/raid1/www/Hosts/bankrupt/TCR_Public/200216.mbx          T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, February 16, 2020, Vol. 24, No. 46

                            Headlines

ANCHORAGE CREDIT 2: Moody's Rates $25.3MM Class E-R Notes Ba3(sf)
APRES STATIC 1: Fitch Raises Class E Debt to B+sf
BANK 2020-BNK25: Fitch Assigns B- Rating on 2 Tranches
BATTALION CLO VIII: Moody's Rates $30.52MM Cl. D-1-R2 Notes Ba2
BEAR STEARNS 2004-PWR6: Moody's Lowers Rating on Class N Debt to C

BEAR STEARNS 2005-TOP18: Fitch Affirms BBsf Rating on Cl. H Certs
BENCHMARK 2020-B16: Fitch Assigns B-sf Rating on Class G Certs
BX TRUST 2017-CQHP: Moody's Affirms B3 Rating on Class F Certs
CAPITAL ONE: Fitch Affirms BBsf Rating on Class 2002-1D Debt
CHASE HOME 2019-ATR1: Moody's Hikes Rating on Class B-5 Debt to B2

CITIGROUP 2020-GC46: DBRS Gives Prov. BB(low) Rating on G-RR Certs
CITIGROUP COMMERCIAL 2006-C4: Fitch Raises Class C Certs to Bsf
CITIGROUP COMMERCIAL 2015-GC29: Fitch Affirms Class F Certs at Bsf
CREDIT SUISSE 2005-C1: Fitch Affirms D Ratings on 7 Tranches
DT AUTO 2020-1: DBRS Finalizes BB Rating on Class E Notes

EAGLE RE 2020-1: DBRS Finalizes B(low) Rating on 2 Tranches
FINANCE OF AMERICA 2020-HB1: Moody's Rates Class M4 Debt '(P)B3'
FLAGSHIP CREDIT 2020-1: DBRS Gives Prov. BB Rating on E Notes
FLAGSTAR MORTGAGE 2020-1INV: Moody's Gives (P)B2 Rating to B-5 Debt
FREDDIE MAC 2020-DNA2: DBRS Gives Prov. B Rating on 2 Classes

GRACE MORTGAGE 2014-GRCE: Fitch Affirms B Rating on Class G Certs
GREENWICH CAPITAL 2006-GG7: Moody's Cuts Class B Debt to 'C'
GS MORTGAGE-BACKED: Fitch to Rate Class B5 Debt 'B(EXP)sf'
HERTZ VEHICLE II: DBRS Confirms 50 Ratings of 13 Series ABS Deals
ICG US 2015-2R: Moody's Rates $25MM Class D Notes 'Ba3'

JP MORGAN 2014-C19: Fitch Lowers Class F Certs to B-sf
JPMCC COMMERCIAL 2017-JP5: Fitch Affirms Class E-RR Debt at BB-sf
KEY COMMERCIAL 2018-S1: DBRS Confirms B Rating on Class F Certs
LB-UBS COMMERCIAL 2007-C6: Fitch Cuts Rating on 2 Tranches to Csf
LNR CDO 2002-1: Fitch Lowers Rating on 4 Tranches to Dsf

LUNAR AIRCRAFT 2020-1: Fitch to Rate Class C Debt 'BB(EXP)'
NEW RESIDENTIAL 2020-RPL1: DBRS Finalizes B Rating on B-2 Notes
NEW RESIDENTIAL 2020-RPL1: Moody's Rates Class B-2 Notes B2
OBX TRUST 2020-EXP1: Fitch to Rate Class B-5 Debt 'B(EXP)'
PREFERRED TERM XXIV: Moody's Hikes Ratings on 2 Tranches to Caa3

PREFERRED TERM XXV: Moody's Hikes Rating on 2 Tranches to Caa2
PROVIDENT FUNDING 2020-1: Moody's Gives '(P)B2' Rating to B-5 Notes
RESIDENTIAL MORTGAGE 2020-1: DBRS Gives Prov. B Rating on B-2 Notes
SDART 2019-1: Fitch Raises Rating on Class E Debt to BBsf
SYON SECURITIES 2020: Fitch Corrects Feb. 3 Ratings Release

TOWD POINT 2019-1: Moody's Gives C Rating on 3 Tranches
TOWD POINT 2020-1: DBRS Finalizes B Rating on 3 Note Classes
TOWD POINT: Moody's Gives Ratings to $1.7BB Re-Performing RMBS
TRAPEZA CDO XIII: Moody's Raises $5MM Class C-2 Notes to Ba3
WAMU COMMERCIAL 2007-SL3: Moody's Hikes Class F Debt to Ba1

WELLS FARGO 2018-C44: Fitch Affirms B-sf Rating on Cl. G-RR Certs
WELLS FARGO 2020-1: Moody's Gives (P)B2 Rating on Class B-5 Debt
WFRBS COMMERCIAL 2011-C4: Moody's Cuts Class G Certs to Caa3
WILLIS ENGINE V: Fitch Assigns BB(EXP) Rating on Series C Debt

                            *********

ANCHORAGE CREDIT 2: Moody's Rates $25.3MM Class E-R Notes Ba3(sf)
-----------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to five
classes of CDO refinancing notes issued by Anchorage Credit Funding
2, Ltd.

Moody's rating action is as follows:

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

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

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

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

US$25,300,000 Class E-R Junior Secured Deferrable Fixed Rate Notes
due 2038 (the "Class E-R Notes"), Definitive Rating Assigned 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 collateralized debt obligation
(CDO). The issued notes are collateralized primarily by a portfolio
of corporate bonds and loans. At least 30.0% 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. (the "Manager") 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 has issued 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 used 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): 3244

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.


APRES STATIC 1: Fitch Raises Class E Debt to B+sf
-------------------------------------------------
Fitch Ratings has upgraded two and affirmed 16 tranches from 10
collateralized loan obligations.

Apres Static CLO 1, Ltd.
   
  - Class A-1 03835JAA1; LT AAAsf Affirmed
  
  - Class A-2 03835JAC7; LT AA+sf Upgraded
   
  - Class B 03835JAE3; LT Asf Affirmed
    
  - Class C 03835JAG8; LT BBBsf Affirmed
  
  - Class D 03835KAA8; LT BBsf Affirmed
   
  - Class E 03835KAC4; LT B+sf Upgraded  

Elmwood CLO I Ltd.
   
  - Class A 290015AA4; LT AAAsf Affirmed  

Jamestown CLO XI Ltd.
   
  - Class A-1 47049QAA4; LT AAAsf Affirmed  

Jamestown CLO X Ltd.
   
  - Class A-1 47048HAC1; LT AAAsf Affirmed   

Madison Park Funding XXVIII, Ltd.
   
  - Class A-1 55821AAA6; LT AAAsf Affirmed

  - Class A-2 55821AAC2; LT AAAsf Affirmed  

Jamestown CLO VI-R, Ltd.
   
  - Class A-1 47047LAA7; LT AAAsf Affirmed  

Jamestown CLO XII Ltd.
   
  - Class A-1 47047JAA2; LT AAAsf Affirmed   

Madison Park Funding XIII, Ltd.
   
  - Class A-R2 55818MBA4; LT AAAsf Affirmed

  - Class X-R 55818MAY3; LT AAAsf Affirmed  

Madison Park Funding XVII, Ltd.
   
  - Class A-R 55818YBA8; LT AAAsf Affirmed  

Madison Park Funding XX, Ltd.
   
  - Class A-1R 55819TAN1; LT AAAsf Affirmed
  
  - Class A-2R 55819TAQ4; LT AAAsf Affirmed   

KEY RATING DRIVERS

Fitch has upgraded the class A-2 notes to 'AA+sf" from 'AAsf' and
the E notes to 'B+sf' from 'Bsf' in Apres Static CLO 1, Ltd. due to
the deleveraging of the CLO's capital structure. This amortization
was driven primarily by loan prepayments and resulted in elevated
credit enhancement levels.

The rating actions were based on an updated cash flow model
analysis. This analysis evaluated the combined impact of
deleveraging, changing weighted average spread and shorter weighted
average life, as compared with initial metrics. As of the January
2020 trustee report, approximately 22.8% of the original class A-1
note balance has amortized since closing.

For the class A-2, B, C and D notes in Apres Static 1,
Model-Implied Ratings based on the cash flow model analysis are
higher than their current ratings. However, Fitch believes that
upgrades to the MIRs are not warranted in light of the notes'
performance in certain sensitivity scenarios and modest increase in
credit enhancement.

Portfolio management of each transaction was evaluated through
reviewing major drivers of par gain and loss and changes in
portfolio composition since Fitch's last rating action. Asset
credit quality, asset security, and portfolio composition are
captured in rating default rate and rating loss rate produced by
Fitch's Portfolio Credit Model. PCM output, based on the current
portfolio composition, was compared with the PCM output
corresponding to the Fitch stressed portfolio at the initial rating
assignment, as well as to the rated notes' current CE levels. For
nine CLOs still in their reinvestment periods in this review,
sufficient cushions still remain as RLR, plus losses to date, for
each CLO in this review is lower than the RLR modeled for its
respective FSP. Given the amount of cushions available, no updated
cash flow modeling was conducted for these nine CLOs.

The Stable Outlooks on all classes of notes in this review reflect
Fitch's expectation that the classes have sufficient levels of
credit protection to withstand potential deterioration in credit
quality of the portfolios in stress scenarios commensurate with
such class's rating.

RATING SENSITIVITIES

The rating of the notes may be sensitive to the following: asset
defaults, significant credit migration and lower than historically
observed recoveries for defaulted assets. Fitch conducted rating
sensitivity analysis on the closing date of each CLO, incorporating
increased levels of defaults and reduced levels of recovery rates
among other sensitivities.


BANK 2020-BNK25: Fitch Assigns B- Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings assigned ratings and Rating Outlooks to BANK
2020-BNK25 commercial mortgage pass-through certificates, series
2020-BNK25 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;

  -- $417,000,000 class A-4 'AAAsf'; Outlook Stable;

  -- $562,284,000 class A-5 'AAAsf'; Outlook Stable;

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

  -- $314,393,000a 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;

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

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

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

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

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

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

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

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

  -- $48,518,274ab class X-H;

  -- $48,518,274b class H;

  -- $81,713,593.41bc class RR Interest.

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

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

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

Since Fitch published its expected ratings on Jan. 22, 2020, the
balances for classes A-4 and A-5 were finalized. At the time that
the expected ratings were published the initial certificate
balances of classes A-4 and A-5 were unknown and expected to be
approximately $979,284,000 in aggregate. The final class balances
for classes A-4 and A-5 are $417,000,000 and $562,284,000,
respectively.

TRANSACTION SUMMARY

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.

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 Interest Only (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.


BATTALION CLO VIII: Moody's Rates $30.52MM Cl. D-1-R2 Notes Ba2
---------------------------------------------------------------
Moody's Investors Service assigned ratings to four classes of CLO
refinancing notes issued by Battalion CLO VIII Ltd.

Moody's rating action is as follows:

US$321,400,000 Class A-1-R2 Senior Secured Floating Rate Notes Due
2030 (the "Class A-1-R2 Notes"), Assigned Aaa (sf)

US$45,000,000 Class A-2-R2 Senior Secured Floating Rate Notes Due
2030 (the "Class A-2-R2 Notes"), Assigned Aa1 (sf)

US$27,900,000 Class B-R2 Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class B-R2 Notes"), Assigned A2 (sf)

US$30,520,000 Class D-1-R2 Secured Deferrable Floating Rate Notes
Due 2030 (the "Class D-1-R2 Notes"), Assigned Ba2 (sf)

Additionally, Moody's has taken rating actions on the following
outstanding notes issued by the Issuer on June 21, 2017:

US$30,700,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2030 (the "Class C-R Notes"), Upgraded to Baa2 (sf);
previously on June 21, 2017 Assigned Baa3 (sf)

US$880,000 Class D-2-R Secured Deferrable Floating Rate Notes Due
2030 (the "Class D-2-R Notes"), Upgraded to Ba2 (sf); previously on
June 21, 2017 Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of 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 liens loans and unsecured loans.

Brigade Capital Management, LP 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 remaining 2.5 year reinvestment
period. Thereafter, subject to certain restrictions, the Manager
may reinvest unscheduled principal payments and proceeds from sales
of credit risk assets.

The Issuer has issued the Refinancing Notes on February 13, 2020 in
connection with the refinancing of four classes of secured notes
previously refinanced on June 21, 2017 and originally issued on
April 9, 2015. On the Refinancing Date, the Issuer used the
proceeds from the issuance of the Refinancing Notes to redeem in
full the Refinanced Original Notes. The Issuer also issued two
classes of secured notes on the First Refinancing Date, and one
class of subordinated notes on the Original Closing Date that
remain outstanding.

In addition to the issuance of the Refinancing Notes, there was an
extension of weighted average life test and the non-call period.

Moody's rating actions on the Class C-R Notes, and Class D-2-R
Notes are primarily a result of the refinancing, which increases
excess spread available as credit enhancement to the rated notes as
well as better than expected credit performance of the portfolio to
date. Based on the trustee's January 2020 report, the WARF is
currently 2791 compared to a trigger of 2942, and the WAS is 3.68%
compared to a trigger of 3.4%.

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 weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions

Performing par and principal proceeds balance: $498,100,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 3182 (corresponding to a
weighted average default probability of 28.71%)

Weighted Average Spread (WAS): 3.68%

Weighted Average Recovery Rate (WARR): 48.07%

Weighted Average Life (WAL): 7.35 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.


BEAR STEARNS 2004-PWR6: Moody's Lowers Rating on Class N Debt to C
------------------------------------------------------------------
Moody's Investors Service affirmed the rating on one class,
upgraded the ratings on four classes and downgraded the ratings on
two classes in Bear Stearns Commercial Mortgage Securities Trust
2004-PWR6 as follows:

Cl. H, Upgraded to Aaa (sf); previously on Nov 9, 2018 Upgraded to
A2 (sf)

Cl. J, Upgraded to Aaa (sf); previously on Nov 9, 2018 Affirmed Ba1
(sf)

Cl. K, Upgraded to Baa1 (sf); previously on Nov 9, 2018 Affirmed B1
(sf)

Cl. L, Upgraded to Ba1 (sf); previously on Nov 9, 2018 Affirmed B2
(sf)

Cl. M, Affirmed Caa1 (sf); previously on Nov 9, 2018 Affirmed Caa1
(sf)

Cl. N, Downgraded to C (sf); previously on Nov 9, 2018 Affirmed Ca
(sf)

Cl. X-1*, Downgraded to Ca (sf); previously on Nov 9, 2018 Affirmed
B3 (sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The ratings on four principal and interest (P&I) classes were
upgraded primarily due to an increase in credit support since
Moody's last review, resulting from significant paydowns and
amortization, as well as the high share of defeasance. The pool has
paid down by 73% since Moody's last review and one loan
constituting 27.6% of the pool has defeased. The balances of Class
H and Class J are now both fully covered by the defeased loan
balance.

The rating on Cl. M was affirmed because the rating is consistent
with the expected recovery of principal and interest on this class
as well as its potential exposure to the specially serviced loan
that represents 10% of the deal.

The rating on Cl. N was downgraded due to realized plus anticipated
losses from the remaining loan in special servicing. Class N has
already experienced an 8% realized loss as result of previously
liquidated loans.

The rating on the IO class (Class X-1) was downgraded due to the
decline in the credit quality of its referenced classes resulting
from principal paydowns of higher quality reference classes.

Moody's rating action reflects a base expected loss of 9.1% of the
current pooled balance, compared to 2.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 1.5% of the
original pooled balance, the same as at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

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

DEAL PERFORMANCE

As of the January 13, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $24.5 million
from $1.07 billion at securitization. The certificates are
collateralized by six mortgage loans ranging in size from 7.3% to
31.5% of the pool. One loan, constituting 31.5% of the pool, has an
investment-grade structured credit assessment. One loan,
constituting 27.6% of the pool, has defeased and is secured by US
government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 4, the same as at Moody's last review.

There are no loans on the master servicer's watchlist. The
watchlist includes loans that meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of Moody's ongoing monitoring of
a transaction, the agency reviews the watchlist to assess which
loans have material issues that could affect performance.

Eight loans have been liquidated from the pool, contributing to an
aggregate realized loss of $13.6 million (for an average loss
severity of 47.1%). The only specially serviced loan in the deal is
the Northway Plaza Shopping Center Loan ($2.5 million -- 10.3% of
the pool), which is secured by an approximately 79,000 square foot
(SF) grocery-anchored retail center located in Columbia, South
Carolina. The loan had an anticipated repayment date (ARD) in July
2014 and transferred to the special servicer in October 2016 due to
cash flow being insufficient to cover debt service payments. The
loan became REO in June 2019 and the special servicer indicated
they are working to identify new leasing prospects. The largest
tenant, Food Lion (37% of net rentable area (NRA)), renewed their
lease in March 2018 with reduced rents and has a lease expiration
in February 2023. As of the September 2019 rent roll, the property
was only 51% occupied.

The loan with a structured credit assessment is the Berry Plastics
Manufacturing Plant Loan ($7.7 million -- 31.5% of the pool), which
is secured by a portfolio of four industrial properties located
across three states, Arizona (1), Illinois (2), and New York (1).
The portfolio is 100% leased to Berry Global, Inc. (LT Corporate
Family Rating -- Ba3 Outlook Stable) through November 2023. The
loan is fully amortizing, matures in November 2024, and has paid
down 63% since securitization. Moody's analysis incorporated a
Lit/Dark approach to account for the single-tenant exposure.
Moody's structured credit assessment and stressed DSCR are aaa
(sca.pd) and 3.81X, respectively.

The three remaining performing non-defeased loans represent 30.5%
of the pool balance and are all fully amortizing over their loan
term. The largest loan is the Castle Rock Portfolio Loan ($3.4
million -- 13.8% of the pool), which is secured by a portfolio of
six industrial properties and two parcels of land located in
Arizona (1) and Colorado (7). The portfolio is 100% leased to
Karcher North America, Inc. through June 2024. The loan matures in
November 2024 and has paid down 63% since securitization. Moody's
analysis incorporated a Lit/Dark approach to account for the
single-tenant exposure. Moody's LTV and stressed DSCR are 25% and
3.97X, respectively.

The second largest loan is the Wolverine Brass Loan ($2.3 million
-- 9.4% of the pool), which is secured by two industrial properties
located in Concordville, Pennsylvania and Oceanside, California.
The properties are 100% leased to Plumbmaster, Inc. through January
2024. The loan matures in November 2024 and has paid down 63% since
securitization. Moody's analysis incorporated a Lit/Dark approach
to account for the single-tenant exposure. Moody's LTV and stressed
DSCR are 28% and greater than 4.00X, respectively.

The third largest loan is the Covington Walgreens Center Loan ($1.8
million -- 7.3% of the pool), which is secured by a retail property
located in Covington, Washington, approximately 26 miles SE of
Seattle. The largest tenant, Walgreens, accounts for 82% of NRA
with a lease expiration in February 2079. The loan matures in
November 2024 and has paid down 64% since securitization. As of the
third quarter 2019 rent roll, the property was 100% occupied.
Moody's LTV and stressed DSCR are 34% and 2.76X, respectively.


BEAR STEARNS 2005-TOP18: Fitch Affirms BBsf Rating on Cl. H Certs
-----------------------------------------------------------------
Fitch Ratings upgraded one and affirmed seven classes of Bear
Stearns Commercial Mortgage Securities Trust, Commercial Mortgage
Pass-Through Certificates, series 2005-TOP18.

RATING ACTIONS

Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18

Class G 07383F5U8; LT Asf Upgrade;   previously at BBBsf

Class H 07383F5V6; LT BBsf Affirmed; previously at BBsf

Class J 07383F5W4; LT Dsf Affirmed;  previously at Dsf

Class K 07383F5X2; LT Dsf Affirmed;  previously at Dsf

Class L 07383F5Y0; LT Dsf Affirmed;  previously at Dsf

Class M 07383F5Z7; LT Dsf Affirmed;  previously at Dsf

Class N 07383F6A1; LT Dsf Affirmed;  previously at Dsf

Class O 07383F6B9; LT Dsf Affirmed;  previously at Dsf

KEY RATING DRIVERS

Increased Credit Enhancement: The upgrade to class G reflects
increased credit enhancement from four loan payoffs and continued
scheduled amortization since Fitch's last rating action. As of the
January 2020 distribution date, the pool's aggregate principal
balance has been reduced by 98.9% to $12.9 million from $1.12
billion at issuance and 48.2% since Fitch's last rating action.
Approximately $24.7 million (2.2% of the original pool balance) in
realized losses and $2.2 million in cumulative interest shortfalls
have impacted classes J through P. One loan is fully defeased (8.9%
of current pool), six loans are fully amortizing (61.0%) and the
largest loan, Sheridan Shoppes (30.1%), has a balloon payment at
maturity.

Generally Stable Performance and Loss Expectations: Overall pool
performance and loss expectations remain generally stable since
Fitch's last rating action. Two loans (30.3% of the pool),
including the largest loan in the pool, were designated Fitch Loans
of Concern (FLOCs) due to occupancy decline or payment delinquency;
however, both loans are low leveraged and expected to pay off at
their respective maturities in 1Q and 2Q20.

The largest FLOC, Sheridan Shoppes (30.1%), is secured by a
25,000-sf retail convenience center located in Davies, FL that lost
its largest tenant JPMorgan Chase (20% of NRA) in late 2019.
Occupancy fell to 74.4% as of the September 2019 rent roll from
100% at YE 2018. The property is well located in a shopping center
anchored by a non-collateral Publix, Lowe's, Ashley HomeStore and
25-screen Cinemark Theater. The loan is scheduled to mature in
April 2020.

Concentrated Pool: The transaction is highly concentrated with only
eight of the original 159 loans remaining. Due to the concentrated
nature of the pool, Fitch performed a sensitivity analysis that
grouped the remaining loans based on loan structural features,
collateral quality and performance, and then ranked them by their
perceived likelihood of repayment. The ratings reflect this
sensitivity analysis.

ADDITIONAL CONSIDERATIONS

Upcoming Loan Maturities: Two loans (30.3%), including the largest
loan, are scheduled to mature by April 2020. The remaining six
loans are scheduled to mature in 2025 (55.1%) and 2026 (14.6%).
Based on the scheduled loan maturities and amortization, class G is
expected to pay in full by April 2020 and class H is expected to
pay in full by 2025.

Single Tenant Properties: Two loans (22.0%) are secured by single
tenant Walgreens properties. The properties are leased through
December 2029 (14.6%) and December 2079 (7.4%), respectively.

RATING SENSITIVITIES

The Stable Rating Outlooks on classes G and H reflect the
increasing credit enhancement and expected continued paydown from
scheduled amortization and upcoming loan maturities in 2020.
Further upgrades are not likely due to the credit quality of the
remaining collateral, but are possible with additional paydown
and/or defeasance. Downgrades are unlikely due to the low leverage
of the remaining collateral.

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.


BENCHMARK 2020-B16: Fitch Assigns B-sf Rating on Class G Certs
--------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
BENCHMARK 2020-B16 Mortgage Trust commercial mortgage pass-through
certificates, series 2020-B16.

BMARK 2020-B16
   
  - Class A-1; LT AAAsf New Rating
  
  - Class A-2; LT AAAsf New Rating
  
  - Class A-3; LT AAAsf New Rating
  
  - Class A-4; LT AAAsf New Rating
  
  - Class A-5; LT AAAsf New Rating
  
  - Class A-M; LT AAAsf New Rating

  - Class A-SB; LT AAAsf New Rating

  - Class B; LT AA-sf New Rating
  
  - Class C; LT A-sf New Rating

  - Class D; LT BBBsf New Rating
  
  - Class E; LT BBB-sf New Rating

  - Class F; LT BB-sf New Rating
  
  - Class G; LT B-sf New Rating
  
  - Class H; LT NRsf New Rating

  - Class VRR; LT NRsf New Rating
  
  - Class X-A; LT AAAsf New Rating
  
  - Class X-B; LT A-sf New Rating

  - Class X-D; LT BBB-sf New Rating
  
  - Class X-F; LT BB-sf New Rating
  
  - Class X-G; LT B-sf New Rating
  
  - Class X-H; LT NRsf New Rating

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

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

  - $40,849,000 class A-3 'AAAsf'; Outlook Stable;

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

  - $221,000,000a class A-4 'AAAsf'; Outlook Stable;

  - $311,560,000a 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;

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

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

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

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

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

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

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

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

The following classes are not rated by Fitch:

  - $26,692,872c class H;

  - $26,692,872bc class X-H;

  - $44,955,000cd class VRR.

(a) When Fitch published its expected ratings on Jan. 21, 2020, the
initial certificate balances of class A-4 and A-5 were unknown and
expected to be $532,560,000 in aggregate. The certificate balances
have been finalized, and the above structure reflects the final
class balances and ratings.

(b) Notional amount and interest only.

(c) Privately placed and pursuant to Rule 144A

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

The ratings are based on information provided by the issuer as of
Feb. 11, 2020.

TRANSACTION SUMMARY

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% 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 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 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
totaling 88.6% of the deal are full interest-only 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 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-B16 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
Ernst & Young LLP. The third-party due diligence described in Form
15E focused on a comparison and re-computation of certain
characteristics with respect to each of the mortgage loans. Fitch
considered this information in its analysis and the findings did
not have an impact on the analysis or conclusions.

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.


BX TRUST 2017-CQHP: Moody's Affirms B3 Rating on Class F Certs
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings on six classes of BX
Trust 2017-CQHP, Commercial Mortgage Pass-Through Certificates,
Series 2017-CQHP. Moody's rating action is as follows:

Cl. A, Affirmed Aaa (sf); previously on Oct 25, 2018 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa3 (sf); previously on Oct 25, 2018 Affirmed Aa3
(sf)

Cl. C, Affirmed A3 (sf); previously on Oct 25, 2018 Affirmed A3
(sf)

Cl. D, Affirmed Baa3 (sf); previously on Oct 25, 2018 Affirmed Baa3
(sf)

Cl. E, Affirmed Ba3 (sf); previously on Oct 25, 2018 Affirmed Ba3
(sf)

Cl. F, Affirmed B3 (sf); previously on Oct 25, 2018 Affirmed B3
(sf)

RATINGS RATIONALE

Moody's has affirmed the ratings on six P&I classes due to the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR),
being within acceptable ranges.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns, an increase in defeasance or
an improvement in loan performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the loan or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these classes was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.

DEAL PERFORMANCE

As of the January 15, 2020 payment date, the transaction's
aggregate certificate balance remains unchanged at $274 Million.
The securitization is backed by a single floating rate loan
collateralized by four Club Quarter hotels. The portfolio totals
1,228 rooms, and includes the 346 room Club Quarters San Francisco,
the 429 room Club Quarters Chicago Central Loop, the 178 room Club
Quarters Boston, and the 275 room Club Quarters Philadelphia. The
interest only loan's final maturity date is in November 2022.

Club Quarters drives business through memberships with corporate
clients that commit to a minimum number of room nights at a
property annually. On weekends when corporate travel demand
generally decreases, they cater to non-members and leisure
travelers.

The portfolio's Net Cash Flow(NCF) for the trailing twelve months
ending September 2019 was $28.9 Million, compared to 2018 NCF of
$27.3 Million. Moody's stabilized NCF is $25.4 Million, the same as
securitization. Moody's stressed LTV and stressed DSCR for the
mortgage are 121% and 1.00X, respectively. The trust has not
incurred any losses or interest shortfalls as of the current
payment date.


CAPITAL ONE: Fitch Affirms BBsf Rating on Class 2002-1D Debt
------------------------------------------------------------
Fitch Ratings has affirmed the long-term ratings on the notes
assigned to Capital One Multi-asset Execution Trust. The Rating
Outlooks remain Stable.

Capital One Multi-Asset Execution Trust Card Series
   
  - Class 2015-2A 14041NEV9; LT AAAsf Affirmed

  - Class 2015-3A 14041NEW7; LT AAAsf Affirmed
   
  - Class 2015-4A 14041NEX5; LT AAAsf Affirmed
  
  - Class 2015-8A 14041NFB2; LT AAAsf Affirmed
  
  - Class 2016-2A 14041NFD8; LT AAAsf Affirmed
  
  - Class 2016-5A 14041NFG1; LT AAAsf Affirmed
    
  - Class 2016-7A 14041NFJ5; LT AAAsf Affirmed
  
  - Class 2017-1A 14041NFK2; LT AAAsf Affirmed
   
  - Class 2017-2A 14041NFL0; LT AAAsf Affirmed
  
  - Class 2017-3A 14041NFM8; LT AAAsf Affirmed
  
  - Class 2017-4A 14041NFN6; LT AAAsf Affirmed
  
  - Class 2017-5A 14041NFP1; LT AAAsf Affirmed
   
  - Class 2017-6A 14041NFQ9; LT AAAsf Affirmed
   
  - Class 2018-2A 14041NFS5; LT AAAsf Affirmed
   
  - Class 2018-A1 14041NFR7; LT AAAsf Affirmed
  
  - Class 2019-1A 14041NFT3; LT AAAsf Affirmed
  
  - Class 2019-2A 14041NFU0; LT AAAsf Affirmed
  
  - Class 2019-3A 14041NFV8; LT AAAsf Affirmed

  - Class 2009-C B; LT Asf Affirmed

  - Class 2005-3B 14041NCG4; LT Asf Affirmed
  
  - Class 2009-A C; LT BBBsf Affirmed
  
  - Class 2002-1D; LT BBsf Affirmed  

KEY RATING DRIVERS

Receivables' Performance and Collateral Characteristics: Chargeoff
performance has remained largely consistent over the past few
years. The current 12-month average gross chargeoff rate as of the
January 2020 distribution date is 3.62% compared to 3.59% in
January 2019. Fitch maintains its chargeoff steady state at 7.00%.

Monthly payment rate, which includes principal and finance charge
collections and is a measure of how quickly consumers are paying
off their credit card debts, continues to trend higher year over
year. Current 12-month average MPR is 35.35% compared to 33.48% one
year ago, and 30.99% the year before that. With continued strong
and improving performance, Fitch increases its MPR steady state to
26.00% from 25.00%, and views this as adequately conservative based
on the history of the trust.

The current 12-month average gross yield as of the January 2020
distribution period is 24.06% compared to 23.19% one year ago.
Gross yield has remained stable over the past few years; therefore,
Fitch maintains the gross yield steady state at 19.0%, which
incorporate Fitch's interchange haircut in case interchange is
affected in the future by regulatory or competitive factors.

Credit enhancement continues to be sufficient with robust loss
multiples that are in line with the current ratings. The Stable
Outlook on the notes reflects Fitch's expectation that performance
will remain supportive of these ratings, given the steady states
and stresses detailed below.

Originator and Servicer Quality: Fitch believes Capital One Bank
(USA) National Association to be an effective and capable
originator and servicer given its extensive track record. Capital
One Bank (USA), National Association currently has a Fitch Issuer
Default Rating of 'A-'/'F1'.

Counterparty Risk: Fitch's ratings of the notes are dependent on
the financial strength of certain counterparties. Fitch believes
this risk is currently mitigated as evidenced by the ratings of the
applicable counterparties to the transactions.

Interest Rate Risk: Interest rate risk is currently mitigated by
the available credit enhancement. For the class A notes, total CE
of 21.00% is provided by 9.00% subordination of class B notes,
9.00% subordination of class C notes and 3.00% subordination of
class D notes. The class B benefits from 12.00% CE achieved through
9.00% subordination of class C and 3.00% subordination of class D.
The class C benefits from 4.00% CE achieved through 3.00%
subordination of class D and a reserve account. The class D
benefits from a reserve account.

Fitch analyzed characteristics of the underlying collateral to
better assess overall asset performance. This supplements Fitch's
analysis of the originator's historical data when determining the
following steady state performance assumptions and stresses:

Steady State:

Annualized Chargeoffs - 7.00%;

MPR - 26.00% from 25.00%;

Annualized Gross Yield - 19.00%;

Purchase Rate - 100.00%.

Rating Level Stresses (for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf'):

Chargeoffs (increase) - 4.50x/3.00x/2.25x/1.75x

Payment Rate (% decrease) - 55.00/46.20/39.60/30.80;

Gross Yield (% decrease) - 35.00/25.00/20.00/15.00;

Purchase Rate (% decrease) - 50.00/40.00/35.00/30.00.

RATING SENSITIVITIES

Rating sensitivity to increased chargeoff rate:

Current ratings for class A, class B, class C and class D, (steady
state: 7%): 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf'

Increase base case by 25%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf'

Increase base case by 50%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf'

Increase base case by 75%: 'AAAsf'; 'Asf'; 'BBBsf'; 'B+sf'

Rating sensitivity to reduced purchase rate:

Current ratings for class A, class B, class C and class D, (100%
base assumption): 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf'

Reduce purchase rate by 50%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf'

Reduce purchase rate by 75%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf'

Reduce purchase rate by 100%: 'AAAsf'; 'Asf'; 'BBBsf'; 'BBsf'

Rating sensitivity to increased chargeoff rate and reduced MPR:

Current ratings for class A, class B, class C and class D
(charge-off steady state: 7%; MPR steady state: 26%): 'AAAsf';
'Asf'; 'BBBsf'; 'BBsf'

Increase charge-off rate by 25% and reduce MPR by 15%: 'AAAsf';
'Asf'; 'BBBsf'; 'BBsf'

Increase charge-off rate by 50% and reduce MPR by 25%: 'AAAsf';
'Asf'; 'BBBsf'; 'BB-sf'

Increase charge-off rate by 75% and reduce MPR by 35%: 'AA+sf';
'Asf'; 'BBsf'; 'Bsf'

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

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

ESG CONSIDERATIONS

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


CHASE HOME 2019-ATR1: Moody's Hikes Rating on Class B-5 Debt to B2
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 7 tranches from
Chase Home Lending Mortgage Trust 2019-ATR1. The transaction is a
securitization backed by first-lien prime quality mortgage loans.
The mortgage loans are 100% non-qualified and fully-amortizing
fixed-rate and are predominantly 30-year term mortgages.

The complete rating action is as follows:

Issuer: Chase Home Lending Mortgage Trust 2019-ATR1

Cl. A-14, Upgraded to Aaa (sf); previously on Apr 30, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Apr 30, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 30, 2019
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Apr 30, 2019
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded
to Baa2 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 30, 2019
Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Upgraded to B2 (sf); previously on Apr 30, 2019 Definitive
Rating Assigned B3 (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to the increase in credit
enhancement available to the bonds and a decrease in its projected
pool losses. The action reflects the strong performance of the
underlying pool with minimal, if any, serious delinquencies to
date.

Its updated losses expectations on the pool incorporate, amongst
other factors, its assessment of the representations and warranties
framework of the transaction, the due diligence findings of third
party reviews received at the time of issuance, and the qualities
of the transaction's originators and servicers.

The transaction's cash flows follow a shifting interest structure
which allows the subordinate tranches to receive principal payments
with the senior tranches. As such, the senior tranches' support
from the subordinate tranches may decrease as the transaction
seasons, and their abilities to withstand collateral performance
volatilities, if any, could deteriorate, especially towards the end
of life of the transaction ("tail risks"). However, the provision
of a credit enhancement floor of the transaction helps protect the
senior tranches from eroding credit enhancement over time.

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

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

Down

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

Up

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


CITIGROUP 2020-GC46: DBRS Gives Prov. BB(low) Rating on G-RR Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-GC46
issued by Citigroup Commercial Mortgage Trust 2020-GC46:

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

All trends are Stable. Class X-B, Class X-D, Class X-F, Class D,
Class E, Class F, and Class G-RR will be privately placed.

The collateral consists of 46 fixed-rate loans secured by 139
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. When the cut-off loan balances were measured
against the DBRS Morningstar Stabilized Net Cash Flow (NCF) and
their respective actual constants, the initial DBRS Morningstar
weighted average (WA) DSCR of the pool was 2.48 times (x). Five of
the loans, representing 5.1% of the pool, had a DBRS Morningstar
Term DSCR below 1.32x, a threshold indicative of a higher
likelihood of mid-term default. Additionally, the pool additionally
includes 18 loans, representing 28.4% of the pool by allocated loan
balance, with issuance LTVs higher than 67.1%, a threshold
historically indicative of above-average default frequency. The WA
LTV of the pool at issuance was 55.7% and the pool is scheduled to
amortize down to a WA LTV of 52.1% at maturity.

The transaction includes eight loans, representing a combined 36.2%
of the total pool balance, that is shadow-rated investment grade by
DBRS Morningstar, including 1633 Broadway, 650 Madison Avenue,
Parkmerced, Bellagio Hotel and Casino, 805 Third Avenue,
Southcenter Mall, CBM Portfolio, and 510 East 14th Street. Bellagio
Hotel and Southcenter Mall both exhibit credit characteristics
consistent with an "AAA" shadow rating, Parkmerced exhibits credit
characteristics consistent with a AA (high) shadow rating, DBRS
Morningstar shadow-rated CBM Portfolio rated at AA (low), and 1633
Broadway exhibits credit characteristics consistent with A (low)
shadow rating. 805 Third Avenue was shadow rated BBB (high), while
650 Madison Avenue and 510 East 14th Street both exhibited
characteristics consistent with BBB (low) shadow ratings.

Ten sampled loans, representing 39.7% of the pool balance, had
Average (+), Above Average, or Excellent property quality.
Additionally, no loan had Below Average property quality. Three of
the five largest loans in the pool, representing 23.3% of the pool
balance, have Above Average property quality.

The pool benefits from a fairly large amount of loans secured by
properties in urban, liquid markets. Loans secured by properties in
DBRS Market Ranks 7 and 8 represent 32.2% of the pool, which is
higher than many recent conduit transactions. In addition, the
weighted average DBRS Market Rank of 4.73 is considered relatively
high. Twenty-three loans, representing a combined 66.4% of the
cutoff pool balance, are structured with full-term IO periods. An
additional 13 loans, representing 25.4% of the pooled cutoff
balance, are structured with partial-IO terms ranging from 24
months to 60 months. Seven of the loans structured with full-term
IO periods are shadow-rated investment grade and represent more
than half of the 66.4% full IO concentration. The WA DBRS
Morningstar LTV of the full-term IO loans is extremely low at
48.8%.

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

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


CITIGROUP COMMERCIAL 2006-C4: Fitch Raises Class C Certs to Bsf
---------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed 11 classes of Citigroup
Commercial Mortgage Trust, commercial mortgage pass-through
certificates, series 2006-C4.

Citigroup Commercial Mortgage Trust 2006-C4
   
  - Class C 17309DAJ2; LT Bsf Upgraded  

  - Class D 17309DAK9; LT Csf Affirmed
  
  - Class E 17309DAM5; LT Dsf Affirmed
   
  - Class F 17309DAN3; LT Dsf Affirmed
  
  - Class G 17309DAP8; LT Dsf Affirmed
  
  - Class H 17309DAQ6; LT Dsf Affirmed

  - Class J 17309DAR4; LT Dsf Affirmed

  - Class K 17309DAS2; LT Dsf Affirmed
  
  - Class L 17309DAT0; LT Dsf Affirmed
  
  - Class M 17309DAU7; LT Dsf Affirmed
  
  - Class N 17309DAV5; LT Dsf Affirmed
  
  - Class O 17309DAW3; LT Dsf Affirmed  

KEY RATING DRIVERS

Increased Defeasance and Credit Enhancement: The upgrade to class C
reflects the increased defeasance since Fitch's last rating action.
Two loans (14.7% of pool) are fully defeased, including one (6.6%)
that has defeased since Fitch's last rating action. The defeased
loans are scheduled to mature in January 2021 (6.6%) and May 2021
(8.1%), and would repay approximately 44% of the class C
certificate balance. The remaining class C balance is covered by
the five non-defeased performing loans (21.5%) with upcoming
anticipated repayment dates in January 2021 or February 2021.

As of the January 2020 distribution date, the pool's aggregate
principal balance has been reduced by 96.9% to $69.2 million from
$2.26 billion at issuance. There have been $166.1 million (7.3% of
original pool balance) in realized losses to date. Cumulative
interest shortfalls of $11.1 million are currently affecting
classes D through P.

High Loss Expectations; Concentration of Specially Serviced
Loans/Assets: Fitch's overall loss expectations on the specially
serviced loans/REO assets remain high. Three loans totaling $44.2
million (63.8%) are currently in special servicing and REO assets.
Fitch expects losses for these assets to be significant based on
the servicer's most recent values.

The largest specially serviced loan, Dubois Mall (41%), is secured
by an approximately 440,000 sf regional mall in DuBois, PA,
approximately 100 miles northeast of Pittsburgh, PA. The loan was
transferred to special servicing in May 2016 because of imminent
maturity default and become REO in April 2019. Per the October 2019
rent roll, mall occupancy was 69.8%. Current major collateral
tenants include JCPenney, Big Lots and Ross Dress for Less. A
third-party property manager has been put in place by the servicer
to manage and lease the vacant space. Per servicer updates, a
letter of intent is currently being negotiated for the 60,000sf
vacant anchor box (14.4% of NRA) previously occupied by Sears,
which vacated in December 2018.

Concentrated Pool: Only 10 of the original 170 loans remain. The
five non-defeased performing loans (21.5%) are scheduled to mature
in 2021 and include two single-tenant Walgreens (14.7%) in
Henderson, NV and Orange, CT with longer dated lease expirations
and anticipated repayment date (ARD) in January 2021. The three
other non-defeased performing loans (6.8%), which are cross
collateralized, include a single-tenant United Supermarket (4.3%)
in Lubbock, TX and two single-tenant Advanced Auto Parts (2.5%) in
Cleveland, OH and Denton Township, MI. Per servicer updates, leases
for all three properties have been recently renewed for an
additional five years and now extend beyond the loans' ARD in
February 2021.

Due to the concentrated nature of the pool, Fitch performed a
sensitivity analysis that grouped the remaining loans based on
timing and likelihood for repayment from maturing defeased and
performing loans, and expected losses from the liquidation of
specially serviced loans.

RATING SENSITIVITIES

The Positive Outlook for class C reflects the high credit
enhancement and anticipated deleveraging of the class from defeased
loans. Upward rating migration for class C and D is limited due to
the pool retail concentration and high expected losses from
specially serviced loans; however, a future multi-category upgrade
for class C may be possible with additional paydown, defeasance
and/or better than anticipated recovery from specially serviced
loans. A downgrade to the distressed class D is considered possible
as specially serviced losses are incurred from loan dispositions.

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

CGCMT 2006-C4 has an ESG Relevance Score of 4 for Exposure to
Social Impacts due to malls that are underperforming as a result of
changing consumer preference to shopping, which has a negative
impact on the credit profile and is highly relevant to the rating.


CITIGROUP COMMERCIAL 2015-GC29: Fitch Affirms Class F Certs at Bsf
------------------------------------------------------------------
Fitch Ratings affirmed 14 classes of Citigroup Commercial Mortgage
Trust series 2015-GC29 commercial mortgage pass-through
certificates.

RATING ACTIONS

CGCMT 2015-GC29

Class A-2 17323VAX3;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 17323VAY1;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 17323VAZ8;  LT AAAsf Affirmed;  previously at AAAsf

Class A-AB 17323VBB0; LT AAAsf Affirmed;  previously at AAAsf

Class A-S 17323VBC8;  LT AAAsf Affirmed;  previously at AAAsf

Class B 17323VBD6;    LT AA-sf Affirmed;  previously at AA-sf

Class C 17323VBE4;    LT A-sf Affirmed;   previously at A-sf

Class D 17323VAA3;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 17323VAC9;    LT BBsf Affirmed;   previously at BBsf

Class F 17323VAE5;    LT Bsf Affirmed;    previously at Bsf

Class PEZ 17323VBH7;  LT A-sf Affirmed;   previously at A-sf

Class X-A 17323VBF1;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 17323VBG9;  LT AA-sf Affirmed;  previously at AA-sf

Class X-D 17323VAL9;  LT BBB-sf Affirmed; previously at BBB-sf

KEY RATING DRIVERS

Stable Overall Performance and Loss Expectations: The affirmations
are based on the overall stable performance of the underlying
collateral and expected losses that are generally in line with
Fitch's last rating action. As of the January 2020 remittance
report, there were two (0.7% of the pool) specially serviced loans.
Thirteen loans (13.4% of pool) were flagged as Fitch Loans of
Concern (FLOCs), including two loans in the top 15 (8.2%). There
have been no realized losses to date.

The largest FLOC (5.8%), Parkchester Commercial, is collateralized
by a retail/office mixed-use property with 541,232sf located in the
Bronx, NY. Servicer reported YE 2018 NOI has declined by 23%
compared to YE 2017 NOI and 40% compared to issuance, mainly due to
real estate taxes increasing by 46% from YE 2017 to YE 2018.
Occupancy has remained relatively stable at the property and is 94%
as of September 2019 compared to 93% at issuance and the NOI debt
service coverage ratio (DSCR) as of YE 2018 was 1.14x compared to
1.61x at YE 2017 and 1.92x at issuance.

The second largest FLOC (2.4%), Ansley Walk, is collateralized by a
multifamily property in Lafayette, LA, which has experienced
performance decline primarily due to exposure to the oil and gas
industry, as many tenants are employed by energy companies.
Servicer reported NOI DSCR and occupancy as of YE 2018 declined to
1.27x and 97%, from 1.40x and 97.5% at issuance. Occupancy has
remained relatively stable but rental rates have declined causing
YE 2018 NOI to drop by 33% compared to issuance.

Minimal Change to Credit Enhancement: As of the January 2020
distribution date, the pool's aggregate principal balance has been
paid down by 5.5% to $1.06 billion from $1.12 billion at issuance.
Five loans (11.9%) have been defeased compared to five loans (3.5%)
at the prior rating action. Interest shortfalls are currently
affecting class H. At issuance, the pool was scheduled to amortize
by 8.4% of the original pool balance through maturity. Of the
current pool, five loans (41.2%) are full-term interest-only and 15
loans (18.3%) are partial-term interest-only that have not started
to amortize. Three loans totaling $111 million mature in 2020
including two loans in the top 15.

ADDITIONAL CONSIDERATIONS

Pari Passu Loans: Five loans comprising 27.7% of the pool are part
of a pari passu loan combination: Selig Office Portfolio (11.8% of
the pool), 3 Columbus Circle (9.5% of the pool), 170 Broadway (4.7%
of the pool), Crowne Plaza Bloomington (1.2% of the pool), and
Commerce Pointe I & II (0.5% of the pool). The Selig Office
Portfolio, 170 Broadway and Crowne Plaza Bloomington loan
combinations are serviced under the pooling and servicing agreement
for this transaction. The controlling notes for the 3 Columbus
Circle and Commerce Pointe I & II loan combinations are held
outside the trust.

Limited Hotel and Retail Exposure: Only 6.0% of the pool by balance
consists of hotel properties. Retail properties make up 17.4% of
the pool balance, and none are considered regional malls.

Maturity Schedule: Three loans (10.6% of the pool) are scheduled to
mature in 2020. The next scheduled loan maturities are in 2024
(five loans, 3.4% of the pool) with the remainder of the pool
maturing in 2025 (74 loans; 85.6%).

RATING SENSITIVITIES

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

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

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

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.


CREDIT SUISSE 2005-C1: Fitch Affirms D Ratings on 7 Tranches
------------------------------------------------------------
Fitch Ratings has taken various actions on bonds in five U.S.
commercial mortgage-backed securities 1.0 transactions. Each of
these transactions has one non-distressed senior bond, many
distressed bonds, and four or fewer loans remaining.

Credit Suisse First Boston Mortgage Securities Corp. 2005-C1
   
  - Class F 225458DT2; LT BBBsf Affirmed
  
  - Class H 225458DV7; LT Dsf Affirmed
  
  - Class J 225458DW5; LT Dsf Affirmed
  
  - Class K 225458DX3; LT Dsf Affirmed

  - Class L 225458GM4; LT Dsf Affirmed

  - Class M 225458DY1; LT Dsf Affirmed
  
  - Class N 225458DZ8; LT Dsf Affirmed
  
  - Class O 225458EA2; LT Dsf Affirmed   

Cobalt CMBS Commercial Mortgage Trust 2007-C2
   
  - Class C 19075CAK9; LT Asf Upgrade

  - Class D 19075CAL7; LT Dsf Affirmed
  
  - Class E 19075CAM5; LT Dsf Affirmed
  
  - Class F 19075CAN3; LT Dsf Affirmed
  
  - Class G 19075CAS2; LT Dsf Affirmed
  
  - Class H 19075CAT0; LT Dsf Affirmed
  
  - Class J 19075CAU7; LT Dsf Affirmed
  
  - Class K 19075CAV5; LT Dsf Affirmed
  
  - Class L 19075CAW3; LT Dsf Affirmed
  
  - Class M 19075CAX1; LT Dsf Affirmed
    
  - Class N 19075CAY9; LT Dsf Affirmed
   
  - Class O 19075CAZ6; LT Dsf Affirmed
  
  - Class P 19075CBA0; LT Dsf Affirmed
   
  - Class Q 19075CBB8; LT Dsf Affirmed   

Morgan Stanley Capital I Trust 2006-HQ9
   
  - Class E 61750CAM9; LT BBsf Affirmed
  
  - Class F 61750CAN7; LT Dsf Affirmed
  
  - Class G 61750CAS6; LT Dsf Affirmed
   
  - Class H 61750CAT4; LT Dsf Affirmed
  
  - Class J 61750CAU1; LT Dsf Affirmed
  
  - Class K 61750CAV9; LT Dsf Affirmed
  
  - Class L 61750CAW7; LT Dsf Affirmed
  
  - Class M 61750CAX5; LT Dsf Affirmed
  
  - Class N 61750CAY3; LT Dsf Affirmed
   
  - Class O 61750CAZ0; LT Dsf Affirmed
  
  - Class P 61750CBA4; LT Dsf Affirmed
  
  - Class Q 61750CBB2; LT Dsf Affirmed  

LB-UBS Commercial Mortgage Trust 2004-C6
   
  - Class J 52108HL44; LT BBBsf Upgrade
  
  - Class K 52108HL69; LT Dsf Affirmed
  
  - Class L 52108HL85; LT Dsf Affirmed
   
  - Class M 52108HM27; LT Dsf Affirmed
   
  - Class N 52108HM43; LT Dsf Affirmed  

J. P. Morgan Chase Commercial Mortgage Securities Corp. 2003-ML1
   
  - Class L 46625MWF2; LT BBsf Affirmed
  
  - Class M 46625MWG0; LT Csf Affirmed
   
  - Class N 46625MWH8; LT Dsf Affirmed   

TRANSACTION SUMMARY

Fitch has upgraded two classes due to improved leverage of the
underlying collateral and increased likelihood of payoff. In Cobalt
CMBS Commercial Mortgage Trust 2007-C2, class C has been upgraded
to 'Asf' from 'BBBsf, primarily as a result of the increased
likelihood of payoff of the largest loan, Lowe's Home Improvement
Center, collateralized by a single tenant retail property in
Paterson, NJ. The balloon loan matures in November 2020 and Lowes'
lease expires in 2026. The total debt per square foot (psf) is $98
psf, and the recovery needed on class C is approximately $15 psf.
In LB-UBS Commercial Mortgage Trust 2004-C6, class J has been
upgraded to 'BBBsf' from 'BBsf', primarily due to the decline in
leverage of the remaining loan in the transaction, 1221 Kapiolani,
an office property in Honolulu, HI. The loan is fully amortizing,
matures in 2022 and the current leverage is $20 psf.

All remaining classes in these five transactions have been
affirmed, 36 of which are at 'Dsf' due to already incurred realized
losses. One class has been affirmed at 'Csf' as losses from an REO
asset remain inevitable.

KEY RATING DRIVERS

Increased to Stable Credit Enhancement to Senior Bonds: All of the
transactions have experienced either improved credit enhancement
due to continued loan amortization from the performing loans, or
sufficient credit enhancement to the non-distressed senior classes
to absorb any expected losses.

Stable to Improved Loss Expectations: All of the transactions have
either stable or improved loss expectations on their remaining
loans. The likelihood of repayment to the non-distressed classes
remains high as each are rated 'BBsf' or higher. Losses to classes
rated 'Csf' or 'Dsf' are considered inevitable or have already
occurred.

RATING SENSITIVITIES

Limited rating changes are expected given the concentrated nature
of these five transactions, each with four or fewer loans
remaining. Future upgrades to the most senior classes are possible
if loans continue to de-lever and perform. Downgrades, while not
expected, are possible if expected losses increase or if realized
losses are higher than expected. Distressed ratings are expected to
be affirmed at 'Dsf' due to already incurred realized losses. The
class rated 'Csf' is expected to be downgraded to 'Dsf' once losses
are realized.

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 the
transaction.


DT AUTO 2020-1: DBRS Finalizes BB Rating on Class E Notes
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Notes issued by DT Auto Owner Trust 2020-1 (DTAOT 2020-1
or the Issuer):

-- $203,750,000 Class A Notes at AAA (sf)
-- $52,500,000 Class B Notes at AA (sf)
-- $75,000,000 Class C Notes at A (sf)
-- $67,500,000 Class D Notes at BBB (sf)
-- $34,250,000 Class E Notes at BB (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.

-- DTAOT 2020-1 provides for Class A, B, C, D, and E coverage
multiples slightly below the DBRS Morningstar range of multiples
set forth in the criteria for this asset class. DBRS Morningstar
believes that this is warranted, given the magnitude of expected
loss and structural features of the transaction.

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

-- The quality and consistency of the provided historical static
pool data for DriveTime Automotive Group, Inc. (DriveTime)
originations and the performance of the DriveTime auto loan
portfolio.

-- 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 DriveTime, that the trust has a
valid first-priority security interest in the assets and
consistency with DBRS Morningstar's "Legal Criteria for U.S.
Structured Finance."

The DTAOT 2020-1 transaction represents a securitization of a
portfolio of motor vehicle retail installment sales contracts
originated by DriveTime Car Sales Company, LLC (the Originator).
The Originator is a direct, wholly-owned subsidiary of DriveTime.
DriveTime is a leading used vehicle retailer in the United States
that focuses primarily on the sale and financing of vehicles to the
subprime market.

The rating on the Class A Notes reflects 60.75% of initial hard
credit enhancement provided by the subordinated Notes in the pool,
the Reserve Account (1.50%), and overcollateralization (13.40%).
The ratings on Class B, C, D, and E Notes reflect 50.25%, 35.25%,
21.75%, and 14.90% 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.


EAGLE RE 2020-1: DBRS Finalizes B(low) Rating on 2 Tranches
-----------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Insurance-Linked Notes, Series 2020-1 (the Notes) issued
by Eagle Re 2020-1 Ltd. (EMIR 2020-1 or the Issuer):

-- $83.9 million Class M-1A at BBB (low) (sf)
-- $133.2 million Class M-1B at BB (high) (sf)
-- $88.8 million Class M-1C at BB (low) (sf)
-- $157.9 million Class M-2 at B (low) (sf)
-- $52.6 million Class M-2A at B (high) (sf)
-- $52.6 million Class M-2B at B (sf)
-- $52.6 million Class M-2C at B (low) (sf)
-- $24.7 million Class B-1 at B (low) (sf)

The BBB (low) (sf), BB (high) (sf), BB (low) (sf), B (high) (sf), B
(sf), and B (low) (sf) ratings reflect 6.15%, 4.80%, 3.90%, 3.37%,
2.83%, and 2.05% of credit enhancement, respectively.

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

EMIR 2020-1 is Radian Guaranty Inc.'s (Radian Guaranty or the
ceding insurer) third-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
156,065 fully amortizing first-lien fixed- and variable-rate
mortgage loans, 100% underwritten to a full documentation standard
with original loan-to-value ratios less than or equal to 97%, that
have never been reported as 60 or more days delinquent. The
mortgage loans were originated on or after October 2018 with the
associated MI policies effective on or after January 2019.

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 (100.0%) 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
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 8.0% from 7.0%. 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. Please refer to the offering circular for more
details.

The Notes are scheduled to mature on the payment date in January
2030 but will be subject to early redemption at the option of the
ceding insurer, either (1) for a 10% clean-up call or (2) on or
following the payment date in January 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 Radian 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.

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


FINANCE OF AMERICA 2020-HB1: Moody's Rates Class M4 Debt '(P)B3'
----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to five
classes of residential mortgage-backed securities issued by Finance
of America HECM Buyout 2020-HB1. The ratings range from (P)Aaa (sf)
to (P)B3 (sf).

The certificates are backed by a pool that includes 1,766 inactive
home equity conversion mortgages and 198 real estate owned
properties. The servicer for the deal is Finance of America Reverse
LLC (FAR). The complete rating actions are as follows:

Issuer: Finance of America HECM Buyout 2020-HB1

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

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

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

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

Cl. M4, Assigned (P)B3 (sf)

RATINGS RATIONALE

The collateral backing FAHB 2020-HB1 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. FAR acquired the mortgage assets from Ginnie Mae
sponsored HECM mortgage backed (HMBS) securitizations. All of the
mortgage assets are covered by FHA insurance for the repayment of
principal up to certain amounts. There are 1,964 mortgage assets
with a balance of $373,912,149. The assets are in default, due and
payable, bankruptcy, foreclosure or REO status. Loans that are in
default may move to due and payable; due and payable loans may move
to foreclosure; and foreclosure loans may move to REO. 24.3% of the
assets are in default of which 0.3% (of the total assets) are in
default due to non-occupancy, 23.3% (of the total assets) are in
default due to taxes and insurance. 16.4% of the assets are due and
payable, 43.1% of the assets are in foreclosure and 6.1% were in
bankruptcy status. Finally, 10.1% of the assets are REO properties
and were acquired through foreclosure or deed-in-lieu of
foreclosure on the associated loan. If the value of the related
mortgaged property is greater than the loan amount, some of these
loans may be settled by the borrower or their estate.

In addition, there are 168 loans that are Optional Delay Mortgages
in the pool (7.6% by asset balance), that have remained in the same
liquidation status since the first half of 2018 or earlier. Based
on HUD rules, servicers may delay calling loans due and payable if
the total amount owed for missed taxes and insurance is less than
$2,000 and meet certain criteria. Moody's belives such loans could
remain in the pool for a significant period of time without
liquidating and may experience large losses, in cases where UPB is
greater than MCA, if they eventually cure and get assigned to HUD.
HUD only reimburses mortgagees up to 100% of the MCA no matter what
the UPB is when the loan becomes eligible for assignment to HUD.
Therefore, if the UPB is greater than the MCA at the time of
assignment, there will be a loss. This risk is present in all
inactive HECMs but is a particular concern for Optional Delay
Mortgages because these loans are likely to cure from default only
after a significant delay, at which point their UPB could be far
greater than their MCA due to negative amortization.

It is highly likely that such loans will not proceed to foreclosure
and that the loans will not be liquidated until the borrower or
borrowers die. As such, there is a significant likelihood that no
proceeds will be received on certain of these loans within the ten
year stated final maturity of the transaction. Due to the high
likelihood that no proceeds will be received for Optional Delay
Mortgages within the next 10 years, Moody's did not give credit to
such loans in its rating analysis.

Compared to other inactive HECM transactions rated by Moody's, FAHB
2020-HB1 has a significantly higher concentration of mortgage
assets in Puerto Rico at 23.2%. Puerto Rico HECMs pose additional
risk due to the poor state of the Puerto Rico economy, the
uncertainty in the housing market, the aftermath of Hurricane Maria
that led to a population outflow, and the bureaucratic foreclosure
process. In addition, Puerto Rico has a tax exoneration policy that
exempts many seniors from property taxes. Due to the territory's
bureaucratic tax exoneration process, it may require a significant
amount of time to liquidate Puerto Rico HECMs with tax
delinquencies. In addition, there has been a three month moratorium
placed on mortgage loans in light of the series of earthquakes that
occurred in December 2019 and January 2020. Moody's applied
additional stress in its analysis to account for the risk posed by
properties in Puerto Rico.

Although FAHB 2020-HB1 is similar to FASST 2019-HB1, there are some
key differences.

  -- At least 2.9% of the UPB is expected to be deposited into the
trust by the seller as of the closing due to pre-closing
collections and prepayments. Moody's took this into consideration
in its cash-flow assumptions.

  -- Servicing fee of $50 per month per mortgage loan will be paid
to the servicer on top of the waterfall before payment to the
noteholders. Of note, in FASST 2019-HB1 transaction servicing fee
was subordinated to payments to the noteholders. Moody's belives
that the subordination of servicing fees along with servicing
advances and MIP payments helps to align the interests of deal
parties and the investors. Even though servicing fee will be paid
on top of the waterfall, Moody's belives the subordination of
servicing advances and MIP payments will still be significant to
ensure alignment of interest.

  -- Workout incentive amount: With respect to mortgage loans and
REO properties that are located in Puerto Rico, approximately
13.76% of the collections in each period will first be used to
reimburse the servicer for servicing advances and principal
advances and any remaining amount will be included in the available
funds. This feature will further reduce the economic subordination
of the servicer. However, Moody's belives that the workout
incentive amount will not be sufficient to reimburse all advances
and a significant portion of advances will still be subordinated.
On the other hand, this feature would to some extent serve as an
incentive to workout the Puerto Rico loans at the earliest in order
for the servicer to have their advances reimbursed. As of the
cut-off date, the total workout incentive amount is about 3.2% of
the total UPB. Of note, Moody's took into consideration significant
Puerto Rico concentration and increased its rating stresses for
Puerto Rico loans.

  -- In December 2019 and January 2020 a series of earthquakes
occurred in Puerto Rico. Approximately 95 of the mortgaged
properties are located in geographic regions that have been
identified by FEMA as affected by such earthquakes as of February
5, 2020. The servicer had ordered post disaster inspection (PDI)
report on 53 properties as of February 4, 2020, and no damages were
identified on 52 out of 53 properties. One property had damage
reported but the damage was covered in full by a hazard insurance
policy. For all other properties identified by FEMA, the servicer
will order PDI within six months from the closing date. The seller
will make an indemnity payment or will be obligated to cure if
damages are reported in the PDI, and such properties are not
covered by full insurance and the damages will adversely affect the
value or marketability of the mortgaged property.

Its credit ratings reflect state-specific foreclosure timeline
stresses as well as potential extended timelines for loans in
bankruptcy.

Servicing

Finance of America Reverse LLC (FAR) will be the named servicer
under the sale and servicing agreement. FAR has the necessary
processes, staff, technology and overall infrastructure in place to
effectively oversee the servicing of this transaction. FAR will use
Compu-Link Corporation, d/b/a Celink (Celink) as sub-servicer to
service the mortgage assets. Based on an operational review of FAR,
it has strong sub-servicing monitoring processes, a seasoned
servicing oversight team and direct system access to the
sub-servicer core systems.

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 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 Feburary 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 October 2022.
For the Class M3 notes, the expected final payment date is in
Feburary 2023. For the Class M4 notes, the expected final payment
date is in August 2023. For the Class M5 notes, the expected final
payment date is in June 2024. For each of the subordinate notes,
there are various target amortization periods that conclude on the
respective expected final payment dates. The legal stated 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 a cap carryover.
These 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 FAR remaining
as servicer. Servicing fees and servicer related reimbursements are
subordinated to interest and principal payments while FAR is
servicer. However, servicing advances (i.e. taxes, insurance and
property preservation) will instead have priority over interest and
principal payments in the event that FAR 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 FAR
encounters financial difficulties.

Its analysis considers the expected loss to investors by the legal
final maturity date, which is ten years from closing, and not by
certain acceleration dates that may occur earlier. Moody's noted
the presence of automatic acceleration events for failure to pay
the Class A notes by the Class A mandatory call date, failure to
pay the classes of Class M notes by their expected final payment
dates, and the failure to pay the classes of Class M notes their
targeted amortization amounts. The occurrence of any of these
acceleration events would not by itself lead us to bring the
outstanding rating to a level consistent with impairment, because
such event would not necessarily be indicative of any economic
distress. Furthermore these acceleration events lack effective
legal consequences other than changing payment priorities and
interest rates, which are modeled in its analysis. Liquidation of
the collateral would require 100% consent of any class of notes
that would not be paid in full.

Third-Party Review

Similar to FASST 2019-HB1 deal, in FAHB 2020-HB1 a firm of
independent accountants or a due-diligence review firm experienced
in validation and auditing of reporting of similar assets (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 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.

A third party firm conducted a review of certain characteristics of
the mortgage assets on behalf of FAR. 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. Also, broker price opinions (BPOs) were ordered for 293
properties in the pool.

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

Moody's accounted for the additional risk in its analysis
associated with taxes and insurance exceptions and the foreclosure
and bankruptcy fee exceptions.

Reps & Warranties (R&W)

FAR is the loan-level R&W provider and is unrated. This risk is
mitigated by the fact that a third-party due diligence firm
conducted a review on the loans for evidence of FHA insurance.

FAR represents that the mortgage loans are covered by FHA insurance
that is in full force and effect. FAR provides further R&Ws
including those for title, first lien position, enforceability of
the lien, regulatory compliance, and the condition of the property.
FAR 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. 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 FAR will
repurchase the relevant asset as if the representation had been
breached.

Upon the identification of an R&W breach, FAR has to cure the
breach. If FAR is unable to cure the breach, FAR must repurchase
the loan within 90 days from receiving the notification. Moody's
belives 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, FAR, 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 belives that FAHB
2020-HB1 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.

Trustees

The acquisition and owner trustee for the FAHB 2020-HB1 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 " Non-Performing and
Re-Performing Loans Securitizations Methodology" published in
January 2020 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 and timing of payouts given the
structure of FHA insurance and with various stresses applied to
model parameters depending on the target rating level. However, the
modeling assumptions are different for the Puerto Rico portion of
the pool and the portion of the pool that are in bankruptcy.

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

The amount of insurance proceeds received from the FHA depends on
whether a sales based claim (SBC) or appraisal based claim (ABC) is
filed. SBCs are filed in cases where the property is successfully
sold within the first six months after the servicer has acquired
it. ABCs are filed six months after the servicer has obtained
marketable title if the property has not yet been sold. For an SBC,
HUD insurance will cover the difference between (i) the loan
balance and (ii) the higher of the sales price and 95.0% of the
latest appraisal, with the transaction bearing 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 the
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 FAR. Moody's stressed this percentage at
higher credit rating levels. In a Aaa scenario, Moody's assumed
that these 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. In a Aaa scenario, 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 ABC and SBC sales disposition payments and
associated insurance payments (four payments in total). All
payments are then probability weighted and run through a modeled
liability structure. Moody's considered industry data and the
historical experience of FAR in its analysis. 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 asset is categorized into one of four
categories: default, due and payable, foreclosure and REO. In its
analysis, Moody's assumed loans that are in referred status to be
either in the 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 to
nine months depending on the default reason. Due and payable status
is expected to last six to 12 months depending on the default
reason. REO disposition is assumed to take place in six months for
SBCs and 12 months for ABCs.

The timeline for foreclosure status is based on the state in which
the related property is located. To arrive at the base case
foreclosure timeline, Moody's considered the FHA foreclosure
diligence time frames (per HUD guidelines as of February 5, 2016).
Moody's stressed state foreclosure timelines by a multiplicative
factor for various rating levels (e.g., state foreclosure timelines
are multiplied by 1.6x for its Aaa level rating stress).

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 FAR
reimburse the trust for debenture interest curtailments due to
servicing errors or failures to comply with HUD guidelines.
However, the transaction documents do not specify a required time
frame within which the servicer must reimburse the trust for
debenture interest curtailments. As such, there may be a delay
between when insurance payments are received and when debenture
interest curtailments are reimbursed. Its debenture interest
assumptions take this into consideration. Its assumption for
recovered debenture interest is low compared to prior FASST
transactions due to the relatively high percentage of missed
servicing milestone mortgage assets in the pool.

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 loan's 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 also ran additional stress scenarios that were designed to
mimic expected cash flows in the scenario where FAR is no longer
the servicer. Moody's assumed the following in such a scenario:

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

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

  -- One third of foreclosure costs will be removed from sales
proceeds to reimburse a replacement servicer for such advances (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 Rico loans,
Moody's considered the following for mortgage assets backed by
properties in Puerto Rico:

  -- To account for delays in the foreclosure process in Puerto
Rico due to the hurricanes, Moody's used five years as its full
stress foreclosure timeline and scaled the impact down the rating
levels.

  -- Moody's assumed that all insurance claims would be submitted
as ABCs under its Aaa rating stress and scaled this percentage down
at lower rating levels. In addition, for ABCs Moody's assumed that
properties will sell for significantly lower than their appraised
values.

  -- Due to the significant Puerto Rico concentration for this
transaction, Moody's also applied haircuts to the modeled cash
flows for Puerto Rico mortgage assets.

To account for potential extension of timelines due to Chapter 13
bankrupt loans, Moody's extended the foreclosure timeline by an
additional 24 months in the base case scenario and scaled this
extension up for higher rating levels.

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.


FLAGSHIP CREDIT 2020-1: DBRS Gives Prov. BB Rating on E Notes
-------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Flagship Credit Auto Trust 2020-1 (the
Issuer):

-- $233,700,000 Class A Notes at AAA (sf)
-- $31,920,000 Class B Notes at AA (sf)
-- $40,500,000 Class C Notes at A (sf)
-- $32,110,000 Class D Notes at BBB (sf)
-- $16,770,000 Class E Notes at BB (sf)

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

(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.

-- Credit enhancement is in the form of over-collateralization
(OC), subordination, amounts held in the reserve fund, and excess
spread. Credit enhancement levels are sufficient to support the
DBRS Morningstar-projected cumulative net loss assumption under
various stress scenarios.

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

(3) The consistent operational history of Flagship Credit
Acceptance, LLC (Flagship or the Company) and the strength of the
overall Company and its management team.

-- The Flagship senior management team has considerable experience
and a successful track record within the auto finance industry.

(4) The capabilities of Flagship with regard to origination,
underwriting, and servicing.

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

(5) DBRS Morningstar exclusively used the static pool approach
because Flagship has enough data to generate a sufficient amount of
static pool projected losses.

-- DBRS Morningstar was conservative in the loss forecast analysis
that was performed on the static pool data.

(6) The Company has indicated that it may be subject to various
consumer claims and litigation seeking damages and statutory
penalties. Some litigation against the Company could take the form
of class action complaints by consumers. However, the Company has
indicated that there is no material pending or threatened
litigation.

(7) Robert Hurzeler has joined the Company as Chief Executive
Officer (CEO) and joined the Company's Board. Hurzeler has over 30
years of experience and most recently served as Executive Vice
President and Chief Operating Officer of OneMain Holdings, Inc.
Michael Ritter, the prior CEO, remains with the Company as Chairman
of the Board.

(8) On December 31, 2019, John R. Schwab resigned as Chief
Financial Officer (CFO). The Company has begun the search for a
replacement CFO.

(9) The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with Flagship, that
the trust has a valid first-priority security interest in the
assets, and the consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance" methodology.

Flagship is an independent full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms for the
purchase of late-model vehicles and (2) refinancing of existing
automotive financing.

The rating on the Class A Notes reflects the 35.50% of initial hard
credit enhancement provided by the subordinated notes in the pool
(34.00%), the Reserve Account (1.00%), and OC (0.50%). The ratings
on Class B, Class C, Class D, and Class E Notes reflect 26.55%,
15.20%, 6.20%, and 1.50% of initial hard credit enhancement,
respectively. Additional credit support may be provided from excess
spread available in the structure.

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


FLAGSTAR MORTGAGE 2020-1INV: Moody's Gives (P)B2 Rating to B-5 Debt
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
twenty-seven classes of residential mortgage-backed securities
issued by Flagstar Mortgage Trust 2020-1INV. The ratings range from
(P)Aaa (sf) to (P)B2 (sf).

Issuer: Flagstar Mortgage Trust 2020-1INV

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-17, Assigned (P)Aa1 (sf)

Cl. A-18, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

Cl. RR-A2, Assigned (P)Aa2 (sf)

RATINGS RATIONALE

Summary credit analysis

Moody's expected losses in a base case scenario are 1.05% and reach
9.08% at a stress level consistent with its Aaa rating scenario.

Its loss estimates are based on a loan-by-loan assessment of the
securitized collateral pool as of the cut-off date using Moody's
Individual Loan Level Analysis model. Its loss levels and ratings
on the certificates also took into consideration qualitative
factors such as the servicing arrangement, alignment of interest of
the sponsor with investors, the representations and warranties
framework, and the transaction's legal structure and
documentation.

Collateral description

Flagstar Mortgage Trust 2020-1INV is the first issue from Flagstar
Mortgage Trust in 2020 and the fourth with investor-property loans.
Flagstar Bank, FSB is the sponsor of the transaction.

FSMT 2020-1INV is a securitization of GSE eligible first-lien
investment property mortgage loans. 44.4% of the pool by loan
balance were originated by loanDepot.com, LLC and 55.6% Flagstar
Bank, FSB. All of the loans are underwritten in accordance with
Freddie Mac or Fannie Mae guidelines, which take into
consideration, among other factors, the income, assets, employment
and credit score of the borrower as well as loan-to-value. The
loans were run through one of the government-sponsored enterprises'
automated underwriting systems and received an "Approve" or
"Accept" recommendation. The sponsor has represented that none of
the mortgage loans (except for cash-out loans used for personal
use) in FSMT 2020-1INV are subject to the Truth in Lending Act or
the Ability-To Prepay rules because each mortgage loan is an
extension of credit primarily for a business or commercial purpose
and is not a "covered transaction" as defined in Section
1026.43(b)(1) of Regulation Z.

As of the cut-off date of February 1, 2020, the $340,067,818 pool
consisted of 1,124 mortgage loans secured by first liens on
residential investment properties. The average stated principal
balance is $302,551 and the weighted average current mortgage rate
is 4.49%. The majority of the loans have a 30-year term, with 5
loans with terms ranging from 20 to 25 years. All of the loans have
a fixed rate. The WA original credit score is 765 and the WA
combined original LTV is 66.5%. The WA original debt-to-income
ratio is 35.4%. Approximately, 11.9% by loan balance of the
borrowers have more than one mortgage loan in the mortgage pool.
The mortgage loans have a WA seasoning of three months.

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

Approximately half of the mortgage loans by loan balance (49.7%)
are backed by properties located in California. The next largest
geographic concentration of properties is New York, which
represents 6.2% by loan balance and Washington which represents
4.1% by loan balance. All other states each represent less than 4%
by loan balance. Approximately 21.0% (by loan balance) of the pool
is backed by properties that are 2-4-unit residential properties
whereas loans backed by single family residential properties
represent 47.9% (by loan balance) of the pool.

Third-party review and representation & warranties

The credit, compliance, property valuation, and data integrity
portion of the third-party review was conducted on a total of
approximately 58% of the pool. Consolidated Analytics, Inc.
conducted due diligence for a total random sample of 252 loans
originated by Flagstar (35% by Flagstar population loan count) in
this transaction and Opus Capital Markets Consultants, LLC
conducted due diligence for all of the 404 loans originated by
loanDepot in this transaction. With sampling, there is a risk that
loans with grade C or grade D issues remain in the pool and that
data integrity issues were not corrected prior to securitization
for all of the loans in the pool. Moreover, vulnerabilities of the
R&W framework, such as the financial condition of the R&W provider,
may be amplified due to the TPR sample. The sample size meets its
credit neutral criteria; therefore, it did not make an adjustment
to loss levels.

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

Servicing arrangement

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

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

Trustee and master servicer

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

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility, as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.30% of the closing pool balance.
and a subordination lock-out amount equal 0.90% of the closing pool
balance. The floors are consistent with the credit neutral floors
for the assigned ratings according to its methodology.

Transaction structure

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

For the first five years, the senior principal distribution amount
will include pro-rata share of the scheduled principal and 100% of
prepayments, leading to a faster buildup of super senior credit
enhancement. After five years, so long as the step-down test is
satisfied, the portion of unscheduled principal collections
allocated to the senior certificates gradually reduces.

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

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

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

Down

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

Up

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

Methodology

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


FREDDIE MAC 2020-DNA2: DBRS Gives Prov. B Rating on 2 Classes
-------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes (the
Notes) to be issued by Freddie Mac STACR REMIC Trust 2020-DNA2
(STACR 2020-DNA2 or the Issuer):

-- $390.0 million Class M-1 at BBB (high) (sf)
-- $437.0 million Class M-2 at BB (sf)
-- $437.0 million Class M-2R at BB (sf)
-- $437.0 million Class M-2S at BB (sf)
-- $437.0 million Class M-2T at BB (sf)
-- $437.0 million Class M-2U at BB (sf)
-- $437.0 million Class M-2I at BB (sf)
-- $218.5 million Class M-2A at BBB (low) (sf)
-- $218.5 million Class M-2AR at BBB (low) (sf)
-- $218.5 million Class M-2AS at BBB (low) (sf)
-- $218.5 million Class M-2AT at BBB (low) (sf)
-- $218.5 million Class M-2AU at BBB (low) (sf)
-- $218.5 million Class M-2AI at BBB (low) (sf)
-- $218.5 million Class M-2B at BB (sf)
-- $218.5 million Class M-2BR at BB (sf)
-- $218.5 million Class M-2BS at BB (sf)
-- $218.5 million Class M-2BT at BB (sf)
-- $218.5 million Class M-2BU at BB (sf)
-- $218.5 million Class M-2BI at BB (sf)
-- $218.5 million Class M-2RB at BB (sf)
-- $218.5 million Class M-2SB at BB (sf)
-- $218.5 million Class M-2TB at BB (sf)
-- $218.5 million Class M-2UB at BB (sf)
-- $156.0 million Class B-1 at B (sf)
-- $78.0 million Class B-1A at B (high) (sf)
-- $78.0 million Class B-1AR at B (high) (sf)
-- $78.0 million Class B-1AI at B (high) (sf)
-- $78.0 million Class B-1B at B (sf)

Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT,
M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB,
M-2TB, M-2UB, B-1, B-1AR, and B-1AI are Modifiable and Combinable
STACR Notes (MAC Notes). Classes M-2I, M-2AI, M-2BI, and B-1AI are
interest-only MAC Notes.

The BBB (high) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and B
(sf) ratings reflect 2.50%, 1.80%, 1.10%, 0.85%, and 0.60% of
credit enhancement, respectively. Other than the specified classes
above, DBRS Morningstar does not rate any other classes in this
transaction.

STACR 2020-DNA2 is the 19th transaction in the STACR DNA series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Freddie Mac-guaranteed mortgage-backed
securities.

As of the Cut-off Date, the Reference Pool consists of 163,089
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 60% and less than
or equal to 80%. The mortgage loans were originated on or after
January 2015 and were securitized by Freddie Mac between July 1,
2019, and September 30, 2019.

On the Closing Date, the trust will enter into a Collateral
Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as
the credit protection buyer, will be required to make transfer
amount payments. The trust is expected to use the aggregate
proceeds realized from the sale of the Notes to purchase certain
eligible investments to be held in a custodian account. The
eligible investments are restricted to highly rated, short-term
investments. Cash flow from the Reference Pool will not be used to
make any payments; instead, a portion of the eligible investments
held in the custodian account will be liquidated to make principal
payments to the Noteholders and return amount, if any, to Freddie
Mac upon the occurrence of certain specified credit events and
modification events. The trust will use the net investment earnings
on the eligible investments together with Freddie Mac's transfer
amount payments to pay interest to the Noteholders.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. For STACR DNA
transactions, beginning with the STACR 2018-DNA2 transaction, there
has been a revision to the principal allocation. The scheduled
principal in prior transactions was allocated pro-rata between the
senior and non-senior (mezzanine and subordinate) tranches,
regardless of deal performance, while the unscheduled principal was
allocated pro-rata subject to certain performance tests being met.
For the more recent transactions, the scheduled and unscheduled
principal will be combined and only be allocated pro-rata between
the senior and non-senior tranches if the performance tests are
satisfied. For the STACR 2020-DNA2 transaction, the minimum credit
enhancement test—one of the three 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
subordination percentage grows from 3.75% to 4.00%. Additionally,
the non-senior tranches will also be entitled to supplemental
subordinate reduction amount if the offered reference tranche
percentage increases above 6.15%. The interest payments for these
transactions are not linked to the performance of the reference
obligations except to the extent that modification losses have
occurred.

The Notes will be scheduled to mature on the payment date is
February 2050, but will be subject to mandatory redemption prior to
the scheduled maturity date upon the termination of the CAA.

The sponsor of the transaction will be Freddie Mac. U.S. Bank
National Association (rated AA (high) and R-1 (high) with Stable
trends by DBRS Morningstar) will act as the Indenture Trustee,
Exchange Administrator, and Custodian. Wilmington Trust, National
Association (rated AA (low) and R-1 (middle) with Stable trends by
DBRS Morningstar) will act as the Owner Trustee.

The Reference Pool consists of approximately 7.4% of the loans that
have more than two years of seasoning. The Reference Pool consists
of approximately 2.3% of loans originated under the Home Possible
program. Home Possible is Freddie Mac's affordable mortgage product
designed to expand the availability of mortgage financing to
creditworthy low- to moderate-income borrowers.

If a reference obligation is refinanced under the Enhanced Relief
Refinance Program, then the resulting refinanced reference
obligation may be included in the Reference Pool as a replacement
of the original reference obligation. The Enhanced Relief Refinance
Program provides refinance opportunities to borrowers with existing
Freddie Mac mortgages who are current in their mortgage payments
but whose LTV ratios exceed the maximum permitted for a standard
refinance products. The refinancing and replacement of a reference
obligation under this program will not constitute a credit event.

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


GRACE MORTGAGE 2014-GRCE: Fitch Affirms B Rating on Class G Certs
-----------------------------------------------------------------
Fitch Ratings affirmed the ratings for all classes of GRACE
2014-GRCE Mortgage Trust, commercial mortgage pass-through
certificates.

RATING ACTIONS

GRACE 2014-GRCE

Class A 38406HAA0;   LT AAAsf Affirmed;  previously at AAAsf

Class B 38406HAE2;   LT AA-sf Affirmed;  previously at AA-sf

Class C 38406HAG7;   LT A-sf Affirmed;   previously at A-sf

Class D 38406HAJ1;   LT A-sf Affirmed;   previously at A-sf

Class E 38406HAL6;   LT BBB-sf Affirmed; previously at BBB-sf

Class F 38406HAN2;   LT BB-sf Affirmed;  previously at BB-sf

Class G 38406HAQ5;   LT Bsf Affirmed;    previously at Bsf

Class X-A 38406HAC6; LT AA-sf Affirmed;  previously at AA-sf

KEY RATING DRIVERS

Collateral Quality: The Grace Building, located at 1114 Avenue of
the Americas, is a 48-story, 1.56 million sf, class A office tower
located on Bryant Park along 42nd Street. The asset is a well known
property with an iconic design. The square footage includes 1.39
million sf of office, storage and other space, approximately 40,000
sf of parking space, as well as ground floor retail and restaurant
space. The property received $34.5 million of renovations between
2010 and 2014, including upgrades to the building's common areas,
including plaza renovations, modernization of the lobby and
entrances, new elevator cabs, enhanced security and upgraded retail
spaces. Fitch assigned the asset a property quality grade of "A" at
issuance.

Excellent Location: The asset is situated in a highly desirable
location overlooking Bryant Park in Manhattan's Grand Central
submarket. It has excellent access to public transportation.

Stable Performance Despite Temporary Occupancy Decline: The
September 2019 rent roll provided by the servicer indicates
occupancy declined to 74.4% from 97% at YE 2018. Home Box Office
(HBO) was formerly the largest tenant, representing 22.4% of the
NRA. The tenant's parent company, Time Warner, has taken occupancy
of recently constructed space at 30 Hudson Yards and consolidated
HBO's operations there. Bank of America took three floors of HBO's
space (8.1% of the NRA) on a lease that commenced Jan. 1, 2020.
Another major tenant vacated in April 2019, but the space was
quickly backfilled by The Trade Desk. The subservicer has also
confirmed that the Israel Discount Bank (IDB) is moving to the
subject from its current headquarters at 511 Fifth Avenue, and that
its space is currently in build-out. IDB will lease 7.8% of the NRA
on a lease that is expected to commence in January 2021. The
adjusted occupancy for the property is approximately 90.2%. Given
the recent leasing activity, the asset's location, quality and
experienced ownership and management team, Fitch expects any impact
to cash flow will be temporary.

High Trust Leverage: Fitch's stressed debt service coverage ratio
for the trust component of the debt is 0.90x, and the stressed loan
to value is 97.5%. The Fitch stressed value, which represents a
significant cut to the appraiser's value at issuance, is considered
conservative relative to the property's quality, location and
recent comparable sales in the submarket.

Structural Features: The loan, which is interest only for the full
term, has cash management provisions. The certificates follow a
standard sequential pay structure. All upfront reserves which were
funded at securitization have been depleted.

Experienced Sponsor: The Grace Building is 49.9% owned by an
affiliate of Trizec Properties, Inc. (controlled by a partnership
of Brookfield Office Properties Inc.) and 50% owned by an affiliate
of The Swig Company, LLC. The property is managed by TRZ Holdings
IV LLC and sub-managed by Brookfield Properties under a management
agreement that initially expired in February 2017, but was renewed
through February 2022. The management agreement automatically
renews for additional five-year terms unless notice or cancellation
is provided at least 30 days prior to the end of a term.

RATING SENSITIVITIES

The Rating Outlook for all classes is Stable, based on the stable
collateral performance, the asset's excellent market location and
collateral quality. Although Fitch expects there to be a temporary
cash flow dip related to HBO's departure, the borrower and leasing
team have shown their capacity to retenant the property as
indicated by recent leasing activity. Should occupancy decline and
remain below market for an extended period of time, downgrades may
occur.

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

No third-party due diligence was received 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 the
transaction.


GREENWICH CAPITAL 2006-GG7: Moody's Cuts Class B Debt to 'C'
------------------------------------------------------------
Moody's Investors Service downgraded the ratings on three classes
and affirmed the ratings on two classes in Greenwich Capital
Commercial Funding Corp., Series 2006-GG7, as follows:

Cl. A-M, Downgraded to Baa2 (sf); previously on Aug 16, 2018
Affirmed Aa3 (sf)

Cl. A-J, Downgraded to Caa3 (sf); previously on Aug 16, 2018
Downgraded to B3 (sf)

Cl. B, Downgraded to C (sf); previously on Aug 16, 2018 Downgraded
to Ca (sf)

Cl. C, Affirmed C (sf); previously on Aug 16, 2018 Affirmed C (sf)

Cl. D, Affirmed C (sf); previously on Aug 16, 2018 Affirmed C (sf)

RATINGS RATIONALE

The rating on Cl. A-M was downgraded due to the deal's exposure to
specially serviced and previously modified loans and Moody's
concerns of potential interest shortfalls. While Cl. A-M benefits
from significant credit support, all of the remaining loans are
either specially serviced (2 loans, 73% of the deal) or have been
previously modified (1 loan; 27% of deal).

The ratings on the P&I classes, A-J and B, were downgraded due to
anticipated losses from specially serviced and troubled loans.

The ratings on the P&I classes, C and D, were affirmed because the
ratings are consistent with Moody's expected loss.

Moody's rating action reflects a base expected loss of 41.7% of the
current pooled balance, compared to 36.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 14.8% of the
original pooled balance, compared to 13.7% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.

DEAL PERFORMANCE

As of the January 10, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 88.4% to $420
million from $3.6 billion at securitization. The certificates are
collateralized by three mortgage loans.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of four, the same as at Moody's last review.

Forty-five loans have been liquidated from the pool, resulting in
an aggregate realized loss of $358.2 million (for an average loss
severity of 42%). Two loans, constituting 73% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Portals I ($155.0 million -- 36.9% of the pool), which is
secured by 449,933 square foot (SF) office property located in
Washington, DC. The loan was transferred to the special servicer in
May 2016 for imminent maturity default and became REO in January
2017. As of September 2019, the property was 63% leased, compared
to 54% in March 2018 and 71% in June 2017. The property's vacancy
rate is significantly above than the submarket's rate of
approximately 9.4% for the Q3 2019 according to CBRE-EA. The
special servicer's strategy is to lease up the property. This loan
has been deemed non-recoverable. Moody's has lowered its value
since last review.

The second largest specially serviced loan is the JP Morgan
International Plaza I & II ($120.0 million -- 28.6% of the pool
plus $31.8 million -- 7.6 % of the pool), which is secured by two
class A suburban office buildings in Farmers Branch, Texas. The
property was fully leased to JP Morgan, who vacated in early 2018.
The loan initially transferred to special servicing in October 2015
after the borrower advised the special servicer they would be
unable to repay the loan in June 2016. The loan was then modified
in March 2016, increasing the term 20 months. The loan was again
modified in April 2018, splitting the A-note into an A-1 note ($120
million) and an A-2 note ($31.8 million). The A-1 note is interest
only at a 4.94% rate. The A-2 note will accrue interest at the same
rate. Moody's identified the A-2 as a troubled loan and anticipates
a significant loss on this note. The existing B-note, which is held
outside of the trust, will remain outstanding and accrue interest
at a rate of 8.173118%. The loan's maturity was extended to June
2020. At modification closing, the borrower contributed new equity
in the amount of $10.93 million. The borrower signed a lease with
Tenent Business Services Corporation for 392,201 square feet (SF).
As of Q3 2019, the property's submarket vacancy rate is
approximately 17% for the Q3 2019 according to CBRE-EA. The
property's appraised value decreased to $120 million in December
2017 from $147.2 million in July 2016 and $268.0 million at
securitization. Moody's has not changed its value since the last
review.

The only non-specially serviced loan is the Montehiedra Town Center
Loan ($83.2 million -- 19.8% of the pool plus $30.0 million -- 7.1%
of the pool), which is secured by a 540,000 SF regional mall in San
Juan (Rio Piedras), Puerto Rico. The loan was transferred to
special servicing in May 2013 for imminent default due to cash flow
issues and expiring leases. In January 2015, the loan was modified
into a $90 million A Note and a $30 million B Note. The A Note
interest rate was reduced from 6.04% to 5.33% per annum. The B Note
interest rate was reduced to 3.00% per annum, which accrues on each
payment date but will not be paid current. The modification also
provided for a 5-year maturity extension to allow the repositioned
property to stabilize operations. In conjunction with the
modification, a borrower affiliate guaranteed a $20 million capital
infusion and provided the Lender with cooperation covenants in the
event of a future default backed by a $25 million guaranty.
Currently, the borrower is performing under the terms of the loan
modification. Moody's identified the B-Note as a troubled loan and
anticipates a significant loss on this note. As of June 2019, the
property was 91.1% leased, compared to 92.6% in March 2018; the
property has been between 88% and 93% leased since 2009.
Approximately 57,000 SF of leases will expire by 2021, with 7.7% of
the NRA expiring in 2020 and 1.8% in 2021. Anchor tenants include:
Kmart (lease expiration: July 2072, 25% of NRA), The Home Depot
(July 2072, 20% of NRA) and Marshalls (January 2024, 10% of NRA).
Moody's LTV and stressed DSCR on the A note are 146% and 0.81X,
respectively, compared to 123% and 0.79X at the last review.

As of the January 10, 2020 remittance statement cumulative interest
shortfalls were $36.6 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.


GS MORTGAGE-BACKED: Fitch to Rate Class B5 Debt 'B(EXP)sf'
----------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by GS Mortgage-Backed Securities Trust
2020-PJ2. The transaction is expected to close on February 28,
2020. The certificates are supported by 528 conforming and
nonconforming loans with a total balance of approximately $395.76
million as of the cutoff date.

GSMBS 2020-PJ2
   
  - Class A1; LT AAA(EXP)sf Expected Rating
  
  - Class A10; LT AA+(EXP)sf Expected Rating
  
  - Class A2; LT AAA(EXP)sf Expected Rating
  
  - Class A3; LT AA+(EXP)sf Expected Rating
  
  - Class A4; LT AA+(EXP)sf Expected Rating
  
  - Class A5; LT AAA(EXP)sf Expected Rating
  
  - Class A6; LT AAA(EXP)sf Expected Rating
  
  - Class A7; LTAAA(EXP)sf Expected Rating

  - Class A8; LT AAA(EXP)sf Expected Rating
  
  - Class A9; LT AA+(EXP)sf Expected Rating
  
  - Class AIOS; LT NR(EXP)sf Expected Rating

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

  - Class AX1; LT AA+(EXP)sf Expected Rating
  
  - Class AX3; LT AA+(EXP)sf Expected Rating

  - Class AX5; LT AAA(EXP)sf Expected Rating
  
  - Class AX7; LT AAA(EXP)sf Expected Rating
  
  - Class AX8; LT AAA(EXP)sf Expected Rating
  
  - Class B1; LT AA(EXP)sf Expected Rating

  - Class B2; LT A(EXP)sf Expected Rating

  - Class B3; LT BBB(EXP)sf Expected Rating
  
  - Class B4; LT BB(EXP)sf Expected Rating

  - Class B5; LT B(EXP)sf Expected Rating

  - Class B6; LT NR(EXP)sf Expected Rating

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists
primarily of 30-year FRM fully amortizing loans, seasoned
approximately two months in aggregate. Generally, all the loans
were originated through the sellers' retail channels. The borrowers
in this pool have strong credit profiles (762 model FICO) and
relatively low leverage (70.9% sLTV). The collateral is a mix of
conforming agency eligible loans (33.2%) and nonconforming
prime-jumbo loans (66.8%). The 215 conforming loans have an average
balance of $611,307, compared with a balance of $844,499 for the
nonconforming loans. The conforming loans have a slightly lower
FICO (757 versus 764), but a lower LTV (67.1% versus 69.2%).

Shifting-Interest Deal Structure (Negative): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early in the life of
the transaction, the structure is more vulnerable to defaults
occurring at a later stage compared to a sequential or modified
sequential structure. To help mitigate tail risk, which arises as
the pool seasons and fewer loans are outstanding, a subordination
floor of 1.30% of the original balance will be maintained for the
senior certificates and a subordination floor of 0.85% of the
original balance will be maintained for the subordinate
certificates.

Representation Framework (Negative): The loan-level representation,
warranty and enforcement (RW&E) framework is consistent with Tier 2
quality. Fitch increased its loss expectations by 47bps at the
'AAAsf' rating category as a result of the Tier 2 framework and the
underlying sellers supporting the repurchase obligations of the
RW&E providers. The Tier 2 framework was driven by the inclusion of
knowledge qualifiers without a clawback provision and the narrow
testing construct, which limits the breach reviewers' ability to
identify or respond to issues not fully anticipated at closing.

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

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

Geographic Concentration (Negative): Almost 60% of the pool is
concentrated in California. The largest MSA concentration is in the
Los Angeles MSA (22.9%), followed by the San Francisco MSA (13.3%)
and San Diego MSA (8.0%). The top three MSAs account for
approximately 44.2% of the pool. This resulted in an increase of
26bps at the 'AAAsf' expected loss.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (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%, 20% and 30%, in addition to the
model-projected 2.6%.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Opus, AMCSitus Diligence, LLC. and Digital Risk. The
third-party due diligence described in Form 15E focused on credit,
compliance and valuation. Fitch considered this information in its
analysis and it did not have an effect on Fitch's analysis or
conclusions. Fitch believes the overall results of the review
generally reflected strong underwriting controls.


HERTZ VEHICLE II: DBRS Confirms 50 Ratings of 13 Series ABS Deals
-----------------------------------------------------------------
DBRS, Inc. confirmed the ratings of 50 securities issued by 13
series of the Hertz Vehicle Financing II LP asset-backed security
transaction. The performance trends of the confirmed securities are
such that credit enhancement levels are sufficient to cover DBRS
Morningstar's expected losses at their current respective rating
levels.

The series reviewed include the following:

-- Hertz Vehicle Financing II LP, Series 2013-A
-- Hertz Vehicle Financing II LP, Series 2015-1
-- Hertz Vehicle Financing II LP, Series 2015-3
-- Hertz Vehicle Financing II LP, Series 2016-2
-- Hertz Vehicle Financing II LP, Series 2016-4
-- Hertz Vehicle Financing II LP, Series 2017-1
-- Hertz Vehicle Financing II LP, Series 2017-2
-- Hertz Vehicle Financing II LP, Series 2018-1
-- Hertz Vehicle Financing II LP, Series 2018-2
-- Hertz Vehicle Financing II LP, Series 2018-3
-- Hertz Vehicle Financing II LP, Series 2019-1
-- Hertz Vehicle Financing II LP, Series 2019-2
-- Hertz Vehicle Financing II LP, Series 2019-3

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

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

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

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

The Affected Rating is Available at https://bit.ly/2UHjA8d


ICG US 2015-2R: Moody's Rates $25MM Class D Notes 'Ba3'
-------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to five
classes of notes 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"), Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

RATINGS RATIONALE

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. The portfolio is 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 issued one class of
subordinated notes.

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

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

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

Par amount: $400,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2994

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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 2014-C19: Fitch Lowers Class F Certs to B-sf
------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed the ratings on
12 classes of J.P. Morgan Chase Commercial Mortgage Securities
Trust commercial mortgage pass-through certificates series
2014-C19.

JPMBB 2014-C19
   
  - Class A-2 46641WAT4;  LT AAAsf Affirmed
  
  - Class A-3 46641WAU1;  LT AAAsf Affirmed
  
  - Class A-4 46641WAV9;  LT AAAsf Affirmed

  - Class A-S 46641WAZ0;  LT AAAsf Affirmed

  - Class A-SB 46641WAW7; LT AAAsf Affirmed

  - Class B 46641WBA4;    LT AA-sf Affirmed
  
  - Class C 46641WBB2;    LT A-sf Affirmed
  
  - Class D 46641WAG2;    LT BBB-sf Affirmed

  - Class E 46641WAJ6;    LT BBsf Affirmed
   
  - Class EC 46641WBC0;   LT A-sf Affirmed
  
  - Class F 46641WAL1;    LT B-sf Downgrade

  - Class X-A 46641WAX5;  LT AAAsf Affirmed

  - Class X-B 46641WAY3;  LT AA-sf Affirmed  

KEY RATING DRIVERS

Increased Loss Expectations: Fitch Ratings' base case losses have
increased since the last rating action, primarily as the result of
the continued decline in performance of the Muncie Mall and concern
whether the loan can refinance at the April 2021 maturity. In
total, Fitch has designated four loans (6.2% of pool) as Fitch
Loans of Concern, including the 7th largest loan, Muncie Mall
(3.9%).

Fitch Loans of Concern: The Muncie Mall loan, which is secured by a
517,795-sf portion of a 637,795-sf regional mall located in Muncie,
IN (approximately 60 miles northeast of Indianapolis), has
experienced recent losses of three anchor tenants and no
significant positive leasing momentum. The collateral anchors,
Sears and Carson's, closed in Aug. 2018 and the non-collateral
Macy's announced in January 2020 plans to close its location at the
property, with clearance sales occurring over the next two to three
months. J.C. Penney will be the only remaining anchor. Fitch
assumed 100% loss in the base case.

The Columbus Corners loan (0.9%) is on the servicer's watchlist for
decline in occupancy. The loan is secured by a 93,460-sf
neighborhood shopping center located in Whiteville, NC and
experienced significant occupancy decline following Stage Stores
d/b/a Goody's (19.3% of NRA) and Cato Corporation (4.8%) not
renewing upon their respective July 2019 and January. 2019 lease
expirations. As of September 2019, occupancy declined to 57% from
71.8% as of October 2018, 82.9% at October 2017 and 92% at October
2016; however, the borrower is expecting to finalize a lease with
Burkes Outlet to back-fill the entire Goody's space within the
week.

The two other FLOCs, Cambria Suites Noblesville (0.9%) located in
Noblesville, IN and Comfort Suites Bloomsburg (0.5%) located in
Bloomsburg, PA, are secured by extended-stay limited service hotels
and have experienced recent significant performance declines.

Increased Credit Enhancement: The senior classes benefit from
increased credit enhancement; as of the January 2020 distribution
date, the pool's aggregate principal balance has been reduced by
39.2%. Since Fitch Ratings' last rating action, ten loans totaling
approximately $298.7 million (25.4% of prior pool balance) repaid
in full between January and May 2019. Forty loans (57.9% of pool)
are amortizing and the remaining nine loans (42.1%) are full-term
interest-only. Six loans (5.7%) are fully defeased. There has been
$8.4 million in realized losses to date (0.6% of original pool) due
to the August 2019 disposition of the Grand Williston Hotel and
Conference Center. The incurred losses to the trust were in-line
with Fitch's loss expectations at the prior rating action.
Cumulative interest shortfalls total $199,000 and impact the
non-rated class.

High Retail Concentration: Loans secured by retail properties
represent 58.5% of the pool, including eight loans in the top 15.
Regional mall and outlet exposure consists of four top 15 loans
(35.8%), including The Outlets at Orange (14.6%; Orange, CA),
Arundel Mills & Marketplace (10.5%; Hanover, MD), Muncie Mall
(3.9%; Muncie, IN) and the Northtowne Mall (0.8% allocated pool
balance; Defiance, OH) in the Gumberg Portfolio. Simon Property
Group is the sponsor for The Outlets at Orange and Arundel Mills &
Marketplace loans, combined 25% of the pool. Loan Maturities: Three
loans (3.7% of pool) mature in 2021; four loans (8.7%) mature in
2023; 38 loans (79.9%) mature in 2024; two loans (3.1%) mature in
2034; and two loans (4.5%) have an ARD in 2024.

RATING SENSITIVITIES

The Negative Rating Outlook on class F reflects the potential for
further downgrades, if expected losses increase from either
continued declines in performance of the FLOCs, or if additional
loans' performance declines. The Rating Outlooks on classes A-2
through E remain Stable due to the relatively stable performance of
the majority of the remaining pool, increased credit enhancement
and expected continued amortization. Rating upgrades, although
unlikely due to high retail pool concentration, may occur with
improved pool performance and additional paydown or defeasance.


JPMCC COMMERCIAL 2017-JP5: Fitch Affirms Class E-RR Debt at BB-sf
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of JPMCC Commercial Mortgage
Securities Trust 2017-JP5.

JPMCC 2017-JP5
   
  - Class A-1 46647TAN8; LT AAAsf Affirmed

  - Class A-2 46647TAP3; LT AAAsf Affirmed
   
  - Class A-3 46647TAQ1; LT AAAsf Affirmed

  - Class A-4 46647TAR9; LT AAAsf Affirmed

  - Class A-5 46647TAS7; LT AAAsf Affirmed

  - Class A-S 46647TAX6; LT AAAsf Affirmed

  - Class A-SB 46647TAT5; LT AAAsf Affirmed

  - Class B 46647TAY4; LT AA-sf Affirmed
  
  - Class C 46647TAZ1; LT A-sf Affirmed
  
  - Class D 46647TAA6; LT BBBsf Affirmed

  - Class D-RR 46647TAC2; LT BBB-sf Affirmed
  
  - Class E-RR 46647TAE8; LT BB-sf Affirmed

  - Class X-A 46647TAU2; LT AAAsf Affirmed

  - Class X-B 46647TAV0; LT AA-sf Affirmed

  - Class X-C 46647TAW8; LT A-sf Affirmed  

KEY RATING DRIVERS

Stable Performance and Loss Expectations: The affirmations reflect
overall stable performance and loss expectations on the overall
pool since issuance.

Two loans outside of the top 15, St. Albans & Camino Commons (0.6%
of pool) and Rite Aid Sugar Hill (0.3%), are in special servicing;
however, minimal losses are expected. The St. Albans & Camino
Commons loan transferred to special servicing in April 2018 due to
delinquent payments beginning February 2018 and remains in payment
default. The loan is secured by a 32,485-sf retail property (Camino
Commons) and a 20,721-sf mixed-use property (St. Albans) located in
Newtown Square, PA, which were 100% and 94.3% occupied,
respectively, as of July 2019. Due to an unresponsive borrower, a
receiver was appointed in November 2018 and a foreclosure sale is
scheduled for Feb. 21, 2020. The Rite Aid Sugar Hill loan, which is
secured by a 13,824-sf single-tenant property located in Sugar
Hill, GA, is in covenant non-compliance due to Rite Aid subleasing
all of its space to Dollar General. Under the loan agreement, the
borrower's non-compliance with the cash management sweep event
period provisions, associated with the sublease, triggered an Event
of Default on Nov. 8, 2019.

Fitch Loans of Concern: Fitch has designated six loans (16.8% of
pool) as Fitch Loans of Concern, including four loans in the top 15
(16%). The fifth and ninth largest loans, Riverway (5.8%) and
Milton Park (3.7%), which are sponsored by Adventus Realty, are
secured by an 850,150-sf suburban office property located in
Rosemont, IL and two suburban office properties totaling 318,945-sf
located in Alpharetta, GA, respectively. The properties have
experienced recent significant occupancy declines. At Riverway,
occupancy declined to approximately 68.8% at YE 2019 from 95% at YE
2018 due to Central States Pension Fund (22.4% of NRA) vacating
upon their December 2019 lease expiration. At the Milton Park
properties, occupancy declined to approximately 74.2% from 89% at
October 2018 primarily due to two tenants totaling (10.2% of NRA)
vacating upon their respective July 2019 (5.7%) and October 2018
(4.5%) lease expirations.

The tenth largest loan, Centre Market Building (3.7%), which is
secured by a 388,122-sf office property located in Newark, NJ, has
near-term lease rollover concern of its largest tenant, U.S.
Customs & Border Protection (56% of NRA; 73.9% of annual base
rent). The tenant passed its termination option date in May 2019
(180 days written notice) and has an upcoming lease expiry in May
2020. The tenant has invested over $28 million ($129 psf) into
their space and the loan is structured with ongoing leasing cost
reserves of $3 million annually ($7.73 psf) until a balance of
$7.75 million is obtained. As of January 2020, the servicer
confirmed the current balance of the rollover reserve is $6.5
million ($17 psf).

The 15th largest loan, Marriott Galleria (2.9% of pool), which is
secured by a 301-room full-service hotel located in Houston, TX,
has underperformed expectations at issuance in terms of occupancy,
ADR and RevPAR due to new hotel supply. As of the September 2019
TTM STR report, the property's occupancy, ADR and RevPAR were
61.7%, $148.39 and $91.05, respectively, down from 69.8%, $150.20
and $104.79 at issuance (as of Sept. 2016 TTM). Fitch noted at
issuance that new supply as a concern. Since October 2015, over
1,482 keys have come online, including a 250-room Landry, Inc.
brand luxury hotel, which opened in October 2017; a 325-room Hyatt
Regency Houston Galleria, which opened in October 2015; a 157-room
Hyatt Place Houston Galleria, which opened in January 2016 and a
1,000-room Marriott Marquis, which opened in November 2016.

The two other FLOCs outside of the top 15 include the
specially-serviced St. Albans & Camino Commons loan (0.6%) and the
North Star Terrace MHP loan (0.3%), which is secured by a 177-pad
mobile home park located in East Grand Forks, MN and was flagged on
the servicer's watchlist due to NOI DSCR declining below the 1.10x
threshold as of June 2019 TTM.

Minimal Change to Credit Enhancement: As of the January 2020
distribution date, the pool's aggregate balance has been reduced by
1.9% to $1.07 billion from $1.09 billion at issuance. All 43
original loans remain in the pool. Seven loans (28.8% of pool) are
full term interest only, 30 loans (51.7%) are amortizing and the
remaining six loans (19.5%) remain in their partial interest only
period. Based on the scheduled balance at maturity, the pool will
pay down by 10.7%.

Investment-Grade Credit Opinion Loans: The two largest loans,
representing 14.9% of pool, had investment-grade credit opinions at
issuance. Moffett Gateway (7.5%) and Hilton Hawaiian Village (7.5%)
each had an investment-grade credit opinion of 'BBB-sf' on a
stand-alone basis.

Pool Concentration: The top 10 loans represent 56.9% of the pool.
The largest property type in the transaction is office at 38.2% of
pool, followed by retail at 19.6% and hotel at 18.9%. The three
largest sponsor concentrations are Adventus Realty (9.5%), John
Paul Company (7.4%) and Parks Hotels & Resorts (7.4%).

RATING SENSITIVITIES

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

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 the
transaction.


KEY COMMERCIAL 2018-S1: DBRS Confirms B Rating on Class F Certs
---------------------------------------------------------------
DBRS Inc. confirmed the ratings on the Key Commercial Mortgage
Pass-Through Certificates, Series 2018-S1, issued by Key Commercial
Mortgage Trust 2018-S1 (the Trust). In addition, DBRS Morningstar
changed the trend on Classes E and F to Negative from Stable. The
trend in the remaining classes is Stable.

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

The Negative trend assigned to Classes E and F reflects DBRS
Morningstar's concerns about the increased risks to the pool
surrounding two top ten loans in Green Bay Plaza (Prospectus ID#1,
8.0% of the pool) and 72nd Street Square (Prospectus ID#6, 5.1% of
the pool). While situations in development with both collateral
properties suggest the risk has increased since issuance, DBRS
Morningstar believes the overall credit profile of the pool remains
generally stable from issuance, thus supporting the rating
confirmations and Stable trend assignment on the remaining
classes.

Green Bay Plaza is a retail power center located in Green Bay,
Wisconsin. DBRS Morningstar has been monitoring this loan because
of the May 2019 closure of Office Depot (13.3% of the net rentable
area (NRA); lease expires April 2022) and the 2017 closure of the
center's shadow anchor, Sears. The servicer has confirmed that
Office Depot will honor the lease obligations through the lease
expiry date. The subject is located in a heavily retailed area with
the nearest mall, Bay Park Square, located approximately 3 miles
south. Other tenants at the plaza include TJ Maxx (20.7% of NRA;
lease expires January 2021), Big Lots (14.4% of NRA; lease expires
January 2021), and Ross Dress for Less (9.9% of NRA; lease expires
January 2026). The loan reported a YE2018 debt service coverage
ratio (DSCR) of 1.55 times (x), which compares with the DBRS
Morningstar Term DSCR derived at issuance of 1.80x.

The more problematic loan is 72nd Street Square, the largest loan
on the servicer's watchlist, secured by an anchored retail center
located in Tacoma, Washington. The loan was added to the watchlist
in October 2019 because of the impending lease expiry of the
property's largest tenant, Safeway (44.0% of NRA; lease expires
March 2020). Safeway, which has not occupied its space since 2006,
had been subleasing its space to Goodwill; however, that location
was recently closed, according to a January 2020 Google search. The
loan has no cash management provisions in place and without
Safeway's rent, the loan's DSCR is expected to fall below 1.0x.
DBRS Morningstar significantly increased the probability of default
for this loan in its analysis for this review.

At issuance, the transaction consisted of 31 fixed-rate loans
secured by 40 commercial properties with an original trust balance
of $132.3 million. Per the January 2020 remittance, all 31 loans
remain in the pool with a current balance of $130.0 million,
representing a collateral reduction of 1.7% due to scheduled loan
amortization. Per the January 2020 remittance, approximately 80.4%
of the pool reported YE2018 financials and the pool reported a
weighted-average (WA) DSCR and debt yield of 1.56x and 10.8%,
respectively. At issuance, the WA DBRS Morningstar Term DSCR and
debt yield for those same loans were 1.47x and 10.0%, respectively.
As of the January 2020 remittance, two loans, representing 7.7% of
the pool, are on the servicer's watchlist.

DBRS Morningstar materially deviated from its principal methodology
when determining the ratings assigned to Classes A-S, B, and C.
DBRS Morningstar considers a material deviation from a methodology
to existing when there may be a substantial likelihood that a
reasonable investor or another user of the credit ratings would
consider the material deviation to be a significant factor in
evaluating the ratings. The materials deviations are warranted
given the sustainability of loan performance trends is not
demonstrated.

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

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


LB-UBS COMMERCIAL 2007-C6: Fitch Cuts Rating on 2 Tranches to Csf
-----------------------------------------------------------------
Fitch Ratings downgrades two and affirms 14 classes of LB-UBS
Commercial Mortgage Trust commercial mortgage pass-through
certificates series 2007-C6.

LB-UBS Commercial Mortgage Trust 2007-C6
   
  - Class A-J 52109PAH8; LT CCCsf Affirmed
  
  - Class B 52109PAJ4; LT CCsf Affirmed
  
  - Class C 52109PAK1; LT Csf Downgraded
  
  - Class D 52109PAL9; LT Csf Downgraded
   
  - Class E 52109PAM7; LT Csf Affirmed
  
  - Class F 52109PAN5; LT Csf Affirmed
  
  - Class G 52109PAX3; LT Csf Affirmed
  
  - Class H 52109PAY1; LT Csf Affirmed
  
  - Class J 52109PAZ8; LT Dsf Affirmed
  
  - Class K 52109PBA2; LT Dsf Affirmed
   
  - Class L 52109PBB0; LT Dsf Affirmed

  - Class M 52109PBC8; LT Dsf Affirmed
  
  - Class N 52109PBD6; LT Dsf Affirmed
  
  - Class P 52109PBE4; LT Dsf Affirmed
   
  - Class Q 52109PBF1; LT Dsf Affirmed
  
  - Class S 52109PBG9; LT Dsf Affirmed  

KEY RATING DRIVERS

Increased Loss Expectations/High Concentration of Specially
Serviced Loans/Assets: The downgrades to Classes C and D reflect
the greater certainty of losses from specially serviced assets
impacting these classes. The pool is adversely selected with only
eleven individual loans or assets, and one cross-collateralized
portfolio of 39 loans remaining. The remaining pool is either REO
(65.5%), in foreclosure (6.8%), or a Fitch Loan of Concern (FLOC)
(27.7%). Due to the highly concentrated nature of the pool, Fitch
performed a sensitivity and liquidation analysis, which grouped the
remaining loans based on their current status and collateral
quality and ranked them by their perceived likelihood of repayment
and/or loss expectations. The ratings reflect this sensitivity
analysis.

Increased Credit Enhancement: Credit enhancement has improved since
Fitch's last rating action primarily due to the disposition of
three assets (3.1% of the prior pool balance) with better than
expected recoveries. Additionally, fourteen properties have been
liquidated from the REO PECO Portfolio, the largest remaining
asset, resulting in $40.7MM in principal pay down for the trust;
losses will not be realized until all remaining assets are
liquidated. As of the January 2020 distribution date, the pool's
aggregate principal balance has been reduced by 87.7% to $366.8
million from $2.98 billion at issuance. To date, the pool has
experienced $178.6 million in realized losses with interest
shortfalls impacting classes H through T.

Largest Asset in Special Servicing: The PECO Portfolio (53.0%) was
originally secured by 39 cross-collateralized and cross-defaulted
properties across 13 states. The portfolio transferred to special
servicing in August 2012 when the borrower requested a loan
modification. The borrower later agreed to a deed-in-lieu of
foreclosure and the portfolio became REO in two stages between June
2014 and March 2015. As of the January 2020 distribution date, 28
of the properties have been sold and the proceeds were applied
pro-rata across all properties. The portfolio is becoming
increasingly adversely selected as higher quality assets have been
liquidated and significant losses are expected upon future
liquidations. Auctions or sales are scheduled for seven of the
assets and the servicer is working to increase occupancy at the
remaining properties prior to marketing them for sale.

The largest performing loan is the Islandia Shopping Center (A
Note: 16.0%; B Note: 2.8%), which is collateralized by a 376,774 sf
grocery-anchored shopping center in Islandia, NY. The loan was
previously in special servicing and in 2015 the loan was modified.
Terms of the modification included a four year extension (new
maturity date of July 15, 2021), changing of the IO period and
interest rate, and the creation of a hope note. The property is
currently performing at 97% occupancy and a 1.38x DSCR for the A
note, as of 3Q 2019. Fitch's analysis assumed the A note to take a
loss, and a full loss of the B note.

RATING SENSITIVITIES

All remaining classes are distressed and future upgrades are
unlikely given the concentrated nature of the pool and large
percentage of the pool in special servicing. Distressed classes are
subject to further downgrades as losses on specially serviced
loans/assets are realized.

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

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

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is 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.


LNR CDO 2002-1: Fitch Lowers Rating on 4 Tranches to Dsf
--------------------------------------------------------
Fitch Ratings has taken various rating actions on already
distressed classes across 13 commercial real estate collateralized
debt obligations with exposure to commercial mortgage-backed
securities.

LNR CDO 2002-1 Ltd
   
  - Class E-FL 50211NAJ8; LT Dsf Affirmed

  - Class E-FX 50211NAG4; LT Dsf Affirmed

  - Class E-FXD 50211NAH2; LT Dsf Affirmed
   
  - Class F-FL 50211NAK5; LT Dsf Downgrade
  
  - Class F-FX 50211NAL3; LT Dsf Downgrade

  - Class G 50211NAZ2; LT Dsf Downgrade

  - Class H 50211NBA6; LT Dsf Downgrade  

LNR CDO 2006-1, Ltd./LLC(IV)
   
  - Class A 53944MAA7; LT Dsf Affirmed
  
  - Class B-FL 53944MAB5; LT Dsf Affirmed
  
  - Class B-FX 53944MAC3; LT Dsf Affirmed
  
  - Class C-FL 53944MAD1; LT Csf Affirmed
  
  - Class C-FX 53944MAE9; LT Csf Affirmed
  
  - Class D-FL 53944MAF6; LT Csf Affirmed
  
  - Class D-FX 53944MAG4; LT Csf Affirmed
  
  - Class E 53944MAH2; LT Csf Affirmed
  
  - Class F-FL 53944MAJ8; LT Csf Affirmed

  - Class F-FX 53944MAT6; LT Csf Affirmed

  - Class G 53944MAK5; LT Csf Affirmed  

Crystal River Resecuritization CDO 2006-1, Ltd./LLC
   
  - Class A 22939QAA0; LT Dsf Affirmed
  
  - Class B 22939QAB8; LT Dsf Affirmed
  
  - Class C 22939QAC6; LT Dsf Downgrade
  
  - Class D 22939QAD4; LT Dsf Downgrade
  
  - Class F 22939QAF9; LT Dsf Downgrade
  
  - Class G 22939QAG7; LT Dsf Downgrade
  
  - Class H 22939QAH5; LT Dsf Downgrade
  
  - Class J 22939RAA8; LT Dsf Downgrade
  
  - Class K 22939RAB6; LT Dsf Downgrade  

JER CRE CDO 2006-2 Ltd/LLC
   
  - Class A-FL 47631WAB3; LT Dsf Affirmed

  - Class B-FL 47631WAD9; LT Dsf Affirmed
  
  - Class C-FL 47631WAF4; LT Csf Affirmed
   
  - Class C-FX 47631WAE7; LT Csf Affirmed

  - Class D-FL 47631WAH0; LT Csf Affirmed
  
  - Class D-FX 47631WAG2; LT Csf Affirmed
  
  - Class E-FL 47631WAK3; LT Csf Affirmed

  - Class E-FX 47631WAJ6; LT Csf Affirmed
  
  - Class F-FL 47631WAM9; LT Csf Affirmed

  - Class G-FL 47631WAP2; LT Csf Affirmed

  - Class H-FL 47631WAR8; LT Csf Affirmed

  - Class J-FX 47631WAS6; LT Csf Affirmed

  - Class K 47631WAU1; LT Csf Affirmed
   
  - Class L 47631WAV9; LT Csf Affirmed  

TIAA Real Estate CDO 2003-1
   
  - Class E 88631FAA6; LT Dsf Downgrade  

Crest G-Star 2001-1, LP
   
  - Class D 22606QAB0; LT Dsf Downgrade  

Anthracite 2005-HY2 Ltd. / Corp.
   
  - Class B 03703BAB5; LT Dsf Affirmed
  
  - Class C-FL 03703BAC3; LT Dsf Downgrade

  - Class C-FX 03703BAH2; LT Dsf Downgrade

  - Class D-FL 03703BAD1; LT Dsf Downgrade

  - Class D-FX 03703BAJ8; LT Dsf Downgrade
  
  - Class E USG1919XAE88; LT Dsf Downgrade

  - Class F 03703BAF6; LT Dsf Downgrade
  
  - Class G 03703BAG4; LT Dsf Downgrade  

LNR CDO 2003-1, Ltd.
   
  - Class F-FL 50211MAK7; LT Csf Affirmed

  - Class F-FX 50211MAJ0; LT Csf Affirmed
  
  - Class G 50211MAL5; LT Csf Affirmed
  
  - Class H; LT Csf Affirmed
  
  - Class J; LT Csf Affirmed  

LNR CDO III Ltd./Corp.
   
  - Class A Floating Rate Notes 53944PAA0; LT Dsf Affirmed
  
  - Class B Floating Rate Notes 53944PAB8; LT Dsf Affirmed
  
  - Class C Floating Rate Notes 53944PAC6; LT Csf Affirmed
  
  - Class D Floating Rate Notes 53944PAD4; LT Csf Affirmed
  
  - Class E-FL Floating Rate Notes 53944PAF9; LT Csf Affirmed

  - Class E-FX Fixed Rate Notes 53944PAG7; LT Csf Affirmed
  
  - Class F-FL Floating Rate Notes 53944PAL6; LT Csf Affirmed

  - Class F-FX Fixed Rate Notes 53944PAH5; LT Csf Affirmed

  - Class G Floating Rate Notes 53944PAQ5; LT Csf Affirmed  

Crest 2003-1, Ltd./Corp.
   
  - Class D-1 22608SAH1; LT Dsf Downgrade
  
  - Class D-2 22608SAD0; LT Dsf Downgrade  

JER CRE CDO 2005-1 Limited
   
  - Class A 46614KAA4; LT Dsf Affirmed
  
  - Class B-1 46614KAB2; LT Dsf Affirmed

  - Class B-2 46614KAH9; LT Dsf Affirmed
  
  - Class C 46614KAC0; LT Csf Affirmed
   
  - Class D 46614KAD8; LT Csf Affirmed

  - Class E 46614KAE6; LT Csf Affirmed
  
  - Class F 46614KAF3; LT Csf Affirmed
  
  - Class G 46614KAG1; LT Csf Affirmed  

ARCap 2004-RR3
   
  - Class C 03927PAF5; LT Dsf Affirmed
  
  - Class D 03927PAG3; LT Dsf Affirmed
  
  - Class E 03927PAH1; LT Dsf Affirmed
   
  - Class F 03927PAJ7; LT Dsf Affirmed
  
  - Class G 03927PAK4; LT Dsf Affirmed
  
  - Class H 03927PAL2; LT Dsf Affirmed

  - Class J 03927PAM0; LT Dsf Affirmed
  
  - Class K 03927PAN8; LT Dsf Affirmed
  
  - Class L 03927PAP3; LT Dsf Affirmed
   
  - Class M 03927PAQ1; LT Dsf Affirmed
  
  - Class N 03927PAR9; LT Dsf Affirmed  

ARCap 2006-RR7
   
  - Class A 03927RAB0; LT Csf Affirmed

  - Class A-D 03927RAA2; LT Csf Affirmed
   
  - Class B 03927RAC8; LT Csf Affirmed

  - Class C 03927RAD6; LT Csf Affirmed
  
  - Class D 03927RAE4; LT Csf Affirmed
   
  - Class E 03927RAF1; LT Csf Affirmed
   
  - Class F 03927RAG9; LT Csf Affirmed
  
  - Class G 03927RAH7; LT Csf Affirmed
  
  - Class H 03927RAJ3; LT Csf Affirmed
  
  - Class J 03927RAK0; LT Dsf Affirmed
  
  - Class K 03927RAL8; LT Dsf Affirmed
  
  - Class L 03927RAM6; LT Dsf Affirmed
  
  - Class M 03927RAN4; LT Dsf Affirmed
  
  - Class N 03927RAP9; LT Dsf Affirmed
  
  - Class O 03927RAQ7; LT Dsf Affirmed  

KEY RATING DRIVERS

This review was conducted under the framework described in Fitch's
"Global Structured Finance Rating Criteria" and "Structured Finance
CDOs Surveillance Rating Criteria." None of the reviewed
transactions were analyzed within a cash flow model framework due
to the concentrated nature of these CDOs. Fitch also determined the
impact of any structural features to be minimal in the context of
these outstanding CDO ratings or where the hedge has expired. A
look-through analysis of the remaining underlying bonds was
performed to determine the collateral coverage of the remaining
liabilities.

Fitch has downgraded 23 bonds in six transactions to 'Dsf' from
'Csf' for various reasons; these classes have incurred a principal
loss, these classes are non-deferrable classes that have
experienced an interest payment shortfall, or because no collateral
remains in the underlying pool to pay the outstanding bonds.

Fitch has affirmed 46 classes at 'Csf' as default is considered
inevitable due to their undercollateralization. Fitch has also
affirmed 33 classes at 'Dsf' as these classes have either taken a
principal loss or experienced an event of default, per the
transaction documents.

RATING SENSITIVITIES

Due to the undercollateralized nature of the remaining bonds, Fitch
does not foresee future upgrades.

Classes already rated 'Csf' have limited sensitivity to further
negative migration given their highly distressed rating level.
However, there is potential for classes to be downgraded to 'Dsf'
if they are non-deferrable classes that experience any interest
payment shortfalls, if they are classes that experience principal
writedowns or should an Event of Default, as set forth in the
transaction documents, occur.


LUNAR AIRCRAFT 2020-1: Fitch to Rate Class C Debt 'BB(EXP)'
-----------------------------------------------------------
Fitch Ratings has assigned expected ratings to Lunar Aircraft
2020-1 Limited.

Lunar Aircraft 2020-1 Limited
   
  - Class A; LT A(EXP)sf Expected Rating

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

  - Class C; LT BB(EXP)sf Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the aircraft operating lease ABS secured
notes issued by LUNAR Aircraft 2020-1 Limited (LUNAR Ireland) and
LUNAR Aircraft 2020-1 LLC (LUNAR USA), collectively LUNAR, as
listed above. LUNAR expects to use proceeds of the initial notes to
acquire a pool of 18 midlife aircraft from LUNAR Aircraft HoldCo
Limited (LAHL) and certain of its subsidiaries or affiliates and
LUNAR Ireland.

The pool will be serviced by DVB Bank SE, London Branch Aviation
Asset Management, with the notes secured by each aircraft's future
lease payments and residual cash flows. Additionally, an affiliate
of Sculptor Asset Management will act as the asset manager for the
investor and will acquire the E notes.

This is the first Fitch-rated aircraft ABS serviced by DVB and
third ABS transaction serviced by DVB. In 2019, DVB was acquired by
MUFG Bank Ltd. (MUFG; A/Negative), a subsidiary of Mitsubishi UFJ
Financial Group, Inc. and BOT Lease, Co., Ltd, an affiliate of
MUFG. The acquisition is expected to be completed in 1H20.

KEY RATING DRIVERS

Asset Quality — Mostly Liquid Narrow body — Positive: The pool
is largely composed of liquid B737 and A320 family current
generation aircraft including 17 in-demand narrow bodies and one
widebody ranging from mid to end-of-life, with a weighted average
(WA) age of 9.2 years. The single widebody aircraft is a
10.7-year-old A330-300 totaling 12.75% of the pool, on lease to
Finnair with a remaining term of 6.1 years. Widebodies are prone to
higher transition costs, and this variant is considered a Tier 1
asset given current demand and production dynamics.

Lease Term and Maturity Schedule — Concentrated: The weighted
average remaining lease term is 3.9 years, lower than recently
Fitch-rated transactions. Two leases come due in 2020 totaling
11.5% of the pool, four (17.6%) in 2021, and three (15.3%) in 2022.
The Finnair-leased A330-300 lease expires in 2026, and has the
largest contracted cash flow of 23.3% for the pool.

Operational and Servicing Risk — Adequate Servicing Capability:
Fitch believes DVB, supported by their related DVB aviation finance
groups, will be able to collect lease payments, remarket and
repossess aircraft in an event of lessee default, and procure
maintenance to retain values and ensure stable performance. Fitch
considers DVB to be a capable servicer as evidenced by their
servicing experience and performance of two serviced ABS
transactions and other managed aviation assets. MUFG, the parent of
DVB, is currently rated 'A'/Outlook Negative by Fitch.

Lessee Credit Risk — Weak Credits: The pool includes 16 lessees
with two airlines rated by Fitch (WestJet, rated BB-/Positive, and
TigerAir Australia [Parent Virgin Australia, rated B+/Stable]) with
three aircraft totaling 19.0%, and two flag carriers (Finnair and
Kenya Airlines). The majority of airlines are either unrated or
speculative-grade credits, typical of aircraft ABS. Fitch assumed a
'B' or 'CCC' Issuer Default Rating for unrated lessees and stressed
IDRs downward in recessions, to reflect default risk in the pool.
Ratings were further stressed during future assumed recessions and
once aircraft reach Tier 3 classification. The assumed 'CCC'
concentration in the pool is 31.9%, in line with recently rated
aircraft ABS.

Country Credit Risk — Neutral: The largest country concentration
is Russia (13.4%), (Long-Term IDR BBB-/ Stable) comprised of two
aircraft leased to Nordwind Airlines (9.2%) and S7 Airlines (4.2%).
The second largest is the Finland (12.6%) with one aircraft,
followed by India (12.1%), Turkey (10.0%) and Chile (7.9%). The top
five countries total 55.9% with 74.7% of lessees concentrated in
emerging markets, with 28.6% in Emerging Asia Pacific (APAC) and
25.4% in Emerging Europe and CIS.

Transaction Structure — Consistent: Credit enhancement comprises
overcollateralization, a liquidity facility and a cash reserve. The
initial loan to value ratios for series A, B and C notes are 66.9%,
77.9% and 84.0%, respectively, based on the average of the
maintenance-adjusted base values.

Structural Protections — Adequate: Each series of notes makes
full payment of interest and principal in the primary scenarios,
commensurate with their expected ratings after applying Fitch's
stressed asset and liability assumptions. Fitch has also created
multiple alternative cash flows to evaluate the structure
sensitivity to different scenarios, detailed later in the report.

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

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

RATING SENSITIVITIES

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

Technological Cliff Stress Scenario

All aircraft in the pool face replacement programs over the next
decade. Fitch believes the current generation aircraft in the pool
remain well insulated due to large operator bases and long lead
times for full replacement. This scenario simulates a drop in
demand (and associated values). The first recession was assumed to
occur two years following close and all recessionary value decline
stresses were increased by 10% at each rating category. Fitch
additionally utilized a 25% residual assumption rather than the
base level of 50% to stress end-of-life proceeds for each asset in
the pool. Lease rates drop under this scenario, and aircraft are
sold for scrap at end of useful lives.

Under this scenario, all classes fail at their respective rating
category. As a result, class A would result in multiple categories
of downgrades while class B and C would result in one level below
their rating category. This is the most stressful sensitivity to
this transaction because of the heavier reliance of residual
proceeds.

LRF Stress Scenarios

Fitch ran a sensitivity scenario that capped LRFs for all aircraft.
Fitch capped all leases at a 1.00% LRF. This is the
criteria-assumed LRF at age eight. After this point, leases in
prior pools have fallen notably below Fitch's curve. While the
curve normally increases and is then capped at 1.65% in runs under
these scenarios, no lease will be executed at a LRF above 1.00%.

Under this scenario, all classes fail at their respective rating
category. As a result, such a result could result in a one level
category downgrade of each class below their rating category.

Coronavirus Stress Scenario

Health outbreaks, such as the Coronavirus, can deter and restrict
travel to certain regions. To account for the most recent health
outbreak, with the vast majority of cases in Asia, more
specifically China, Fitch ran a sensitivity that stressed the
assumed ratings of any APAC lessees to 'CCC' and any lessees in
China to 'D'. This pool has over 16% exposure to the APAC region
more closely associated with China.

Under this scenario, all classes are able to pass at their
respective ratings.


NEW RESIDENTIAL 2020-RPL1: DBRS Finalizes B Rating on B-2 Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2020-RPL1 (the Notes) issued by New
Residential Mortgage Loan Trust 2020-RPL1 (the Trust):

-- $756.1 million Class A-1 at AAA (sf)
-- $71.3 million Class A-2 at AA (sf)
-- $69.0 million Class M-1 at A (sf)
-- $56.5 million Class M-2 at BBB (sf)
-- $48.7 million Class B-1 at BB (sf)
-- $26.7 million Class B-2 at B (sf)
-- $827.4 million Class A-3 at AA (sf)
-- $896.4 million Class A-4 at A (sf)

Classes A-3 and A-4 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 36.40% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf), BB (sf), and B (sf) ratings reflect 30.40%, 24.60%,
19.85%, 15.75%, and 13.50% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of seasoned
performing and reperforming first-lien residential mortgages funded
by the issuance of mortgage-backed notes (i.e., the Notes). The
Notes are backed by 6,884 loans with a total principal balance of
$1,188,815,989 as of the Cut-Off Date (December 31, 2019).

The portfolio is approximately 156 months seasoned, and 93.0% of
the loans are modified. The modifications happened more than two
years ago for 85.6% of the modified loans. Within the pool, 2,393
mortgages have non-interest-bearing deferred amounts, which equate
to 7.8% of the total principal balance.

As of the Cut-Off Date, 64.1% of the pool is current, 30.8% is 30
days delinquent, and 2.4% is 60 days delinquent under the Mortgage
Bankers Association (MBA) delinquency method. Additionally, 2.8% of
the pool is in bankruptcy (all bankruptcy loans are performing 30
days or 60 days delinquent under the MBA delinquency method).
Approximately 17.2% and 30.8% of the loans have been zero times 30
days delinquent for at least 12 months and six months,
respectively, under the MBA delinquency method. All but 1.2% of the
pool is exempt from the Ability-to-Repay/Qualified Mortgage (QM)
rules; these loans are designated as Non-QM.

The Seller, NRZ Sponsor VIII LLC (NRZ), acquired the loans in a
whole-loan purchase or in connection with the termination of a
securitization trust prior to the Closing Date and, through an
affiliate, New Residential Funding 2020-RPL1 LLC (the Depositor),
will contribute the loans to the Trust. As the Sponsor, New
Residential Investment Corp., or a majority-owned affiliate, will
acquire and retain a 5.0% eligible vertical interest 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.

The loans will be serviced by NewRez, LLC doing business as (d/b/a)
Shellpoint Mortgage Servicing (92.6%), Fay Servicing LLC (7.2%),
and Nationstar Mortgage LLC (Nationstar) d/b/a Mr. Cooper Group,
Inc. (0.2%). Nationstar will also act as the Master Servicer.

There will not be any advancing of delinquent principal or interest
on any mortgages by the servicers or any other party to the
transaction; however, the servicers are obligated to make advances
with respect to the preservation, inspection, restoration,
protection, and repair of a mortgaged property, including
delinquent tax and insurance payments, the enforcement or judicial
proceedings associated with a mortgage loan, and the management and
liquidation of properties (to the extent such advances are deemed
recoverable by the related servicer).

NRZ, as the Seller, will have the option to repurchase any loan
that becomes 60 days or more delinquent under the MBA method or any
real estate–owned property acquired in respect of a mortgage loan
at a price equal to the principal balance of the loan (Optional
Repurchase Price), provided that such repurchases will be limited
to 10.0% of the principal balance of the mortgage loans as of the
Cut-Off Date.

As a loss mitigation alternative, each Servicer has the right to
sell (or cause to be sold) mortgage loans that become 60 days or
more delinquent under the MBA method to any party in the secondary
market in an arms-length transaction at fair market value to
maximize proceeds on such loan on a present value basis.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class M-1
and more subordinate bonds will not be paid from principal proceeds
until the more senior classes are retired.

The ratings reflect transactional strengths that include a
comprehensive due diligence review and structural features.

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.

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.

The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the
timely payment of interest and full payment of principal by the
legal final maturity date in accordance with the terms and
conditions of the related notes. The DBRS Morningstar ratings of A
(sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
notes.

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


NEW RESIDENTIAL 2020-RPL1: Moody's Rates Class B-2 Notes B2
-----------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 8 classes
of notes issued by New Residential Mortgage Loan Trust 2020-RPL1.
The NRMLT 2020-RPL1 transaction is a $1,188.8 million
securitization of 6,884 first lien, seasoned performing and
re-performing mortgage loans with weighted average seasoning of 157
months, a weighted average updated LTV ratio of 72.6% and a
weighted average non-zero updated FICO score of 611. Approximately
93.0% of the loans by unpaid principal balance have been previously
modified and about 99.5% are fixed-rate mortgages including 3% step
rate loans. Based on MBA methodology, approximately 0.1% of the
loans by unpaid principal balance have been continuously current
for the last 24 months. Shellpoint Mortgage Servicing (Shellpoint),
Fay Servicing LLC (Fay) and Mr. Cooper Group Inc. (Mr. Cooper) will
act as the primary servicers on 92.6%, 7.2% and 0.2% of the loans
by unpaid principal balance, respectively. Nationstar Mortgage LLC
(Nationstar) will act as master servicer and successor servicer.

The complete rating action is as follows:

Issuer: New Residential Mortgage Loan Trust 2020-RPL1

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

Cl. A-2, Definitive Rating Assigned Aa2 (sf)

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

Cl. A-4, Definitive Rating Assigned A1 (sf)

Cl. B-1, Definitive Rating Assigned Ba2 (sf)

Cl. B-2, Definitive Rating Assigned B2 (sf)

Cl. M-1, Definitive Rating Assigned A3 (sf)

Cl. M-2, Definitive Rating Assigned Baa3 (sf)

RATINGS RATIONALE

Its losses on the collateral pool equal 12.0% in an expected case
and 36.0% at a stress level consistent with the Aaa ratings.
Moody's based its expected losses for the pool on its estimates of
(1) the default rate on the remaining balance of the loans and (2)
the principal recovery rate on the defaulted balances. The final
expected losses for the pool reflect the third-party review (TPR)
findings and its assessment of the representations and warranties
(R&Ws) framework for this transaction. This pool contains a portion
of 30 days OTS delinquent mortgage loans as of the cut-off date.
Additionally, the transaction contains sale provision, the exercise
of which is subject to potential conflicts of interest. Moody's
took this into consideration when calculating the expected losses.

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

Collateral Description

NRMLT 2020-RPL1 is a securitization of 6,884 seasoned performing
and re-performing residential mortgage loans which the seller, NRZ
Sponsor VIII LLC, acquired mostly via whole loan purchase.
Approximately 93.0% of the loans had previously been modified,
99.5% are fixed-rate mortgage loans, which includes 3.6% fixed
step-rate mortgage loans and 0.5% are adjustable-rate mortgage
loans. Approximately 2.5% of the pool is 30 days OTS delinquent as
of the cut-off date and it incorporated this delinquency in its
analysis.

The updated value of properties in this pool were provided by a
third-party firm using a home data index (HDI), Automated Valuation
Model (AVM) or an updated broker price opinion (BPO). BPOs were
provided for 6,450 loans accounting for approximately 97.4% of the
aggregate pool balance, AVMs were provided for 1 loan and HDIs were
provided for the remaining 433 loans. In its analysis, it
calculated LTV ratios using the BPO in all cases where it is
available and applied a haircut to HDIs or AVMs in cases where a
BPO is not available. The weighted average updated LTV ratio on the
collateral is 72.6%.

Third-Party Review (TPR) and Representations & Warranties (R&W)

One third party due diligence provider, AMC, conducted a compliance
review on 7,585 mortgage loans, data capture on 7,585 mortgage
loans and payment history review on an initial population of 7,571
mortgage loans which included all but 78 mortgage loans in the
pool. The regulatory compliance review consisted of a review of
compliance with the federal Truth in Lending Act (TILA) as
implemented by Regulation Z, the federal Real Estate Settlement
Procedures Act (RESPA) as implemented by Regulation X, the
disclosure requirements and prohibitions of Section 50(a)(6),
Article XVI of the Texas Constitution, federal, state and local
anti-predatory regulations, federal and state specific late charge
and prepayment penalty regulations, and document review.

AMC found that 6,321 out of the initial population of 7,585 loans
had compliance exceptions with 773 loans receiving a rating agency
exception grade of C or D. Based on its analysis of the TPR
reports, it determined that a portion of the loans with some cited
violations are at enhanced risk of having violated TILA through an
under-disclosure of the finance charges or other disclosure
deficiencies. Although the TPR report indicated that the statute of
limitations for borrowers to rescind their loans has already
passed, borrowers can still raise these legal claims in defense
against foreclosure as a set off or recoupment and win damages that
can reduce the amount of the foreclosure proceeds. Such damages
include up to $4,000 in statutory damages, borrowers' legal fees
and other actual damages. Moody's increased its losses for these
loans to account for the risk of such damages.

AMC conducted a title review on 7,571 loans in the preliminary due
diligence population pool in order to confirm the first lien
position of the related mortgages. There were 346 mortgage loans
that were determined to have critical findings based on the scope
of reviews set forth herein. Of these mortgage loans, 282 mortgage
loans had a senior lien encumbrance recorded after the recordation
of the subject mortgage and could not be mitigated by reviewing
schedule B of the related title policy. 35 mortgage loans had a
senior lien encumbrance recorded after the recordation of the
subject mortgage, which could not be mitigated by reviewing
schedule B of the related title policy, and also had a senior lien
encumbrance recorded before the recordation of the subject mortgage
for which the related title policy did not cite the encumbrance on
Schedule B. The remaining 444 first lien mortgage loans had a
senior lien encumbrance recorded before the recordation of the
subject mortgage, however for these mortgage loans did not cite the
encumbrance on Schedule B of the related title policy. AMC
determined from a review of the current owner's title search there
were no critical exceptions on the remaining 6,746 mortgage loans.
The sponsor makes a representation as to the validity and
enforceability of the mortgage loan as first lien on the related
property, except in the case of specified encumbrances as listed in
the offering document. Moody's considers this representation to be
a strong mitigating factor to the critical findings of the title
and lien review.

The seller, NRZ Sponsor VIII LLC, is providing a representation and
warranty for missing mortgage files. To the extent that the master
servicer, related servicer or depositor has actual knowledge, or a
responsible officer of the Indenture Trustee has received written
notice, of a defective or missing mortgage loan document or a
breach of a representation or warranty regarding the completeness
of the mortgage file or the accuracy of the mortgage loan
documents, and such missing document, defect or breach is
preventing or materially delaying the (a) realization against the
related mortgaged property through foreclosure or similar loss
mitigation activity or (b) processing of any title claim under the
related title insurance policy, the party with such actual
knowledge will give written notice of such breach, defect or
missing document, as applicable, to the seller, indenture trustee,
depositor, master servicer and related servicer. Upon notification
of a missing or defective mortgage loan file, the seller will have
120 days from the date it receives such notification to deliver the
missing document or otherwise cure the defect or breach. If it is
unable to do so, the seller will be obligated to replace or
repurchase the mortgage loan.

Similar to the NRMLT 2019-RPL3 deal, the seller's obligation to
cure or repurchase any mortgage loan for which a material breach of
the R&Ws (other than those with respect to the REMIC reps) has
occurred is in effect for only twelve months after closing, after
which the only recourse available to noteholders upon the
occurrence of a material breach of the R&Ws will be funds in the
breach reserve account. The breach reserve account will have a
balance of $0 at closing and, for each payment date, will build to
a target of the sum of (i) 0.375% of the Class A-1 note balance,
(ii) 0.250% of the Class A-2 note balance, (iii) 0.125% of the
Class M-1 note balance, and (iv) 0.050% and the Class M-2 note
balance immediately prior to each payment date. The initial target
amount on the closing date will be $3,128,070. It took the R&W
sunset provision into consideration in determining its expected
loss on the pool.

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

The transaction indenture trustee is Wilmington Trust, National
Association. The custodian functions will be performed by Wells
Fargo Bank, N.A, U.S. Bank National Association, and Deutsche Bank
National Trust Company. The paying agent and cash management
functions will be performed by Citibank, N.A. In addition,
Nationstar, as master servicer, is responsible for servicer
oversight, termination of servicers, and the appointment of
successor servicers. Having Nationstar as a master servicer
mitigates servicing-related risk due to the performance oversight
that it will provide. Nationstar will serve as the designated
successor servicer for each of the servicers other than
Nationstar.

Shellpoint, Fay and Mr. Cooper will act as the primary servicers on
92.6%, 7.2% and 0.2% of the loans by unpaid principal balance,
respectively. It considers the overall servicing arrangement to be
adequate.

Transaction Structure

The transaction cash flows follow a sequential priority of
payments, in which a given class of notes can only receive
principal payments once all the classes of notes above it have been
paid off. Losses will be applied in reverse order of priority.
Monthly available excess spread can be used to pay principal on the
notes sequentially.

Moody's coded the transaction cash flows using its proprietary
cashflow tool. To assess the final ratings on the notes, it ran 96
different loss and prepayment scenarios. The scenarios encompass
six loss levels, four loss timing curves, and four prepayment
curves.

Other Considerations

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

When analyzing the transaction, it reviewed the transaction's
exposure to large potential indemnification payments owed to
transaction parties due to potential lawsuits. In particular, it
assessed the risk that the indenture trustee would be subject to
lawsuits from investors for a failure to adequately enforce the
R&Ws against the seller. It believes that NRMLT 2020-RPL1 is
adequately protected against such risk primarily because the loans
in this transaction are highly seasoned. Although some loans in the
pool were previously delinquent and modified, the loans all have a
substantial history of payment performance. This includes payment
performance during the recent recession. As such, if loans in the
pool were materially defective, such issues would likely have been
discovered prior to the securitization. Furthermore, third-party
due diligence was conducted on all but 78 loans in the
securitization pool for issues such as title and compliance on all
the loans. As such, it did not apply adjustments in this
transaction to account for indemnification payment risk.

In addition, prior to closing, the collateral pool has
approximately $4,761,655 of unreimbursed servicing advances such as
taxes and insurance. The mortgage borrower is responsible for
reimbursing the servicer for the pre-existing servicing advances.
The servicer may choose to set the pre-existing advances as escrow
to be repaid by the borrower as part of monthly mortgage payments.
However, in the event the borrower defaults on the mortgage prior
to fully repaying the pre-existing servicing advances, the servicer
will recoup the outstanding amount of pre-existing advances from
the loan liquidation proceeds. The amount of pre-existing servicing
advances represents approximately 0.4% of total pool balance. As
borrowers make monthly mortgage payments, this amount would likely
decrease. Moreover, its loan loss severity assumption incorporates
reimbursement of servicing advances from liquidation proceeds.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from its original expectations
as a result of a lower number of obligor defaults or appreciation
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.

Down

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

The methodologies used in these ratings were "Non-Performing and
Re-Performing Loan Securitizations Methodology" published in
January 2020, and "US RMBS Surveillance Methodology" published in
February 2019.


OBX TRUST 2020-EXP1: Fitch to Rate Class B-5 Debt 'B(EXP)'
----------------------------------------------------------
Fitch Ratings has assigned expected ratings to OBX 2020-EXP1
Trust.

OBX 2020-EXP1
   
  - Class 1-A-1; LT AAA(EXP)sf Expected Rating

  - Class 1-A-2; LT AAA(EXP)sf Expected Rating
  
  - Class 1-A-3; LT AAA(EXP)sf Expected Rating
  
  - Class 1-A-4; LT AAA(EXP)sf Expected Rating
  
  - Class 1-A-5; LT AAA(EXP)sf Expected Rating

  - Class 1-A-IO1; LT AAA(EXP)sf Expected Rating
  
  - Class 1-A-IO2; LT AAA(EXP)sf Expected Rating
  
  - Class 1-A-IO3; LT AAA(EXP)sf Expected Rating

  - Class 1-A-IO4; LT AAA(EXP)sf Expected Rating

  - Class 1-A-IO5; LT AAA(EXP)sf Expected Rating

  - Class 1-A-IO6; LT AAA(EXP)sf Expected Rating

  - Class 1-A-6; LT AAA(EXP)sf Expected Rating

  - Class 1-A-7; LT AAA(EXP)sf Expected Rating
  
  - Class 1-A-8; LT AAA(EXP)sf Expected Rating
  
  - Class 1-A-9; LT AAA(EXP)sf Expected Rating

  - Class 1-A-10; LT AAA(EXP)sf Expected Rating
  
  - Class 1-A-11; LT AAA(EXP)sf Expected Rating

  - Class 1-A-11X; LT AAA(EXP)sf Expected Rating

  - Class 1-A-12; LT AAA(EXP)sf Expected Rating

  - Class 1-A-IO71; LT AAA(EXP)sf Expected Rating

  - Class 1-A-IO72; LT AAA(EXP)sf Expected Rating

  - Class 1-A-IO81; LT AAA(EXP)sf Expected Rating

  - Class 1-A-IO82; LT AAA(EXP)sf Expected Rating

  - Class 1-A-IO781; LT AAA(EXP)sf Expected Rating
  
  - Class 1-A-IO782; LT AAA(EXP)sf Expected Rating
  
  - Class 2-A-1A; LT AAA(EXP)sf Expected Rating
  
  - Class 2-A-1B; LT AAA(EXP)sf Expected Rating
  
  - Class 2-A-1; LT AAA(EXP)sf Expected Rating

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

  - Class 2-A-3; LT AAA(EXP)sf Expected Rating

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

  - Class B-1; LT AA-(EXP)sf Expected Rating
  
  - Class B1-IO; LT AA-(EXP)sf Expected Rating
  
  - Class B1-A; LT AA-(EXP)sf Expected Rating
  
  - Class B2-1; LT A+(EXP)sf Expected Rating

  - Class B2-1-IO; LT A+(EXP)sf Expected Rating

  - Class B2-1-A; LT A+(EXP)sf Expected Rating
  
  - Class B2-2; LT A(EXP)sf Expected Rating

  - Class B2-2-IO; LT A(EXP)sf Expected Rating
  
  - Class B2-2-A; 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 722 loans with a total unpaid principal
balance of approximately $467.51 million as of the cutoff date. The
pool consists of fixed-rate mortgages and adjustable-rate mortgages
acquired by Annaly Capital Management, Inc. from various
originators and aggregators. Distributions of principal and
interest and loss allocations are based on a traditional
senior-subordinate, shifting-interest Y-structure.

Each rated bond in this transaction has significant CE, and Fitch
believes the deal structure provides for protection against
mortgage losses consistent with the bond's rating. The classes
1-A-2, 1-A-4, 2-A-1B and 2-A-2 take an immaterial write-down of
approximately 1bp in one of the timing scenarios (back-loaded loss
with a flat CPR in an upward interest rate stress). Fitch did not
consider this relevant to the rating. In all stress scenarios
associated with each bond's rating, no other rated classes
experience any principal write-downs.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists primarily
of 30-year fixed-rate and adjustable-rate fully amortizing loans to
borrowers with strong credit profiles, relatively low leverage and
large liquid reserves. The loans are seasoned an average of seven
months.

The pool has a weighted average model FICO score of 755, high
average balance of $647,522 and a low sustainable loan-to-value
ratio of 68.8%.

Investor Properties, Non-QM and Alternative Documentation
(Negative): The pool contains a meaningful amount of investor
properties (20%), nonqualified mortgage (non-QM) loans (65%) and
non-full documentation loans (56%). Fitch's loss expectations
reflect the higher default risk associated with these attributes as
well as loss severity adjustments for potential ability-to-repay
(ATR) challenges. Higher LS assumptions are assumed for the
investor property product to reflect potential risk of a distressed
sale or disrepair.

Low Operational Risk (Positive): Operational risk is
well-controlled in this transaction. Annaly employs an effective
loan aggregation process and has an 'Average' assessment from
Fitch. The loans are being serviced by Select Portfolio Servicing,
Inc. (SPS), which is rated 'RPS1-' for this product. The issuer's
retention of at least 5% of the bonds helps ensure an alignment of
interest between issuer and investor.

Representation and Warranty Framework (Negative): Fitch considers
the transaction's representation, warranty and enforcement
mechanism framework to be consistent with Tier 2 quality. The RW&Es
are being provided by Onslow Bay Financial, LLC, which does not
have a financial credit opinion or public rating from Fitch. While
an automatic review can be triggered by loan delinquencies and
losses, the triggers can toggle on and off from period to period.
Additionally, a high threshold of investors is needed to direct the
trustee to initiate a review. The Tier 2 framework and non-rated
counterparty resulted in a loss penalty of 70 bps at AAAsf.

Third-Party Due Diligence (Positive): A very low incidence of
material defects was found in the third-party credit, compliance
and valuation due diligence performed on approximately 100% of the
pool. A third-party review was conducted by AMC, Clayton and
IngletBlair; both AMC and Clayton are assessed by Fitch as
'Acceptable - Tier 1' and IngletBlair is assessed as 'Acceptable -
Tier 2'. The due diligence results are in line with industry
averages, and based on loan count, 99.8% were graded 'A' or 'B'.
Since loan exceptions either had strong mitigating factors or were
accounted for in Fitch's loan loss model, no additional adjustments
were made. The model credit for the high percentage of loan level
due diligence combined with the adjustments for loan exceptions
reduced the 'AAAsf' loss expectation by 32 bps.

Servicing Advancing (Neutral): Advances of delinquent P&I will be
made on the mortgage loans for the first 120 days of delinquency to
the extent such advances are deemed recoverable. P&I advances will
be made from amounts on deposit for future distribution, the excess
servicing strip fee that would otherwise be allocable to the class
A-IO-S notes and the P&I advancing party fee. If such amounts are
insufficient, the P&I advancing party (Onslow Bay Financial LLC)
will be responsible for any remaining amounts. In the event the
underlying obligations are not fulfilled, Wells Fargo Bank, N.A.,
as master servicer, will be required to make advances.

High California Concentration (Negative): Approximately 55.2% of
the pool is located in California, which is higher than many other
recent Fitch-rated transactions. In addition, the metropolitan
statistical area concentration is large, as the top three MSAs (Los
Angeles, New York and San Francisco) account for 55.4% of the pool.
As a result, a geographic concentration penalty of 1.12x was
applied to the probability of default.

Shifting Interest Deal Structure (Negative): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early on in the
transaction, the structure is more vulnerable to defaults occurring
later on in the life of the deal compared to a sequential or
modified sequential structure. To help mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.80% of the original balance will be
maintained for the notes.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts and costs of
arbitration, to be paid by the net WA coupon of the loans, which
does not affect the contractual interest due on the notes.
Furthermore, the expenses to be paid from the trust are capped at
$275,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

RATING SENSITIVITIES

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

Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10.0%, 20.0%, and 30.0%, in addition to the
model-projected 2.4%. 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'.

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
AMC Diligence, LLC, Clayton Services LLC and Inglet Blair LLC. A
third-party diligence review was completed on 100% of the loans in
this transaction, and the scope was consistent with Fitch's
criteria. The due diligence results did not have an impact on the
expected loss levels.

ESG CONSIDERATIONS

Minimal Credit Impact from ESG: The highest level of ESG credit
relevance is a score of 3, meaning that 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.


PREFERRED TERM XXIV: Moody's Hikes Ratings on 2 Tranches to Caa3
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by Preferred Term Securities XXIV, Ltd.:

  US$85,800,000 Floating Rate Class B-1 Mezzanine Notes Due March
  22, 2037 (current balance of $81,253,894), Upgraded to
  Baa3 (sf); previously on May 3, 2017 Upgraded to Ba1 (sf)

  US$20,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due
  March 22, 2037 (current balance of $18,940,302), Upgraded to
  Baa3 (sf); previously on May 3, 2017 Upgraded to Ba1 (sf)

  US$65,650,000 Floating Rate Class C-1 Mezzanine Notes Due
  March 22, 2037 (current balance including interest shortfall
  of $76,403,354), Upgraded to Caa3 (sf); previously on
  September 23, 2014 Affirmed C (sf)

  US$54,250,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
  Due March 22, 2037 (current balance including interest
  shortfall of $70,201,877), Upgraded to Caa3 (sf); previously
  on September 23, 2014 Affirmed C (sf)

Preferred Term Securities XXIV, Ltd., issued in December 2006, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of bank and insurance trust preferred securities (TruPS).

RATINGS RATIONALE

The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
over-collateralization (OC) ratios since February 2019.

The Class A-1 notes have paid down by approximately 3.1% or $10.3
million since February 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 B and Class C notes have improved to 115.1% and 91.6%,
respectively, from February 2019 levels of 112.9% and 90.3%,
respectively. The Class C-1 and Class C-2 notes will continue to
benefit from the diversion of excess interest untill their deferred
interest balances are paid in full. After that, the Class A-1,
Class A-2, Class B-1, Class B-2, Class C-1 and Class C-2 notes will
benefit from the pro rata diversion of excess interest so long as
the Class C OC test continues to fail (current test level of 91.35%
versus trigger level of 105.50%).

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $655.0 million, defaulted/deferring par of $164.3 million, a
weighted average default probability of 9.32% (implying a WARF of
790), 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.


PREFERRED TERM XXV: Moody's Hikes Rating on 2 Tranches to Caa2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Preferred Term Securities XXV, Ltd.:

US$482,600,000 Floating Rate Class A-1 Senior Notes Due June 22,
2037 (current balance of $228,304,251), Upgraded to Aa1 (sf);
previously on August 3, 2017 Upgraded to Aa2 (sf)

US$129,400,000 Floating Rate Class A-2 Senior Notes Due June 22,
2037 (current balance of $121,858,102), Upgraded to Aa3 (sf);
previously on August 3, 2017 Upgraded to A1 (sf)

US$61,400,000 Floating Rate Class B-1 Mezzanine Notes Due June 22,
2037 (current balance of $57,820,565), Upgraded to Baa3 (sf);
previously on August 3, 2017 Upgraded to Ba1 (sf)

US$25,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due
June 22, 2037 (current balance of $23,541,691), Upgraded to Baa3
(sf); previously on August 3, 2017 Upgraded to Ba1 (sf)

US$82,300,000 Floating Rate Class C-1 Mezzanine Notes Due June 22,
2037 (current balance including interest shortfall of $83,187,089),
Upgraded to Caa2 (sf); previously on February 19, 2016 Upgraded to
Ca (sf)

US$18,500,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due
June 22, 2037 (current balance including interest shortfall of
$19,213,389), Upgraded to Caa2 (sf); previously on February 19,
2016 Upgraded to Ca (sf)

Preferred Term Securities XXV, Ltd., issued in March 2007, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).

RATINGS RATIONALE

The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
over-collateralization ratios, and partial repayment of the Class
C-1 and Class C-2 notes' deferred interest balances since February
2019.

Since February 2019, the Class A-1 notes have paid down by
approximately 3.5% or $8.3 million by using principal proceeds from
the redemption of the underlying assets, and the Class C-1 and
Class C-2 notes' deferred interest balances have been paid down by
approximately $5.8 million and $2.9 million, respectively, by using
excess interest proceeds. Based on Moody's calculations, the OC
ratios for the Class A-1, Class A, Class B, and Class C notes have
improved to 224.3%, 146.2%, 118.7%, and 95.9%, respectively, from
February 2019 levels of 219.8%, 145.1%, 118.3%, and 94.1%,
respectively. The Class A-1 notes will continue to benefit from the
use of principal proceeds from redemptions of any assets in the
collateral pool. Additionally, the Class C-1 and Class C-2 notes
will continue to benefit from the diversion of excess interest
untill their deferred interest balances are paid in full. After
that, the Class A-1, Class A-2, Class B-1, Class B-2, Class C-1 and
Class C-2 notes will benefit from the pro rata diversion of excess
interest so long as the Class C OC test continues to fail
(currently reported at 95.6% versus a trigger level of 105.5%).

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $512.0 million, defaulted par of $122.5 million, a weighted
average default probability of 9.91% (implying a WARF of 801), 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.


PROVIDENT FUNDING 2020-1: Moody's Gives '(P)B2' Rating to B-5 Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 18
classes of residential mortgage-backed securities issued by
Provident Funding Mortgage Trust 2020-1. The ratings range from
(P)Aaa (sf) to (P)B2 (sf).

Provident 2020-1 is the first transaction in 2020 entirely backed
by loans originated by the sponsor, Provident Funding Associates,
L.P. Provident 2020-1, a common law trust formed under the laws of
the State of New York, is a securitization of agency-eligible
mortgage loans originated and serviced by Provident Funding, a
California limited partnership (corporate family rating B1; senior
unsecured B2) and will be the second transaction for which
Provident Funding is the sole originator and servicer. Provident
Funding has previously sponsored one securitization which closed in
2019.

As of the cut-off date of February 1, 2020, the pool contains of
1,171 mortgage loans with an aggregate principal balance of
$415,684,032 secured by first liens on one- to four-family
residential properties, condominiums or planned unit developments,
originated from August 2019 through December 2019, and are fully
amortizing, fixed-rate Safe Harbor QM (QM) loans, each with an
original term to maturity of 30 years. The mortgage loans have
principal balances which meet the requirements for purchase by
Fannie Mae or Freddie Mac, and were underwritten pursuant to the
guidelines of Fannie Mae or Freddie Mac, as applicable, using their
automated underwriting systems (collectively, agency-eligible
loans). Overall, the credit quality of the mortgage loans backing
this transaction is similar to the previously sponsored Provident
Funding securitization which closed in 2019 and to that of
transactions issued by other prime issuers.

Provident Funding will act as the initial servicer of the mortgage
loans (in such capacity, the Servicer). The Servicer will service
the mortgage loans pursuant to the pooling and servicing agreement.
Wells Fargo Bank, N.A (Wells Fargo, rated Aa1) will be the master
servicer, securities administrator, paying agent and certificate
registrar and the trustee will be Wilmington Savings Fund Society,
FSB.

The complete rating actions are as follows:

Issuer: Provident Funding Mortgage Trust 2020-1

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. B-2, Assigned (P)A1 (sf)

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

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

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

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.27%
and reaches 3.06% 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 scope and results, and the
financial strength of the representation & warranty provider.

Collateral Description

As of the cut-off date of February 1, 2020, the pool contains of
1,171 mortgage loans with an aggregate principal balance of
$415,684,032 secured by first liens on one- to four-family
residential properties, condominiums or planned unit developments,
originated from August 2019 through December 2019, and are fully
amortizing, fixed-rate Safe Harbor "qualified mortgages" (QM)
loans, each with an original term to maturity of 30 years. The
mortgage loans have principal balances which meet the requirements
for purchase by Fannie Mae or Freddie Mac, and were underwritten
pursuant to the guidelines of Fannie Mae or Freddie Mac, as
applicable, using their automated underwriting systems.

Borrowers of the mortgage loans backing this transaction have
strong credit profiles demonstrated by strong credit scores, high
percentage of equity and significant liquid reserves. The average
stated principal balance is $354,982 and the weighted average (WA)
current mortgage rate is 3.6%. The mortgage pool has a WA original
term of 30 years. The mortgage pool has a WA seasoning of 2.71
months. The borrowers have a WA credit score of 776, WA combined
loan-to-value ratio (CLTV) of 67.0% and WA debt-to-income ratio
(DTI) of 33.1%. Most of the properties are located in California
(25.1% by balance). The credit quality of the transaction is in
line with recent prime jumbo transactions that Moody's has rated.

Approximately 51.4% of the loans (by loan balance) were originated
through the broker channel. Approximately 26.3% and 22.3% were
originated through retail and correspondent channels, respectively.
This pool has a lower proportion of purchase loans (29.5% by loan
balance) compared to recent prime transactions which typically
contained about 50% to 70% of such loans. Refinance loans,
including debt consolidation, constitute 70.5% of the pool, with
about 22.3% of the pool as cash-out refinance loans. Furthermore,
approximately 58.5% (by loan balance) of the properties backing the
mortgage loans are located in five states: California, Texas,
Colorado, Utah and Oregon, with 25.1% (by loan balance) of the
properties located in California. Properties located in the states
of Pennsylvania, Arizona, Washington, Florida, and North Carolina
round out the top ten states by loan balance. Approximately 80.1%
(by loan balance) of the properties backing the mortgage loans
included in Provident 2020-1 are located in these ten states.
Overall, the credit quality of the transaction is in line with
recent prime jumbo transactions that Moody's has rated.

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

One third-party due diligence (TPR) firm verified the accuracy of
the loan level information. The TPR firm conducted detailed credit,
property valuation, data accuracy and compliance reviews on
approximately 30% (by loan count or 351 residential loans) of the
mortgage loans in the collateral pool. With sampling, there is a
risk that loans with grade C or grade D issues (if any, but none
here) remain in the pool and that data integrity issues were not
corrected prior to securitization for all of the loans in the pool.
Moreover, vulnerabilities of the R&W framework, such as the
financial condition of the R&W provider, may be amplified due to
the TPR sample. However, Moody's did not make an adjustment to loss
levels to account for this risk as the sample size meets its credit
neutral criteria and all loans had a final grade of A or B. The due
diligence results confirm compliance with the originator's
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues, and no material property valuation
issues. The loans that had exceptions had significant compensating
factors that were documented. Moody's did not make any adjustments
to its base case and Aaa stress loss assumptions based on the TPR
results.

Overall, Moody's considers the strength of the R&W framework in
Provident 2020-1 to be adequate. Its analysis of the R&W framework
considers the R&Ws, enforcement mechanisms and creditworthiness of
the R&W provider. The sponsor has provided unambiguous R&Ws with no
material knowledge qualifiers and not subject to a sunset. There is
a provision for binding arbitration in the event of a dispute
between investors and the R&W provider concerning R&W breaches.
However, while the sponsor has provided R&Ws that are generally
consistent with a set of credit neutral R&Ws that we've identified
in its methodology, the R&W framework in Provident 2020-1 differs
from some of the other prime jumbo transactions because breach
review is not automatic since an independent reviewer is not named
at closing and there is a possibility that an independent reviewer
will not be appointed altogether. As a result, there is a risk that
some loans with R&W defects may not be reviewed. In general,
reviews are performed at the option and expense of the controlling
holder (which is the holder of majority of the most subordinate
certificates), or if there is no controlling holder (which is the
case at closing, because an affiliate of the sponsor will hold the
subordinate classes and thus there will be no controlling holder
initially), a senior holder group. Specifically, once a review
trigger has been met (i.e. 120-day delinquency), it is the
responsibility of the controlling holder, or the senior holder
group, to engage an independent reviewer and to bear the costs of
the review, even if a breach is discovered (unless the R&W is an
"intrinsic representation", then the sponsor will bear the cost of
review). If the controlling holder and the senior holder group
elect not to engage an independent reviewer to conduct a breach
review, the loan may not be reviewed, which may result in systemic
defects remaining undetected. In its analysis, Moody's considered
the incentives of the controlling holder (the holder of the most
subordinate certificateholder, has the most at stake in a default)
and the senior holder group, that a third-party due diligence firm
has performed a 100% review of the mortgage loans as well as the
early payment default protection in this transaction.

Origination quality

Moody's considers Provident Funding an adequate originator of
agency-eligible mortgage loans based on the company's staff and
processes for underwriting, quality control, risk management and
performance. The company, a limited partnership that is closely
held by senior management, including CEO Craig Pica, was formed in
1992, as a privately held mortgage banking company headquartered in
Burlingame, California. The company originates, sells and services
residential mortgage loans throughout the US. The company is ranked
as the 34th largest originator for the first six months of 2019
with approximately $5.8 billion in loan origination volume, having
fallen from the 16th largest in 2013. The company has originated
$330+B loans since 1998 (with over 10B in 2019). The company
sources loans through a nationwide network of independent brokers,
correspondent lenders and in-house retail channel. All the mortgage
loans in this transaction were originated either through Fannie
Mae's Desktop Underwriter "DU" program or Freddie Mac's Loan
Product Advisor "LP" program in accordance with the underwriting
criteria applicable to such programs, as modified or supplemented
by an additional overlay of the company.

Servicing arrangement

Provident Funding will service the mortgage loans pursuant to the
pooling and servicing agreement. Moody's considers the overall
servicing arrangement for this pool to be adequate given the
servicing abilities of the Provident Funding as primary servicer.
It also considers the presence of a strong master servicer to be a
mitigant against the risk of any servicing disruptions. It did not
make any adjustments to its base case and Aaa stress loss
assumptions based on the servicing arrangement.

Servicer: Provident Funding was formed in 1992, as a privately held
mortgage banking company headquartered in Burlingame, California,
and has been servicing residential mortgage loans since 1998.
Provident Funding is rated B1 by Moody's (similar to other non-bank
entities). The company originates, sells and services residential
mortgage loans throughout the US. The company is a limited
partnership that is closely held by senior management, including
CEO Craig Pica. The COO and chief technology officer also are
members of the Pica family. The company is an approved
seller/servicer in good standing with the Government National
Mortgage Association, the Federal National Mortgage Association,
the Federal Home Loan Mortgage Corporation, the Federal Housing
Administration , the United States Department of Agriculture and
the United States Department of Veterans Affairs.

Before distributions are made on the certificates, the servicer
will be paid an aggregate monthly fee equal to 0.25% per annum of
the stated principal balance of each mortgage loan as of the first
day of the related due period. The servicer will also be entitled
to receive, to the extent provided in the pooling and servicing
agreement, additional compensation in the form of prepayment
interest excess in excess of prepayment interest shortfalls, late
charges and certain other ancillary fees paid by borrowers, REO
management fees (in certain cases) and interest or other income
earned on funds the Servicer has deposited in the collection
account pending remittance to the distribution account.

Master Servicer: Wells Fargo will be the master servicer. Moody's
considers the presence of a strong master servicer to be a mitigant
for any servicing disruptions. It considers Wells Fargo as a strong
master servicer of prime residential mortgage loans. Wells Fargo
maintains a significant market presence in third-party master
servicing space. Based on portfolio size, Wells Fargo is the
largest RMBS master servicer. The master servicing operations,
based in Columbia, Maryland, are part of the corporate trust
services division of the bank, which operates under the wholesale
banking division of Wells Fargo Bank, N.A. Its evaluation of Wells
Fargo as a master servicer takes into account the bank's strong
reporting and remittance procedures, servicer compliance and
monitoring capabilities and servicing stability.

Before distributions are made on the certificates, the master
servicer will be paid prior to deposit into the distribution
account, a monthly fee equal to the greater of (i) 0.017% per annum
multiplied by the stated principal balance of each mortgage loan as
of the first day of the related due period and (ii) $3,500. The
fees of the securities administrator will be paid by the master
servicer from the Master Servicing Fee.

Securities Administrator/Custodian/Trustee

Securities administrator, paying agent and certificate registrar:
Wells Fargo. As securities administrator, Wells Fargo will perform
certain securities administration duties with respect to the
certificates, including acting as authentication agent, calculation
agent, paying agent, certificate registrar, and the party
responsible for preparing distribution statements and preparing tax
filings for the issuing entity.

Custodian: Deutsche Bank National Trust Company (rated A2), a
national banking association, will act as custodian of the mortgage
files pursuant to a custodial agreement. The custodian will
maintain custody of the mortgage loan documents relating to the
mortgage loans on behalf of the trustee for the benefit of the
certificateholders.

Trustee: Wilmington Savings Fund Society, FSB will act as the
trustee for this transaction.

Other Considerations

Servicer optional purchase of delinquent loans: The servicer has
the option to purchase any mortgage loan which is 90 days or more
delinquent, which may result in the step-down test used in the
calculation of the senior prepayment percentage to be satisfied
when otherwise it would not have been. Moreover, because the
purchase may occur prior to the breach review trigger of 120 days
delinquency, the loan may not be reviewed for breaches of
representations and warranties and thus, systemic defects may
remain undetected. In its analysis, Moody's considered that the
loans will be purchased by the servicer at par and a third-party
due diligence firm has performed approximately 30% (by loan count
or 351 loans) review of the mortgage loans. Moreover, the reporting
for this transaction will list the mortgage loans purchased by the
servicer.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.60% of the closing pool balance,
and a subordination lock-out amount of 0.60% of the closing pool
balance. The floors are consistent with the credit neutral floors
for the assigned ratings according to its methodology.

Transaction Structure

The transaction is structured as a one pool shifting interest
structure in which the senior bonds benefit from a senior floor and
a subordination floor. Funds collected, including principal, are
first used to make interest payments to the senior bonds. Next
principal payments are made to the senior bonds and then interest
and principal payments are paid to the subordinate bonds in
sequential order, subject to the subordinate class percentage of
the subordinate principal distribution amounts.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next realized losses
are allocated to the super senior bonds until their principal
balances are written off.

As in all transactions with shifting-interest structures, the
senior bonds benefit from a cash flow waterfall that allocates all
prepayments to the senior bonds for a specified period of time, and
allocates increasing amounts of prepayments to the subordinate
bonds thereafter only if loan performance satisfies both
delinquency and loss tests.

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

Down

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

Up

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

Methodology

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

The credit rating for Provident Funding Mortgage Trust 2020-1 was
assigned in accordance with Moody's existing Methodology entitled
"Moody's Approach to Rating US RMBS Using the MILAN Framework,"
dated October 2019. Note that on December 9, 2019, Moody's released
a Request for Comment, in which it has requested market feedback on
potential revisions to its Methodology to expand the scope to
include private label non-prime first-lien mortgage loans
originated during or after 2009. If the revised Methodology is
implemented as proposed, the Credit Rating on Provident Funding
Mortgage Trust 2020-1 will not be affected.


RESIDENTIAL MORTGAGE 2020-1: DBRS Gives Prov. B Rating on B-2 Notes
-------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2020-1 (the Notes) to be issued by
Residential Mortgage Loan Trust 2020-1:

-- $170.7 million Class A-1 at AAA (sf)
-- $15.7 million Class A-2 at AA (sf)
-- $28.1 million Class A-3 at A (sf)
-- $17.0 million Class M-1 at BBB (sf)
-- $14.4 million Class B-1 at BB (sf)
-- $9.7 million Class B-2 at B (sf)

The AAA (sf) ratings on the Certificates reflect 34.75% of credit
enhancement provided by subordinated certificates in the pool. The
AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect
28.75%, 18.00%, 11.50%, 6.00%, and 2.30% of credit enhancement,
respectively.

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

This transaction is a securitization of a portfolio of fixed- and
adjustable-rate expanded prime and nonprime primarily first-lien
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 588 mortgage loans with a total principal
balance of $261,594,848 as of the Cut-Off Date (January 1, 2019).

The originators for the mortgage pool are Greenbox Loans, Inc.
(45.2%); HomeXpress Mortgage Corp. (28.2%); Athas Capital Group,
Inc. (16.1%); and other originators comprising 10.5% of the
mortgage loans. The Servicer of the loans is Servis One, Inc. doing
business as BSI Financial Services.

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's Qualified Mortgage (QM) and
Ability-to-Repay (ATR) rules, they were made to borrowers who
generally do not qualify for an agency, government, or
private-label nonagency prime jumbo products for various reasons.
In accordance with the QM/ATR rules, 70.0% of the loans are
designated as Non-QM, 0.1% as QM Safe Harbor, and 0.1% as QM
Rebuttable Presumption. Approximately 29.8% of the loans are made
to investors for business purposes and, hence, are not subject to
the QM/ATR rules.

The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible horizontal residual interest
consisting of the Class B-3 and Class XS Notes representing at
least 5% of the Notes to satisfy the credit risk-retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.

On or after the earlier of (1) the payment date occurring in
January 2023 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Administrator, at the Issuer's option, may redeem all
of the outstanding Notes at a price equal to the class balances of
the related Notes plus accrued and unpaid interest, including any
cap carryover amounts. After such a purchase, the Depositor must
complete a qualified liquidation, which requires (1) a complete
liquidation of assets within the Trust and (2) proceeds to be
distributed to the appropriate holders of regular or residual
interests.

The Representation Provider will have the option, but not the
obligation, to repurchase any mortgage loan that becomes 90 or more
days delinquent at the repurchase price (par plus interest),
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.

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

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

The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the
timely payment of interest and full payment of principal by the
legal final maturity date in accordance with the terms and
conditions of the related Notes. The DBRS Morningstar ratings of A
(sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
Notes.

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


SDART 2019-1: Fitch Raises Rating on Class E Debt to BBsf
---------------------------------------------------------
Fitch Ratings has taken various rating actions on Santander Drive
Auto Receivables Trust (SDART) 2019-1.

SDART 2019-1
   
  - Class A-2A 80285HAB6; LT AAAsf Affirmed

  - Class A-2B 80285HAC4; LT AAAsf Affirmed

  - Class A-3 80285HAD2; LT AAAsf Affirmed

  - Class B 80285HAE0; LT AAAsf Upgraded

  - Class C 80285HAF7; LT Asf Affirmed

  - Class D 80285HAG5; LT BBBsf Affirmed

  - Class E 80285HAH3; LT BBsf Upgraded   

KEY RATING DRIVERS

The rating actions are based on available credit enhancement and
cumulative net loss performance to date. The collateral pool
continues to perform within Fitch's expectations, and hard CE is
building for the notes. The securities are able to withstand stress
scenarios consistent with the recommended ratings, and make full
payments to investors in accordance with the terms of the
documents. The Positive Outlooks on the applicable classes reflect
the possibility for an upgrade in the next one to two years.

As of the January 2020 distribution period, 61+ day delinquencies
were 3.96% of the remaining collateral balance, and CNL were at
3.02%, tracking inside Fitch's initial base case of 17.00%.
Further, hard CE has grown to 79.80% for class A, 63.96% for class
B, 44.43% for class C, 26.99% for class D and 13.70% for class E.

Based on transaction specific performance to date, Fitch revised
the lifetime net loss proxy to 16.00%. Under Fitch's stressed cash
flow assumptions, loss coverage for the class A and B notes are
able to support multiples in excess of 3.00x, class C notes in
excess of 2.00x, class D notes in excess of 1.50x, and the class E
notes in excess of 1.25x, for 'AAAsf', 'Asf', and 'BBBsf' and
'BBsf' ratings, respectively.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxy and impact available loss coverage
and multiples levels for the transaction. Lower loss coverage could
impact ratings and Rating Outlooks, depending on the extent of the
decline in coverage.

To date, the transactions have exhibited consistent performance
with losses within Fitch's initial expectations, with rising loss
coverage and multiple levels consistent with the current ratings. A
material deterioration in performance would have to occur within
the asset pool to have potential negative impact on the outstanding
ratings.

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

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

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is 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.


SYON SECURITIES 2020: Fitch Corrects Feb. 3 Ratings Release
-----------------------------------------------------------
Fitch Ratings replaced a ratings release on Syon Securities 2020
DAC published on February 3, 2020 to correct the name of the
obligor for the bonds.

The amended ratings release is as follows:

Fitch Ratings assigned Syon Securities 2020 DAC's notes expected
ratings as detailed.

The assignment of final ratings is contingent on the final
documents conforming to information already received.

RATING ACTIONS

Syon Securities 2020

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

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

Class C;     LT BB-(EXP)sf;  Expected Rating

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

Unprotected; LT NR(EXP)sf;   Expected Rating

TRANSACTION SUMMARY

This transaction is the second synthetic securitisation of
owner-occupied residential mortgage loans originated by Bank of
Scotland Plc (BoS) under the Halifax brand and secured over
properties located in England, Wales and Scotland. The transaction
is designed for risk-transfer purposes and includes loans selected
with loan-to-value ratios (LTV) over 90% and a high proportion of
first-time buyers (FTBs; 76.8%).

KEY RATING DRIVERS

High LTV LendingThe pool consists of loans originated with an LTV
above 90%. As a result the weighted average (WA) current LTV of the
pool is higher than usual for Fitch-rated RMBS at 94.3%. Fitch's WA
sustainable LTV for this pool is also high at 125.3%, resulting in
a higher foreclosure frequency (FF) and lower recovery rate for
this pool than transactions with lower LTV metrics.

High Concentration of FTBsFTBs make up 76.8% of borrowers in this
pool, a high concentration compared with other RMBS transactions.
Fitch considers that FTBs are more likely to suffer foreclosure
than other borrowers and considers their high concentration in this
pool analytically significant. In a variation to its criteria,
Fitch has applied an upward adjustment of 1.3x to each loan where
the borrower is a FTB.

Issuer Covers Accrued InterestUnder the financial guarantee, the
issuer provides BoS with protection from losses of accrued interest
as well as principal. As a result, rising interest rates will place
a stress on the issuer as interest payments from borrowers accrues
at a faster rate. In a variation to its criteria, Fitch has not
applied a reduction to the currently observed margin earned from
standard variable rate loans in any of its rating scenarios.

Counterparty ExposureThe transaction is exposed to BoS as account
bank provider (the entire issuance is held at BoS) and counterparty
to the financial guarantee. On default of BoS, the transaction
would end due to the termination of the guarantee with the
potential for redemption funds to be lost. As a result, Fitch has
capped the ratings of the notes at that of BoS. Compliance of
eligibility criteria and loss determination prior to August 2029
relies on BoS's servicing standards as no independent agent is
involved in this process.

RATING SENSITIVITIES

Material increases in the frequency of defaults and loss severity
on defaulted receivables producing losses greater than Fitch's base
case expectations may result in negative rating action on the
notes. Fitch's analysis revealed that a 30% increase in the WAFF,
along with a 30% decrease in the WA recovery rate, would imply a
downgrade of the class A notes to 'BBB-sf' from 'A-sf'.


TOWD POINT 2019-1: Moody's Gives C Rating on 3 Tranches
-------------------------------------------------------
Moody's Investors Service has assigned ratings to 11 notes issued
by Towd Point Mortgage Trust 2019-1, a transaction backed by
seasoned, performing and re-performing mortgage loans. The notes
are backed by one pool of seasoned, performing and re-performing
residential mortgage loans with an aggregate unpaid balance of
$1,171,053,489.96. The collateral pool is comprised of 8,090 first
and junior lien, balloon, adjustable, fixed and step rate mortgage
loans, and has a non-zero updated weighted average FICO score of
697 and a weighted average current LTV of 60.0% (for junior lien
loans, LTV is calculated based on junior lien balance over current
valuation) as of November 30, 2019 (the cutoff date). 93.76% of the
loans are first lien and 6.24% of the loans are junior lien.
Approximately 93.8% of the loans, as of the cutoff date, in the
collateral pool have been previously modified. Select Portfolio
Servicing, Inc. will be the primary servicer for 100% of the
collateral. FirstKey Mortgage, LLC will be the asset manager for
the transaction.

The complete rating actions are as follows:

Issuer: Towd Point Mortgage Trust 2019-1

Cl. A1, Assigned Aa1 (sf)

Cl. A2, Assigned A3 (sf)

Cl. A3, Assigned A1 (sf)

Cl. A4, Assigned A3 (sf)

Cl. A5, Assigned Caa1 (sf)

Cl. M1, Assigned Baa3 (sf)

Cl. M2, Assigned Ba3 (sf)

Cl. B1, Assigned Caa1 (sf)

Cl. B2, Assigned C (sf)

Cl. B3, Assigned C (sf)

Cl. B4, Assigned C (sf)

Ratings Rationale

Summary Credit Analysis and Rating Rationale

The rating actions are based on lowered loss expectation on the
underlying pool and an increase in credit enhancement available to
the bonds since the transaction's issuance in 2019. Moody's loss
expectations is 9.00% on the outstanding balance of the pool. The
current loss expectation takes into account the observed
performance of the underlying loans, the historical performance of
the loans that have similar collateral characteristics as the loans
in the pool, its assessment of the weak representations and
warranties framework for the transaction, the due diligence
findings of the third party review at issuance for the outstanding
loans in the pool, and the overall servicing framework of the
transaction which includes FirstKey Mortgage, LLC, as the asset
manager, as well as the strength of Select Portfolio Servicing,
Inc. as the transaction's servicer.

Collateral Description

TPMT 2019-1's collateral pool is comprised of seasoned, performing
and re-performing mortgage loans. 93.8% of the loans in the
collateral pool have been previously modified. The majority of the
loans underlying this transaction exhibit collateral
characteristics similar to that of seasoned Alt-A mortgages.

Moody's loss expectations are 9.00% on the outstanding balance of
the pool. Moody's estimated losses on the pool by applying its
assumptions on expected future delinquencies, default rates, loss
severities and prepayments. It projected future annual
delinquencies for eight years by applying an initial annual default
rate assumption adjusted for future years through delinquency
burnout factors. The delinquency burnout factors reflect its future
expectations of the economy and the U.S. housing market. Based on
the loan characteristics of the pool and the performance histories,
it applied an expected annual delinquency rate of 6.2% for the
first-lien loans for year one. Moody's then calculated future
delinquencies using default burnout and voluntary conditional
prepayment rate (CPR) assumptions. It aggregated the delinquencies
and converted them to losses by applying pool specific lifetime
default frequency and loss severity assumptions. Its CPR and loss
severity assumptions are based on actual observed performance of
modified loans, underlying loans of TPMT 2019-1 and other rated
TPMT deals. In applying its loss severity assumptions, it accounted
for the lack of principal and interest advancing in this
transaction.

Moody's used an expected annual delinquency rate of 6.2% to
calculate the delinquencies on the pool for year one based on the
collateral characteristics of the loans. As of December 2019, loans
that are sixty or more days delinquent account for 2.18% of the
outstanding pool, cumulative losses are 0.04% of the original
balance.

As of December 2019, the non-PRA deferred balance in this
transaction is $133,295,226.9, representing approximately 11.4% of
the total unpaid principal balance. Based on performance data and
information from the servicer, it applied a slightly higher default
rate for these loans than what it assumed for the overall pool
given that borrowers with deferred balance have worse collateral
profile compared to the overall pool. Also, it assumed
approximately 95% severity as servicer can recover a portion of the
deferred balance.

Transaction Structure

TPMT 2019-1 has a sequential priority of payments structure, in
which a given class of notes can only receive principal payments
when all the classes of notes above it have been paid off.
Similarly, losses will be applied in the reverse order of priority.
The Class A1, Class A2, Class M1 and Class M2 notes carry a
fixed-rate coupon subject to the collateral adjusted net WAC and
applicable available funds cap. The Class A3, Class A4 and Class A5
are exchangeable notes where the coupon is equal to the weighted
average of the note rates of the related exchange notes (matches
PPM). The Class B1, Class B2, Class B3 and Class B4 are variable
rate notes where the coupon is equal to the lesser of adjusted net
WAC and applicable available funds cap. The Class B5 is a principal
only note and will have a zero-note rate. There are no performance
triggers in this transaction. Additionally, the servicer will not
advance any principal or interest on delinquent loans.

Moreover, the monthly excess cash flow in this transaction, after
payment of such expenses, if any, will be fully captured to pay the
principal balance of the bonds sequentially, allowing for a faster
paydown of the bonds.

Moody's coded TPMT 2019-1's cashflows using its proprietary
cashflow tool. To assess the final rating on the notes, it ran 96
different loss and prepayment scenarios. The scenarios encompass
six loss levels, four loss timing curves, and four prepayment
curves. The structure allows for timely payment of interest and
ultimate payment of principal with respect to the notes by the
legal final maturity.

Transaction Parties

The transaction benefits from a strong servicing arrangement.
Select Portfolio Servicing, Inc. services 100% of TPMT 2019-1's
collateral pool. Moody's assesses SPS higher compared to its peers.
Furthermore, FirstKey Mortgage, LLC, the asset manager, oversees
the servicer, which strengthens the overall servicing framework in
the transaction. Wells Fargo Bank NA and U.S. Bank National
Association are the Custodians of the transaction. The Delaware
Trustee for TPMT 2019-1 is Christiana Trust. TPMT 2019-1's
Indenture Trustee is U.S. Bank National Association.

Third Party Review

Four independent third party review (TPR) firms -- JCIII &
Associates, Inc. (subsequently acquired by American Mortgage
Consultants), Clayton Services, LLC, AMC Diligence, LLC and Westcor
Land Title Insurance Company -- conducted due diligence for the
transaction. Due diligence was performed on 97.33% of the loans by
unpaid principal balance in TPMT 2019-1's collateral pool for
compliance, 97.17% for data capture, 97.55% for pay string history,
and 97.17% for title and tax review. The TPR firms reviewed
compliance, data integrity and key documents to verify that loans
were originated in accordance with federal, state and local
anti-predatory laws. The TPR firms conducted audits of designated
data fields to ensure the accuracy of the collateral tape.

Based on its analysis of the third-party review reports, Moody's
determined that a portion of the loans had legal or compliance
exceptions that could cause future losses to the trust. It
incorporated an additional increase to its expected losses for
these loans to account for this risk. FirstKey Mortgage, LLC,
retained Westcor to review the title and tax reports for the loans
in the pool, and will oversee Westcor and monitor the loan sellers
in the completion of the assignment of mortgage chains. In
addition, FirstKey expects a significant number of the assignment
and endorsement exceptions to be cleared within the first 18 months
following the closing date of the transaction. Of note, there are
24 loans in the pool that have incomplete assignment and/or
endorsement chains which the seller will be unable to cure. Moody's
took these loans into account in its loss analysis.

Representations & Warranties

Its ratings reflect TPMT 2019-1's weak representations and
warranties (R&Ws) framework. The representation provider, FirstKey
Mortgage, LLC is unrated by Moody's. Moreover, FirstKey's
obligations will be in effect for only thirteen months (until the
payment date in February 2020). The R&Ws themselves are weak
because they contain many knowledge qualifiers and the regulatory
compliance R&W does not cover monetary damages that arise from TILA
violations whose right of rescission has expired. While the
transaction provides a Breach Reserve Account to cover for any
breaches of R&Ws, the size of the account is small relative to TPMT
2019-1's aggregate collateral pool ($1.17 billion).

Similar to recent TPMT transactions, the sponsor will not be
funding the breach reserve account at closing. On each payment
date, the paying agent will fund the reserve accounts from the
Class XS2 each month up to target balances based on the outstanding
principal balance of the Class A1, Class A2, Class M1, and Class M2
notes. On each Payment Date, the target balance of TPMT 2019-1's
Breach Reserve Account is equal to the product of 0.25% and the
aggregate principal balance of the Class A1, Class A2, Class M1 and
Class M2 notes. On the Closing Date, the initial Breach Reserve
Account Target Amount will be approximately $2.88 million. Since
its loss analysis already take into account the weak R&W framework,
it did not apply additional penalty.

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

Down

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from its original expectations
as a result of a lower number of obligor defaults or appreciation
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.

Methodology

The methodologies used in these ratings were "Non-Performing and
Re-Performing Loan Securitizations Methodology" published in
January 2020 and "US RMBS Surveillance Methodology" published in
February 2019.


TOWD POINT 2020-1: DBRS Finalizes B Rating on 3 Note Classes
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Asset-Backed
Securities, Series 2020-1 (the Notes) issued by Towd Point Mortgage
Trust 2020-1 (TPMT 2020-1 or the Trust) as follows:

-- $440.3 million Class A1A1 at AAA (sf)
-- $77.7 million Class A1A2 at AAA (sf)
-- $59.7 million Class A2A at AAA (sf)
-- $25.0 million Class A2B at AA (low) (sf)
-- $24.2 million Class M1 at A (sf)
-- $26.5 million Class M2 at BBB (sf)
-- $12.9 million Class B1A at BB (sf)
-- $12.9 million Class B1B at BB (sf)
-- $13.6 million Class B2A at B (sf)
-- $13.6 million Class B2B at B (sf)
-- $518.0 million Class A1 at AAA (sf)
-- $518.0 million Class A1X at AAA (sf)
-- $440.3 million Class A1A at AAA (sf)
-- $440.3 million Class A1AX at AAA (sf)
-- $77.7 million Class A1B at AAA (sf)
-- $77.7 million Class A1BX at AAA (sf)
-- $59.7 million Class A2C at AAA (sf)
-- $59.7 million Class A2CX at AAA (sf)
-- $59.7 million Class A2D at AAA (sf)
-- $59.7 million Class A2DX at AAA (sf)
-- $25.0 million Class A2E at AA (low) (sf)
-- $25.0 million Class A2EX at AA (low) (sf)
-- $25.0 million Class A2F at AA (low) (sf)
-- $25.0 million Class A2FX at AA (low) (sf)
-- $577.8 million Class A3 at AAA (sf)
-- $602.7 million Class A4 at AA (low) (sf)
-- $626.9 million Class A5 at A (sf)
-- $24.2 million Class M1A at A (sf)
-- $24.2 million Class M1AX at A (sf)
-- $24.2 million Class M1B at A (sf)
-- $24.2 million Class M1BX at A (sf)
-- $26.5 million Class M2A at BBB (sf)
-- $26.5 million Class M2AX at BBB (sf)
-- $26.5 million Class M2B at BBB (sf)
-- $26.5 million Class M2BX at BBB (sf)
-- $25.7 million Class B1 at BB (sf)
-- $12.9 million Class B1C at BB (sf)
-- $12.9 million Class B1CX at BB (sf)
-- $12.9 million Class B1D at BB (sf)
-- $12.9 million Class B1DX at BB (sf)
-- $12.9 million Class B1E at BB (sf)
-- $12.9 million Class B1EX at BB (sf)
-- $12.9 million Class B1F at BB (sf)
-- $12.9 million Class B1FX at BB (sf)
-- $27.2 million Class B2 at B (sf)

Classes A1X, A1AX, A1BX, A2CX, A2DX, A2EX, A2FX, M1AX, M1BX, M2AX,
M2BX, B1CX, B1DX, B1EX, and B1FX are interest-only notes. The class
balances represent a notional amount.

Classes A1, A1A, A1AX, A1B, A1BX, A2C, A2CX, A2D, A2DX, A2E, A2EX,
A2F, A2FX, A3, A4, A5, M1A, M1AX, M1B, M1BX, M2A, M2AX, M2B, M2BX,
B1, B1C, B1CX, B1D, B1DX, and B2 are exchangeable notes. These
classes can be exchanged for combinations of exchange notes as
specified in the offering documents.

The AAA (sf) ratings on the Notes reflect 23.60% of credit
enhancement provided by subordinated certificates in the pool. The
AA (low) (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings
reflect 20.30%, 17.10%, 13.60%, 11.90%, and 6.60% of credit
enhancement, respectively.

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

This transaction is a securitization of a portfolio of seasoned
performing and reperforming primarily first-lien mortgages funded
by the issuance of the Notes. The Notes are backed by 5,078 loans
with a total principal balance of $756,264,221 as of the Cut-Off
Date (December 31, 2019).

The Notes are backed by 5,166 loans with a total principal balance
of $771,742,925 as of the Statistical Calculation Date (November
30, 2019). Unless specified otherwise, all the statistics regarding
the mortgage loans in this report are based on the Statistical
Calculation Date.

The portfolio is approximately 136 months seasoned, and of the
loans, 64.2% are modified. The modifications happened more than two
years ago for 84.0% of the modified loans. Within the pool, 750
mortgages have non-interest-bearing deferred amounts, which equate
to approximately 4.0% of the total principal balance. Included in
the deferred amounts are the Home Affordable Modification Program
and proprietary principal forgiveness amounts, which together
comprise 0.1% of the total principal balance.

As of the Statistical Calculation Date, 94.7% of the pool is
current, 3.5% is 30 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method, and 1.9% is in bankruptcy
(all bankruptcy loans are performing or 30 days delinquent).

Approximately 64.2% of the mortgage loans have been zero times 30
days delinquent (0 x 30) for at least the past 24 months under the
MBA delinquency method. The majority of the pool (88.3%) is exempt
from the Consumer Financial Protection Bureau Ability-to-Repay
(ATR)/Qualified Mortgage (QM) rules. The loans subject to the ATR
rules are designated as QM Safe Harbor (10.4%), QM Rebuttable
Presumption (0.7%), and Non-QM (0.6%).

FirstKey Mortgage, LLC (FirstKey) will acquire the loans from
various transferring trusts on or prior to the Closing Date. The
transferring trusts acquired the mortgage loans between 2013 and
2019 and are beneficially owned by funds managed by affiliates of
Cerberus Capital Management, L.P. Upon acquiring the loans from the
transferring trusts, FirstKey, through a wholly-owned subsidiary,
Towd Point Asset Funding, LLC (the Depositor), will contribute
loans to the Trust. As the Sponsor, FirstKey, through a
majority-owned affiliate, will acquire and retain a 5% eligible
vertical interest in each class of securities to be issued (other
than any residual certificates) to satisfy the credit risk
retention requirements. These loans were originated and previously
serviced by various entities through purchases in the secondary
market.

The loans will be serviced by Select Portfolio Servicing, Inc.
(91.9%) and Specialized Loan Servicing LLC (8.1%). The initial
aggregate servicing fee for the TPMT 2020-1 portfolio will be
0.1706% per annum, lower than transactions backed by similar
collateral. DBRS Morningstar stressed such servicing expenses in
its cash flow analysis to account for a potential fee increase in a
distressed scenario.

There will not be any advancing of delinquent principal or interest
on any mortgages by the servicers or any other party to the
transaction; however, the servicers are obligated to make advances
in respect of homeowner association fees, taxes, and insurance;
installment payments on energy improvement liens; and reasonable
costs and expenses incurred in the course of servicing and
disposing of properties.

FirstKey, as the Asset Manager, has the option to sell certain
nonperforming loans or real estate–owned (REO) properties to
unaffiliated third parties individually or in bulk sales. Bulk
sales require an asset sale price to at least equal a minimum
reserve amount of the product of (1) 56.15% and (2) the current
principal amount of the mortgage loans or REO properties as of the
bulk sale date.

When the aggregate pool balance of the mortgage loans is reduced to
less than 30.0% of the Cut-Off Date balance, the holders of more
than 50% of the Class X Certificates will have the option to cause
TPMT 2020-1 to sell all of its remaining property (other than
amounts in the Breach Reserve Account) to one or more third-party
purchasers so long as the aggregate proceeds meet a minimum price.

When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-Off Date, the majority representative, as
appointed by the holder(s) of more than 50% of the notional amount
of the Class X Certificates or their affiliates, may purchase all
of the mortgage loans, REO properties, and other properties from
TPMT 2020-1 so long as the aggregate proceeds meet a minimum
price.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class A2B
and more subordinate bonds will not be paid from principal proceeds
until Class A1A1, A1A2, and A2A are retired.

The DBRS Morningstar ratings of AAA (sf) address the timely payment
of interest and full payment of principal by the legal final
maturity date in accordance with the terms and conditions of the
related notes. The DBRS Morningstar ratings of AA (low) (sf), BBB
(sf), BB (sf), and B (sf) address the ultimate payment of interest
and full payment of principal by the legal final maturity date in
accordance with the terms and conditions of the related notes.

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


TOWD POINT: Moody's Gives Ratings to $1.7BB Re-Performing RMBS
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 44
notes from 13 RMBS transactions issued by Towd Point Mortgage
Trust. The certificates are backed by seasoned performing and
re-performing mortgage loans.

The complete rating actions are as follows:

Issuer: Towd Point Mortgage Trust 2015-3

Cl. B3, Assigned B2 (sf)

Cl. B4, Assigned C (sf)

Issuer: Towd Point Mortgage Trust 2015-4

Cl. B3, Assigned B2 (sf)

Cl. B4, Assigned C (sf)

Issuer: Towd Point Mortgage Trust 2015-6

Cl. B3, Assigned Caa1 (sf)

Cl. B4, Assigned C (sf)

Issuer: Towd Point Mortgage Trust 2016-3

Cl. B3, Assigned Ba1 (sf)

Cl. B4, Assigned Caa3 (sf)

Issuer: Towd Point Mortgage Trust 2016-4

Cl. B3, Assigned Baa3 (sf)

Cl. B4, Assigned B3 (sf)

Cl. B5, Assigned C (sf)

Issuer: Towd Point Mortgage Trust 2016-5

Cl. B3, Assigned B1 (sf)

Cl. B4, Assigned Ca (sf)

Issuer: Towd Point Mortgage Trust 2017-1

Cl. B2, Assigned Baa3 (sf)

Cl. B3, Assigned B3 (sf)

Issuer: Towd Point Mortgage Trust 2017-2

Cl. B2, Assigned Baa3 (sf)

Cl. B3, Assigned Ba3 (sf)

Issuer: Towd Point Mortgage Trust 2017-3

Cl. B3, Assigned Caa1 (sf)

Issuer: Towd Point Mortgage Trust 2017-5

Cl. B3, Assigned Ba2 (sf)

Issuer: Towd Point Mortgage Trust 2018-1

Cl. B3, Assigned Caa1 (sf)

Issuer: Towd Point Mortgage Trust 2018-5

Cl. A1, Assigned Aa1 (sf)

Cl. A1B, Assigned Aa2 (sf)

Cl. A2, Assigned A2 (sf)

Cl. A3, Assigned A1 (sf)

Cl. A4, Assigned A3 (sf)

Cl. A5, Assigned Caa2 (sf)

Cl. B1, Assigned Caa1 (sf)

Cl. B2, Assigned Ca (sf)

Cl. B3, Assigned C (sf)

Cl. B4, Assigned C (sf)

Cl. M1, Assigned Baa3 (sf)

Cl. M2, Assigned Ba2 (sf)

Issuer: Towd Point Mortgage Trust 2018-6

Cl. A1, Assigned Aa1 (sf)

Cl. A1B, Assigned Aa2 (sf)

Cl. A2, Assigned A3 (sf)

Cl. A3, Assigned A1 (sf)

Cl. A4, Assigned A3 (sf)

Cl. A5, Assigned Caa2 (sf)

Cl. B1, Assigned Caa1 (sf)

Cl. B2, Assigned Ca (sf)

Cl. B3, Assigned C (sf)

Cl. B4, Assigned C (sf)

Cl. M1, Assigned Baa3 (sf)

Cl. M2, Assigned Ba2 (sf)

RATINGS RATIONALE

The rating actions are based on Moody's loss expectations on the
underlying pools and reflect the credit enhancement available to
the bonds. The loss expectations incorporate its assessment of the
representations and warranties frameworks of the transactions, the
due diligence findings of the third-party review received at the
time of issuance, and the strength of the transaction's servicing
arrangement. Select Portfolio Servicing, Inc is the primary
servicer for the majority of the collateral for transactions issued
by Towd Point Mortgage Trust.

In estimating defaults on these pools, Moody's used initial
expected annual delinquency rates of 7% to 12% and expected
prepayment rates of 5% to 12% based on the collateral
characteristics of the individual pools.

The methodologies used in these ratings were "Non-Performing and
Re-Performing Loan Securitizations Methodology" published in
January 2020 and "US RMBS Surveillance Methodology" published in
February 2019.

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

Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 3.5% in December 2019 from 3.9% in
December 2018. Moody's forecasts an unemployment central range of
3.8% to 4.3% for the 2020 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2020. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.



TRAPEZA CDO XIII: Moody's Raises $5MM Class C-2 Notes to Ba3
------------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by Trapeza CDO XIII, Ltd. :

US$375,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2042 (current balance of $123,478,221), Upgraded to Aaa (sf);
previously on June 6, 2019 Upgraded to Aa1 (sf)

US$97,000,000 Class A-2a Senior Secured Floating Rate Notes Due
2042, Upgraded to Aa1 (sf); previously on September 12, 2017
Upgraded to Aa3 (sf)

US$5,000,000 Class A-2b Senior Secured Fixed/Floating Rate Notes
Due 2042, Upgraded to Aa1 (sf); previously on September 12, 2017
Upgraded to Aa3 (sf)

US$21,000,000 Class A-3 Senior Secured Floating Rate Notes Due
2042, Upgraded to Aa3 (sf); previously on September 12, 2017
Upgraded to A1 (sf)

US$65,000,000 Class B Secured Deferrable Floating Rate Notes Due
2042, Upgraded to Baa1 (sf); previously on September 12, 2017
Upgraded to Baa2 (sf)

US$58,000,000 Class C-1 Secured Deferrable Floating Rate Notes Due
2042, Upgraded to Ba3 (sf); previously on June 6, 2019 Upgraded to
B1 (sf)

US$5,000,000 Class C-2 Secured Deferrable Fixed/Floating Rate Notes
Due 2042, Upgraded to Ba3 (sf); previously on June 6, 2019 Upgraded
to B1 (sf)

Trapeza CDO XIII, Ltd., issued in August 2007, is a collateralized
debt obligation (CDO) backed by a portfolio of bank and insurance
trust preferred securities (TruPS).

RATINGS RATIONALE

The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
over-collateralization (OC) ratios, and full repayment of the Class
C deferred interest balance since June 2019.

The Class A-1 notes have paid down by approximately 21.3% or $33.4
million since June 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, Class A-2, Class A-3, Class B, and Class C notes
have improved to 364.4%, 199.5%, 182.5%, 144.4%, and 120.1%,
respectively, from June 2019 levels of 305.4%, 185.1%, 171.2%,
138.9%, and 116.4%, respectively. As of February 2020, the deferred
interest balance on Class C notes has been paid in full and excess
interest is used to pay Class A-1 notes due to the Class D OC test
failure (current test level of 99.7% versus a trigger level of
105.0%). 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 key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $449.9 million,
defaulted par of $34.0 million, a weighted average default
probability of 12.4% (implying a WARF of 1133), 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.


WAMU COMMERCIAL 2007-SL3: Moody's Hikes Class F Debt to Ba1
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
affirmed the ratings on four classes in WaMu Commercial Mortgage
Securities Trust 2007-SL3 as follows:

Cl. F, Upgraded to Ba1 (sf); previously on Nov 16, 2018 Upgraded to
Ba2 (sf)

Cl. G, Affirmed B1 (sf); previously on Nov 16, 2018 Upgraded to B1
(sf)

Cl. H, Affirmed Caa1 (sf); previously on Nov 16, 2018 Upgraded to
Caa1 (sf)

Cl. J, Affirmed Caa3 (sf); previously on Nov 16, 2018 Affirmed Caa3
(sf)

Cl. K, Affirmed C (sf); previously on Nov 16, 2018 Affirmed C (sf)

RATINGS RATIONALE

The rating on P&I class, Cl. F, was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 29% since Moody's last
review.

The ratings on the P&I classes, Cl. G and Cl. H, were affirmed
because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index, are within
acceptable ranges.

The ratings on the P&I classes, Cl. J and Cl. K, were affirmed
because the ratings are consistent with Moody's expected loss plus
realized losses. Class K has already experienced a 65% loss.

Moody's rating action reflects a base expected loss of 10.7% of the
current pooled balance, compared to 11.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.1% of the
original pooled balance, compared to 4.3% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in July 2017.


DEAL PERFORMANCE

As of the January 23, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $53.4 million
from $1.28 billion at securitization. The certificates are
collateralized by 94 mortgage loans ranging in size from less than
1% to 6% of the pool, with the top ten loans (excluding defeasance)
constituting 32% of the pool.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 56, compared to 77 as at Moody's last review.

Twenty-two loans, constituting 20% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

One hundred and thirteen loans have been liquidated from the pool,
resulting in an aggregate realized loss of $46.9 million (for an
average loss severity of 30%). Two loans, constituting 4% of the
pool, are currently in special servicing.

Moody's has also assumed a high default probability for 20 poorly
performing loans, constituting 17% of the pool, and has estimated
an aggregate loss of $4.8 million (a 44% expected loss on average)
from these specially serviced and troubled loans.

Moody's received full year 2018 operating results for 83% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 70%, compared to 77% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 15% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.

Moody's actual and stressed conduit DSCRs are 1.82X and 1.65X,
respectively, compared to 1.76X and 1.45X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.


WELLS FARGO 2018-C44: Fitch Affirms B-sf Rating on Cl. G-RR Certs
-----------------------------------------------------------------
Fitch Ratings affirmed the ratings for Wells Fargo Commercial
Mortgage Trust 2018-C44 commercial mortgage pass-through
certificates, series 2018-C44.

RATING ACTIONS

WFCM 2018-C44

Class A-1 95001JAS6;  LT AAAsf Affirmed;  previously at AAAsf

Class A-2 95001JAT4;  LT AAAsf Affirmed;  previously at AAAsf

Class A-3 95001JAU1;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 95001JAW7;  LT AAAsf Affirmed;  previously at AAAsf

Class A-5 95001JAX5;  LT AAAsf Affirmed;  previously at AAAsf

Class A-S 95001JBA4;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 95001JAV9; LT AAAsf Affirmed;  previously at AAAsf

Class B 95001JBB2;    LT AA-sf Affirmed;  previously at AA-sf

Class C 95001JBC0;    LT A-sf Affirmed;   previously at A-sf

Class D 95001JAC1;    LT BBB-sf Affirmed; previously at BBB-sf

Class E-RR 95001JAE7; LT BBB-sf Affirmed; previously at BBB-sf

Class F-RR 95001JAG2; LT BB-sf Affirmed;  previously at BB-sf

Class G-RR 95001JAJ6; LT B-sf Affirmed;   previously at B-sf

Class X-A 95001JAY3;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 95001JAZ0;  LT AA-sf Affirmed;  previously at AA-sf

Class X-D 95001JAA5;  LT BBB-sf Affirmed; previously at BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: The affirmations are based on the stable
performance of the underlying collateral. No loans have been
delinquent or transferred to special servicing since issuance. No
loans have been flagged as Fitch Loans of Concern. There are five
loans on the servcier's watchlist, representing 8.3% of the pool,
including on top 15 loan. The Northwest Hotel Portfolio (5.1% of
the pool) is on the servicer's watchlist for a decline in DSCR.
This is reportedly due to rooms being offline, resulting in
occupancy decline. At issuance, Fitch was aware that several of the
underlying properties were in the process of or scheduled to
undergo renovations. The transaction closed in May 2018.

Minimal Change to Credit Enhancement: There has been minimal
amortization since issuance. As of the January 2020 remittance, the
pool's aggregate balance has been paid down by 0.7% to $761.7
million from $766.7 million. There are 17 loans (44.0% of the pool)
that are interest-only for the full term, and an additional 13
loans (35.1% of the pool) that were structured with partial
interest-only periods. Of these 13 loans, there are 11 (30.7% of
the pool) which have not yet begun amortizing. The pool is expected
to pay down by approximately 8.3% by maturity.

Pool and Loan Concentrations: The pool is in-line with recent
Fitch-rated transactions in terms of diversity, with the top 10
loans representing 52.4% of the pool, comparable with the 2017 and
2018 averages of 53.1% and 50.6%, respectively. The pool has a
lower exposure to hotels than recent deals, which represent only
12.8% of the pool. There is a concentration of single-tenant
properties or properties with a large tenant comprising more than
75% of the NRA, which represent approximately 29.8% of the pool.
This includes five of the top 15 loans.

Investment-Grade Credit Opinion Loans: At issuance, one loan was
assigned an investment-grade credit opinion. 181 Fremont Street
(3.9% of the pool) received a credit opinion of 'BBB-sf' on a
stand-alone basis.

RATING SENSITIVITIES

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

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

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

ESG CONSIDERATIONS

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


WELLS FARGO 2020-1: Moody's Gives (P)B2 Rating on Class B-5 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 25
classes of residential mortgage-backed securities issued by Wells
Fargo Mortgage Backed Securities 2020-1 Trust. The ratings range
from (P)Aaa (sf) to (P)B2 (sf).

WFMBS 2020-1 is the first prime issuance by Wells Fargo Bank, N.A.
in 2020. The non-conforming mortgage loans for this transaction are
originated by Wells Fargo Bank, through its retail and
correspondent channels, in accordance with its non-conforming
underwriting guidelines. In this transaction, 722 loans (95.46% by
loan balance) are designated as qualified mortgages (QM) under the
QM safe harbor rules, while 44 loans (4.54% by loan balance) are
designated as conforming loans under GSE Temporary status. These 44
mortgage loans were originated to either or both of the Federal
National Mortgage Association (Fannie Mae) and Federal Home Loan
Mortgage Corporation (Freddie Mac) guidelines (collectively, GSE
eligible loans). All of the mortgage loans (other than the GSE
eligible loans) were originated in accordance with Wells Fargo
Bank, N.A.'s non-conforming underwriting guidelines.

Wells Fargo Bank will service all the loans and will also be the
master servicer for this transaction. The servicer will be
primarily responsible for funding certain servicing advances and
delinquent scheduled interest and principal payments for the
mortgage loans, unless the servicer determines that such amounts
would not be recoverable. In the event a servicer event of default
has occurred and the Trustee terminates the servicer as a result
thereof, the master servicer shall fund any advances that would
otherwise be required to be made by the terminated servicer (to the
extent the terminated Servicer has failed to fund such advances
until such time as a successor servicer is appointed and commences
servicing the mortgage loans). The master servicer and servicer
will be entitled to be reimbursed for any such monthly advances
from future payments and collections (including insurance and
liquidation proceeds) with respect to those mortgage loans.

The WFMBS 2020-1 transaction is a securitization of 766 primarily
30-year, fixed rate, prime residential mortgage loans with an
unpaid principal balance of $584,049,322. The pool has strong
credit quality and consists of borrowers with high FICO scores,
significant equity in their properties and liquid cash reserves.
The pool has clean pay history and weighted average seasoning of
approximately 4.93 months.

The securitization has a shifting interest structure with a
five-year lockout period that benefits from a senior floor and a
subordinate floor. It coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: Wells Fargo Mortgage Backed Securities 2020-1 Trust

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-17, Assigned (P)Aa1 (sf)

Cl. A-18, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.27%
and reaches 3.62% at a stress level consistent with the Aaa
ratings.

Its loss estimates are based on a loan-by-loan assessment of the
securitized collateral pool as of the cut-off date using Moody's
Individual Loan Level Analysis (MILAN) model. The model combines
loan-level characteristics with economic drivers to determine the
probability of default for each loan, and hence for the portfolio
as a whole. Severity is also calculated on a loan-level basis. The
pool loss level is then adjusted for borrower, zip code, MSA level
concentrations and any other outside model adjustments such as
origination channel.

Moody's based its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence and the
R&W framework of the transaction.

Collateral Description

The WFMBS 2020-1 transaction is a securitization of 766 first lien
residential mortgage loans with an unpaid principal balance of
$584,049,322. The loans in this transaction have strong borrower
characteristics with a weighted average original FICO score of 779
and a weighted-average original loan-to-value ratio of 71.4%. In
addition, 9.2% of the borrowers are self-employed and refinance
loans comprise 52.7% of the aggregate pool. Of note, 8.5% (by loan
balance) of the pool comprised of construction to permanent loans.
The construction to permanent is a two-part loan where the first
part is for the construction and then it becomes a permanent
mortgage once the property is complete. For all the loans in the
pool, the construction was complete and because the borrower cannot
receive cash from the permanent loan proceeds or anything above the
construction cost, it treated these loans as a rate term refinance
rather than a cash out refinance loan. The pool has a high
geographic concentration with 49.2% of the aggregate pool located
in California and 15.7% located in the New York-Newark-Jersey City
MSA. The characteristics of the loans underlying the pool are
slightly stronger than recent prime RMBS transactions backed by
30-year mortgage loans that it has rated.

Origination Quality

The non-conforming mortgage loans for this transaction are
originated by Wells Fargo Bank, through its retail and
correspondent channels, generally in accordance with its
non-conforming underwriting guidelines. After considering the
non-conforming underwriting guidelines from Wells Fargo Bank,
Moody's made no adjustments to its base case and Aaa loss
expectations. Majority of the loans are originated through retail
channel i.e. 66.6% of the pool and the remaining pool i.e. 33.4% is
originated through correspondent channel.

Third Party Review

One independent third-party review firm, Clayton Services LLC, was
engaged to conduct due diligence for the credit, regulatory
compliance, property valuation, and data accuracy for all of the
766 loans in the initial population of this transaction (100% of
the mortgage pool).

The credit review consisted of a review of the documentation in
each loan file relating to the creditworthiness of the borrowers,
and an assessment of whether the characteristics of the mortgage
loans and the borrowers reasonably conformed to Wells Fargo Bank's
underwriting guidelines. Where there were exceptions to guidelines,
the TPR firm noted compensating factors. Additionally, the TPR firm
evaluated evidence of the borrower's willingness and ability to
repay the obligation and examined Data Verify/Fraudguard/Interthinx
or similar risk evaluation reports ordered by Wells Fargo Bank or
Clayton.

Clayton Services LLC 's regulatory compliance review consisted of a
review of compliance with the Truth in Lending Act and the Real
Estate Settlement Procedures Act among other federal, state and
local regulations.

The TPR firm's 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 firm also compared third party valuation
products to the original appraisals where 10% negative variances
were reported and, in some cases, additional appraisals were
performed. The overall TPR results were in line with its
expectations considering the clear underwriting guidelines and
overall processes and procedures that Wells Fargo Bank has in
place. Many of the grade B loans were underwritten using
underwriter discretion where the compensating factors were not
clearly documented in the loan file. Areas of discretion included
length of insufficient cash reserves, mortgage/rental history,
missing verbal verification of employment and explanation for
multiple credit exceptions. The due diligence firm noted that these
exceptions are minor and/or provided an explanation of compensating
factors. Several of the compensating factors listed were sufficient
to explain the underwriting exception. As a result, it did not make
any adjustment to its losses for this.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 0.75% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 0.75% of the closing pool
balance.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor is equal to an amount which is the sum of the
balance of the six largest loans at closing multiplied by the
higher of their corresponding MILAN Aaa severity or a 35% severity.
The senior subordination floor of 0.75% and subordinate floor of
0.75% are consistent with the credit neutral floors for the
assigned ratings.

Transaction structure

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

All certificates in this transaction are subject to a net WAC cap.
Realized losses are allocated reverse sequentially among the
subordinate and senior support certificates and on a pro-rata basis
among the super senior certificates.

Other Considerations

In WFMBS 2020-1, unlike other prime jumbo transactions, Wells Fargo
Bank is both the servicer and master servicer for the deal.
However, in the case of the termination of the servicer, the master
servicer must consent to the trustee's selection of a successor
servicer, and the successor servicer must have a net worth of at
least $15 million and be Fannie or Freddie approved. The master
servicer shall fund any advances that would otherwise be required
to be made by the terminated servicer (to the extent the terminated
servicer has failed to fund such advances) until such time as a
successor servicer is appointed. Additionally, in the case of the
termination of the master servicer, the trustee will be required to
select a successor master servicer in consultation with the
depositor. The termination of the master servicer will not become
effective until either the trustee or successor master servicer has
assumed the responsibilities and obligations of the master servicer
which also includes the advancing obligation.

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

Down

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

Up

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

Methodology

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


WFRBS COMMERCIAL 2011-C4: Moody's Cuts Class G Certs to Caa3
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on four classes in WFRBS Commercial
Mortgage Trust 2011-C4, Commercial Mortgage Pass-Through
Certificates, Series 2011-C4, as follows:

Cl. A-4, Affirmed Aaa (sf); previously on Apr 4, 2019 Affirmed Aaa
(sf)

Cl. A-FL, Affirmed Aaa (sf); previously on Apr 4, 2019 Affirmed Aaa
(sf)

Cl. A-FX, Affirmed Aaa (sf); previously on Apr 4, 2019 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa2 (sf); previously on Apr 4, 2019 Affirmed Aa2
(sf)

Cl. C, Affirmed A2 (sf); previously on Apr 4, 2019 Affirmed A2
(sf)

Cl. D, Affirmed Baa1 (sf); previously on Apr 4, 2019 Affirmed Baa1
(sf)

Cl. E, Downgraded to Ba2 (sf); previously on Apr 4, 2019 Affirmed
Baa3 (sf)

Cl. F, Downgraded to B3 (sf); previously on Apr 4, 2019 Downgraded
to Ba3 (sf)

Cl. G, Downgraded to Caa3 (sf); previously on Apr 4, 2019
Downgraded to B3 (sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Apr 4, 2019 Affirmed Aaa
(sf)

Cl. X-B*, Downgraded to Caa1 (sf); previously on Apr 4, 2019
Downgraded to B2 (sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The ratings on six P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value ratio,
Moody's stressed debt service coverage ratio and the transaction's
Herfindahl Index, are within acceptable ranges.

The ratings on three P&I classes, Class E, Class F and Class G,
were downgraded due to the decline in performance of and upcoming
refinance risk of two loans secured by regional malls -- Fox River
Mall and Eastgate Mall, as well as the anticipated losses from
specially serviced and troubled loans.

The rating on one interest only class, Class X-A, was affirmed
based on the credit quality of its referenced classes.

The rating on one interest only class, Class X-B, was downgraded
due to a decline in the credit quality of its referenced classes.

Moody's rating action reflects a base expected loss of 5.1% of the
current pooled balance, compared to 3.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.4% of the
original pooled balance, compared to 2.5% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

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

DEAL PERFORMANCE

As of the January 17, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 32% to $1.01 billion
from $1.48 billion at securitization. The certificates are
collateralized by 55 mortgage loans ranging in size from less than
1% to 13.9% of the pool, with the top ten loans (excluding
defeasance) constituting 41% of the pool. Eighteen loans,
constituting 37.9% of the pool, have defeased and are secured by US
government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 12, compared to 16 at Moody's last review.

Five loans, constituting 13% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

No loans have been liquidated from the pool. Two loans,
constituting 2.5% of the pool, are currently in special servicing.
The largest specially serviced loan is the Wausau Center Loan
($15.7 million -- 1.6% of the pool), which is secured by a regional
mall located in Wausau, Wisconsin, located 100 miles from Green Bay
and 185 miles from Milwaukee. The loan transferred to special
servicing for imminent monetary default in June 2016. The mall has
two vacant non-collateral anchors, a former Sears (vacated in 2016)
and former JC Penney (vacated in 2018). The mall's occupied anchor,
HOM Furniture (non-collateral), backfilled the former Younkers'
space in August 2019. The total mall was approximately only 50%
leased as of March 2019. The special servicer indicated the
property is under contract for sale. Moody's anticipates a
significant loss on this loan.

The other specially serviced loan is the Park Place Student Housing
Loan ($9.1 million -- 0.9% of the pool), which is secured by a
252-room student housing complex located in Fredonia, New York,
approximately 50 miles south of Buffalo, New York. The property is
situated adjacent to the State University of New York at Fredonia
campus. The loan transferred to special servicing for imminent
monetary default in November 2014. The loan remains current on its
debt service payments; however, the Borrower has not reported
financials since December 2016. The latest reported financials
indicated declining revenues from securitization and a reported
DSCR below 1.00X.

Moody's has also assumed a high default probability for three
poorly performing loans, constituting 4.7% of the pool. The largest
troubled loan is the Eastgate Mall ($24.9 million -- 2.5%), which
is secured by a 545,000 square foot (SF) portion of a 1.09 million
SF regional mall. The property is located in Glen Este, Ohio, a
suburb of Cincinnati, located twenty miles east of Cincinnati's
central business district. CBL & Associates Properties is the
sponsor and also manages the property. The property is anchored by
Dillard's, JC Penney and Kohl's, all of which are non-collateral. A
fourth anchor space was previously occupied by Sears, but is now
vacant. As of September 2019, the property was 79% leased, compared
to 86% as of December 2018. The sponsor reported Mall Stores sales
of $330 PSF in 2018, compared to Mall Stores sales of $365 PSF in
2017. The property's net operating income (NOI) has declined
annually since 2016 as a result of declining rental revenue and the
reported 2018 NOI was 7% lower than in 2011. The loan has amortized
26% since securitization and matures in April 2021. The mall's
declining NOI and sales PSF increases the loan's refinance risk.

The second largest troubled loan is Quail Springs ($21.5 million --
2.1% of the pool), is secured by a suburban office property located
in Oklahoma City, Oklahoma. The property's performance
significantly declined in 2017 and 2018 due to the departure of two
large tenants reducing the occupancy to 54% as of December 2016.
However, due to recent leasing, the property's occupancy improved
to 70% in September 2019. Moody's has estimated an aggregate loss
of $35.4 million (a 49% expected loss on average) from these
troubled and specially serviced loans.

Moody's received full year 2018 operating results for 99% of the
pool, and full or partial year 2019 operating results for 99% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 86%, compared to 82% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 18.2% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.3%.

Moody's actual and stressed conduit DSCRs are 1.62X and 1.40X,
respectively, compared to 1.67X and 1.41X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 23.9% of the pool balance.
The largest loan is the Fox River Mall Loan ($140.0 million --
13.9% of the pool), which is secured by a 649,000 SF portion of a
1.2 million SF super-regional mall in Appleton, Wisconsin. The mall
is currently anchored by Macy's, JC Penney, Target, and Scheel's.
Scheel's is the only anchor that is part of the collateral. The
mall has two vacant anchors; Younkers, which closed in May 2018,
and Sears, which closed in March 2019. Several tenants have vacated
the property over the past two years, however, H&M and Lululemon
opened new spaces in 2019. The in-line space (including temporary
tenants) was 90% leased as of September 2019, compared to 92%
leased as of September 2018. As of September 2019, the total mall
was 75% leased. The property's NOI has improved since
securitization, however, it has declined annually since 2016 as
result of declining revenues. The loan has amortized 13% since
securitizaton and matures in November 2021. While the property
currently benefits from a high in-place DSCR, regional malls may
face higher refinancing risk as compared to other major property
types. Moody's LTV and stressed DSCR are 124% and 1.11X,
respectively.

The second largest loan is the Cole Retail Portfolio Loan ($60.5
million -- 6.0% of the pool), which is secured by 13 single-tenant
properties and one anchored multi-tenanted property located across
11 states. Tenants include CVS, Carmax, On the Border, and Bed Bath
and Beyond. As of September 2019, the portfolio was 98% leased,
compared to 99% leased as of December 2018. The loan is interest
only for its entire term and Moody's LTV and stressed DSCR are 90%
and 1.11X, respectively.

The third largest loan is the Food 4 Less Portfolio Loan ($40.6
million -- 4.0% of the pool), which is secured by four Food 4 Less
anchored retail centers and 1 stand-alone Food 4 Less grocery store
located in Los Angeles County, California. As of September 2019,
the portfolio was 99% leased, compared to 98% leased in November
2018. The loan has amortized 13% since securitization and Moody's
LTV and stressed DSCR are 79% and 1.23X, respectively, compared to
80% and 1.21X at the last review.


WILLIS ENGINE V: Fitch Assigns BB(EXP) Rating on Series C Debt
--------------------------------------------------------------
Fitch Ratings assigned expected ratings to Willis Engine Structured
Trust V.

RATING ACTIONS

Willis Engine Securitization Trust V

Series A; LT A(EXP)sf;   Expected Rating

Series B; LT BBB(EXP)sf; Expected Rating

Series C; LT BB(EXP)sf;  Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the ABS notes issued by Willis Engine
Structured Trust V, as listed. The notes issued from WEST V will be
secured by lease payments and disposition proceeds on a pool of 54
aircraft engines and three airframes acquired by WEST V from Willis
Lease Finance Corp. and certain affiliates. Of the 57 Initial
Assets, 29 are already owned by Willis Engine Securitization Trust
II, and being refinanced with this transaction.

WLFC, as sponsor, servicer and administrative agent, will be
responsible for ongoing leasing activities related to the engines,
including the underwriting and servicing of leases, ongoing
maintenance and engine dispositions Note proceeds will finance WEST
V's purchase of the engines from WLFC and its affiliates. Fitch
does publicly not rate WLFC.

WEST V is the fifth aircraft engine operating lease ABS trust
sponsored by WLFC. Fitch has rated all series issued from the prior
trusts. WLFC will retain WEST V's equity, consistent with the prior
trusts, which Fitch views positively.

The timeframe of remedial actions for the liquidity facility is
longer than outlined in Fitch's counterparty criteria, but this is
deemed to be immaterial under primary scenarios.

KEY RATING DRIVERS

Asset Quality — Positive: The majority of the pool comprises
high-quality engines supporting in-production, in-demand aircraft
variants from the A320 current engine option (ceo) and B737 Next
Generation (NG) families. 78.5% of the pool supports narrowbody
aircraft, which is a positive and within range of WEST III and IV.
Additionally, there are three A319-100 narrowbody aircraft totaling
3.2%, which are powered by CFM56-5B engines.

Lease Term and Maturity Schedule - Positive: The weighted average
(WA) remaining lease term of on-lease engines is 2.0 years, in line
with prior WEST pools. This is notably shorter than aircraft ABS
due to the larger presence of short-term leases, a part of WLFC's
strategy since the company's inception. Leases coming due in 2020
total 31.0%, 10.2% in 2021 and 36.0% in 2022. From years 2023-2025,
9.5% of the leases mature with the remaining 2.8% due further out
in year 2029. The concentration of leases expiring in 2022 is
largely attributed to the two GEnx engines (12.5%). Despite the
maturities, the lease term distribution is generally in line with
other WEST transactions.

Operational and Servicing Risk — Adequate Servicing Capability:
Fitch believes WLFC has the ability to remarket engines, underwrite
new leases, procure maintenance and sell engines, among other
responsibilities. Fitch believes WLFC to be a capable servicer,
supported by the company's operating results and historical
performance of both the managed portfolio and prior
securitizations.

Lessee Credit Risk — Weak Credits: There are 24 lessees in WEST
V, with the top three at 29.7%, consistent with 29.6% in WEST IV.
The 'CCC' assumed lessee concentration is 16.5%, up from 15.0% from
WEST IV. Most of the lessees are either unrated or
speculative-grade credits, typical of aircraft ABS. Fitch assumed
unrated lessees would perform consistent with either a 'B' or 'CCC'
Issuer Default Rating (IDR) to reflect pool default risk.

Country Credit Risk — Diversified: The three largest countries
total 38.3%, down from 48.0% in WEST IV and on the lower end of
recent Fitch-rated ABS transactions. The top three countries are
United States (20.5%), United Kingdom (11.1%) and China (6.7%).

Transaction Structure - Consistent: Similar to WEST III and IV,
WEST V incorporates structural features not present in WEST or WEST
II, such as turbo features for excess proceeds and debt service
coverage ratio (DSCR) triggers, all positives for noteholders.
Credit enhancement (CE) comprises overcollateralization (OC),
various reserve accounts and a liquidity facility, consistent with
prior series. Initial loan-to-values (LTVs), based on the average
of the pool's maintenance-adjusted base values, are 72.0%, 82.0%
and 87.0% for the series A, B, and C notes, respectively.

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

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

RATING SENSITIVITIES

The performance of engine operating lease securitizations can be
affected by various factors, which, in turn, could have an impact
on the assigned ratings. Fitch conducted multiple rating
sensitivity analyses to evaluate the impact of changes to a number
of the variables in the analysis. As stated, these sensitivity
scenarios were also considered in determining Fitch's expected
ratings.

Coronavirus Stress Scenario

Fitch assumed domestic Chinese airline operators encounter
significant traffic reduction, resulting in default following
transaction close. This sensitivity scenario is designed to further
stress cash flows for assets tied to these domestic Chinese
airlines (6.7%) to evaluate the potential impact on ratings.

Net cash flows excluding sales decrease in the near term by $5.5
million, but all series of notes remain able to pay in full under
their respective rating scenarios, supportive of the initial
expected ratings. Under this scenario, the cash flows are stressed
but do not result in any rating downgrades.

Technological Cliff Stress Scenario

Fitch assumed the phase 2 length for CFM56-7B, 5B and V2500-A5
engines is shortened to five years rather than the five- to
seven-year range assumption in the primary scenarios. Fitch assumed
5% depreciation for all engines in the pool rather than a 0%
assumption for new engines and those with certain technological
advancements. Fitch assumed a 25% residual value assumption for all
the engines rather than 50% or 65% in the primary scenario.

This sensitivity is meant to create a scenario in which engines
supporting the neo and MAX aircraft gain market share at a far
quicker pace than anticipated. Under this scenario, Airbus and
Boeing production rates would surpass their current schedules and
part-out scenarios would result in lower residual proceeds for the
engines. This scenario is also meant to include a significant rise
in fuel costs, leading airlines and lessors to opt for the more
fuel-efficient neo or MAX aircraft.

Under this scenario, the cash flows are stressed compared to the
primary cash flow runs. The structure is particularly stressed from
the decline in disposition proceeds, but the structure is
sufficiently mitigated to this risk and does not result in a
possible downgrade.

High Short-Term Lease Concentration Scenario

Fitch assumed WLFC increased their future mix of short-term leases
to 75%, significantly up from the current concentration. While
demand for short-term leases has been prone to fluctuations over
the years, it has never reached 75% within WLFC's portfolio. This
sensitivity scenario reflects the possibility of market demand
shifting towards short-term leases and away from long-term leasing.
While short-term leases have higher lease rates, the increased
amount of downtime and expenses would negatively affect the
transaction.

Under this scenario, the cash flows are stressed compared to the
primary run, but the structure is sufficiently mitigated to this
risk and does not result in a possible downgrade.

ESG CONSIDERATIONS

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


                            *********

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