) or appraisal based claim (ABC) is
filed. SBCs are filed in cases where the property is successfully
sold within the first six months after the servicer has acquired
marketable title to the property. ABCs are filed six months after
the servicer has obtained marketable title if the property has not
yet been sold. For an SBC, HUD insurance will cover the difference
between (i) the loan balance and (ii) the higher of the sales price
and 95.0% of the latest appraisal, with the transaction on the hook
for losses if the sales price is lower than 95.0% of the latest
appraisal. For an ABC, HUD only covers the difference between the
loan amount and 100% of appraised value, so failure to sell the
property at the appraised value results in loss.

Moody's expects ABCs to have higher levels of losses than SBCs. The
fact that there is a delay in the sale of the property usually
implies some adverse characteristics associated with the property.
FHA insurance will not protect against losses to the extent that an
ABC property is sold at a price lower than the appraisal value
taken at the six month mark of REO. Additionally, ABCs do not cover
the cost to sell properties (broker fees) while SBCs do cover these
costs. For SBCs, broker fees are reimbursable up to 6.0%
ordinarily. Its base case expectation is that properties will be
sold for 13.5% less than their appraisal value for ABCs. To make
this assumption, Moody's considered industry data and the
historical experience of RMF. Moody's stressed this percentage at
higher credit rating levels. At a Aaa rating level, Moody's assumed
that ABC appraisal haircuts could reach up to 30.0%.

In its asset analysis, Moody's also assumed there would be some
losses for SBCs, albeit lower amounts than for ABCs. Based on
historical performance, in the base case scenario Moody's assumed
that SBCs would suffer 1.0% losses due to a failure to sell the
property for an amount equal to or greater than 95.0% of the most
recent appraisal. Moody's stressed this percentage at higher credit
rating levels. At a Aaa rating level, Moody's assumed that SBC
appraisal haircuts could reach up to 11.0% (i.e., 6.0% below
95.0%).

Under its analytical approach, each loan is modeled to go through
both the ABC and SBC process with a certain probability. Each loan
will thus have both of the sales disposition payments and
associated insurance payments (four payments in total). All
payments are then probability weighted and run through a modeled
liability structure. For the base case scenario Moody's assumed
that 85% of claims would be SBCs and the rest would be ABCs.
Moody's stressed this assumption and assumed higher ABC percentages
for higher rating levels. At a Aaa rating level, Moody's assumed
that 85% of insurance claims would be submitted as ABCs.

Liquidation process: each mortgage asset is categorized into one of
four categories: default, due and payable, foreclosure and REO. In
its analysis, Moody's assumes loans that are in referred status to
be either in foreclosure or REO category. The loans are assumed to
move through each of these stages until being sold out of REO.
Moody's assumed that loans would be in default status for six
months. Due and payable status is expected to last six to 12 months
depending on the default reason. Foreclosure status is based on the
state in which that the related property is located and is further
stressed at higher rating levels. The base case foreclosure
timeline is based on FHA timeline guidance. REO disposition is
assumed to take place in six months with respect to SBCs and 12
months with respect to ABCs.

Debenture interest: the receipt of debenture interest is dependent
upon performance of certain actions within certain timelines by the
servicer. If these timeline and performance benchmarks are not met
by the servicer, debenture interest is subject to curtailment. Its
base case assumption is that 90.0% of debenture interest will be
received by the trust. Moody's stressed the amount of debenture
interest that will be received at higher rating levels. Its
debenture interest assumptions reflect the requirement that RMF
(not rated) reimburse the trust for debenture interest curtailments
due to servicing errors or failures to comply with HUD guidelines.

Additional model features: Moody's incorporated certain additional
considerations into its analysis, including the following:

  -- In most cases, the most recent appraisal value was used as the
property value in its analysis. However, for seasoned appraisals
Moody's applied a 15.0% haircut to account for potential home price
depreciation between the time of the appraisal and the cut-off
date.

  -- Mortgage loans with borrowers that have significant equity in
their homes are likely to be paid off by the borrowers or their
heirs rather than complete the foreclosure process. Moody's
estimated which loans would be bought out of the trust by comparing
each loans' appraisal value (post haircut) to its UPB.

  -- Moody's assumed that foreclosure costs will average $4,500 per
loan, two thirds of which will be reimbursed by the FHA. Moody's
then applied a negative adjustment to this amount based on the TPR
results.

  -- Moody's estimated monthly tax and insurance advances based on
cumulative tax and insurance advances to date.

Moody's ran additional stress scenarios that were designed to mimic
expected cash flows in the case where RMF is no longer the
servicer. Moody's assumes the following in the situation where RMF
is no longer the servicer:

  -- Servicing advances and servicing fees: While RMF subordinates
their recoupment of servicing advances, servicing fees, and MIP
payments, a replacement servicer will not subordinate these
amounts.

  -- RMF indemnifies the trust for lost debenture interest due to
servicing errors or failure to comply with HUD guidelines. In the
event of a bankruptcy, RMF will not have the financial capacity to
do so.

  -- A replacement servicer may require an additional fee and thus
Moody's assumes a 25 bps strip will take effect if the servicer is
replaced.

  -- One third of foreclosure costs will be removed from sales
proceeds to reimburse a replacement servicer (one third of
foreclosure costs are not reimbursable under FHA insurance). This
is typically on the order of $1,500 per loan.

Furthermore, to account for risks posed by Puerto Rican loans,
Moody's considered the following for loans backed by properties
located in Puerto Rico:

  -- To account for delays in the foreclosure process in Puerto
Rico due to the hurricanes, Moody's assumed extended foreclosure
timelines across rating levels and assumed five years as its Aaa
foreclosure timeline.

  -- Moody's assumed that all insurance claims will be submitted as
ABCs. In addition, Moody's assumed that properties will sell for
significantly lower than their appraised values.

Moody's also applied a small adjustment in its analysis to account
for the risks associated with certain damaged properties that are
located in areas impacted by Hurricane Florence or Hurricane
Michael.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of stress could
drive the ratings up. Transaction performance depends greatly on
the US macro economy and housing market. Property markets could
improve from its original expectations resulting in appreciation in
the value of the mortgaged property and faster property sales.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of stresses could drive the
ratings down. Transaction performance depends greatly on the US
macro economy and housing market. Property markets could
deteriorate from its original expectations resulting in
depreciation in the value of the mortgaged property and slower
property sales.


SEQUOIA MORTGAGE 2020-1: Fitch Rates Class B-4 Certs BB-sf
----------------------------------------------------------
Fitch Ratings assigns ratings to the residential mortgage-backed
certificates issued by Sequoia Mortgage Trust 2020-1.

RATING ACTIONS

SEMT 2020-1

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

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

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

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

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

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

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

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

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

Class A-18;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-19;   LT AAAsf New Rating;  previously at AAA(EXP)sf

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

Class A-20;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-21;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-22;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-23;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-24;   LT AAAsf New Rating;  previously at AAA(EXP)sf

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

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

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

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

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

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

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

Class A-IO-S; LT NRsf New Rating;   previously at NR(EXP)sf

Class A-IO1;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO10; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO11; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO12; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO13; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO14; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO15; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO16; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO17; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO18; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO19; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO2;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO20; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO21; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO22; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO23; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO24; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO25; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO26; LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO3;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO4;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO5;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO6;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO7;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO8;  LT AAAsf New Rating;  previously at AAA(EXP)sf

Class A-IO9;  LT AAAsf New Rating;  previously at AAA(EXP)sf

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

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

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

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

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

TRANSACTION SUMMARY

The certificates are supported by 727 loans with a total balance of
approximately $448.1 million as of the cutoff date. The pool
consists of prime fixed-rate mortgages (FRMs) acquired by Redwood
Residential Acquisition Corp. (Redwood) from various mortgage
originators. Distributions of principal and interest and loss
allocations are based on a senior-subordinate, shifting-interest
structure.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality 30-year, 25-year and 20-year fixed-rate fully
amortizing loans to borrowers with strong credit profiles,
relatively low leverage, and large liquid reserves. The pool has a
weighted average (WA) original model FICO score of 773 and an
original WA CLTV ratio of 71%. All of the loans in the pool consist
of Safe Harbor Qualified Mortgages (SHQM) or were originated prior
to the implementation of the rule.

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature unique to Redwood's program for loans more than
120 days delinquent (a Stop Advance loan). Unpaid interest on stop
advance loans reduces the amount of interest that is contractually
due to bondholders in reverse sequential order. While this feature
helps limit cash flow leakage to subordinate bonds, it can result
in interest reductions to rated bonds in high stress scenarios.

Prioritization of Principal Payments (Positive): The limited
advancing leads to lower loss severities than a full advancing
structure. The unique Stop Advance structural feature reduces
interest payments to subordinate bonds but allows for greater
principal recovery than a traditional structure. Furthermore, while
traditional structures determine senior principal distributions by
comparing the senior bond size to the collateral balance, this
transaction structure compares the senior balance to the collateral
balance less any Stop Advance loans. In a period of increased
delinquencies, this will result in a larger amount of principal
paid to the senior bonds relative to a traditional structure.

Above-Average Aggregator (Neutral): Fitch has completed numerous
operational assessments of Redwood and considers the company to be
an 'above-average' aggregator. Redwood's well-established
acquisition strategy is reflected in the very strong performance of
the post-crisis Sequoia pools.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on more than 98% of loans in the
transaction. Due diligence was performed by Clayton and Opus, which
are assessed by Fitch as 'Acceptable - Tier 1' and 'Acceptable -
Tier 2', respectively. The review scope is consistent with Fitch
criteria, and the results are generally better than prior RMBS
issued by Redwood, as the majority of the loans were originated
prior to the implementation of TRID.

Top Tier Representation and Warranty Framework (Neutral): The
loan-level representation, warranty and enforcement (RW&E)
framework is consistent with Fitch's Tier 1, the highest possible.
Fitch applied a neutral treatment at the 'AAAsf' rating category as
a result of the Tier 1 framework and the internal credit opinion
supporting the repurchase obligations of the ultimate R&W
backstop.

Credit Enhancement Floor (Positive): To mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of .75% of the original balance will be
maintained for the certificates. The floor is more than sufficient
to protect against the five largest loans defaulting at Fitch's
'AAAsf' average loss severity of 37.10%.

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 5.2%. 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'.


TABERNA PREFERRED II: Moody's Ups Ratings on 3 Debt Classes to Ba1
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by Taberna Preferred Funding II, Ltd.:

US$400,000,000 Class A-1A First Priority Delayed Draw Senior
Secured Floating Rate Notes Due 2035 (current balance of
$85,099,555), Upgraded to Ba1 (sf); previously on April 30, 2019
Upgraded to Ba2 (sf)

US$106,500,000 Class A-1B First Priority Senior Secured Floating
Rate Notes Due 2035 (current balance of $22,657,756), Upgraded to
Ba1 (sf); previously on April 30, 2019 Upgraded to Ba2 (sf)

US$10,000,000 Class A-1C First Priority Senior Secured
Fixed/Floating Rate Notes Due 2035 (current balance of $2,127,489),
Upgraded to Ba1 (sf); previously on April 30, 2019 Upgraded to Ba2
(sf)

Taberna Preferred Funding II, Ltd., issued in June 2005, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of REIT trust preferred securities (TruPS).

RATINGS RATIONALE

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

The Class A-1A, Class A-1B and Class A-1C notes have paid down
collectively by approximately 11.0% or $13.6 million since April
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
notes has improved to 252.1% from April 2019 level of 225.8%. 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 3884 from 4168 in
April 2019.

The rating actions also took into consideration an Event of Default
(EoD) and subsequent acceleration of the transaction in 2009. The
transaction declared an EoD because of missed interest payments on
the Class A-1, Class A-2 and Class B notes, according to Section
5.1(a) of the indenture. As a result of the acceleration of the
deal, the Class A-1 notes have been receiving all proceeds after
Class A-1 and Class A-2 interest and will continue to receive until
they are paid in full.

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 and principal proceeds
balance of $277.0 million, defaulted par of $267.2 million, a
weighted average default probability of 49.7% (implying a WARF of
3884), and a weighted average recovery rate upon default of 10%.

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.


TICP CLO III-2: Moody's Lowers $7.15MM Class F Notes to Caa1
------------------------------------------------------------
Moody's Investors Service upgraded the rating on the following
notes issued by TICP CLO III-2, Ltd.:

  US$47,700,000 Class B Senior Secured Floating Rate Notes Due
  2028, Upgraded to Aa1 (sf); previously on April 20, 2018
  Assigned Aa2 (sf)

Moody's also downgraded the rating on the following notes:

  US$7,150,000 Class F Junior Secured Deferrable Floating Rate
  Notes Due 2028, Downgraded to Caa1 (sf); previously on
  April 20, 2018 Assigned B3 (sf)

TICP CLO III-2, Ltd., issued in April 2018 is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in April 2020.

RATINGS RATIONALE

The upgrade rating action reflects the benefit of the short period
of time remaining before the end of the deal's reinvestment period
in April 2020. In light of the reinvestment restrictions during the
amortization period which limit the ability of the manager to
effect significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to satisfy certain covenant
requirements.

The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
Moody's calculation, the total collateral par balance, including
recoveries from defaulted securities, is currently $481.7 million,
or $5.33 million less than the $487.00 million par amount targeted
during the deal's initial ramp-up. Furthermore, weighted average
rating factor (WARF) has been deteriorating, and based on trustee's
December 2019 report, the WARF is reported at 3111, versus 3015 in
December 2018.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance or portfolio par of $481.1 million,
defaulted par of $2.5 million, a weighted average default
probability of 23.1% (implying a WARF of 3123), a weighted average
recovery rate upon default of 48.15%, a diversity score of 72 and a
weighted average spread of 3.38%.

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. Language to be included unless
static: The Manager's investment decisions and management of the
transaction will also affect the performance of the rated notes.


TOWD POINT 2020-1: Fitch to Rate 5 Debt Classes 'BB(EXP)'
---------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to Towd
Point Mortgage Trust 2020-1.

RATING ACTIONS

TPMT 2020-1

Class A1A1; LT AAA(EXP)sf; Expected Rating

Class A1A;  LT AAA(EXP)sf; Expected Rating

Class A1AX; LT AAA(EXP)sf; Expected Rating

Class A1A2; LT AAA(EXP)sf; Expected Rating

Class A1;   LT AAA(EXP)sf; Expected Rating

Class A1X;  LT AAA(EXP)sf; Expected Rating

Class A1B;  LT AAA(EXP)sf; Expected Rating

Class A1BX; LT AAA(EXP)sf; Expected Rating

Class A2A;  LT AA-(EXP)sf; Expected Rating

Class A2C;  LT AA-(EXP)sf; Expected Rating

Class A2CX; LT AA-(EXP)sf; Expected Rating

Class A2D;  LT AA-(EXP)sf; Expected Rating

Class A2DX; LT AA-(EXP)sf; Expected Rating

Class A3;   LT AA-(EXP)sf; Expected Rating

Class A2B;  LT A(EXP)sf;   Expected Rating

Class A2E;  LT A(EXP)sf;   Expected Rating

Class A2EX; LT A(EXP)sf;   Expected Rating

Class A2F;  LT A(EXP)sf;   Expected Rating

Class A2FX; LT A(EXP)sf;   Expected Rating

Class A4;   LT A(EXP)sf;   Expected Rating

Class A5;   LT BBB(EXP)sf; Expected Rating

Class M1;   LT BBB(EXP)sf; Expected Rating

Class M1A;  LT BBB(EXP)sf; Expected Rating

Class M1AX; LT BBB(EXP)sf; Expected Rating

Class M1B;  LT BBB(EXP)sf; Expected Rating

Class M1BX; LT BBB(EXP)sf; Expected Rating

Class M2;   LT BB(EXP)sf;  Expected Rating

Class M2A;  LT BB(EXP)sf;  Expected Rating

Class M2AX; LT BB(EXP)sf;  Expected Rating

Class M2B;  LT BB(EXP)sf;  Expected Rating

Class M2BX; LT BB(EXP)sf;  Expected Rating

Class B1;   LT B(EXP)sf;   Expected Rating

Class B1A;  LT B(EXP)sf;   Expected Rating

Class B1B;  LT B(EXP)sf;   Expected Rating

Class B1C;  LT B(EXP)sf;   Expected Rating

Class B1CX; LT B(EXP)sf;   Expected Rating

Class B1D;  LT B(EXP)sf;   Expected Rating

Class B1DX; LT B(EXP)sf;   Expected Rating

Class B1E;  LT B(EXP)sf;   Expected Rating

Class B1EX; LT B(EXP)sf;   Expected Rating

Class B1F;  LT B(EXP)sf;   Expected Rating

Class B1FX; LT B(EXP)sf;   Expected Rating

Class B2;   LT NR(EXP)sf;  Expected Rating

Class B2A;  LT NR(EXP)sf;  Expected Rating

Class B2B;  LT NR(EXP)sf;  Expected Rating

Class B3;   LT NR(EXP)sf;  Expected Rating

Class B3A;  LT NR(EXP)sf;  Expected Rating

Class B3B;  LT NR(EXP)sf;  Expected Rating

Class B4;   LT NR(EXP)sf;  Expected Rating

Class B4A;  LT NR(EXP)sf;  Expected Rating

Class B4B;  LT NR(EXP)sf;  Expected Rating

Class B5;   LT NR(EXP)sf;  Expected Rating

Class B5A;  LT NR(EXP)sf;  Expected Rating

Class B5B;  LT NR(EXP)sf;  Expected Rating

TRANSACTION SUMMARY

The notes are supported by one collateral group that consists of
5,166 newly originated, seasoned performing loans (SPLs) and
re-performing loans (RPLs) with a total balance of approximately
$771.7 million, which includes $30.8 million, or 4%, of the
aggregate pool balance in non-interest-bearing deferred principal
amounts, as of the statistical calculation date.

The note balances are based off the cut-off date balance. The
collateral is based off of the statistical calculation date
balance.

Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicers will not be advancing delinquent monthly
payments of P&I.

KEY RATING DRIVERS

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage, seasoned performing and RPLs.
Of the pool, 3.6% was 30 days delinquent as of the statistical
calculation date, and 29.5% of loans are current, but have had
recent delinquencies or incomplete pay strings. 64% of the loans
are seasoned over 24 months and have been paying on time for the
past 24 months. Roughly 64% have been modified.

Low Operational Risk (Positive): Operational risk is well
controlled for in this RPL transaction. FirstKey Mortgage, LLC
(FirstKey) has a well-established track record in RPL activities
and has an "above average" aggregator assessment from Fitch. The
loans are approximately 136 months seasoned, reducing the risk of
misrepresentation at origination. Additionally, the transaction
benefits from third-party due diligence on approximately 72% of the
pool by loan count and 87.3% by unpaid principal balance (UPB), and
the diligence results generally indicate low risk for an RPL
transaction. Of the MH loans, 40% were reviewed, which is
consistent with criteria. While only 4% (by loan count) of the
second liens were reviewed, Fitch's loss assumptions for the second
liens account for any risks associated with the lack of a diligence
review. Select Portfolio Servicing, Inc. (SPS) and Specialized Loan
Servicing LLC (SLS) will perform primary and special servicing
functions for this transaction and are rated 'RPS1-' and 'RPS2+',
respectively, for this product type. The issuer's retention of at
least 5% of the bonds helps ensure an alignment of interest between
issuer and investor.

Low Aggregate Servicing Fee (Mixed): Fitch determined that the
stated servicing fee of approximately 17bps may be insufficient to
attract subsequent servicers under a period of poor performance and
high delinquencies. To account for the potentially higher fee
needed to obtain a subsequent servicer, Fitch's cash flow analysis
assumed a 50-bp servicing fee.

Third-Party Due Diligence (Negative): A third-party due diligence
review was conducted and focused on regulatory compliance, pay
history and a tax and title lien search. Of the loans reviewed, the
third-party review (TPR) firm's due diligence review resulted in
approximately 10% (by loan count) of "C" and "D" graded loans,
meaning the loans had material violations or lacked documentation
to confirm regulatory compliance.

Representation Framework (Negative): Fitch considers the
representation, warranty and enforcement (RW&E) mechanism construct
for this transaction to generally be consistent with what it views
as a Tier 2 framework, due to the inclusion of knowledge qualifiers
and the exclusion of loans from certain reps as a result of
third-party due diligence findings. Additionally, the issuer is not
providing R&Ws for second liens, and newly originated loans are
receiving R&Ws applicable for seasoned collateral; Fitch treated
these as Tier 5. Fitch increased its 'AAAsf' loss expectations by
216bps to account for a potential increase in defaults and losses
arising from weaknesses in the reps.

Limited Life of Rep Provider (Negative): FirstKey, as rep provider,
will only be obligated to repurchase a loan due to breaches prior
to the payment date in February 2021. Thereafter, a reserve fund
will be available to cover amounts due to noteholders for loans
identified as having rep breaches. Amounts on deposit in the
reserve fund as well as the increased level of subordination will
be available to cover additional defaults and losses resulting from
rep weaknesses or breaches occurring on or after the payment date
in February 2021.

No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduce
liquidity to the trust. P&I advances made on behalf of loans that
become delinquent and eventually liquidate reduce liquidation
proceeds to the trust. Due to the lack of P&I advancing, the
loan-level loss severity (LS) is less for this transaction than for
those where the servicer is obligated to advance P&I. Structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' and 'AAsf' rated classes.

Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AA-sf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
that class in the absence of servicer advancing.

Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $30.8 million (4.0%) of the UPB are
outstanding on 750 loans. Fitch included the deferred amounts when
calculating the borrower's loan-to-value ratio (LTV) and
sustainable LTV (sLTV), despite the lower payment and amounts not
being owed during the term of the loan. The inclusion resulted in a
higher probability of default (PD) and LS than if there were no
deferrals. Fitch believes that borrower default behavior for these
loans will resemble that of the higher LTVs, as exit strategies
(i.e. sale or refinancing) will be limited relative to those
borrowers with more equity in the property.

RATING SENSITIVITIES

Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.

Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 37.4% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.

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


UBS COMMERCIAL 2018-C9: Fitch Affirms BB- Rating on Cl. E-RR Certs
------------------------------------------------------------------
Fitch Ratings affirmed 14 classes of UBS Commercial Mortgage Trust
2018-C9 Commercial Mortgage Pass-Through Certificates.

RATING ACTIONS

UBS 2018-C9

Class A1 90291JAS6;   LT AAAsf Affirmed;  previously at AAAsf

Class A2 90291JAT4;   LT AAAsf Affirmed;  previously at AAAsf

Class A3 90291JAV9;   LT AAAsf Affirmed;  previously at AAAsf

Class A4 90291JAW7;   LT AAAsf Affirmed;  previously at AAAsf

Class AS 90291JAZ0;   LT AAAsf Affirmed;  previously at AAAsf

Class ASB 90291JAU1;  LT AAAsf Affirmed;  previously at AAAsf

Class B 90291JBA4;    LT AA-sf Affirmed;  previously at AA-sf

Class C 90291JBB2;    LT A-sf Affirmed;   previously at A-sf

Class D 90291JAC1;    LT BBB-sf Affirmed; previously at BBB-sf

Class D-RR 90291JAE7; LT BBB-sf Affirmed; previously at BBB-sf

Class E-RR 90291JAG2; LT BB-sf Affirmed;  previously at BB-sf

Class F-RR 90291JAJ6; LT B-sf Affirmed;   previously at B-sf

Class XA 90291JAX5;   LT AAAsf Affirmed;  previously at AAAsf

Class XB 90291JAY3;   LT AA-sf Affirmed;  previously at AA-sf

KEY RATING DRIVERS

Generally Stable Performance and Loss Expectations: The rating
affirmations reflect the generally stable performance of the
majority of the pool. While there have been no realized losses to
date, loss expectations have increased slightly due to the
deteriorating performance of the three Fitch Loans of Concern
(FLOCs; 4.7% of the pool), which include two specially serviced
loans (4.1%).

Fitch Loans of Concern: The largest specially serviced loan,
Gymboree Distribution Center (2.1%), is secured by a vacant
447,042-sf warehouse/distribution property located in Dixon, CA.
Gymboree filed for bankruptcy and liquidation in January 2019 and
subsequently vacated the property in September 2019. Per the
servicer, the borrower is currently marketing the space for lease
and has kept the loan current to date.

The second specially serviced loan, The IMG Building (2.0%), is
secured by a 232,908-sf office property located in Cleveland, OH
that has been delinquent since February 2019. Per the servicer, the
lender is dual tracking negotiations with the foreclosure process
and a receiver has been assigned to the property.

The remaining FLOC is secured by a 148-unit multifamily property
(0.6%) located in Lynn Haven, FL that sustained significant damage
from Hurricane Michael in October 2018. Per the borrower, 112
(75.7%) out of 148 units are offline and the remaining units are in
need of varying levels of repairs. The borrower expects repairs to
be complete by March 2020. The loan remains current.

Minimal Change in Credit Enhancement: As of the December 2019
distribution date, the pool's aggregate balance has been reduced by
0.6% to $834.9 million from $839.9 million at issuance. No loans
have paid off or defeased. At issuance, based on the scheduled
balance at maturity, the pool was expected to pay down by 6.9%
prior to maturity, which is lower than the average for transactions
of a similar vintage. 15 loans (48.6%), including nine of the top
15 loans, are full-term interest-only and 14 loans (25.6%) remain
in partial-interest-only periods. Loan maturities and ARDs are
concentrated in 2028 (95.7%), with limited maturities scheduled in
2022 (3.0%) and 2023 (1.3%). The non-rated class NR-RR has
accumulated $149,081 in interest shortfalls since issuance.

ADDITIONAL CONSIDERATIONS

Pool Concentrations: The pool is slightly more diverse than
comparable recent Fitch-rated transactions, with the top 10 and 15
loans representing 50.3% and 66.2% of the total pool, respectively.
Loans secured by office properties represent 35.6% of the pool,
including six loans (24.6%) in the top 15. Loans secured by retail
properties represent 20.8% of the pool, including the second
largest loan in the pool (7.2%).

High Single-Tenant Exposure: Ten loans (27.5%) are either partially
or completely secured by single-tenant properties, including six of
the top 15 loans. Forty-one of the pool's 112 properties (21.1%)
were also designated as single tenant properties by Fitch at
issuance.

Credit Opinion Loan: Fitch assigned an investment-grade credit
opinion of 'BBB-sf*' on a stand-alone basis to the DreamWorks
Campus loan (3.0%) at issuance.

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.

ESG CONSIDERATIONS

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


VERTICAL BRIDGE 2018-1: Fitch Affirms BB-sf Rating on Cl. F Notes
-----------------------------------------------------------------
Fitch Ratings affirmed six classes of VB-S1 Issuer, LLC's Secured
Tower Revenue Notes, Series 2016-1 and 2018-1.

RATING ACTIONS

Vertical Bridge 2018-1

Class C 91823AAG6; LT Asf Affirmed;   previously at Asf

Class D 91823AAH4; LT BBBsf Affirmed; previously at BBBsf

Class F 91823AAJ0; LT BB-sf Affirmed; previously at BB-sf

Vertical Bridge 2016-1

Class C 91823AAA9; LT Asf Affirmed;   previously at Asf

Class D 91823AAC5; LT BBBsf Affirmed; previously at BBBsf

Class F 91823AAE1; LT BB-sf Affirmed; previously at BB-sf

KEY RATING DRIVERS

Fitch Cash Flow and Leverage: Fitch's net cash flow (NCF) for the
pool has increased by 5.3% to $69.4 million as based on the
November 2019 data tape, compared with $65.9 million at Fitch's
previous review based on the December 2018 data tape. The increase
in cash flow is due to positive leasing activity and scheduled rent
escalations for existing tenants. The Fitch stressed DSCR is 1.32x
and the debt multiple relative to Fitch's NCF is 8.20x, which
equates to a debt yield of 12.2%. Excluding the Risk Retention
Class R, the offered notes would have a Fitch DSCR, NCF Multiple,
and Debt Yield of 1.35x, 8.02x, and 12.5%, respectively.

Diversified Pool: There are 2,551 wireless sites (2,664 towers and
other structures) spanning 47 states and Puerto Rico. The largest
state (Illinois) represents approximately 12.1% of annualized run
rate revenue (ARRR).

Leases to Strong Tower Tenants: There are 4,164 wireless tenant
leases, an increase from 3,961 when the Series 2018-1 notes were
issued. Telephony and data tenants represent 86.1% of ARRR, and
approximately 39.8% of the ARRR is from investment-grade tenants.
Tenant leases on the cellular sites have average annual escalators
of approximately 2.8% and an average final remaining term
(including renewals) of approximately 20 years.

Broadcast Concentration: Broadcast tenants represent approximately
13.7% of the ARRR. Broadcast has limited growth prospects given the
ability for one or a few towers to cover a metropolitan statistical
area (MSA), the low levels of consumption of over-the-air
television and competing mediums for distributing local
advertising.

Technology Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for tower space, similar to most wireless tower
transactions, the senior classes of this transaction do not achieve
ratings above 'Asf'. The securities have a rated final payment date
30 years after closing, and the long-term tenor of the securities
increases the risk that an alternative technology -- rendering
obsolete the current transmission of wireless signals through
cellular sites -- will be developed. Currently, wireless service
providers (WSPs) depend on towers to transmit their signals and
continue to invest in this technology.

Additional Debt: The transaction allows for the issuance of
additional notes. Such additional notes may rank senior to, pari
passu with, or subordinate to, the 2018 notes. Any additional notes
will be pari passu with any class of notes bearing the same
alphabetical class designation. Additional notes may be issued
without the benefit of additional collateral, provided the
post-issuance DSCR is not less than 2.0x. The possibility of
upgrades may be limited due to this provision.

RATING SENSITIVITIES

Fitch does not foresee negative ratings migration unless a material
economic or asset level event changes the transaction's
portfolio-level metrics. The class ratings are expected to remain
stable based on anticipated cash flow growth due to annual rent
escalations, tenant renewals and additional leasing on existing
towers. Upgrades may be limited due to the allowance for additional
notes without the benefit of additional collateral, the specialized
nature of the collateral and the potential for changes in
technology to affect long-term demand for wireless tower space.

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

The VB-S1 Issuer, LLC's Secured Tower Revenue Notes, Series 2016-1
and 2018-1 have ESG Relevance Scores of 4 for Transaction &
Collateral Structure due to several factors including the issuer's
ability to issue additional notes, which has a negative impact on
the credit profile and is relevant to the ratings in conjunction
with other factors.


WELLS FARGO 2016-C33: Fitch Affirms B-sf Rating on 2 Tranches
-------------------------------------------------------------
Fitch Ratings affirmed 16 classes of Wells Fargo Commercial
Mortgage Trust 2016-C33 commercial mortgage pass-through
certificates.

RATING ACTIONS

WFCM 2016-C33

Class A-1 95000LAW3;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 95000LAX1;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 95000LAY9;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 95000LAZ6;  LT AAAsf Affirmed;  previously at AAAsf

Class A-S 95000LBB8;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 95000LBA0; LT AAAsf Affirmed;  previously at AAAsf

Class B 95000LBE2;    LT AA-sf Affirmed;  previously at AA-sf

Class C 95000LBF9;    LT A-sf Affirmed;   previously at A-sf

Class D 95000LAJ2;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 95000LAL7;    LT BB-sf Affirmed;  previously at BB-sf

Class F 95000LAN3;    LT B-sf Affirmed;   previously at B-sf

Class X-A 95000LBC6;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 95000LBD4;  LT A-sf Affirmed;   previously at A-sf

Class X-D 95000LAA1;  LT BBB-sf Affirmed; previously at BBB-sf

Class X-E 95000LAC7;  LT BB-sf Affirmed;  previously at BB-sf

Class X-F 95000LAE3;  LT B-sf Affirmed;   previously at B-sf

KEY RATING DRIVERS

Stable Loss Expectations: The affirmations are based on the overall
stable performance of the underlying collateral. Two loans (2.5%)
have transferred to special servicing since issuance. Six loans
(8.9%) have been designated as Fitch Loans of Concern (FLOCs),
including two specially serviced assets. Four loans (1.8%) have
been defeased and there have been no realized losses to date.

Minimal Change to Credit Enhancement: As of the December 2019
distribution date, the pool's aggregate principal balance has been
paid down by 3.5% to $687.2 million from $712.2 million at
issuance. As property-level performance is generally in line with
issuance expectations, the original rating analysis was considered
in affirming the transaction.

Specially Serviced Loans/FLOCs: Fitch has designated six loans
(8.9%) as Fitch Loans of Concern, including two loans (2.5%)
currently in special servicing. The largest specially serviced loan
is the Desert Star Apartments loan (2.1%), which is secured by a
437 unit multifamily property located in Phoenix, AZ. The loan
transferred to special servicing in February 2019. The borrower has
not reported financials since issuance. According to servicer
updates, foreclosure is being pursued. The loan is still current as
of December 2020. The last loan in special servicing is the Best
Western Lake Charles loan (0.4%), which is secured by a 55 room
limited service hotel located in Lake Charles, LA. The loan
transferred to special servicing in July 2019 for payment default.
As of YE 2018 the property reported occupancy of 44% with a NOI
debt service coverage ratio (DSCR) of 0.52x.

The largest non-specially serviced FLOC is the Brier Creek
Corporate Center I & II loan (3.14%), which is secured by two
four-story office buildings totaling 180,955 sf office located in
Raleigh, NC. The loan has been designated as a FLOC due to the two
largest tenants (75% NRA) expected to vacate at their lease
expiration in 2020. According to servicer updates, the borrower is
planning on aggressively marketing the space.

The next largest FLOC is the Omni Officecentre (2.2%) loan, which
is secured by a 294,090 sf office building located in Southfield,
MI. According to the September 2019 rent roll, occupancy has
declined to 70%. The loan began amortizing in January 2019, as of
YE 2018 the NOI DSCR was 1.11x.

The remaining FLOCs combine for approximately 1% of the pool
balance and are secured by an 88 room extended stay hotel located
in Fredericksburg, VA and a neighborhood retail center located in
Jasper, AL. The loans have been designated as FLOCs due to
declining occupancy and low DSCRs.

Co-Op Collateral: The pool contains 14 loans (5.3% of the pool)
secured by multifamily co-ops; 12 are located in New York City
metro area; one is in Washington, D.C.; and one is in Atlanta, GA.

RATING SENSITIVITIES

The Stable Outlooks on all classes are due to the generally stable
performance of the majority of the pool, continued amortization and
sufficient credit enhancement relative to expected losses. Rating
upgrades may occur with improved pool performance and additional
paydown or defeasance. Rating downgrades to the
non-investment-grade classes are possible should the FLOCs continue
to experience performance issues.

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.


WFRBS COMMERCIAL 2013-C14: Fitch Affirms Bsf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings affirmed 17 classes of WFRBS Commercial Mortgage
Trust commercial mortgage pass-through certificates, series
2013-C14.

RATING ACTIONS

WFRBS 2013-C14

Class A-3 92890PAC8;   LT AAAsf Affirmed;  previously at AAAsf

Class A-3FL 92890PBS2; LT AAAsf Affirmed;  previously at AAAsf

Class A-3FX 92890PBU7; LT AAAsf Affirmed;  previously at AAAsf

Class A-4 92890PAD6;   LT AAAsf Affirmed;  previously at AAAsf

Class A-4FL 92890PBC7; LT AAAsf Affirmed;  previously at AAAsf

Class A-4FX 92890PBE3; LT AAAsf Affirmed;  previously at AAAsf

Class A-5 92890PAE4;   LT AAAsf Affirmed;  previously at AAAsf

Class A-S 92890PAG9;   LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 92890PAF1;  LT AAAsf Affirmed;  previously at AAAsf

Class B 92890PAH7;     LT AA-sf Affirmed;  previously at AA-sf

Class C 92890PAJ3;     LT A-sf Affirmed;   previously at A-sf

Class D 92890PBG8;     LT BBB-sf Affirmed; previously at BBB-sf

Class E 92890PBJ2;     LT BBsf Affirmed;   previously at BBsf

Class F 92890PBL7;     LT Bsf Affirmed;    previously at Bsf

Class PEX 92890PAK0;   LT A-sf Affirmed;   previously at A-sf

Class X-A 92890PAL8;   LT AAAsf Affirmed;  previously at AAAsf

Class X-B 92890PAM6;   LT AA-sf Affirmed;  previously at AA-sf

KEY RATING DRIVERS

Stable Loss Expectations: Overall, the pool has exhibited
relatively stable performance, and loss expectations remain in line
with issuance expectations. Fitch has identified eight loans/assets
(34.3%) as Fitch Loans of Concern, including one specially serviced
asset (0.7%).

Fitch Loans of Concern: Five of the FLOCs are among the top 15
loans. The Plant San Jose (9.3% pool balance) is secured by a power
center located in San Jose, CA. Property occupancy declined to
80.5% in April 2018 due to Toys "R" Us and Office Max vacating in
2018. Property occupancy remains low at a reported 79% as of
September 2019.

The White Marsh Mall (8.3%) is secured by the 700,000-sf portion of
a 1.2 million-sf regional mall anchored by non-collateral tenants
Macy's, JC Penney, Sears, and collateral tenant Boscov's, located
in Baltimore, MD. The mall has continued to experience declining
sales and faces significant competition within its trade area.
Fitch expects the loan may have difficulty refinancing at its loan
maturity in May 2021.

301 South College Street (6.6%) is secured by a 988,646-sf office
building in Charlotte, NC. The property faces significant upcoming
rollover in 2021 when 74% of the NRA is expected roll over,
including the largest tenant, Wells Fargo (69.5% of NRA).

Cheeca Lodge & Spa (5.9%) is secured by a 214-room full service
hotel located in Islamorada, FL. The property suffered extensive
damage due to Hurricane Irma in September 2017. The hotel was
closed from September 2017 to March 2018 for repairs and
renovations. According to the servicer, all rooms are back online
and the management is still working to stabilize operations.

Continental Plaza Columbus (1.5%) is secured by an approximately
574,000-sf, 34 story office building located in Columbus, OH.
Former second largest tenant, Ohio Health Corporation (20% NRA)
vacated at its June 2019 lease expiration date. As a result,
occupancy declined to 78% from 98% at YE 2018. Occupancy remains
relatively unchanged as of the September 2019 rent roll at 76%.

The two non-specially serviced FLOCs outside the top 15 were
flagged for declining performance. The Mobile Festival Center loan
(1.4%) is secured by a 387,000-sf power center in Mobile, AL.
Occupancy at the property was 48% as of September 2019, down from
82% at YE 2017, driven by the closure of Virginia College, Bed Bath
& Beyond and Ross Dress for Less. The other loan, 7220 Wisconsin
Ave loan (0.8%), is secured by a 41,525-sf mixed-use building in
Bethesda, MD. The servicer- reported NOI DSCR has remained below
1.0x since 2016. Property occupancy remains low at a reported 69%
as of September 2019. Additionally, 23% of the NRA is scheduled to
roll in 2020.

REO Asset: BSG Texas Hotel Portfolio (0.7% pool balance) has been
REO since February 2017. The portfolio originally consisted of two
hotels located in Texas. One of the assets was sold in January
2019. The remaining asset is secured by a 73 room La Quinta Inn &
Suites limited service hotel located in Big Spring, TX. The special
servicer has been working to stabilize performance before marketing
the property for sale in the beginning of 2Q20.

Slight Improvement in Credit Enhancement: There have been minimal
changes to credit enhancement since Fitch's last rating action. As
of the December 2019 distribution date, the pool's aggregate
balance has been paid down 9.5% to $1.3 billion from $1.5 billion
at issuance. Thirteen loans (7.7%) are defeased, including two (3%)
in the top 15. Five loans (33%) are full term interest only. All 14
of the partial interest only loans (41%) have begun amortizing.
Realized losses to date have been minimal, totaling $125,268 or
0.01% of the original trust balance.

Alternative Loss Considerations: Fitch performed an additional loss
sensitivity on both the White Marsh Mall and 301 South College
Street loans to address performance concerns. In addition to base
case loss, Fitch applied an additional loss of 25% to the maturity
balance of the White Marsh Mall loan. A 10% loss was applied to the
maturity balance of the 301 South College Street loan due to
significant upcoming rollover risk. This sensitivity scenario
contributed to the Negative Rating Outlook on classes E and F.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E and F reflect the
potential for future downgrades should performance of the FLOCs
deteriorate further and concerns about the refinance risk of the
fourth largest loan, White Marsh Mall. The Stable Rating Outlooks
on classes A-3 through D reflect increasing credit enhancement and
expected continued paydown. Future rating upgrades may occur with
improved pool performance and additional paydown or defeasance, but
will be limited unless the Fitch Loans of Concern stabilize.

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 declining mall performance following changing
consumer preference to shopping, which has a negative impact on the
credit profile, and is relevant to the ratings in conjunction with
other factors.


                            *********

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