/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/200301.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, March 1, 2020, Vol. 24, No. 60 Headlines ALESCO PREFERRED VIII: Moody's Hikes Class B-2 Notes to Ba2(sf) ALESCO PREFERRED XVII: Fitch Affirms Csf Rating on Class D Debt ALM 2020: S&P Assigns Prelim BB- (sf) Rating to Class D Notes AMERICAN CREDIT 2020-1: DBRS Finalizes B Rating on Class F Notes ANCHORAGE CREDIT 10: Moody's Rates $27.5MM Cl. E Notes '(P)Ba3' APIDOS CLO XXIII: S&P Assigns BB- (sf) Rating to Class E-R Notes ARBOR REALTY 2020-FL1: DBRS Gives Prov. B(low) Rating on G Notes ARES XXXIV: S&P Assigns Prelim B- (sf) Rating to Class F-R Notes BANK 2020-BNK26: Fitch to Rate $11.401MM Class G Certs 'B-sf' BATTALION CLO XV: S&P Assigns BB- (sf) Rating to $14MM Cl. E Notes BBCMS MORTGAGE 2020-C6: DBRS Finalizes B(low) Rating on 2 Classes BX COMMERCIAL 2018-BIOA: Fitch Affirms B-sf Rating on 2 Tranches BXMT LTD 2020-FL2: DBRS Finalizes B(low) Rating on Class G Notes CITIGROUP COMMERCIAL 2020-GC46: Fitch Rates Class GRR Certs B-sf DBJPM MORTGAGE 2016-C1: Fitch Affirms B- Rating on Class F Certs DEEPHAVEN RESIDENTIAL 2020-1: DBRS Finalizes B(low) on B-2 Debt DEEPHAVEN RESIDENTIAL 2020-1: DBRS Gives B(low) Rating on B2 Notes DEEPHAVEN RESIDENTIAL 2020-1: S&P Assigns 'B-' Rating to B-2 Notes FINANCE OF AMERICA 2020-HB1: Moody's Rates Class M4 Debt 'B3' FIRST FRANKLIN 2006-FF10: Moody's Raises Class A1 Debt to Ba2 FLAGSHIP CREDIT 2020-1: DBRS Finalizes BB Rating on Class E Notes FREDDIE MAC 2020-DNA2: DBRS Finalizes B Rating on Class B-1B Notes GREYWOLF CLO III: S&P Assigns Prelim B-(sf) Rating to Cl. ER Notes GS MORTGAGE 2013-G1: Fitch Affirms BBsf Rating on Class DM Debt GS MORTGAGE 2018-GS9: Fitch Affirms B-sf Rating on Cl. F-RR Certs GULF STREAM 1: S&P Assigns BB- (sf) Rating on Class E Notes JP MORGAN 2020-INV1: DBRS Assigns B(high) Rating on 2 Classes JP MORGAN 2020-INV1: Moody's Assigns (P)B3 Ratings on 2 Tranches LB-UBS COMMERCIAL 2007-C6: Moody's Lowers Class C Certs to Caa3 LCM XXIII: S&P Affirms BB (sf) Rating on Class D Notes MEDALIST PARTNERS VI: S&P Assigns BB- (sf) Rating on Cl. D Notes MIDOCEAN CREDIT V: Moody's Cuts $8MM Class F Notes to Caa1(sf) MILOS CLO: Moody's Assigns Ba3 Rating to $22.5MM Class E-R Notes MORGAN STANLEY 2012-C5: Fitch Affirms Bsf Rating on Cl. H Certs MORGAN STANLEY 2014-C16: Fitch Lowers Class E Debt to CCC MORGAN STANLEY 2020-L4: Fitch Rates $9.343MM Cl. G-RR Certs B-sf MOUNTAIN VIEW 2016-1: S&P Assigns Prelim BB- Rating to E-R Notes NEUBERGER BERMAN XVII: S&P Assigns BB- (sf) Rating to E-R2 Notes OHA CREDIT 5: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes PALMER SQUARE 2019-2: Fitch Affirms B+sf Rating on Class E Debt PALMER SQUARE 2020-1: Fitch Assigns BBsf Rating on Class D Debt PRIME STRUCTURED 2020-1: DBRS Hikes Rating on F Notes to BB(low) PROVIDENT FUNDING 2020-1: Moody's Assigns B2 Rating on Cl. B-5 Debt SAPPHIRE AVIATION I: Fitch Affirms BBsf Rating on Class C Debt SAPPHIRE AVIATION II: Fitch Assigns BBsf Rating on Cl. C Debt SBALR COMMERCIAL 2020-RR1: DBRS Gives (P)B(low) Rating on F Certs SEQUOIA MORTGAGE 2020-2: Fitch Rates Class B-4 Certs 'BB-(EXP)' SHELTER GROWTH 2019-FL2: DBRS Assigns B(low) Rating on Cl. H Notes SPRUCE HILL 2020-SH1: DBRS Finalizes B Rating on Class B-2 Notes SYMPHONY CLO XXII: S&P Assigns Prelim BB- (sf) Rating to E Notes TCW CLO 2017-1: S&P Assigns Prelim BB- (sf) Rating to ER Notes TICP CLO VII: S&P Assigns Prelim BB-(sf) Rating to Class E-R Notes TICP CLO XV: S&P Assigns BB- (sf) Rating to Class E Notes TRESTLES CLO III: S&P Assigns BB- (sf) Rating to Class E Notes TRESTLES CLO III: S&P Assigns BB- (sf) Rating to Class E Notes UBS COMMERCIAL 2012-C1: Moody's Lowers Class F Debt Rating to Caa3 UBS COMMERCIAL 2017-C1: Fitch Affirms B- Rating on Cl. F-RR Certs UBS-CITIGROUP 2011-C1: Moody's Lowers Class G Certs to Caa3 WELLS FARGO 2015-C29: Fitch Affirms Bsf Rating on Class F Certs WELLS FARGO 2017-RB1: Fitch Affirms B-sf Rating on 2 Tranches WFRBS COMMERCIAL 2012-C10: Moody's Lowers Class F Certs to Caa3 WFRBS COMMERCIAL 2013-C11: Fitch Affirms B Rating on Cl. F Certs YORK CLO-4: S&P Assigns Prelim BB- (sf) Rating to Class E-R Notes [*] DBRS Reviews 316 Classes From 12 US RMBS Transactions [*] S&P Takes Various Actions on 143 Classes From 23 US RMBS Deals [*] S&P Takes Various Actions on 82 Classes From 24 U.S. RMBS Deals ********* ALESCO PREFERRED VIII: Moody's Hikes Class B-2 Notes to Ba2(sf) --------------------------------------------------------------- Moody's Investors Service upgraded the ratings on the following notes issued by ALESCO PREFERRED FUNDING VIII, LTD.: Class A-1A First Priority Senior Secured Floating Rate Notes Due December 23, 2035 (current balance of $30,059,924.13), Upgraded to Aaa (sf); previously on January 22, 2018 Upgraded to Aa1 (sf) Class A-1B First Priority Delayed Draw Senior Secured Floating Rate Notes Due December 23, 2035 (current balance of $69,684,369.62), Upgraded to Aaa (sf); previously on January 22, 2018 Upgraded to Aa1 (sf) Class A-2 Second Priority Senior Secured Floating Rate Notes Due December 23, 2035, Upgraded to Aa2 (sf); previously on January 22, 2018 Upgraded to A1 (sf) Class B-1 Deferrable Third Priority Secured Floating Rate Notes Due December 23, 2035 (current balance including interest shortfall of $52,434,056.83), Upgraded to Ba2 (sf); previously on January 22, 2018 Upgraded to Ba3 (sf) Class B-2 Deferrable Third Priority Secured Fixed/Floating Rate Notes Due December 23, 2035 (current balance including interest shortfall of $6,189,707.21), Upgraded to Ba2 (sf); previously on January 22, 2018 Upgraded to Ba3 (sf) ALESCO PREFERRED FUNDING VIII, LTD., issued in August 2005, 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-1A and Class A-1B notes and an increase in the transaction's over-collateralization (OC) ratios since February 2019. The Class A-1A and Class A-1B notes have paid down by approximately 27.0% or $11.1 million and $25.8 million, respectively, 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 A-1, Class A-2 and Class B notes have improved to 310.83%, 182.65% and 135.76%, respectively, from February 2019 levels of 256.20%, 169.50% and 132.00%, respectively. The Class A-1A and Class A-1B 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 credit quality of the underlying portfolio has deteriorated since February 2019. Based on Moody's calculations, the weighted average rating factor (WARF) increased to 1351 from 1165 in February 2019. 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 $310.0 million, defaulted/deferring par of $78.1 million, a weighted average default probability of 13.51% (implying a WARF of 1351), and a weighted average recovery rate upon default of 10%. Methodology Used for 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. ALESCO PREFERRED XVII: Fitch Affirms Csf Rating on Class D Debt --------------------------------------------------------------- Fitch Ratings affirmed 38 tranches, and revised the Rating Outlooks of two tranches from eight collateralized debt obligations backed primarily by Trust Preferred securities issued by banks. Rating actions and performance metrics for each CDO are reported in the accompanying rating action report. RATING ACTIONS ALESCO Preferred Funding XVII, Ltd./LLC Class A-1 01450NAA0; LT BBBsf Affirmed; previously at BBBsf Class A-2 01450NAB8; LT BBBsf Affirmed; previously at BBBsf Class B 01450NAC6; LT Bsf Affirmed; previously at Bsf Class C-1 01450NAD4; LT CCCsf Affirmed; previously at CCCsf Class C-2 01450NAE2; LT CCCsf Affirmed; previously at CCCsf Class D 01450NAF9; LT Csf Affirmed; previously at Csf Preferred Term Securities VIII, Ltd./Inc. Class A-2 74041PAB6; LT Asf Affirmed; previously at Asf Class B-1 74041PAC4; LT Csf Affirmed; previously at Csf Class B-2 74041PAD2; LT Csf Affirmed; previously at Csf Class B-3 74041PAE0; LT Csf Affirmed; previously at Csf Preferred Term Securities XII, Ltd./Inc. Class A-1 74041NAA3; LT AAsf Affirmed; previously at AAsf Class A-2 74041NAB1; LT Asf Affirmed; previously at Asf Class A-3 74041NAC9; LT Asf Affirmed; previously at Asf Class A-4 74041NAD7; LT Asf Affirmed; previously at Asf Class B-1 74041NAE5; LT Csf Affirmed; previously at Csf Class B-2 74041NAG0; LT Csf Affirmed; previously at Csf Class B-3 74041NAJ4; LT Csf Affirmed; previously at Csf U.S. Capital Funding I, Ltd./Corp. Class A-2 903329AC4; LT AAsf Affirmed; previously at AAsf Class B-1 903329AE0; LT CCCsf Affirmed; previously at CCCsf Class B-2 903329AG5; LT CCCsf Affirmed; previously at CCCsf U.S. Capital Funding II, Ltd./Corp. Class A-2 90390KAB0; LT AAsf Affirmed; previously at AAsf Class B-1 90390KAC8; LT CCCsf Affirmed; previously at CCCsf Class B-2 90390KAD6; LT CCCsf Affirmed; previously at CCCsf ALESCO Preferred Funding III, Ltd./Inc. Class A-2 01448MAB5; LT Asf Affirmed; previously at Asf Class B-1 01448MAC3; LT Csf Affirmed; previously at Csf Class B-2 01448MAD1; LT Csf Affirmed; previously at Csf Tropic CDO II Ltd./Corp. Class A-1L 89707UAA0; LT AAsf Affirmed; previously at AAsf Class A-2L 89707UAB8; LT Asf Affirmed; previously at Asf Class A-3L 89707UAC6; LT BBsf Affirmed; previously at BBsf Class A-4 89707UAL6; LT Csf Affirmed; previously at Csf Class A-4L 89707UAD4; LT Csf Affirmed; previously at Csf Class B-1L 89707UAF9; LT Csf Affirmed; previously at Csf Soloso CDO 2007-1 Ltd./Corp. Class A-1LA 83438JAA4; LT Asf Affirmed; previously at Asf Class A-1LB 83438JAC0; LT BBsf Affirmed; previously at BBsf Class A-2L 83438JAE6; LT CCCsf Affirmed; previously at CCCsf Class A-3F 83438JAJ5; LT Csf Affirmed; previously at Csf Class A-3L 83438JAG1; LT Csf Affirmed; previously at Csf Class B-1L 83438JAL0; LT Csf Affirmed; previously at Csf KEY RATING DRIVERS The main driver behind the affirmations was the muted pace of prepayments over the review period. Six CDOs paid down the senior-most notes and increased credit enhancement (CE) levels for rated liabilities. The magnitude of the deleveraging for each CDO is reported in the accompanying rating action report. For four transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings deteriorated, with the other four exhibiting positive credit migration. There were no new deferrals, cures or new defaults since last review. The ratings on 22 classes of notes in the eight transactions have been capped based on the application of the performing CE cap as described in Fitch's "U.S. Trust Preferred CDOs Surveillance Rating Criteria." The ratings for class A-1 in Preferred Term Securities XII, Ltd./Inc. and class A-1L in Tropic CDO II Ltd./Corp. are one category lower than the model-implied ratings. The transaction documents do not conform to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria" regarding rating requirements and remedial actions expected for the issuer account bank. Therefore, these two classes of notes are capped at the same rating category as their respective issuer account banks. RATING SENSITIVITIES Ratings of the notes issued by these CDOs remain sensitive to significant levels of defaults, deferrals, cures and collateral redemptions. To address potential risks of adverse selection and increased portfolio concentration, Fitch applied a sensitivity scenario, as described in the criteria, to applicable transactions. ALM 2020: S&P Assigns Prelim BB- (sf) Rating to Class D Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ALM 2020 Ltd./ALM 2020 LLC's floating-rate notes. The note issuance is a CLO securitization backed by a diversified collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 27, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED ALM 2020 Ltd./ALM 2020 LLC Class Rating Amount (mil. $) X AAA (sf) 7.50 A-1a-1(i) AAA (sf) 13,750.00 A-1a-2 AAA (sf) 0.00(i) A-1a-3 AAA (sf) 0.00(i) A-1b NR 107.00 A-2 (deferrable) AA (sf) 171.00 B (deferrable) A (sf) 121.00 C (deferrable) BBB- (sf) 117.00 D (deferrable) BB- (sf) 86.00 Subordinated notes NR 161.75 (1)The class A-1a-2 and class A-1a-3 Notes will each initially be issued with a principal balance of $0. The Aggregate Outstanding Amount of the class A-1a-2 notes and/or the class A-1a-3 notes may be increased to an amount not to exceed, in each case, $375,000,000, in connection with a class A-1a note exchange in accordance with the transaction documents. NR--Not rated. AMERICAN CREDIT 2020-1: DBRS Finalizes B Rating on Class F Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by American Credit Acceptance Receivables Trust 2020-1 (ACAR 2020-1): -- $143,910,000 Class A Notes rated AAA (sf) -- $40,170,000 Class B Notes rated AA (sf) -- $73,120,000 Class C Notes rated A (sf) -- $28,080,000 Class E Notes rated BB (sf) -- $18,920,000 Class F Notes rated B (sf) DBRS Morningstar upgraded its rating on Class D to BBB (sf) from its provisional rating of BBB (low) (sf) because of the additional credit enhancement from lower final pricing coupons compared with the estimated provisional coupons provided for its assignment of provisional ratings. As a result, DBRS Morningstar upgraded and finalized its provisional rating on the following class of notes issued by ACAR 2020-1: -- $57,330,000 Class D Notes rated BBB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: -- Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected expected cumulative net loss assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. -- ACAR 2020-1 provides for Class A, B, C, and D coverage multiples that are 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 the structural features of the transaction. -- The capabilities of American Credit Acceptance, LLC (ACA) with regard to origination, underwriting, and servicing. -- DBRS Morningstar has performed an operational review of ACA and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. -- The ACA senior management team has considerable experience, with an average of 19 years in banking, finance, and auto finance companies, as well as an average of approximately seven years of company tenure. -- ACA has completed 29 securitizations since 2011, including four transactions in 2019. -- ACA maintains a strong corporate culture of compliance and a robust compliance department. -- The credit quality of the collateral and the consistent performance of ACA's auto loan portfolio. -- Considerable availability of historical performance data and a history of consistent performance on the ACA portfolio. The ratings also consider the statistical pool characteristics: -- The average remaining life of the collateral pool is approximately 66 months. -- ACAR 2020-1 provides for Class F Notes with an assigned rating of B (sf ). While the DBRS Morningstar "Rating U.S. Retail Auto Loan Securitizations" methodology does not set forth a range of multiples for this asset class for the B (sf ) level, the analytical approach for this rating level is consistent with that contemplated by the methodology. The typical range of multiples applied in the DBRS Morningstar stress analysis for a B (sf ) rating is 1.00 times (x) to 1.25x. -- The weighted-average FICO score of the pool is 538. -- 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 ACA, that the trust has a valid first-priority security interest in the assets and the consistency with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance" methodology. The ACAR 2020-1 transaction represents the 30th securitization completed by ACA since 2011 and offers both senior and subordinate rated securities. The receivables securitized in ACAR 2020-1 are subprime automobile loan contracts secured primarily by used automobiles, light-duty trucks, vans, motorcycles, and minivans. The rating on the Class A Notes reflects the 64.10% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Fund (1.00%), and overcollateralization (7.30% of the total pool balance). The ratings on Class B, Class C, Class D, Class E, and Class F Notes reflect 53.80%, 35.05%, 20.35%, 13.15%, and 8.30% 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. ANCHORAGE CREDIT 10: Moody's Rates $27.5MM Cl. E Notes '(P)Ba3' --------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to five classes of notes to be issued by Anchorage Credit Funding 10, Ltd.. Moody's rating action is as follows: US$241,650,000 Class A Senior Secured Fixed Rate Notes due 2038 (the "Class A Notes"), Assigned (P)Aaa (sf) US$68,350,000 Class B Senior Secured Fixed Rate Notes due 2038 (the "Class B Notes"), Assigned (P)Aa3 (sf) US$27,500,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2038 (the "Class C Notes"), Assigned (P)A3 (sf) US$27,500,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2038 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$27,500,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2038 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on its methodology and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. Anchorage Credit Funding 10 is a managed cash flow CDO. The issued notes will be collateralized primarily by corporate bonds and loans. At least 30% of the portfolio must consist of senior secured loans, senior secured notes, and eligible investments, up to 20% of the portfolio may consist of second lien loans, and up to 5% of the portfolio may consist of letters of credit. Moody's expects the portfolio to be approximately 23% ramped as of the closing date. Anchorage Capital Group, L.L.C. will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest up to 50% of unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3028 Weighted Average Coupon (WAC): 5.2% 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 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. APIDOS CLO XXIII: S&P Assigns BB- (sf) Rating to Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned ratings to the class X-R, A-R, B-1-R, B-2-R, C-R, D-R, and E-R notes from Apidos CLO XXIII/Apidos CLO XXIII LLC, a collateralized loan obligation (CLO) managed by CVC Credit Partners U.S. CLO Management LLC. This is the second refinancing of its January 2016 transaction. The issuer has used proceeds from the issuance of the replacement notes to redeem the outstanding class A-1R, A-2AR, A-2BR, B, C, D-1, and D-2 notes. As such, S&P has withdrawn its rating on the class A-1R notes (the only rated class after the first refinancing) and have assigned ratings to the replacement notes. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels," S&P said. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary," the rating agency said. RATINGS ASSIGNED Apidos CLO XXIII/Apidos CLO XXIII LLC Replacement class Rating Amount (mil. $) X-R AAA (sf) 3.00 A-R AAA (sf) 320.00 B-1-R AA (sf) 35.00 B-2-R AA (sf) 25.00 C-R (deferrable) A (sf) 27.50 D-R (deferrable) BBB- (sf) 27.50 E-R (deferrable) BB- (sf) 25.00 Subordinated notes NR 39.875 NR--Not rated. RATING WITHDRAWN Apidos CLO XXIII/Apidos CLO XXIII LLC Class Rating To From A-1R NR AAA (sf) NR--Not rated. ARBOR REALTY 2020-FL1: DBRS Gives Prov. B(low) Rating on G Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of commercial mortgage-backed notes to be issued by Arbor Realty Commercial Real Estate Notes 2020-FL1, Ltd. (the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The initial collateral consists of 31 floating-rate mortgages secured by 97 mostly transitional properties, with an initial cut-off balance totaling $640.52 million, including approximately $27.4 million of non-interest-accruing future funding. The transaction is a managed vehicle with a 180-day ramp-up period, a target collateral principal balance of $800.0 million, and a 36-month principal reinvestment period. The subject transaction, unlike prior deals, also includes an optional note repricing provision. For more information, please refer to the Transaction Structural Features section of the presale report. Most loans are in a period of transition with plans in place to stabilize and improve the asset value. The Issuer may direct principal proceeds to acquire a portion of one or more companion participations without rating agency confirmation (RAC), subject to the reinvestment and eligibility criteria. The reinvestment and eligibility requires, among other things, for the underlying mortgage loan not to be a defaulted mortgage loan or specially serviced loan, for no event of default to have occurred and/or be continuing, and for certain note protection tests to be satisfied. Commercial real estate collateralized loan obligation transactions often allow for principal proceeds to be held in an account and used to purchase pari passu companion participation of existing trust assets, instead of being used to pay down bonds. Typically, if RAC is not required to acquire these participations, DBRS Morningstar performs a paydown analysis whereby the loans in the pool with the lowest expected loss (EL) that have no future funding are assumed to pay off and then all future funding is brought in, with the pool balance remaining constant. The effect of this paydown analysis is that the EL migrates to a higher level as DBRS Morningstar assumes a worst-case scenario where only good loans pay off, and as a result, the pool loss levels are higher than they would be on the pool as it stands at closing. The transaction stipulates a $1.0 million threshold on pari passu participation acquisitions before RAC is required if a portion of the underlying loan is already included in the pool. Please see the presale report for participation that the Issuer will be allowed to acquire. For the floating-rate loans, DBRS Morningstar used the one-month LIBOR index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS Morningstar As-Is Net Cash Flow, 15 loans, comprising 43.2% of the initial pool, had a DBRS Morningstar As-Is Debt Service Coverage Ratio (DSCR) below 1.00 times (x), a threshold indicative of default risk. Additionally, none of the DBRS Morningstar Stabilized DSCRs are below 1.00x, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets will stabilize above market levels. The transaction will have a sequential-pay structure. The loans are all secured by multifamily properties. Additionally, none of the multifamily loans in the pool are currently secured by a student housing property, which often exhibits higher cash flow volatility than traditional multifamily properties. The initial collateral pool is diversified across 13 states and has a loan Herfindahl score of approximately 23.2. Three of the loans, representing 14.6% of the initial pool balance, are portfolio loans that benefit from multiple property pooling. Mortgages backed by cross-collateralized cash flow streams from multiple properties typically exhibit lower cash flow volatility. Twelve loans in the pool, totaling 83.2% of the DBRS Morningstar sample by cut-off-date pool balance, are backed by a property with a quality deemed to be Average, Average (+), or Above Average by DBRS Morningstar. The borrowers of 12 of the floating-rate loans have purchased LIBOR rate caps that range between 1.8% and 4.4% to protect against rising interest rates over the term of the loan. Twenty-four loans, representing 68.9% of the initial pool balance, represent acquisition financing. Acquisition financing generally requires the respective sponsor(s) to contribute material cash equity as a source of funding in conjunction with the mortgage loan, resulting in a higher sponsor cost basis in the underlying collateral. The pool consists of mostly transitional assets. Given the nature of the assets, DBRS Morningstar determined a sample size representing 72.4% of the pool cut-off-date balance. Physical site inspections were also performed, and each sampled asset received a business plan score. DBRS Morningstar also notes that when it visits the markets, it may actually visit properties more than once to follow the progress (or lack thereof) toward stabilization. The service is also in constant contact with the borrowers to track progress. All of the loans in the pool have floating interest rates, and all loans are interest-only during the original term with original term ranges between 12 months and 36 months, creating interest rate risk. For the floating-rate loans, DBRS Morningstar used the one-month LIBOR index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. Additionally, all loans have extension options, and in order to qualify for these options, the loans must meet minimum DSCR and loan-to-value (LTV) requirements. DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the current in-place cash flow. There is a possibility that the sponsors will not execute their business plans as expected and that the higher stabilized cash flow will not materialize during the loan term. Failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the future funding amounts to be sufficient to execute such plans. In addition, DBRS Morningstar analyzed loss given default based on the as-is LTV, assuming the loan is fully funded. The pool loss multiples for this transaction are outside the ranges identified for CMBS conduit transactions, which are representative of a universe comprising approximately 90% of CMBS 2.0, or later, conduit transactions. In general, CRE CLO transactions are structured with lower leverage and comprise pools of higher average expected loss than typical conduit transactions, resulting in pool loss multiples that are typically lower than those for conduits. For that reason, DBRS Morningstar typically utilizes the multiples indicated by the pool-level distribution of losses when rating CRE CLO transactions and relies less on the multiple ranges implied by the CMBS 2.0 conduit universe. Correspondingly, DBRS Morningstar utilized the multiples indicated by the pool-level distribution of losses as the basis for calculating deviations for this transaction. Notes: All figures are in U.S. dollars unless otherwise noted. ARES XXXIV: S&P Assigns Prelim B- (sf) Rating to Class F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ares XXXIV CLO Ltd./Ares XXXIV CLO LLC's floating-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. This issuance is a reset of the transaction, which originally closed in September 2015 and was previously partially refinanced in July 2017. The preliminary ratings are based on information as of Feb. 27, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Ares XXXIV CLO Ltd./Ares XXXIV CLO LLC Class Rating Amount (mil. $) A-R2 AAA (sf) 640.00 B-R2 AA (sf) 120.00 C-R (deferrable) A (sf) 60.00 D-R (deferrable) BBB- (sf) 58.00 E-R (deferrable) BB- (sf) 42.00 F-R (deferrable) B- (sf) 15.00 Subordinated notes NR 108.03 NR--Not rated. BANK 2020-BNK26: Fitch to Rate $11.401MM Class G Certs 'B-sf' ------------------------------------------------------------- Fitch Ratings issued a presale report on BANK 2020-BNK26 commercial mortgage pass-through certificates, series 2020-BNK26. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $27,400,000 class A-1 'AAAsf'; Outlook Stable; -- $95,000,000 class A-2 'AAAsf'; Outlook Stable; -- $38,600,000 class A-SB 'AAAsf'; Outlook Stable; -- $222,500,000ae class A-3 'AAAsf'; Outlook Stable; -- $414,564,000ae class A-4 'AAAsf'; Outlook Stable; -- $798,064,000b class X-A 'AAAsf'; Outlook Stable; -- $226,593,000b class X-B 'A-sf'; Outlook Stable; -- $131,111,000e class A-S 'AAAsf'; Outlook Stable; -- $49,879,000 class B 'AA-sf'; Outlook Stable; -- $45,603,000 class C 'A-sf'; Outlook Stable; -- $48,454,000bc class X-D 'BBB-sf'; Outlook Stable; -- $19,952,000bc class X-F 'BB-sf'; Outlook Stable; -- $11,401,000bc class X-G 'B-sf'; Outlook Stable; -- $27,078,000c class D 'BBBsf'; Outlook Stable. -- $21,376,000c class E 'BBB-sf'; Outlook Stable; -- $19,952,000c class F 'BB-sf'; Outlook Stable; -- $11,401,000c class G 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: -- $35,628,248b class X-H; -- $35,628,248 class H; -- $60,004,855d RR Interest. (a) The initial certificate balances of classes A-3 and A-4 are unknown and expected to be $637,064,000 in aggregate. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-3 balance range is $150,000,000 to $295,000,000, and the expected class A-4 balance range is $342,064,000 to $487,064,000. The certificate balances for classes A-3 and A-4 are assumed at the midpoint of the range for each class. (b) Notional amount and interest-only. (c) Privately placed and pursuant to Rule 144A. (d) Non-offered vertical credit-risk retention interest. (e) The class A 3, class A-4, class A-S, class A-3-1, class A-3-2, class A-3-X1, class A-3-X2, class A-4-1, class A-4-2, class A-4-X1, class A-4-X2, class A-S-1, class A-S-2, class A-S-X1 and class A-S-X2 certificates the exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1 and A-3-X. The class A-3 may be surrended (or received) for the received (or surrendered) class A-3-2 and class A-3-X2. The class A-4 may be surrended (or received) for the received (or surrendered) class A-4-1 and class A-4-X1. The class A-4 may be surrended (or received) for the received (or surrendered) class A-4-2 and class A-4-X2. The class A-S may be surrended (or received) for the received (or surrendered) class A-S-1 and class A-S-X1. The class A-S may be surrended (or received) for the received (or surrendered) class A-S-2 and class A-S-X2. The ratings of the exchangeable classes would reference the ratings on the associated referenced or original classes. TRANSACTION SUMMARY The expected ratings are based on information provided by the issuer as of Feb. 26, 2020. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 75 loans secured by 101 commercial properties having an aggregate principal balance of $1,200,097,104 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, Wells Fargo Bank, National Association, and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 62.9% of the properties by balance, cash flow analysis of 79.3% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.48x is better than the 2019 and YTD 2020 averages of 1.26x and 1.36x, respectively, for other Fitch-rated multiborrower transactions. The pool's loan-to-value (LTV) of 95.5% is below the 2019 and YTD 2020 averages of 103.0% and 97.1%, respectively. Excluding the co-op and credit assessed collateral, the pool has a Fitch DSCR and LTV of 1.34x and 109.2%. Diversified Pool: The pool's loan concentration index (LCI) of 306 is well below the 2019 and YTD 2020 averages of 379 and 371, respectively. The pool's 10 largest loans represent 46.9% of the pool balance, which is below the 2019 and YTD 2020 averages of 51.0% and 50.7%, respectively. Investment-Grade Credit Opinion and Co-op Loans: Five loans representing 23.1% of the pool are credit assessed. This is significantly above the 2019 average of 14.2% and below the YTD 2020 average of 29.9%. Bravern Office Commons (6.3% of the pool) received a credit opinion of 'AA-sf' on a stand-alone basis. 560 Mission Street (5.8%) received a credit opinion of 'AA-sf' on a stand-alone basis. 55 Hudson Yards (4.7%) received a credit opinion of 'BBB-sf' on a stand-alone basis. 1633 Broadway (3.3%) received a credit opinion of 'BBB-sf' on a stand-alone basis. Bellagio Hotel and Casino (2.9%) received a credit opinion of 'BBB-sf' on a stand-alone basis. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 12.1% 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-BNK26 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 'AA-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 'A-sf' could result. BATTALION CLO XV: S&P Assigns BB- (sf) Rating to $14MM Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Battalion CLO XV Ltd.'s floating-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Battalion CLO XV Ltd. Class Rating Amount (mil. $) A-1 AAA (sf) 248.00 A-2 NR 10.00 B AA (sf) 46.00 C (deferrable) A (sf) 20.00 D (deferrable) BBB (sf) 26.00 E (deferrable) BB- (sf) 14.00 Subordinated notes NR 41.25 NR--Not rated. BBCMS MORTGAGE 2020-C6: DBRS Finalizes B(low) Rating on 2 Classes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-C6 issued by BBCMS Mortgage Trust 2020-C6: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at A (low) (sf) -- Class X-D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F-RR at BBB (low) (sf) -- Class G-RR at BB (sf) -- Class H-RR at B (high) (sf) -- Class J-RR at B (low) (sf) -- Class F5T-A at A (low) (sf) -- Class F5T-B at BBB (low) (sf) -- Class F5T-C at BB (low) (sf) -- Class F5T-D at B (low) (sf) All trends are Stable. Classes X-D, D, E, F-RR, G-RR, H-RR, J-RR, F5T-A, F5T-B, F5TD, and F5T-D have been privately placed. DBRS Morningstar subsequently placed the finalized provisional ratings of Class F5T-A, F5T-B, F5T-C, and F5T-D Under Review with Developing Implications because of the request for comments (RFC) on the "North American Single-Asset/Single-Borrower Ratings Methodology" on November 14, 2019. If the updated methodology is adopted following the RFC, there will likely be no rating impact on the ratings assigned to this transaction. For more information, please see the press release "DBRS Morningstar Requests Comments on North American Single-Asset/Single-Borrower Ratings Methodology." The transaction consists of 45 fixed-rate loans secured by 118 commercial and multifamily properties. Two separate groups of loans are cross-collateralized and cross-defaulted into separate crossed groups, one of which has five loans and the second of which has two loans. The DBRS Morningstar analysis of this transaction incorporates these groups of loans as separate portfolios, resulting in a modified loan count of 40, and the loan number referenced within the related report reflects this total. The transaction is of a sequential-pay pass-through structure. Five loans, representing 30.8% of the pool, are shadow-rated investment grade by DBRS Morningstar. 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 and their respective actual constants, the initial DBRS Morningstar Weighted-Average (WA) Debt Service Coverage Ratio (DSCR) of the pool was 2.53 times (x). None of the loans had a DBRS Morningstar DSCR below 1.32x, a threshold indicative of a higher likelihood of midterm default. The pool additionally includes 14 loans, comprising a combined 14.8% of the pool balance, with a DBRS Morningstar Loan-to-Value (LTV) ratio in excess of 67.1%, a threshold generally indicative of above-average default frequency. The WA DBRS Morningstar LTV of the pool at issuance was 56.9%, and the pool is scheduled to amortize down to a DBRS Morningstar WA LTV of 53.6% at maturity. These credit metrics are based on A-note balances. Five of the loans—Parkmerced, 650 Madison Avenue, Kings Plaza, F5 Tower, and Bellagio Hotel and Casino—exhibit credit characteristics consistent with investment-grade shadow ratings. Combined, these loans represent 30.8% of the pool. Bellagio Hotel and Casino have credit characteristics consistent with a AAA shadow rating, Parkmerced has credit characteristics consistent with AA (high), F5 Tower has credit characteristics consistent with A (high), and 650 Madison Avenue and Kings Plaza have credit characteristics consistent with BBB (low). The term default risk is low, as indicated by a strong DBRS Morningstar DSCR of 2.53x. Only five loans, representing 6.9% of the allocated loan balance, have a DBRS Morningstar DSCR less than 1.50x. Even with the exclusion of the shadow-rated loans, representing 30.8% of the pool, the deal exhibits a very favorable DBRS Morningstar DSCR of 1.96x. Additionally, 11 loans, representing a combined 40.0% of the pool by allocated loan balance, exhibit issuance LTVs of less than 59.3%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. The pool exhibits heavy leverage barbells. While the pool has 11 loans, comprising 40.0% of the pool balance, with an issuance LTV lower than 59.3%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency, there are also 10 loans, comprising 13.1% of the pool balance, with an issuance LTV higher than 67.1%, a threshold historically indicative of relatively high-leverage financing and generally associated with above-average default frequency. The WA expected loss of the pool's investment-grade component was approximately 0.5%, while the WA expected loss of the pool's conduit component was substantially higher at over 2.4%, further illustrating the barbells nature of the transaction. The WA DBRS Morningstar DSCR exhibited by the loans that were identified as representing relatively high-leverage financing was 1.67x. Additionally, no loans exhibited a DBRS Morningstar Issuance DSCR of less than 1.32x, a threshold generally associated with above-average default frequency. Twenty-one loans, representing a combined 69.8% of the pool by allocated loan balance, are structured with full-term interest-only (IO) periods. An additional nine loans, representing 21.4% of the pool, have partial IO periods ranging from 12 months to 60 months. Expected amortization for the pool is only 4.8%, which is less than recent conduit securitizations. Of the 21 loans structured with full-term IO periods, nine loans, representing 30.7% of the pool by allocated loan balance, are located in areas with a DBRS Morningstar Market Rank of 6, 7, or 8. These markets benefit from increased liquidity even during times of economic stress. Additionally, three of the 21 identified loans, representing 17.0% of the total pool balance, are shadow-rated investment grade by DBRS Morningstar: 650 Madison Avenue, F5 Tower, and Bellagio Hotel and Casino. The pool features a relatively high concentration of loans secured by properties located in less favorable suburban market areas, as evidenced by 18 loans, representing 29.1% of the pool balance, being secured by properties located in areas with a DBRS Morningstar Market Rank of either 3 or 4. An additional eight loans, totaling 19.2% of the pool balance, are secured by properties located in areas with a DBRS Morningstar Market Rank of either 1 or 2, which are typically considered more rural or tertiary in nature. Seventeen of the identified loans, representing 21.2% of the pool balance, that are secured by properties located in areas with a DBRS Morningstar Market Rank of 1, 2, 3, or 4 will amortize over the loan term, which can reduce risk over time. The average expected amortization of these loans is 21.2%, which is notably higher than the pool's total WA expected amortization of 4.8%. Classes X-A, X-B, and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. BX COMMERCIAL 2018-BIOA: Fitch Affirms B-sf Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings affirmed BX Commercial Mortgage Trust 2018-BIOA Commercial Mortgage Pass-Through Certificates, Series 2018-BIOA. RATING ACTIONS BX Commercial Mortgage Trust 2018-BIOA Class A 056057AA0; LT AAAsf Affirmed; previously at AAAsf Class B 056057AG7; LT AA-sf Affirmed; previously at AA-sf Class C 056057AJ1; LT A-sf Affirmed; previously at A-sf Class D 056057AL6; LT BBB-sf Affirmed; previously at BBB-sf Class E 056057AN2; LT BB-sf Affirmed; previously at BB-sf Class F 056057AQ5; LT B-sf Affirmed; previously at B-sf Class HRR 056057AS1; LT B-sf Affirmed; previously at B-sf KEY RATING DRIVERS Stable Performance: The affirmations reflect the stable performance of the underlying pool. Per the servicer OSAR, for the TTM ended September 2019, property net cash flow (NCF) reported 22% above the Fitch cash flow at issuance and 5.8% below the issuers underwritten NCF. Fitch's updated stressed cash flow as of TTM September 2019 has improved less than 1% from issuance. As of the September 2019 rent rolls, the portfolio is 94.4% leased compared to 94.0% at issuance (based on the January 2018 rent rolls). Approximately 6.3% of the NRA is scheduled to roll in 2020. Per the servicer, the TTM September 2019 trust NCF debt service coverage ratio was 2.67x. High-Quality Assets in Strong Locations: The portfolio is collateralized by 26 lab office properties and one multifamily property located in highly desirable and in-fill life science submarkets with a total of approximately 4.1 million sf. The portfolio properties are located in three different states and four distinct markets. The largest individual state concentration is California with a total of 58.1% by allocated loan amount. The California exposure is split between the San Diego (25.4%) and San Francisco (32.7%) markets. Additionally, 37.4% of allocated loan amount is derived from properties located in the Cambridge area of Boston. The portfolio received a weighted average (WA) Fitch property quality grade of 'A−'/'B+', and 78% (as a percentage of allocated loan amount) of the properties were built or renovated since 2000. Portfolio Diversity: The portfolio is collateralized by the fee (24) and leasehold (three) interests in 27 (4.1 million sf) properties. The largest five properties by allocated loan amount account for approximately 61.7% of the issuer's portfolio NOI and 57.3% of total NRA. The portfolio also exhibits significant tenant diversity as it features approximately 98 distinct tenants with no individual tenant representing more than 11.4% of base rents (Ironwood Pharmaceuticals). Limited Structural Features and Interest Only: Ongoing reserves for taxes, insurance, ground rent and leasing costs will only be collected during a cash sweep period triggered by an event of default, a bankruptcy of the borrower or the debt yield falling below 6.5% (6.75% during the fourth extension option and 7.00% during the fifth extension option). In addition, the loan will be structured as interest only during its entire term. The loan is currently in its first extension period, which matures in March 2021.The excess cash flow sweep may be substituted by a guaranty from the guarantor (BRE Edison Holdings, L.P.). Institutional Sponsorship: The loan is sponsored by Blackstone Real Estate Partners VIII L.P., which is owned by affiliates of the Blackstone Group, L.P. Blackstone is a global leader in real estate investing with over $157 billion in assets under management, as of Sept. 30, 2019, including more than 12 million sf of life science properties. Cap on Recourse Carveout Provisions: The carveout guarantors' liability on the nonrecourse bankruptcy carveouts is limited to 10% of the then-outstanding loan balance. RATING SENSITIVITIES The Rating Outlook for all classes remain Stable. Rating upgrades to classes B, C, and D of up to a category are possible with significant performance improvement but less likely considering the loan is structured as interest only for the entire term. Rating downgrades to classes E, F, and HRR of up to one category are possible with significant performance declines. BXMT LTD 2020-FL2: DBRS Finalizes B(low) Rating on Class G Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by BXMT 2020-FL2, Ltd. (the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. Classes F and G have been privately placed. The initial collateral consists of 34 floating-rate mortgages secured by 80 mostly transitional properties with a cut-off balance totaling $1.5 billion, excluding approximately $1.2 billion of participated loan future funding cut-off date commitment. Most loans are in a period of transition with plans in place to stabilize and improve the asset value. The Issuer may direct principal proceeds to acquire a portion of one or more companion participations without rating agency confirmation (RAC), subject to the Replenishment Criteria. The Replenishment Criteria requires, among other things, for the underlying mortgage loan not to be a defaulted mortgage loan or specially serviced loan, for no event of default to have occurred or been continuing, and for certain note protection tests to be satisfied. Commercial real estate collateralized loan obligation transactions often allow for principal prepayment proceeds to be held in an account and used to purchase pari passu companion participation of existing trust assets instead of being used to pay down bonds. Typically, if RAC is not required to acquire these participations, DBRS Morningstar performs a paydown analysis whereby the loans in the pool with the lowest expected loss (EL) that have no future funding are assumed to pay off and then all future funding is brought in, with the pool balance staying constant. The effect of this paydown analysis is that the EL migrates to a higher level as DBRS Morningstar assumes a worst-case scenario where only good loans pay off. As a result, the pool loss levels are higher than they would be on the pool as it stands at closing. In this transaction, RAC is not required to acquire participation of existing trust assets, but the transaction documents require the resulting pool DBRS Morningstar weighted-average (WA) EL to be no greater than 6.5%. This is intended by the Issuer to keep credit risk fairly constant, as the initial-pool DBRS Morningstar WA EL is 6.0%. As a result, DBRS Morningstar did not perform a paydown analysis on this transaction and assumes negative credit migration. While it is possible for loans to get worse (or better) after securitization, and the EL being used could be lower (or higher) than it truly should be, DBRS Morningstar believes that the capital structure as proposed by the Issuer adequately accounts for this risk. Any significant modifications will require RAC and such a loan will have its EL updated based on such modification. For the floating-rate loans, DBRS Morningstar used the one-month LIBOR index, which is based on the lower of a DBRS Morningstar stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS Morningstar As-Is Net Cash Flow, 10 loans, comprising 28.9% of the initial pool, had a DBRS Morningstar As-Is Debt Service Coverage Ratio (DSCR) below 1.00 times (x), a threshold indicative of default risk. Additionally, none of the DBRS Morningstar Stabilized DSCRs are below 1.00x, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets to stabilize the above market levels. The transaction has a sequential-pay structure. The properties are primarily located in core markets with the overall pool's WA DBRS Morningstar Market Rank at a very high 5.8. Four loans, totaling 12.5% of the pool, are in markets with a DBRS Morningstar Market Rank of 8, and 10 loans, totaling 29.0% of the pool, are in markets with a DBRS Morningstar Market Rank of 7. These higher DBRS Morningstar Market Ranks correspond to zip codes that are more urbanized in nature. These markets benefit from increased liquidity that is driven by consistently strong investor demand; therefore, such markets tend to benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. Some of the urban markets represented include New York; Brooklyn, New York; San Francisco; and Chicago. As measured, including all future funding in the calculation, the WA as-is loan-to-value (LTV) is low at 74.6%. Further, the WA as-stabilized LTV is quite low at 58.0%. The WA DBRS Morningstar As-Is LTV reflects an as-is appraised value adjustment to one loan based on the appraiser's as-completed value, based on upfront capital expenditure facilities. Property quality for the pool is considered strong, as 14 loans in the pool, totaling 74.5% of the DBRS Morningstar sample by cut-off-date pool balance, are backed by a property with a quality deemed to be Average (+), Above Average, or Excellent by DBRS Morningstar. The borrowers of all 34 floating-rate loans have purchased Libor rate caps that range between 2.5% and 4.0% to protect against rising interest rates over the term of the loan. Twenty-one loans, representing 64.3% of the initial pool balance, represent acquisition financing. Acquisition financing generally requires the respective sponsor(s) to contribute material cash equity as a source of funding in conjunction with the mortgage loan, resulting in a higher sponsor cost basis in the underlying collateral. The pool consists of mostly transitional assets. Given the nature of the assets, DBRS Morningstar determined a sample size representing 58.7% of the pool cut-off-date balance. Although this is lower than the typical sample size for traditional conduit commercial mortgage-backed security (CMBS) transactions, the pool is quite diversified given the loan count as the Issuer has cut mostly identically sized pari passu pieces. Physical site inspections were performed as well, including management meetings. DBRS Morningstar also notes that when it visits the markets, it may actually visit properties more than once to follow the progress (or lack thereof) toward stabilization. The service is also in constant contact with the borrowers to track progress. All of the loans in the pool have floating interest rates, and all loans are interest-only during the original term with original terms ranging between 24 months and 70 months, creating interest rate risk. For the floating-rate loans, DBRS Morningstar used the one-month LIBOR index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. Additionally, all loans have extension options, and in order to qualify for these options, the loans must meet minimum DSCR and LTV requirements. DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the current in-place cash flow. There is a possibility that the sponsors will not execute their business plans as expected and that the higher stabilized cash flow will not materialize during the loan term. Failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the future funding amounts to be sufficient to execute such plans. In addition, DBRS Morningstar analyzes loss given default based on the as-is LTV, assuming the loan is fully funded. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP COMMERCIAL 2020-GC46: Fitch Rates Class GRR Certs B-sf ---------------------------------------------------------------- Fitch Ratings assigned ratings and Rating Outlooks to the Citigroup Commercial Mortgage Trust 2020-GC46 commercial mortgage pass-through certificates, series 2020-GC46. RATING ACTIONS Citigroup Commercial Mortgage Trust 2020-GC46 Class A-1; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-2; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-4; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-5; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-AB; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-S; LT AAAsf New Rating; previously at AAA(EXP)sf Class B; LT AA-sf New Rating; previously at AA-(EXP)sf Class C; LT A-sf New Rating; previously at A-(EXP)sf Class D; LT BBBsf New Rating; previously at BBB(EXP)sf Class E; LT BBB-sf New Rating; previously at BBB-(EXP)sf Class F; LT BB-sf New Rating; previously at BB-(EXP)sf Class GRR; LT B-sf New Rating; previously at B-(EXP)sf Class JRR; LT NRsf New Rating; previously at NR(EXP)sf Class VRR; LT NRsf New Rating; previously at NR(EXP)sf Class X-A; LT AAAsf New Rating; previously at AAA(EXP)sf Class X-B; LT A-sf New Rating; previously at A-(EXP)sf Class X-D; LT BBB-sf New Rating; previously at BBB-(EXP)sf Class X-F; LT BB-sf New Rating; previously at BB-(EXP)sf Since Fitch published its expected ratings on Jan. 20, 2020, the balances for class A-4 and class A-5 were finalized. At the time that the expected ratings were assigned, the exact initial certificate balances of class A-4 and class A-5 were unknown and expected to be approximately $681,855,000 in aggregate. The final class balances for class A-4 and class A-5 are $175,000,000 and $506,855,000, respectively. Additionally, the class G-RR certificate balance increased from $9,629,000 to $11,741,000. The classes in the table reflect the final ratings and deal structure. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 46 loans secured by 139 commercial properties having an aggregate principal balance of $1,220,059,491 as of the cut-off date. The loans were contributed to the trust by Citi Real Estate Funding Inc. Goldman Sachs Mortgage Securities and German American Capital Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 74.6% of the properties by balance, cash flow analysis of 85.9% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage: The pool's Fitch LTV of 96.2% is low when compared with the 2019 average of 103.0% for Fitch-rated multiborrower transactions and slightly above the YTD 2020 average of 95.2%.The pool's Fitch debt service coverage ratio (DSCR) of 1.28x is slightly higher than the 2019 average of 1.26x and lower than the YTD 2020 average of 1.32x. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.21x and 112.5%, respectively. Credit Opinion Loans: Eight loans representing 36.2% of the pool by balance have investment-grade credit opinions. 650 Madison Avenue (9.4% of the pool by balance) received a standalone credit opinion of 'BBB-sf', 1633 Broadway (9.0%) received a standalone credit opinion of 'BBB-sf' , Southcenter Mall (4.8%) received a standalone credit opinion of 'AAAsf', CBM Portfolio (4.1%) received a standalone credit opinion of 'BBB-sf', 805 3rd Avenue (3.7%) received a standalone credit opinion of 'BBB-sf', Parkmerced (2.3%) received a standalone credit opinion of 'BBB+sf', The Bellagio (1.6%) received a standalone credit opinion of 'BBB-sf' and 510 East 14th Street (1.2%) received a standalone credit opinion of 'BBB-sf'. Concentrated Pool: The top-10 loans total 49.8% of the pool, which is lower than the average of 51.0% for 2019 but higher than the YTD 2020 average of 42.1%. The pool's loan concentration index (LCI) is 383 and the Sponsor Concentration Index (SCI) is 384. Both metrics are higher than the respective averages of 298 and 298 as of YTD 2020. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 19.9% 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 CGCMT 2020-GC46 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 'BBB-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 'BBBsf' could result. DBJPM MORTGAGE 2016-C1: Fitch Affirms B- Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings affirmed 16 classes of DBJPM 2016-C1 Mortgage Trust commercial mortgage pass-through certificates, series 2016-C1. Fitch has also maintained the Negative Rating Outlooks on three classes. RATING ACTIONS DBJPM 2016-C1 Class A-1 23312LAN8; LT AAAsf Affirmed; previously at AAAsf Class A-2 23312LAP3; LT AAAsf Affirmed; previously at AAAsf Class A-3A 23312LAR9; LT AAAsf Affirmed; previously at AAAsf Class A-3B 23312LAA6; LT AAAsf Affirmed; previously at AAAsf Class A-4 23312LAS7; LT AAAsf Affirmed; previously at AAAsf Class A-M 23312LAT5; LT AAAsf Affirmed; previously at AAAsf Class A-SB 23312LAQ1; LT AAAsf Affirmed; previously at AAAsf Class B 23312LAU2; LT AA-sf Affirmed; previously at AA-sf Class C 23312LAV0; LT A-sf Affirmed; previously at A-sf Class D 23312LAG3; LT BBB-sf Affirmed; previously at BBB-sf Class E 23312LAH1; LT BB-sf Affirmed; previously at BB-sf Class F 23312LAJ7; LT B-sf Affirmed; previously at B-sf Class X-A 23312LAW8; LT AAAsf Affirmed; previously at AAAsf Class X-B 23312LAB4; LT A-sf Affirmed; previously at A-sf Class X-C 23312LAC2; LT BBB-sf Affirmed; previously at BBB-sf Class X-D 23312LAD0; LT BB-sf Affirmed; previously at BB-sf KEY RATING DRIVERS Increased Loss Expectations on Fitch Loans of Concern: While overall pool performance remains relatively stable, loss expectations have increased since Fitch's prior rating action due to the transfer of 600 Broadway (4.8% of pool) to special servicing and the declining performance of several Fitch Loans of Concern (FLOCs). Five loans have been designated FLOCs (18%), including four (17%) in the top 15 loans. Specially Serviced Loans/FLOCs: The largest FLOC, 600 Broadway (4.8%), secured by a 77,280 sf retail building in the Soho neighborhood of Manhattan, transferred to special servicing twice during the past year. The loan first transferred in April 2019 and returned to the master servicer in July 2019 after being modified. The modification allowed Abercrombie & Fitch (60.8% NRA) to go dark in exchange for an $8 million go-dark fee and a switch to amortizing loan payments. The loan transferred to the special servicer a second time in December 2019 for a second modification that would allow the borrower to re-tenant the vacant 24-Hour Fitness space. The borrower is currently in negotiations with the prospective tenant to lease approximately 35,000 sf. The property is currently 100% vacant after both 24-Hour Fitness and Abercrombie & Fitch went dark in the spring and summer of 2019, respectively. Despite being 100% vacant, the property is 100% leased with 24-Hour Fitness's lease expiring in December 2023 and Abercrombie & Fitch's lease expiring in May 2028. The other specially serviced loan, Shopko Madison (1%), secured by a 99,101 sf single-tenant retail store in Madison, WI, transferred to special servicing in July 2019 for payment default after Shopko filed Bankruptcy, vacated and ceased rent payments. Per servicer updates, a receiver was appointed, a current appraisal is pending finalization and foreclosure filing is underway. There are no known prospects for the space at this time. The largest non-specially serviced FLOC, Sheraton North Houston (4.8%), secured by a 419 key full service hotel in Houston, TX, was designated a FLOC for underperformance since issuance. The servicer-reported NOI debt service coverage ratio (DSCR) was 1.30x as of the TTM ended September 2019 compared with 1.02x at YE 2018 and 2.71x at issuance. The primary reason for the performance decline is attributed to United Airlines moving their pilot training program to Denver in 2017. Per servicer updates, the airline accounted for an average of 180-200 rooms per night. The borrower is working with other airlines to replace the business. Also, with United's departure, the hotel will have more availability for rooms that command a higher ADR than United's rate of approximately $84 per night. Houston has also struggled recently due to its reliance on the energy markets. Per servicer updates, energy market room nights have been backfilled by consultants such as Deloitte, PWC and Accenture. The second largest non-specially serviced FLOC, Columbus Park Crossing (3.7%), secured by a 638,028 sf regional mall in Columbus, GA, was designated a FLOC for major tenant vacancies. Sears (previously 22.2% NRA) closed its store in March 2017, and Toys R Us (previously 7.7% NRA) vacated in June 2018 after filing for bankruptcy and liquidating. Both were ground lease tenants and accounted for approximately 6.5% of total base rents. Current physical occupancy is 71% as of the July 2019 rent roll, down from 100% at issuance. As a result, servicer-reported NOI DSCR declined to 1.16x as of YTD June 2019 from 1.34x at issuance. Per servicer updates, the borrower is finalizing a letter of intent for the former Toys R Us space (49,000 sf) with rent commencement in July 2020. According to the servicer updates, the borrower is exploring several leasing options for the former Sears space including subdividing and re-leasing portions of the existing two-story building or demolishing the building and constructing new junior anchor and small shop depth spaces. Minimal Change in Credit Enhancement: As of the February 2020 distribution date, the pool's aggregate principal balance has been paid down by 2.7% to $796 million from $818 million at issuance. All original 33 loans remain in the pool. Six loans (34.7% of pool) are full-term interest only. Eleven loans (35%) have a partial-term interest only component, of which 10 have begun to amortize. There are no defeased loans. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario on Columbus Park Crossing (3.7%) and Shopko Madison (1%), which assumed potential outsized losses of 75% on Columbus Park Crossing's maturity balance and 50% on Shopko Madison's current balance, while also factoring in the expected paydown of the transaction from performing loans maturing in 2021. This additional sensitivity scenario took into consideration Columbus Park Crossing's secondary market location, loss of collateral anchor Sears, non-institutional sponsor and lack of updated tenant sales. It also took into consideration Shopko Madison's occupancy concerns after the sole tenant, Shopko, filed for bankruptcy and vacated in the second quarter of 2019. This analysis contributes to the Negative Outlooks on class E, class F and the interest-only class X-D. RATING SENSITIVITIES The Negative Outlooks on class E, class F and the interest-only class X-D reflect concerns with the FLOCs, primarily 600 Broadway, Columbus Park Crossing and Shopko Madison. Rating downgrades are possible should performance of the specially serviced loans and/or non-specially serviced FLOCs deteriorate further. The Stable Outlooks on the remaining classes reflect the stable performance of the majority of the underlying pool and expected continued paydown and increasing credit enhancement from amortization. Rating upgrades, although unlikely in the near term, could occur with improved pool performance and increased credit enhancement from additional paydown and/or defeasance. ESG CONSIDERATIONS DBJPM 2016-C1 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, resulting in a change to the class E, F and X-D Rating Outlooks to Negative from Stable. DEEPHAVEN RESIDENTIAL 2020-1: DBRS Finalizes B(low) on B-2 Debt --------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Notes, Series 2020-1 (the Notes) issued by Deephaven Residential Mortgage Trust 2020-1: -- $260.1 million Class A-1 at AAA (sf) -- $30.2 million Class A-2 at AA (sf) -- $38.1 million Class A-3 at A (high) (sf) -- $35.5 million Class M-1 at BBB (sf) -- $21.2 million Class B-1 at BB (sf) -- $15.5 million Class B-2 at B (low) (sf) The AAA (sf) ratings on the Certificates reflect 36.25% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (high) (sf), BBB (sf), BB (sf), and B (low) (sf) ratings reflect 28.85%, 19.50%, 10.80%, 5.60%, and 1.80% 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 959 mortgage loans with a total principal balance of $407,939,762 as of the Cut-Off Date (February 1, 2020). Around 22.1% of the mortgage pool was originated by Deephaven Mortgage LLC. through its approved brokers. The rest of the pool was originated through originators that comprise less than 5% of the aggregate pool balance. The Servicer of all loans is NewRez LLC doing business as Shellpoint Mortgage Servicing. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) 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, 81.6% of the loans are designated as Non-QM. Approximately 18.4% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal residual interest consisting of the Class B-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 two year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Administrator, at the Issuer's option, may redeem all of the outstanding 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 Seller 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 (high) (sf), BBB (sf), BB (sf), and B (low) (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. Notes: All figures are in U.S. dollars unless otherwise noted. DEEPHAVEN RESIDENTIAL 2020-1: DBRS Gives B(low) Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage-Backed Notes, Series 2020-1 (the Notes) to be issued by Deephaven Residential Mortgage Trust 2020-1: -- $260.1 million Class A-1 at AAA (sf) -- $30.2 million Class A-2 at AA (sf) -- $38.1 million Class A-3 at A (high) (sf) -- $35.5 million Class M-1 at BBB (sf) -- $21.2 million Class B-1 at BB (sf) -- $15.5 million Class B-2 at B (low) (sf) The AAA (sf) ratings on the Certificates reflect 36.25% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (high) (sf), BBB (sf), BB (sf), and B (low) (sf) ratings reflect 28.85%, 19.50%, 10.80%, 5.60%, and 1.80% 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 959 mortgage loans with a total principal balance of $407,939,762 as of the Cut-Off Date1 (February 1, 2020). Around 22.1% of the mortgage pool was originated by Deephaven Mortgage LLC. through its approved brokers. The rest of the pool was originated through originators that comprise less than 5% of the aggregate pool balance. The Servicer of all loans is NewRez LLC doing business as Shellpoint Mortgage Servicing. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) 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, 81.6% of the loans are designated as Non-QM. Approximately 18.4% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal residual interest consisting of the Class B-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 two year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Administrator, at the Issuer's option, may redeem all of the outstanding 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 Seller 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 (high) (sf), BBB (sf), BB (sf), and B (low) (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. Notes: All figures are in U.S. dollars unless otherwise noted. DEEPHAVEN RESIDENTIAL 2020-1: S&P Assigns 'B-' Rating to B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Deephaven Residential Mortgage Trust 2020-1's mortgage-backed notes. The note issuance is an RMBS securitization backed by U.S. residential mortgage loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; and -- The mortgage aggregator. RATINGS ASSIGNED Deephaven Residential Mortgage Trust 2020-1 Class Rating Amount ($) A-1 AAA (sf) 260,061,000 A-2 AA (sf) 30,188,000 A-3 A+ (sf) 38,142,000 M-1 BBB (sf) 35,491,000 B-1 BB (sf) 21,213,000 B-2 B- (sf) 15,501,000 B-3 NR 7,343,761 XS NR Notional(i) A-IO-S NR Notional(i) R NR N/A (i)Notional amount equals the loans' aggregate stated principal balance. NR--Not rated. N/A--Not applicable. FINANCE OF AMERICA 2020-HB1: Moody's Rates Class M4 Debt 'B3' ------------------------------------------------------------- Moody's Investors Service assigned definitive ratings to five classes of residential mortgage-backed securities issued by Finance of America HECM Buyout 2020-HB1. The ratings range from Aaa (sf) to B3 (sf). The definitive rating on Class M2 is higher than the provisional rating assigned because the actual weighted average coupon of all the notes is lower than the assumed weighted average coupon used for assigning the provisional ratings. 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. The complete rating actions are as follows: Issuer: Finance of America HECM Buyout 2020-HB1 Cl. A, Definitive Rating Assigned Aaa (sf) Cl. M1, Definitive Rating Assigned Aa3 (sf) Cl. M2, Definitive Rating Assigned A2 (sf) Cl. M3, Definitive Rating Assigned Baa3 (sf) Cl. M4, Definitive Rating Assigned 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 believed 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 believed 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 believed 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 believed 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 believed 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 believed 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 assumes 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. FIRST FRANKLIN 2006-FF10: Moody's Raises Class A1 Debt to Ba2 ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of 21 tranches from 9 transactions backed by Subprime RMBS, issued by multiple issuers. Complete rating actions are as follows: Issuer: First Franklin Mortgage Loan Trust 2006-FF10 Cl. A1, Upgraded to Ba2 (sf); previously on Oct 16, 2018 Upgraded to B1 (sf) Cl. A5, Upgraded to Baa3 (sf); previously on Oct 16, 2018 Upgraded to Ba2 (sf) Issuer: RASC Series 2005-EMX1 Trust Cl. M-1, Upgraded to Aa2 (sf); previously on Dec 20, 2018 Upgraded to A1 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Jun 21, 2019 Upgraded to Ba3 (sf) Issuer: RASC Series 2005-EMX3 Trust Cl. M-4, Upgraded to Aa3 (sf); previously on Dec 20, 2018 Upgraded to A2 (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF1 Cl. M1, Upgraded to Aa3 (sf); previously on Sep 12, 2018 Upgraded to A1 (sf) Cl. M2, Upgraded to Baa3 (sf); previously on Sep 12, 2018 Upgraded to Ba1 (sf) Cl. M3, Upgraded to Ba2 (sf); previously on Sep 12, 2018 Upgraded to B1 (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF2 Cl. M1, Upgraded to Aa2 (sf); previously on Sep 12, 2018 Upgraded to A1 (sf) Cl. M2, Upgraded to A3 (sf); previously on Sep 12, 2018 Upgraded to Baa2 (sf) Cl. M3, Upgraded to Baa3 (sf); previously on Sep 12, 2018 Upgraded to Ba1 (sf) Cl. M4, Upgraded to Ba2 (sf); previously on Sep 12, 2018 Upgraded to B1 (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF4 Cl. M5, Upgraded to Aaa (sf); previously on Jun 21, 2019 Upgraded to Aa1 (sf) Cl. M6, Upgraded to A2 (sf); previously on Jun 21, 2019 Upgraded to A3 (sf) Cl. M7, Upgraded to Baa3 (sf); previously on Jun 21, 2019 Upgraded to Ba1 (sf) Issuer: Structured Asset Securities Corp Trust 2006-BC6 Cl. A1, Upgraded to Baa1 (sf); previously on Dec 17, 2018 Upgraded to Baa2 (sf) Cl. A4, Upgraded to Aa2 (sf); previously on Dec 17, 2018 Upgraded to A1 (sf) Cl. A5, Upgraded to Baa3 (sf); previously on Dec 17, 2018 Upgraded to Ba1 (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF1 Cl. M4, Upgraded to Aa2 (sf); previously on Jun 21, 2019 Upgraded to A1 (sf) Cl. M5, Upgraded to Baa2 (sf); previously on Jun 21, 2019 Upgraded to Ba1 (sf) Issuer: Structured Asset Securities Corporation Trust 2006-BC5 Cl. A4, Upgraded to A2 (sf); previously on May 9, 2018 Upgraded to Baa1 (sf) RATINGS RATIONALE The rating upgrades are primarily due to an improvement in the performance of the underlying pools and an increase in the credit enhancement available to the bonds. The rating actions also reflect the recent performance of the underlying pools and Moody's updated loss expectations. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in February 2019. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.6% in January 2020 from 4.0% in January 2019. Moody's forecasts an unemployment central range of 3.8% to 4.2% for the 2020 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2020. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. FLAGSHIP CREDIT 2020-1: DBRS Finalizes BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its 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 ratings are based on a review by DBRS Morningstar of the following analytical considerations: (1) DBRS Morningstar examined the 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 transaction has the ability 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) Flagship Credit Acceptance, LLC (Flagship or the Company) benefits from its consistent operational history and the strength of the overall Company and its management team. -- The Flagship senior management team has considerable experience and a successful track record in the auto finance industry. (4) DBRS Morningstar has performed an operational review of Flagship with regard to origination, underwriting, and servicing and considers the entity 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 a chief financial officer (CFO). The Company has begun the search for a replacement CFO. (9) The legal structure and presence of legal opinions that 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, C, D, and 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. FREDDIE MAC 2020-DNA2: DBRS Finalizes B Rating on Class B-1B Notes ------------------------------------------------------------------ DBRS, Inc. finalized the following provisional ratings on the Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes (the Notes) 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 Cutoff 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 nonsenior (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 nonsenior 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 nonsenior tranches will also be entitled to the 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 with 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. GREYWOLF CLO III: S&P Assigns Prelim B-(sf) Rating to Cl. ER Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class X-R, A-1R, A-2R, BR, CR, DR, and ER notes from Greywolf CLO III Ltd. (Re-Issue), a collateralized loan obligation (CLO) originally issued in April 2014, refinanced in July 2017, and then reissued in October 2018. This is a proposed refinancing of the October 2018 reissuance. The preliminary ratings are based on information as of Feb. 21, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 5, 2020, refinancing date, proceeds from the issuance of the replacement notes are expected to redeem the outstanding notes from Greywolf CLO III Ltd. (Re-Issue). At that time, S&P anticipates withdrawing the ratings on the outstanding notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the outstanding notes and withdraw its preliminary ratings on the replacement notes. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels," S&P said. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary," the rating agency said. PRELIMINARY RATINGS ASSIGNED Greywolf CLO III Ltd./Greywolf CLO III LLC (Reissue/Refinancing And Extension) Replacement class Rating Amount (mil. $) X-R AAA (sf) 5.85 A-1R AAA (sf) 320.00 A-2R AA (sf) 53.70 BR (deferrable) A (sf) 36.30 CR (deferrable) BBB- (sf) 27.50 DR (deferrable) BB- (sf) 21.90 ER (deferrable) B- (sf) 9.20 Subordinated notes NR 56.70 NR--Not rated. GS MORTGAGE 2013-G1: Fitch Affirms BBsf Rating on Class DM Debt --------------------------------------------------------------- Fitch Ratings affirmed seven classes of GS Mortgage Securities Trust series 2013-G1. RATING ACTIONS GSMS 2013-G1 Class A-1 36197QAA7; LT AAAsf Affirmed; previously at AAAsf Class A-2 36197QAC3; LT AAAsf Affirmed; previously at AAAsf Class B 36197QAG4; LT AAsf Affirmed; previously at AAsf Class C 36197QAJ8; LT Asf Affirmed; previously at Asf Class D 36197QAL3; LT BBBsf Affirmed; previously at BBBsf Class DM 36197QAN9; LT BBsf Affirmed; previously at BBsf Class X-A 36197QAE9; LT AAAsf Affirmed; previously at AAAsf KEY RATING DRIVERS Stable Cash Flow: The underlying collateral is a pool of three regional malls located in three distinct markets: Great Lakes Crossing Outlets (Auburn Hills, MI), Deptford Mall (Deptford, NJ) and Katy Mills Mall (Katy, TX). All three malls have showed improvements in property level cash flows despite fluctuating sales trends and occupancy over the last several years. Property revenue, operating expenses and capital expenditures were normalized to reflect sustainable performance. Retail Market Concerns: Fitch's concerns regarding the retail sector remain heightened given the health of retail sales, the impact of e-commerce on traditional retailing, and the growing number of store closures as a result of both bankruptcy and business rationalization. The long-term survival of Sears and JCPenney and other department stores remains in question. While JCPenney and Macy's have announced store closings, none of the affected locations are at the subject properties. Sears (non-collateral) terminated its lease in January 2019, prior to its 2026 lease expiration at the Deptford Mall. The Forever 21 stores at both Great Lakes Crossing Outlets and Deptford Mall are also slated to be closed. A partnership between Simon Property Group, Brookfield Property Partners and Authentic Brands is seeking approval to purchase the Forever 21 brand, and it is unclear whether this acquisition will impact store closures. Fitch increased the vacancy adjustment for all three assets in its modeling to reflect potential occupancy declines related to announced store closures and upcoming lease rollover. Concentration: The transaction is secured by three single asset loans, and therefore, is more susceptible to event risk related to the respective markets, sponsors, or largest tenants occupying the properties. Experienced Ownership and Management: All three loans are sponsored by large national real estate investment trusts (REITs) focused on regional and super-regional shopping centers. The Great Lakes Crossing Outlets loan sponsor is Taubman Centers, Inc.. Simon Property Group recently announced its acquisition of Taubman, with closing expected in mid-2020. The Deptford Mall loan is sponsored by The Macerich Partnership, L.P. The Katy Mills Mall loan is sponsored by a joint venture between Simon Property Trust (SPT) and Kan Am USA. The Fitch weighted-average DSCR and LTV for the assets is 1.47x and 61.5%, respectively. The Fitch weighted-average debt yield is 14.1%. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Future upgrades are unlikely given Fitch's concerns with overall regional mall performance but are possible with significant sales and cash flow improvements. Conversely, downgrades would be considered should property performance decline materially. GS MORTGAGE 2018-GS9: Fitch Affirms B-sf Rating on Cl. F-RR Certs ----------------------------------------------------------------- Fitch Ratings affirmed 14 classes of GS Mortgage Securities Trust 2018-GS9 commercial mortgage pass-through certificates. RATING ACTIONS GSMS 2018-GS9 Class A-1 36255NAQ8; LT AAAsf Affirmed; previously at AAAsf Class A-2 36255NAR6; LT AAAsf Affirmed; previously at AAAsf Class A-3 36255NAS4; LT AAAsf Affirmed; previously at AAAsf Class A-4 36255NAT2; LT AAAsf Affirmed; previously at AAAsf Class A-AB 36255NAU9; LT AAAsf Affirmed; previously at AAAsf Class A-S 36255NAX3; LT AAAsf Affirmed; previously at AAAsf Class B 36255NAY1; LT AA-sf Affirmed; previously at AA-sf Class C 36255NAZ8; LT A-sf Affirmed; previously at A-sf Class D 36255NAA3; LT BBB-sf Affirmed; previously at BBB-sf Class E 36255NAE5; LT BB-sf Affirmed; previously at BB-sf Class F-RR 36255NAG0; LT B-sf Affirmed; previously at B-sf Class X-A 36255NAV7; LT AAAsf Affirmed; previously at AAAsf Class X-B 36255NAW5; LT AA-sf Affirmed; previously at AA-sf Class X-D 36255NAC9; LT BBB-sf Affirmed; previously at BBB-sf KEY RATING DRIVERS Stable Loss Expectations: The pool continues to exhibit stable performance since issuance. No loans have transferred to special servicing since issuance. Fitch has designated one loan, Cross County Shopping Center (0.8% of the pool), as a Fitch Loan of Concern due to declining occupancy. The loan is secured by a 50,857 sf retail center located in West Palm Beach, FL. Per the master servicer, Big Lots (previously, 46.5% of the NRA) vacated at lease expiration in January 2020. Property occupancy has declined to 46.5% from 93% at September 2019 and 100% at YE 2018. With the loss of Big Lots, NOI debt service coverage ratio is expected to decline below 1.0x, from 1.41x as of September 2019 and 2.24x at YE 2018. Minimal Change to Credit Enhancement: As of the February 2020 remittance, the pool's aggregate balance has only paid down by 0.47%. No loans are defeased. Fourteen loans (59.1% of the pool) are full-term, interest-only, including 11 loans (54.6%) in the top 15. Fourteen loans (26.4%) had partial interest-only periods at issuance, including three loans (16.9%) in the top 15; three of these loans (3.6%) have exited their interest-only periods and are now amortizing. Based on the scheduled balance at maturity, the pool is only expected to pay down by 5.9%. Investment Grade Credit Opinion Loans: Four loans in the top 15 (21.8% of the pool) received investment-grade credit opinions at issuance. Apple Campus (7.7%), Twelve Oaks Mall (7.4%), Worldwide Plaza (3.3%) and Starwood Lodging Hotel Portfolio (2.8%) received investment-grade credit opinions of 'BBB-sf', 'BBB-sf', 'BBB+sf' and 'A+sf', respectively, at issuance. Anticipated Repayment Date Loans: Three loans, including the two largest loans in the pool (Marina Heights State Farm (8.2% of the pool) and Apple Campus 3 (7.7%)), have anticipated repayments dates (ARD). Should Apple Campus 3 not pay off by its ARD date, then the interest rate will increase by 150 bps, with all cash flow swept and applied to the hyperamortization of the loan. RATING SENSITIVITIES The Stable Outlooks reflect the continued stable performance of the underlying pool collateral. 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. GULF STREAM 1: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Gulf Stream Meridian 1 Ltd./Gulf Stream Meridian 1 LLC's floating-rate notes. The note issuance is a CLO securitization backed by a diversified collateral pool, which consists primarily of broadly syndicated, speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The legal structure of the transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Gulf Stream Meridian 1 Ltd./Gulf Stream Meridian 1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 352.00 A-2 NR 16.50 B AA (sf) 49.50 C (deferrable) A (sf) 33.00 D (deferrable) BBB- (sf) 30.25 E (deferrable) BB- (sf) 22.00 Subordinated notes NR 51.18 NR--Not rated. JP MORGAN 2020-INV1: DBRS Assigns B(high) Rating on 2 Classes ------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-INV1 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2020-INV1: -- $422.3 million Class A-1 at AAA (sf) -- $384.0 million Class A-2 at AAA (sf) -- $291.8 million Class A-3 at AAA (sf) -- $291.8 million Class A-3-A at AAA (sf) -- $291.8 million Class A-3-X at AAA (sf) -- $218.9 million Class A-4 at AAA (sf) -- $218.9 million Class A-4-A at AAA (sf) -- $218.9 million Class A-4-X at AAA (sf) -- $73.0 million Class A-5 at AAA (sf) -- $73.0 million Class A-5-A at AAA (sf) -- $73.0 million Class A-5-X at AAA (sf) -- $182.5 million Class A-6 at AAA (sf) -- $182.5 million Class A-6-A at AAA (sf) -- $182.5 million Class A-6-X at AAA (sf) -- $109.3 million Class A-7 at AAA (sf) -- $109.3 million Class A-7-A at AAA (sf) -- $109.3 million Class A-7-X at AAA (sf) -- $36.4 million Class A-8 at AAA (sf) -- $36.4 million Class A-8-A at AAA (sf) -- $36.4 million Class A-8-X at AAA (sf) -- $49.6 million Class A-9 at AAA (sf) -- $49.6 million Class A-9-A at AAA (sf) -- $49.6 million Class A-9-X at AAA (sf) -- $23.3 million Class A-10 at AAA (sf) -- $23.3 million Class A-10-A at AAA (sf) -- $23.3 million Class A-10-X at AAA (sf) -- $92.1 million Class A-11 at AAA (sf) -- $92.1 million Class A-11-X at AAA (sf) -- $92.1 million Class A-12 at AAA (sf) -- $92.1 million Class A-13 at AAA (sf) -- $38.4 million Class A-14 at AAA (sf) -- $38.4 million Class A-15 at AAA (sf) -- $321.0 million Class A-16 at AAA (sf) -- $101.4 million Class A-17 at AAA (sf) -- $422.3 million Class A-X-1 at AAA (sf) -- $422.3 million Class A-X-2 at AAA (sf) -- $92.1 million Class A-X-3 at AAA (sf) -- $38.4 million Class A-X-4 at AAA (sf) -- $19.7 million Class B-1 at AA (low) (sf) -- $19.7 million Class B-1-A at AA (low) (sf) -- $19.7 million Class B-1-X at AA (low) (sf) -- $12.7 million Class B-2 at A (low) (sf) -- $12.7 million Class B-2-A at A (low) (sf) -- $12.7 million Class B-2-X at A (low) (sf) -- $9.8 million Class B-3 at BBB (low) (sf) -- $9.8 million Class B-3-A at BBB (low) (sf) -- $9.8 million Class B-3-X at BBB (low) (sf) -- $6.2 million Class B-4 at BB (sf) -- $1.9 million Class B-5 at B (high) (sf) -- $42.2 million Class B-X at BBB (low) (sf) -- $1.9 million Class B-5-Y at B (high) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, and B-X are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13, A-14, A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, and B-5-Y are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-12, and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) rating on the Certificates reflects 12.00% of credit enhancement provided by subordinated notes in the pool. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (high) (sf) ratings reflect 7.90%, 5.25%, 3.20%, 1.90%, and 1.50% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien, fixed-rate investment-property residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,320 loans with a total principal balance of $479,967,349 as of the Cut-Off Date (February 1, 2020). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of up to 30 years. Approximately 98.0% of loans are conforming mortgages made to investors for business or commercial purposes. Consequently, most of the pool (72.5%) is not subject to the Qualified Mortgage and Ability-to-Repay rules. In addition, 38 borrowers have multiple mortgages (82 loans in total) included in the securitized portfolio. About 98.0% of the mortgage loans in the portfolio were eligible for purchase by Fannie Mae or Freddie Mac. Details on the underwriting of loans can be found in the Key Probability of Default Drivers section in the related presale report. The originators for the aggregate mortgage pool are United Shore Financial Services, LLC d/b/a United Wholesale Mortgage and Shore Mortgage (48.2%), AmeriHome Mortgage Company, LLC (28.8%), JPMorgan Chase Bank, N.A. (JPMCB; 12.6%), and various other originators, each comprising less than 2.1% of the mortgage loans. Approximately 1.06% of the loans sold to the mortgage loan seller were acquired by MAXEX Clearing LLC, which purchased such loans from the related originators or an unaffiliated third party that directly or indirectly purchased such loans from the related originators. The mortgage loans will be serviced or sub-serviced by Cenlar FSB (77.0%), JPMCB (12.6%), NewRez LLC d/b/a Shellpoint Mortgage Servicing (SMS; 9.0%), and Quicken Loans, Inc. (1.4%). Servicing will be transferred from SMS to JPMCB (rated AA with a Stable trend by DBRS Morningstar) on the servicing transfer date (April 1, 2020, or a later date) as determined by the issuing entity and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by JPMCB and SMS (which will be subsequently serviced by JPMCB), is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator and Delaware Trustee, JPMCB, and Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as Custodians. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) Reviewer. The Seller intends to retain (directly or through a majority-owned affiliate) a vertical interest in 5% of the principal amount or notional amount of all the senior and subordinate certificates to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, and satisfactory third-party due diligence review, structural enhancements, a stronger servicer, and 100%-current loans. This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, knowledge qualifiers, and some R&W providers that may experience financial stress that could result in the inability to fulfill repurchase obligations. DBRS Morningstar perceives the framework as more limiting than traditional lifetime R&W standards in certain DBRS Morningstar-rated securitizations. To capture the perceived weaknesses in the R&W framework, DBRS Morningstar reduced certain originator scores in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2020-INV1: Moody's Assigns (P)B3 Ratings on 2 Tranches ---------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to 34 classes of residential mortgage-backed securities issued by J.P. Morgan Mortgage Trust 2020-INV1. The ratings range from (P)Aaa (sf) to (P)B3 (sf). JPMMT 2020-INV1 is the first JPMMT transaction of 2020 backed by 100% investment property loans. The certificates are backed by 1,320 predominantly 30-year term, fully-amortizing, fixed-rate investment property mortgage loans with a total balance of $479,967,349 as of the February 1, 2020 cut-off date. Similar to prior JPMMT transactions, JPMMT 2020-INV1 includes GSE-eligible mortgage loans (97.98% by loan balance) mostly originated by United Shore Financial Services, LLC d/b/a United Wholesale Mortgage and Shore Mortgage, AmeriHome Mortgage Company, LLC and JPMorgan Chase Bank, National Association underwritten to the government sponsored enterprises guidelines. The remaining 2.02% is comprised of prime jumbo non-conforming investor mortgages purchased by J.P. Morgan Mortgage Acquisition Corp., sponsor and mortgage loan seller, from various originators and aggregators. United Shore, AmeriHome and JPMCB originated 48.17%, 28.79% and 12.63% of the mortgage pool, respectively. All other originators comprise of less than 5% of the mortgage pool. United Shore, JPMCB, NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) Quicken Loans Inc. (Quicken), and AmeriHome are the servicers. Shellpoint will act as interim servicer for the JPMCB mortgage loans until the servicing transfer date, which is expected to occur on or about April 1, 2020. After the servicing transfer date, these mortgage loans will be serviced by JPMCB. With respect to the mortgage loans serviced by United Shore and AmeriHome, Cenlar FSB will be the subservicer. The servicing fee for loans serviced by JPMCB, Shellpoint and United Shore will be based on a step-up incentive fee structure with a monthly base fee of $40 per loan and additional fees for delinquent or defaulted loans. All other servicers will be paid a monthly flat servicing fee equal to one-twelfth of 0.25% of the remaining principal balance of the mortgage loans. Nationstar Mortgage LLC (Nationstar, Nationstar Mortgage Holdings Inc. rated B2) will be the master servicer and Citibank, National Association (Citibank) will be the securities administrator and Delaware trustee. Pentalpha Surveillance LLC will be the representations and warranties breach reviewer. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure that benefits from senior and subordination floors. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2020-INV1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-A, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4-A, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-A, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6-A, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-A, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-8-A, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-9-A, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-10-A, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aa1 (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2-A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-3-A, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. B-5-Y, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 1.26% and reaches 9.99% at a stress level consistent with its Aaa ratings. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality, and the financial strength of the representation & warranty (R&W) providers. Collateral Description The JPMMT 2020-INV1 transaction is a securitization of 1,320 investment property mortgage loans secured by fixed rate, first liens on one-to-four family residential investment properties, planned unit developments, condominiums and townhouses with an unpaid principal balance of $479,967,349. With the exception of personal-use loans and the prime jumbo non-conforming, all other mortgage loans in the pool are not subject to TILA (72.48%) because each such mortgage loan is an extension of credit primarily for a business purpose and is not a "covered transaction" as defined in Section 1026.43(b)(1) of Regulation Z. All the personal-use loans are "qualified mortgages" under Regulation Z as result of the temporary provision allowing qualified mortgage status for loans eligible for purchase, guaranty, or insurance by Fannie Mae and Freddie Mac (and certain other federal agencies). The sponsor, directly or through a majority-owned affiliate, intends to retain an eligible vertical residual interest with a fair value of at least 5% of the aggregate fair value of the notes issued by the trust. Such retained classes may be held in the form of one or more exchangeable certificates. All the loans have a 20-year (5 loans or 0.26% of UPB), 21-year (1 loan or 0.09% of UPB) 25-year (1 loan or 0.07% of UPB) or a 30-year original term (1,313 loans or 99.57% of UPB). The weighted average (WA) seasoning of the mortgage pool is 2.68 months. The loans have strong borrower characteristics with a WA original primary borrower FICO score of 761 and a WA original combined loan-to-value ratio (CLTV) of 67.6%. In addition, 27.0% of the borrowers are self-employed and refinance loans comprise about 56.0% of the aggregate pool. The pool has a high geographic concentration with 48.1% of the aggregate pool located in California, with 19.0% located in the Los Angeles-Long Beach-Anaheim, CA MSA and 7.5% located in San Francisco-Oakland-Hayward, CA MSA. The characteristics of the loans underlying the pool are generally comparable to other recent prime RMBS transactions backed primarily by 100% investment property 30-year mortgage loans that Moody's has rated. Aggregation/Origination Quality Moody's considers JPMMAC's aggregation platform to be adequate and Moody's did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing JPMMAC as an aggregator, Moody's has also reviewed the originator(s) contributing a significant percentage of the collateral pool (above 10%). With two exceptions noted, Moody's did not make an adjustment for GSE-eligible loans, regardless of the originator, since those loans were underwritten in accordance with GSE guidelines. Moody's applied an adjustment to the loss levels for loans originated by Home Point Financial Corporation (0.86% by balance) due to limited historical performance data, reduced retail footprints which will limit the seller's oversight on originations and lack of strong controls to support recent rapid growth. Furthermore, Quicken (1.42% by balance) has a higher percentage of early payment defaults than its peers based on the Fannie Mae and Freddie Mac database. Moody's applied an adjustment to the loss levels for loans originated by Quicken due to the relatively worse performance of their agency-eligible investment property mortgage loans compared to similar loans from other originators in the Freddie Mac and Fannie Mae database. Servicing Arrangement Moody's considers the overall servicing arrangement for this pool to be adequate given the strong servicing arrangement of the servicers, as well as the presence of a strong master servicer to oversee the servicers. The servicers are contractually obligated to the issuing entity to service the related mortgage loans. In this transaction, Nationstar Mortgage LLC (Nationstar Mortgage Holdings Inc. rated B2) will act as the master servicer. The servicers are required to advance principal and interest on the mortgage loans. To the extent that the servicers are unable to do so, the master servicer will be obligated to make such advances. In the event that the master servicer, Nationstar, is unable to make such advances, the securities administrator, Citibank (rated Aa3) will be obligated to do so to the extent such advance is determined by the securities administrator to be recoverable. Servicing Fee Framework The servicing fee for loans serviced by JPMCB, Shellpoint (prior to the servicing transfer date) and United Shore will be based on a step-up incentive fee structure with a monthly base fee of $40 per loan and additional fees for servicing delinquent and defaulted loans. The incentive structure includes an initial monthly base servicing fee of $40 for all performing loans and increases according to a pre-determined delinquent and incentive servicing fee schedule. The delinquent and incentive servicing fees will be deducted from the available distribution amount and Class B-6 net WAC. The other servicers, Quicken and AmeriHome, will be paid a monthly flat servicing fee equal to one-twelfth of 0.25% of the remaining principal balance of the mortgage loans. Shellpoint will act as interim servicer for the JPMCB mortgage loans until the servicing transfer date, April 1, 2020 or such later date as determined by the issuing entity and JPMCB. The servicing fee framework is comparable to other recent JPMMT transactions backed by prime mortgage loans that Moody's has rated. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The servicer receives higher fees for labor-intensive activities that are associated with servicing delinquent loans, including loss mitigation, than they receive for servicing a performing loan, which is less labor-intensive. The fee-for-service compensation is reasonable and adequate for this transaction because it better aligns the servicer's costs with the deal's performance. Furthermore, higher fees for the more labor-intensive tasks make the transfer of these loans to another servicer easier, should that become necessary. By contrast, in typical RMBS transactions a servicer can take actions, such as modifications and prolonged workouts, that increase the value of its mortgage servicing rights. The transaction does not have a servicing fee cap, so, in the event of a servicer replacement, any increase in the base servicing fee beyond the current fee will be paid out of the available distribution amount. Third-Party Review Three third party review firms, AMC Diligence, LLC, Inglet Blair, LLC and Opus Capital Markets Consultants, LLC (collectively, TPR firms) verified the accuracy of the loan-level information that Moody's received from the sponsor. These firms conducted detailed credit, valuation, regulatory compliance and data integrity reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for majority of loans, no material compliance issues, and no appraisal defects. Overall, the loans that had exceptions to the originators' underwriting guidelines had strong documented compensating factors such as low DTIs, low LTVs, high reserves, high FICOs, or clean payment histories. The TPR firms also identified minor compliance exceptions for reasons such as inadequate RESPA disclosures (which do not have assignee liability) but then were cured and disclosed. Moody's did not make any adjustments to its credit enhancement for credit quality or regulatory compliance issues. Furthermore, the property valuation review consisted of reviewing the valuation materials utilized at origination to ensure the appraisal report was complete and in conformity with the underwriting guidelines. The TPR firms also compared third-party valuation products to the original appraised value to identify a value variance. The property valuation portion of the TPR was conducted using, among other third-party valuation methods, a field review, a third-party collateral desk appraisal (CDA), broker price opinion (BPO), automated valuation model (AVM) or a Collateral Underwriter (CU) risk score. While the TPR secondary third-party valuation product results generally substantiated the original valuations, certain loans had secondary valuation review which were performed using AVMs only. Moody's took this framework into consideration (Moody's considers AVM valuations to be less accurate than desk reviews and field reviews) but did not apply a loan level adjustment to the loss for such loans, since the sample size and valuation result of the loans that were reviewed using a CDA or a field review (a more accurate third-party valuation product) and a CU risk score less than or equal to 2.5 (applicable to GSE-eligible loans only) were sufficient. R&W Framework JPMMT 2020-INV1's R&W framework is in line with that of other JPMMT transactions where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Its review of the R&W framework considers the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. The R&W providers vary in financial strength. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. An investment grade rated R&W provider lends substantial strength to its R&Ws. Moody's analyzes the impact of less creditworthy R&W providers case by case, in conjunction with other aspects of the transaction. Moody's made no adjustments to the loans for which JPMCB (Aa2), its affiliate, JPMMAC provided R&Ws since they are highly rated and/or financially stable entities. Furthermore, the R&W provider, Quicken, is rated Ba1, has a strong credit profile and is a financially stable entity. However, Moody's applied an adjustment to ist expected losses to account for the risk that Quicken may be unable to repurchase defective loans in a stressed economic environment in which a substantial portion of the loans breach the R&Ws, given that it is a non-bank entity with a monoline business (mortgage origination and servicing) that is highly correlated with the economy. Moody's tempered this adjustment by taking into account Quicken's relative financial strength and the strong TPR results which suggest a lower probability that poorly performing mortgage loans will be found defective following review by the independent reviewer. In contrast, the rest of the R&W providers are unrated and/or financially weaker entities. Moody's applied an adjustment to the loans for which these entities provided R&Ws. JPMMAC will make the mortgage loan representations and warranties with respect to mortgage loans originated by certain originators (27 loans or approx. 2.19% by loan balance). For loans that JPMMAC acquired via the MAXEX Clearing LLC (MaxEx) platform, MaxEx under the assignment, assumption and recognition agreement with JPMMAC, will make the R&Ws. The R&Ws provided by MaxEx to JPMMAC and assigned to the trust are in line with the R&Ws found in other JPMMT transactions. No other party will backstop or be responsible for backstopping any R&W providers who may become financially incapable of repurchasing mortgage loans. With respect to the mortgage loan R&Ws made by such originators or the aggregator, as applicable, as of a date prior to the closing date, JPMMAC will make a "gap" representation covering the period from the date as of which such R&W is made by such originator or the aggregator, as applicable, to the cut-off date or closing date, as applicable. Additionally, no party will be required to repurchase or substitute any mortgage loan until such loan has gone through the review process. Trustee and Master Servicer The transaction Delaware trustee is Citibank. The custodian's functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Citibank. Nationstar, as master servicer, is responsible for servicer oversight, servicer termination and for the appointment of any successor servicer. In addition, Nationstar is committed to act as successor if no other successor servicer can be found. The master servicer is required to advance principal and interest if the servicer fails to do so. If the master servicer fails to make the required advance, the securities administrator is obligated to make such advance. Tail Risk & Subordination Floor 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 0.85% of the closing pool balance, and a subordination lock-out amount of 0.75% of the closing pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to its methodology. In addition, until the aggregate class principal amount of the senior certificates (other than the interest only certificates) is reduced to zero, if on any distribution date, the aggregate subordinate percentage for such distribution date drops below 12.00% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. Transaction Structure The transaction has a shifting interest structure in which the senior bonds benefit from a number of protections. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next, principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate write-down amounts for the senior bonds (after subordinate bond have been reduced to zero i.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balance of the subordinate bonds is written off, losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds. In addition, the pass-through rate on the bonds (other than the Class A-R Certificates) is based on the net WAC as reduced by the sum of (i) the reviewer annual fee rate and (ii) the capped trust expense rate. In the event that there is a small number of loans remaining, the last outstanding bonds' rate can be reduced to zero. The Class A-11 Certificates will have a pass-through rate that will vary directly with the rate of one-month LIBOR and the Class A-11-X Certificates will have a pass-through rate that will vary inversely with the rate of one-month LIBOR. The floating rate note coupons reference LIBOR which is earmarked for withdrawal after 2021. Intending to facilitate transition to an alternative reference rate, the transaction documents incorporate fallback language addressing both the timing of transition and the choice of alternative reference rate. The fallback language is generally consistent with the Federal Reserve's Alternative Reference Rates Committee (ARRC) template language, published on May 31, 2019. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in October 2019. LB-UBS COMMERCIAL 2007-C6: Moody's Lowers Class C Certs to Caa3 --------------------------------------------------------------- Moody's Investors Service affirmed the ratings on eight classes and downgraded the ratings on two classes in LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mortgage Pass-Through Certificates, Series 2007-C6, as follows: Cl. A-J, Affirmed B2 (sf); previously on Jan 11, 2019 Affirmed B2 (sf) Cl. B, Affirmed Caa1 (sf); previously on Jan 11, 2019 Affirmed Caa1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Jan 11, 2019 Affirmed Caa2 (sf) Cl. D, Downgraded to C (sf); previously on Jan 11, 2019 Affirmed Caa3 (sf) Cl. E, Affirmed C (sf); previously on Jan 11, 2019 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Jan 11, 2019 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Jan 11, 2019 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Jan 11, 2019 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Jan 11, 2019 Affirmed C (sf) Cl. X*, Affirmed C (sf); previously on Jan 11, 2019 Affirmed C (sf) *Reflects Interest-Only Class RATINGS RATIONALE The ratings on two P&I classes A-J and B 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 (Herf), are within acceptable ranges. The ratings on two P&I classes C and D were downgraded due to anticipated losses from specially serviced and troubled loans. The ratings on five P&I classes E through J were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on the IO class X was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 56.0% of the current pooled balance, compared to 49.4% at Moody's last review. Moody's base expected loss plus realized losses is now 12.9% of the original pooled balance, compared to 13.0% 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 rating all classes except the interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only classes were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 72% of the pool is in special servicing and Moody's has identified additional troubled loans representing 3% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the February 18, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 88% to $365 million from $2.98 billion at securitization. The certificates are collateralized by 50 mortgage loans ranging in size from less than 1% to 53% of the pool, with the top ten exposures (excluding defeasance) constituting 99% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of three, the same as at Moody's last review. Three loans, constituting 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $178.6 million (for an average loss severity of 35%). Forty-six loans, constituting 72% of the pool, are currently in special servicing. The largest specially serviced exposures are the PECO Portfolio Loans ($193.5 million -- 53.0% of the pool), which are currently secured by 10 cross-collateralized and cross-defaulted loans across six states. The portfolio was originally secured by 39 properties across 13 states but 29 have since been liquidated. The average property size is currently 114,000 SF with no individual asset representing more than 16% of the total square footage (SF). The loans transferred to special servicing in August 2012 due to imminent default and have become became real-estate owned (REO) as of March 2015. The second largest specially serviced loan is the Lakeland Town Center Loan ($25.1 million -- 6.9% of the pool), which is secured by a 304,000 SF grocery-anchored retail center in Lakeland, Florida. The property was 50% leased as of March 2019 compared to 57% in September 2018 and 89% at securitization. The loan transferred to special servicing in October 2016 for imminent default and became REO in January 2020. The third largest specially serviced loan is the Hickory Grove Loan ($13.1 million -- 3.6% of the pool), which is secured by a 232,540 total SF retail property located in Cleveland, Tennessee. The loan transferred to special servicing in July 2017 for maturity default and became REO in June 2018. The property was 100% leased in September 2019 compared to 96% at securitization. The special servicer indicated that the property is in value-add mode with no current disposition plans. The remaining five specially serviced loans are secured by a mix of property types. Moody's has also assumed a high default probability for one poorly performing loan, constituting 2.8% of the pool, and has estimated an aggregate loss of $195 million (a 71% expected loss on average) from these specially serviced and troubled loans. As of the February 18, 2020 remittance statement cumulative interest shortfalls totaled $33.2 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. The three remaining performing loans represent 25.0% of the pool balance. The largest performing loan is the Islandia Shopping Center -- A Note Loan ($58.7 million -- 16.1% of the pool), which is secured by a 377,000 SF anchored retail center located in Islandia, New York. The property is anchored by Walmart and Stop & Shop. The property was 97% leased as of September 2019 compared to 96% in September 2018 and 95% in September 2017. A modification to the original loan in 2014 included an A/B note split and created a $10.1 million B note. Moody's identified the B note as a troubled loan and assumed a significant loss. The loan has amortized by more than 20% and Moody's A Note LTV and stressed DSCR are 124% and 0.74X, respectively. The second largest loan is the Portsmouth Station Shopping Center Loan ($19.0 million -- 5.2% of the pool), which is secured by a 147,000 SF anchored retail shopping center in Manassas, Virginia. The property was 63% leased as of September 2019 compared to 94% in September 2018 and 99% at securitization. The property's former largest tenant, Toys R Us (31% of the NRA), vacated in 2018 as part of its bankruptcy. The space has since been leased to a regional furniture store with a lease expiring in February 2030. The new tenant took possession of the space in January 2019 and opened for business in October 2019. The loan has amortized 9% and Moody's LTV and stressed DSCR are 127% and 0.79X, respectively. The third largest loan is the Tower Square Retail Loan ($13.6 million -- 3.7% of the pool), which is secured by a 71,000 SF shadow-anchored retail center in Eden Prairie, Minnesota. The property is located across the street from a Walmart Supercenter and is shadow-anchored by a Target. As of September 2019, the property was 82% leased compared to 83% in December 2018 and 100% at securitization. The borrower has signed a new tenant in November 2019 bringing occupancy up to 88% and they are actively marketing the remaining three vacant spaces. This loan has amortized 9% since securitization and Moody's LTV and stressed DSCR are 118% and 0.89X, respectively. LCM XXIII: S&P Affirms BB (sf) Rating on Class D Notes ------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, and C-R replacement notes from LCM XXIII Ltd., a U.S. CLO transaction managed by LCM Asset Management. S&P withdrew its ratings on the original class A-1, A-2, B, and C notes from this transaction following payment in full on the Feb. 26, 2020, refinancing date. At the same time, S&P affirmed its ratings on the class D notes. On the Feb. 26, 2020, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, and C-R replacement note issuances were used to redeem the original class A-1, A-2, B, and C notes as outlined in the transaction document provisions. The replacement notes are being issued via a supplemental indenture. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. The class D notes are not affected by the changes in the supplemental indenture. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels," S&P said. "We will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary," the rating agency said. RATINGS ASSIGNED LCM XXIII Ltd. Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 252.25 A-2-R AA (sf) 47.75 B-R A (sf) 32.00 C-R BBB (sf) 20.00 Subordinated notes NR N/A RATINGS WITHDRAWN LCM XXIII Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB (sf) RATINGS AFFIRMED LCM XXIII Ltd. Class Rating D BB (sf) NR--Not rated. N/A--Not applicable. MEDALIST PARTNERS VI: S&P Assigns BB- (sf) Rating on Cl. D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Medalist Partners Corporate Finance CLO VI Ltd./Medalist Partners Corporate Finance CLO VI LLC's floating-rate debt. The debt issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated debt through collateral selection, ongoing portfolio management, and trading; and -- The legal structure of the transaction, which is expected to be bankruptcy remote. RATINGS ASSIGNED Medalist Partners Corporate Finance CLO VI Ltd./Medalist Partners Corporate Finance CLO VI LLC Class Rating Amount (mil. $) X AAA (sf) 3.00 A loans(i) AA (sf) 228.00 B (deferrable) A (sf) 18.00 C (deferrable) BBB- (sf) 15.00 D (deferrable) BB- (sf) 12.00 Subordinated notes NR 29.90 (i)The class A loans will not be exchangeable or convertible into any notes and the notes will not be exchangeable or convertible into class A loans at any time. NR--Not rated. MIDOCEAN CREDIT V: Moody's Cuts $8MM Class F Notes to Caa1(sf) -------------------------------------------------------------- Moody's Investors Service upgraded the ratings on the following notes issued by MidOcean Credit CLO V: US$40,000,000 Class B-1-R Floating Rate Notes Due July 19, 2028, Upgraded to Aa1 (sf); previously on September 13, 2018 Assigned Aa2 (sf) US$1,000,000 Class B-2 Floating Rate Notes Due July 19, 2028, Upgraded to Aa1 (sf); previously on June 15, 2016 Assigned Aa2 (sf) Moody's also downgraded the rating on the following notes: US$8,000,000 Class F Deferrable Floating Rate Notes Due July 19, 2028, Downgraded to Caa1 (sf); previously on June 15, 2016 Assigned B3 (sf) MidOcean Credit CLO V, originally issued in June 2016 and partially refinanced in September 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2020. RATINGS RATIONALE The upgrade rating actions reflect the short period of time remaining before the end of the deal's reinvestment period in July 2020 and shorter weighted average life of the portfolio. In light of the reinvestment restrictions during the amortization period, the deleveraging of the senior notes is expected to commence shortly after the end of the reinvestment period. Based on trustee's January 2020 report, the WAL of the portfolio is reported at 4.80 years compared to 5.33 years in January 2019. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculation, the total collateral par balance, including recoveries from defaulted securities, is currently $393.0 million, or $7.0 million less than the $400.00 million par amount targeted during the deal's initial ramp-up. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $391.4 million, defaulted par of $3.3 million, a weighted average default probability of 22.49% (implying a WARF of 2975), a weighted average recovery rate upon default of 48.60%, a diversity score of 66 and a weighted average spread of 3.45%. 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. MILOS CLO: Moody's Assigns Ba3 Rating to $22.5MM Class E-R Notes ---------------------------------------------------------------- Moody's Investors Service assigned ratings to five classes of CLO refinancing notes issued by Milos CLO, Ltd. Moody's rating action is as follows: US$325,000,000 Class A-R Senior Secured Floating Rate Notes Due 2030 (the "Class A-R Notes"), Assigned Aaa (sf) US$55,000,000 Class B-R Senior Secured Floating Rate Notes Due 2030 (the "Class B-R Notes"), Assigned Aa2 (sf) US$27,500,000 Class C-R Deferrable Mezzanine Secured Floating Rate Notes Due 2030 (the "Class C-R Notes"), Assigned A2 (sf) US$30,000,000 Class D-R Deferrable Mezzanine Secured Floating Rate Notes Due 2030 (the "Class D-R Notes"), Assigned Baa3 (sf) US$22,500,000 Class E-R Deferrable Junior Secured Floating Rate Notes Due 2030 (the "Class E-R Notes"), 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. Milos 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 95.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 5.0% of the portfolio may consist of senior unsecured loans, second liens loans, and first-lien last-out loans. Invesco RR Fund L.P. 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 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 21, 2020 (the "Refinancing Date") in connection with the refinancing of all classes of secured notes (the "Refinanced Original Notes") originally issued on September 14, 2017 (the "Original Closing Date"). On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the issuer also issued one class of subordinated notes that remains outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the weighted average life and non-call period, and changes to the collateral quality matrix. 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: $498,309,325 Defaulted par: $1,639,118 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3005 (corresponding to a weighted average default probability of 27.45%) Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 48.25% Weighted Average Life (WAL): 7.65 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. MORGAN STANLEY 2012-C5: Fitch Affirms Bsf Rating on Cl. H Certs --------------------------------------------------------------- Fitch Ratings affirmed all classes of Morgan Stanley Bank of America Merrill Lynch Trust commercial mortgage pass-through certificates, series 2012-C5. RATING ACTIONS MSBAM 2012-C5 Class A-3 61761AAY4; LT AAAsf Affirmed; previously at AAAsf Class A-4 61761AAZ1; LT AAAsf Affirmed; previously at AAAsf Class A-S 61761ABA5; LT AAAsf Affirmed; previously at AAAsf Class B 61761ABB3; LT AAAsf Affirmed; previously at AAAsf Class C 61761ABD9; LT AAsf Affirmed; previously at AAsf Class D 61761AAG3; LT BBB+sf Affirmed; previously at BBB+sf Class E 61761AAJ7; LT BBB-sf Affirmed; previously at BBB-sf Class F 61761AAL2; LT BBB-sf Affirmed; previously at BBB-sf Class G 61761AAN8; LT BB+sf Affirmed; previously at BB+sf Class H 61761AAQ1; LT Bsf Affirmed; previously at Bsf Class PST 61761ABC1; LT AAsf Affirmed; previously at AAsf Class X-A 61761AAA6; LT AAAsf Affirmed; previously at AAAsf Class X-B 61761AAC2; LT AAAsf Affirmed; previously at AAAsf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and loss expectations remain stable since issuance. No loans have transferred to special servicing since issuance. While seven loans (9.6% of the pool) are on the servicer's watchlist due to declining performance or upcoming rollover risk, only four (7.2%) were flagged as Fitch Loans of Concern (FLOCs). While not on the watchlist, Clearwater Springs Shopping Center (2.1%) was also flagged as a FLOC due to upcoming rollover risk. Increased Credit Enhancement and Defeasance: As of the January 2020 distribution date, the pool's aggregate principal balance has been reduced by 28.8% to $964 million from $1.4 billion at issuance. One loan (10.4% of the pool) is full term interest only, 52 (57.3%) loans are amortizing and the remaining 10 loans (32.3%) have exited their interest-only period and are amortizing. Nine loans (16.2% of the pool) are defeased including three loans in the top 15. There have been no realized losses to date. Di minimus cumulative interest shortfalls of $1,145 are currently affecting the non-rated class J. Alternative Loss Considerations: Fitch applied a 75% loss severity to Clearwater Springs Shopping Center due to upcoming tenant rollover and 50% loss severity to 421 N. Beverly Drive due to low occupancy following the loss of largest tenant and upcoming rollover concerns. There was no impact on the ratings. Concentrations: Approximately 41.7% of the pool, including six of the top 15 loans, consists of retail properties. The second and third largest property types are office and lodging, representing 31.6% and 13.7% of the pool respectively. 98.5% of the pool matures in 2022. Fitch Loans of Concern: The Distrikt Hotel (3.6%), the fifth largest loan and largest FLOC, is secured by a 55-key, 32-story full-service hotel located in the Times Square neighborhood of Manhattan in New York City. Performance has fluctuated over the past several years. The franchise agreement with Choice Hotels was granted in July 2015, and the hotel was reflagged under the Hilton brand. Occupancy has trended upward at a reported 96% as of September 2019 compared to 94% at YE 2018 and 87% at YE 2017. NOI debt service coverage ratio (DSCR) as of YTD Sept. 30, 2019 was a reported 1.07x, compared to1.40x at YE 2018 and 1.09x at YE 2017. Clearwater Springs Shopping Center (2.1%), the eleventh largest loan and second largest FLOC, is secured by 132,076-sf shopping center in Indianapolis, IN. Approximately 20% NRA expires in 2020, including the largest tenant Michael's (18.3%) in February and 215 NRA expires in 2021. 421 N. Beverly Drive (1.7%), the 13th largest loan and third largest FLOC, is secured by a 31,666-sf mixed-use property consisting of 10,649 sf of ground-floor retail space and 21,017 sf of second-and third-floor office space. Occupancy is approximately 66% as the largest tenant, Lulu Lemon (25% NRA) vacated in January 2019. Fitch requested a leasing status update and is awaiting a response. The two smaller FLOCs represent 1.9% of the pool. One is secured by a 112,260 sf retail property in Stuart, FL with upcoming rollover concerns. The other is secured by a 206 key limited service hotel located in Greenbelt, MD with declining performance over the past several years and NOI DSCR below 1.0x at YE 2018. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool and continued amortization. Rating upgrades may occur with improved pool performance and additional paydown or defeasance. Rating downgrades to the classes are possible should overall pool performance decline. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of 3. ESG issues are credit neutral or have only a minimal credit impact on the transaction, either due to their nature or the way in which they are being managed by transaction. MORGAN STANLEY 2014-C16: Fitch Lowers Class E Debt to CCC --------------------------------------------------------- Fitch Ratings downgraded one class and affirmed 11 classes of Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16. RATING ACTIONS Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 Class A-3 61763MAD2; LT AAAsf Affirmed; previously at AAAsf Class A-4 61763MAE0; LT AAAsf Affirmed; previously at AAAsf Class A-5 61763MAF7; LT AAAsf Affirmed; previously at AAAsf Class A-S 61763MAH3; LT AAAsf Affirmed; previously at AAAsf Class A-SB 61763MAC4; LT AAAsf Affirmed; previously at AAAsf Class B 61763MAJ9; LT AA-sf Affirmed; previously at AA-sf Class C 61763MAL4; LT A-sf Affirmed; previously at A-sf Class D 61763MAR1; LT BBsf Downgrade; previously at BBB-sf Class E 61763MAT7; LT CCCsf Affirmed; previously at CCCsf Class PST 61763MAK6; LT A-sf Affirmed; previously at A-sf Class X-A 61763MAG5; LT AAAsf Affirmed; previously at AAAsf Class X-B 61763MAM2; LT AA-sf Affirmed; previously at AA-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrade of class D reflects an increase to Fitch's loss expectations and higher certainty of loss due to continued underperformance of several Fitch Loans of Concern (FLOCs), including the third and seventh largest loans, which are in special servicing. The affirmations of the remaining classes reflect sufficient credit enhancement relative to expected losses. Fitch Loans of Concern/Specially Serviced Assets - 10 loans (24.7%) have been designated as FLOCs, including the four specially serviced loans (10.3%). The largest FLOC is the second largest loan in the pool, The State Farm Portfolio (9.5%), which is secured by 14 office properties located in 11 cities across 11 states. The properties are 100% leased to State Farm Mutual Automobile Insurance Company and are utilized as regional operations headquarters by the tenant. State Farm had previously announced its intentions to close several of its regional offices and the Greeley North location was vacated at the end of its lease term in Nov. 2018 and the Kalamazoo and Tulsa offices closed in 2019. In total, approximately 14% of the NRA is vacant. The leases have various remaining terms, but the majority of leases roll in November 2028. Although there may be limited term risk as the tenant continues to pay, Fitch is concerned with the increased refinance risk if additional closures occur. The second largest FLOC and largest specially serviced loan, Outlets of Mississippi (5.8%), is a 300,156-sf outlet mall located in Pearl, MS, which was constructed in 2013. The loan transferred to the special servicer at the end of November 2018 due to Imminent Monetary Default when the borrower communicated to the servicer that they have insufficient funds to cover operating expenses and debt service. The loan recently converted to amortizing in July 2019. Occupancy as of Sept. 2019 was 91% but a large amount of tenants are paying percentage rent which has contributed to the declining NOI DSCR of 0.54x at Sept. 2019 compared to 1.08x at YE 2018 and 1.42x at YE 2017. The special servicer is discussing a potential loan modification with the borrower while also dual tracking the foreclosure process. The loan is the largest contributor to modeled losses, which are based on a stressed cash flow and cap rate, and an additional stress to account for potential future declines and fees. The third largest FLOC and second largest specially serviced asset, Aspen Heights - Stillwater (3.6%), is a 231-unit, 792-bedroom student housing complex built in 2013 and located less than three miles from Oklahoma State University in Stillwater, OK. The asset transferred to the special servicer in July 2019 for Imminent Monetary Default when the borrower stated they will no longer fund monthly shortfalls. The property is now REO. NOI at the property has been declining since issuance with an NOI DSCR as of fiscal year July 2019 of 0.65x compared to 0.69x at July 2018, 1.05 at July 2017, and 1.27x at July 2016. The fourth largest FLOC, The Library of Congress Annex (2.1%) is a two-story industrial warehouse with six refrigerated cold vaults comprising 216,500 sf located in Landover, MD. The subject is 100% leased to the GSA on behalf of the Library of Congress, which is backed by the full faith and credit of the U.S. federal government, rated 'AAA'/Stable. The lease extends through January 2022 with one five-year extension option and contains no appropriation clauses or termination options. Physical occupancy at the property dropped to 46% but the GSA continues to pay 100% of the rent and is subletting approximately 50,000 sf the space to the Secret Service. The Sept 2019 NOI DSCR is 1.40x compared to 1.58x at YE 2018 and 1.48x at YE 2017. While the loan is expected to perform through the lease term, a default is possible if occupancy remains low. The fifth largest FLOC, Monmouth Plaza (1.3%) is a 84,800 sf retail property located in Eatontown, NJ. Occupancy at the property declined to 34% after Toys R US vacated in 2018. The borrower is finalizing two LOIs, one with national car dealership while simultaneously negotiating with a national supermarket chain, for 35k sf of the vacant space. NOI at the property has been declining since 2016 with an NOI DSCR of -0.05 at Sept 2019 compared to 0.66x at YE 2018, 1.54x at YE 2017, and 1.67x at YE 2016. Increased Credit Enhancement: Credit enhancement has increased since issuance due to loan payoffs and scheduled amortization. As of the February 2020 distribution date, the pool's aggregate principal balance has been reduced by 16.6% to $1.06 billion from $1.27 billion at issuance. Defeased loans increased since the prior review to five loans (7.3% of the pool) from three loans (5.1%). Eight loans (29% of pool) are full-term interest-only and all partial-term interest-only loans are now amortizing. There have been no realized losses to date. Cumulative interest shortfalls of $671,810 are currently affecting the non-rated class H. Puerto Rico Exposure: The sixth largest loan (3.6% of the pool) is collateralized by La Concha Hotel & Tower, a 483-key, full service hotel in San Juan, Puerto Rico in the Condado resort area. The property consists of two buildings, La Concha Hotel and La Concha Tower. The borrower has stated that there was no damage from the recent earthquake and that the resort is fully operational and all restaurants are working regular hours. Alternative Loss Considerations: Fitch assumed that the defeased loans paid in full. This scenario was considered in the affirmations of the senior classes. ADDITIONAL CONSIDERATIONS Hotel and Retail Concentration: Lodging represents 26.2% of the total pool balance, five of which (17.3% of the pool) are in the top 15. There are 28 retail loans representing 37.1% of the pool including the first and third largest loans, Arundel Mills and Marketplace (13.7%) and Outlets of Mississippi (5.8%). Loan Maturities: Approximately 0.7% of the pool matures in 2020, 3.8% in 2021, 91.3% in 2024, and 0.6% in 2029. RATING SENSITIVITIES The Rating Outlook revision of class D to Stable from Negative reflects the downgrade of the class. Stable Outlooks on classes A-1 through C reflects the relatively stable performance of the majority of the pool, and expected continued paydown of the transaction. However downgrades to B through E of up to a category are possible if expected losses increase significantly from specially serviced loans, or should the State Farm Portfolio or Library of Congress Annex loans continue to decline as they approach maturity given the current occupancy issues. Rating upgrades to B and C of up to a category are possible with overall improved pool performance and/or defeasance but may be limited given the Fitch Loans of Concern. ESG CONSIDERATIONS The transaction has an ESG Relevance Score of 4 for Exposure to Social Impacts due to an outlet mall that is 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 ratings. MORGAN STANLEY 2020-L4: Fitch Rates $9.343MM Cl. G-RR Certs B-sf ---------------------------------------------------------------- Fitch Ratings assigned the following ratings and Rating Outlooks to MSC 2020-L4 commercial mortgage pass-through certificates, series 2020-L4: -- $8,600,000 class A-1 'AAAsf'; Outlook Stable; -- $15,700,000 class A-SB 'AAAsf'; Outlook Stable; -- $210,330,000 class A-2 'AAAsf'; Outlook Stable; -- $346,721,000 class A-3 'AAAsf'; Outlook Stable; -- $581,351,000a class X-A 'AAAsf'; Outlook Stable; -- $146,376,000a class X-B 'A-sf'; Outlook Stable; -- $61,249,000 class A-S 'AAAsf'; Outlook Stable; -- $45,678,000 class B 'AA-sf'; Outlook Stable; -- $39,449,000 class C 'A-sf'; Outlook Stable; -- $42,563,000ab class X-D 'BBB-sf'; Outlook Stable; -- $19,724,000ab class X-F 'BB-sf'; Outlook Stable; -- $23,877,000b class D 'BBBsf'; Outlook Stable; -- $18,686,000b class E 'BBB-sf'; Outlook Stable; -- $19,724,000b class F 'BB-sf'; Outlook Stable; -- $9,343,000bc class G-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $31,144,755bc class H-RR (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. DETAILS Since Fitch published its expected ratings on Feb. 4, 2020, the balances for classes A-2 and A-3 were finalized. At the time the classes were assigned, the expected class A-2 balance range was $180,000,000 to $270,000,000 and the expected class A-3 balance range was $287,051,000 to $377,051,000. The classes above reflect the final ratings and deal structure. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 loans secured by 65 commercial properties having an aggregate principal balance of $830,501,755 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Argentic Real Estate Finance LLC, Starwood Mortgage Capital LLC, and Cantor Commercial Real Estate Lending, L.P. KEY RATING DRIVERS Fitch Leverage: The pool's Fitch loan to value of 106.7% is worse than the 2018 and 2019 averages of 102.0% and 103.0%, respectively, for other Fitch-rated multiborrower transactions. However, the pool's Fitch DSCR of 1.35x is better than the 2018 and 2019 averages of 1.22x and 1.26x, respectively. Above-Average Multifamily Concentration: Loans secured by multifamily properties represent 30.3% of the pool, which is above the 2018 and 2019 averages of 11.6% and 16.9%, respectively, for other Fitch-rated multiborrower transactions. Three of the top 10 loans (Royal Palm Place, FTERE Bronx Portfolio 2 and Bronx Multifamily Portfolio IV) are backed by multifamily properties. Loans secured by multifamily properties have a lower probability of default in Fitch's multiborrower model, all else being equal. Minimal Amortization: The pool has 29 interest-only (IO) loans (81.5% of the pool by balance) and seven partial IO loans (13.4% of the pool by balance). From securitization to maturity, the pool is projected to pay down by only 3.0%, which is well below the 2018 and 2019 averages of 7.2% and 5.9%, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 14.4% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the MSC 2020-L4 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. MOUNTAIN VIEW 2016-1: S&P Assigns Prelim BB- Rating to E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC's floating- and fixed-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade senior secured term loans. This issuance is a reset of the transaction, which originally closed in December 2016. S&P did not rate any of the notes issued under this transaction before now. The preliminary ratings are based on information as of Feb. 21, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC Class Rating Amount (mil. $) X-R NR 4.00 A-R AAA (sf) 256.00 B-1-R AA (sf) 33.00 B-2-R AA (sf) 15.00 C-R (deferrable) A (sf) 24.00 D-R (deferrable) BBB (sf) 19.00 E-R (deferrable) BB- (sf) 21.00 Subordinated notes NR 46.00 NR--Not rated. NEUBERGER BERMAN XVII: S&P Assigns BB- (sf) Rating to E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R2, B-R2, C-R2, D-R2A, D-R2B, and E-R2 replacement notes from Neuberger Berman CLO XVII Ltd., a collateralized loan obligation (CLO) originally issued in 2014 and refinanced in 2017 and is managed by Neuberger Berman Investment Advisers LLC. S&P withdrew its ratings on the original class X-R, A-R, B-1-R, B-2-R, C-R, D-R, E-R notes following payment in full on the Feb. 28, 2020, refinancing date. On the Feb. 28, 2020, refinancing date, the proceeds from the class A-R2, B-R2, C-R2, D-R2A, D-R2B, and E-R2 replacement note issuances were used to redeem the original class X-R, A-R, B-1-R, B-2-R, C-R, D-R, and E-R notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and it is assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the non-call period for the refinancing notes; -- Extend the weighted-average life test one year; and -- Incorporate LIBOR replacement language. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels," S&P said. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary," the rating agency said. RATINGS ASSIGNED Neuberger Berman CLO XVII Ltd. Replacement class Rating Amount (mil. $) A-R2 AAA (sf) 336.40 B-R2 AA (sf) 69.30 C-R2 A (sf) 42.80 D-R2A BBB (sf) 16.00 D-R2B BBB (sf) 13.50 E-R2 BB- (sf) 25.20 RATING WITHDRAWN Neuberger Berman CLO XVII Ltd. Rating Original class To From X-R NR AAA (sf) A-R NR AAA (sf) B-1-R NR AA (sf) B-2-R NR AA (sf) C-R NR A (sf) D-R NR BBB (sf) E-R NR BB- (sf) NR--Not rated. OHA CREDIT 5: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OHA Credit Funding 5 Ltd./OHA Credit Funding 5 LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 27, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated debt through collateral selection, ongoing portfolio management, and trading; and -- The legal structure of the transaction, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED OHA Credit Funding 5 Ltd./OHA Credit Funding 5 LLC Class Rating Amount (mil. $) X AAA (sf) 2.75 A-1 AAA (sf) 372.00 A-2A NR 6.00 A-2B NR 12.00 B AA (sf) 66.00 C (deferrable) A (sf) 36.00 D (deferrable) BBB- (sf) 36.00 E (deferrable) BB- (sf) 24.00 Subordinated notes NR 46.30 NR--Not rated. PALMER SQUARE 2019-2: Fitch Affirms B+sf Rating on Class E Debt --------------------------------------------------------------- Fitch Ratings upgraded two and affirmed 27 tranches and revised three Rating Outlooks from 12 collateralized loan obligations (CLOs). RATING ACTIONS Palmer Square Loan Funding 2019-2 Class A-1 69689PAA5; LT AAAsf Affirmed; previously at AAAsf Class A-2 69689PAC1; LT AA+sf Upgrade; previously at AAsf Class B 69689PAE7; LT Asf Affirmed; previously at Asf Class C 69689PAG2; LT BBB-sf Affirmed; previously at BBB-sf Class D 69689MAA2; LT BBsf Affirmed; previously at BBsf Class E 69689MAE4; LT B+sf Affirmed; previously at B+sf KKR CLO 22 Ltd. Class A 48252WAA1; LT AAAsf Affirmed; previously at AAAsf KKR CLO 24 Ltd. Class A-1 48252RAA2; LT AAAsf Affirmed; previously at AAAsf KKR CLO 9 Ltd. Class A-R 48250LAL3; LT AAAsf Affirmed; previously at AAAsf GoldenTree Loan Opportunities XII, Limited Class A-J-R 38137MAK3; LT AAAsf Affirmed; previously at AAAsf Class A-R 38137MAH0; LT AAAsf Affirmed; previously at AAAsf Class X-R 38137MAF4; LT AAAsf Affirmed; previously at AAAsf KKR CLO 21 Ltd. Class A 48252KAA7; LTAAAsf Affirmed; previously at AAAsf GT Loan Financing I, Ltd. Class A-R 36248MAJ6; LT AAAsf Affirmed; previously at AAAsf Class X-R 36248MAG2; LT AAAsf Affirmed; previously at AAAsf GoldenTree Loan Management US CLO 4, Ltd. Class A 38137YAC5; LT AAAsf Affirmed; previously at AAAsf Class A-J 38137YAE1; LT AAAsf Affirmed; previously at AAAsf Class X 38137YAA9; LT AAAsf Affirmed; previously at AAAsf KKR CLO 18 Ltd. Class A 48251JAC7; LT AAAsf Affirmed; previously at AAAsf GoldenTree Loan Management US CLO 3, Ltd Class A 38138BAC4; LT AAAsf Affirmed; previously at AAAsf Class A-J 38138BAE0; LT AAAsf Affirmed; previously at AAAsf Class X 38138BAA8; LT AAAsf Affirmed; previously at AAAsf KKR CLO 25 Ltd. Class A-1 48252UAA5; LT AAAsf Affirmed; previously at AAAsf Class A-2 48252UAB3; LT AAAsf Affirmed; previously at AAAsf Palmer Square Loan Funding 2019-1 Class A-1 69700VAA7; LT AAAsf Affirmed; previously at AAAsf Class A-2 69700VAC3; LT AA+sf Upgrade; previously at AAsf Class B 69700VAE9; LT Asf Affirmed; previously at Asf Class C 69700VAG4; LT BBB-sf Affirmed; previously at BBB-sf Class D 69700RAA6; LT BBsf Affirmed; previously at BBsf KEY RATING DRIVERS Fitch has upgraded each of the class A-2 notes to 'AA+sf" from 'AAsf' in Palmer Square Loan Funding 2019-1, Ltd. (PSLF 2019-1) and Palmer Square Loan Funding 2019-2, Ltd. (PSLF 2019-2) due to deleveraging of capital structures in both CLOs. This amortization was driven primarily by loan prepayments and resulted in elevated credit enhancement (CE) levels. The rating actions on PSLF 2019-1 and PSLF 2019-2 (collectively referred to as PSLF CLOs) were based on updated cash flow model analyses conducted for these static transactions. The 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 payment dates, approximately 20.5% and 17.6% of each original class A-1 note balance of PSLF 2019-1 and PSLF 2019-2, respectively, has amortized since closing. For all but the class A-1 notes in PSLF CLOs, Model-Implied Ratings (MIRs) based on the cash flow model analyses 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 CE. The Positive Rating Outlooks assigned to the class A-2 in each PSLF CLO and the class E notes in PSLF 2019-2 reflect Fitch's expectation that both CLOs will benefit from continued amortization and shortening weighted average lives of the portfolios. The Stable Outlooks on the other 27 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. 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 (RDR) and rating loss rate (RLR) produced by Fitch's Portfolio Credit Model (PCM). PCM output, based on the current portfolio composition, was compared with the PCM output corresponding to the Fitch stressed portfolio (FSP) at the initial rating assignment, as well as to the rated notes' current CE levels. For 10 CLOs still in their reinvestment periods in this review, sufficient cushions still remain as RLR, plus losses to date, as 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 10 CLOs. RATING SENSITIVITIES The rating of the notes may be sensitive to 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. PALMER SQUARE 2020-1: Fitch Assigns BBsf Rating on Class D Debt --------------------------------------------------------------- Fitch Ratings assigned ratings and Rating Outlooks to Palmer Square Loan Funding 2020-1, Ltd. RATING ACTIONS Palmer Square Loan Funding 2020-1, Ltd. Class A-1; LT AAAsf; New Rating Class A-2; LT AAsf; New Rating Class B; LT Asf; New Rating Class C; LT BBB-sf; New Rating Class D; LT BBsf; New Rating Subordinated; LT NRsf; New Rating TRANSACTION SUMMARY Palmer Square Loan Funding 2020-1, Ltd. (the issuer) is a collateralized loan obligation (CLO) that will be serviced by Palmer Square Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes were used to purchase a static pool of primarily senior secured leveraged loans totaling approximately $700 million. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The portfolio consists of 99.0% first lien senior secured loans and has a weighted average recovery assumption of 80.7%. Portfolio Composition: The largest three industries compose 42.1% of the portfolio balance in aggregate, while the top five obligors represent 3.3% of the portfolio balance in aggregate. The level of diversity by industry, obligor and geographic concentrations is in line with that of other recent U.S. CLOs. Portfolio Management: The transaction does not have a reinvestment period and discretionary sales are not permitted. Fitch's analysis was based on the purchased portfolio, with consideration given for a stressed scenario incorporating potential maturity amendments on the underlying loans. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. Each class of notes was able to withstand default rates in excess of its respective rating hurdle. RATING SENSITIVITIES Fitch evaluated the notes' sensitivity to the potential variability of key model assumptions, including decreases in recovery rates and increases in default rates. Results under the sensitivity scenarios ranged between 'A-sf' to 'AAAsf' for the class A-1 notes; between 'BB+sf' to 'AAAsf' for the class A-2 notes; between 'B-sf' to 'A+sf' for the class B notes; between below 'CCCsf' and 'A-sf' for the class C notes; between below 'CCCsf' to 'BB+sf' for the class D notes. PRIME STRUCTURED 2020-1: DBRS Hikes Rating on F Notes to BB(low) ---------------------------------------------------------------- DBRS Limited upgraded the provisional ratings of the Mortgage-Backed Certificates, Series 2020-1 (the Series 2020-1 Certificates) to be issued by Prime Structured Mortgage (PriSM) Trust (the Issuer) as follows: -- Mortgage-Backed Certificates, Class C (the Class C Certificates) to AA (low) (sf) from A (sf) -- Mortgage-Backed Certificates, Class D (the Class D Certificates) to A (high) (sf) from BBB (sf) -- Mortgage-Backed Certificates, Class E (the Class E Certificates) to BBB (high) (sf) from BB (sf) -- Mortgage-Backed Certificates, Class F (the Class F Certificates) to BB (low) (sf) from B (sf) DBRS Morningstar also confirmed the provisional ratings of the Series 2020-1 Certificates to be issued by the Issuer as follows: -- Mortgage-Backed Certificates, Class A (the Class A Certificates) at AAA (sf) -- Mortgage-Backed Certificates, Class VFC (the Class VFC Certificates) at AAA (sf) -- Mortgage-Backed Certificates, Class IO (the Class IO Certificates) at AAA (sf) -- Mortgage-Backed Certificates, Class B (the Class B Certificates) at AA (sf) (together with the Class A Certificates, the Class VFC Certificates, the Class IO Certificates, the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates, the Rated Certificates) The rating actions follow a structural change proposed by the Issuer since the provisional ratings were assigned on February 11, 2020. The Certificate Rate on the Class IO Certificates was lowered, to a rate of not higher than 0.01%, and as a result, excess spread in respect of the Class A Certificates and the Class VFC Certificates became generally available to provide support in respect of losses. This provides additional credit enhancement for the non-IO Certificates and warrants the higher ratings of the four lowest-rated classes of Certificates. The ratings assigned to the Class A Certificates, the Class VFC Certificates (together, the Senior Principal Certificates), the Class B Certificates, the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates represent the timely payment of interest to the holders thereof and the ultimate payment of principal by the Rated Final Distribution Date under the respective rating stress. The rating assigned to the Class IO Certificates is an opinion that addresses the likelihood of the Notional Amount of the Class IO Certificates' applicable reference certificates (i.e., the Senior Principal Certificates) being adversely affected by credit losses. The Mortgage-Backed Certificates, Series 2020-1, Class G (the Class G Certificates) and Mortgage-Backed Certificates, Series 2020-1, Class R (collectively with the Class G Certificates and the Rated Certificates, the Certificates) are not rated by DBRS Morningstar. Notes: All figures are in Canadian dollars unless otherwise noted. PROVIDENT FUNDING 2020-1: Moody's Assigns B2 Rating on Cl. B-5 Debt ------------------------------------------------------------------- Moody's Investors Service assigned definitive ratings to 18 classes of residential mortgage-backed securities issued by Provident Funding Mortgage Trust 2020-1. The ratings range from Aaa (sf) to 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 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 (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, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-2A, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3A, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4A, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5A, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6A, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A1 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.27% and reaches 3.07% 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 (R&W) 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" 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. Moody's also considers the presence of a strong master servicer to be a mitigant against the risk of any servicing disruptions. Moody's 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. Moody's 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. SAPPHIRE AVIATION I: Fitch Affirms BBsf Rating on Class C Debt -------------------------------------------------------------- Fitch Ratings affirmed the outstanding notes issued by Sapphire Aviation Finance I Limited. RATING ACTIONS Sapphire Aviation Finance I Class A 80306AAA8; LT Asf Affirmed; previously at Asf Class B 80306AAB6; LT BBBsf Affirmed; previously at BBBsf Class C 80306AAC4; LT BBsf Affirmed; previously at BBsf KEY RATING DRIVERS The affirmation of the outstanding series A, B and C notes reflects performance within expectations and the ability of the notes to pass stress scenarios in line with current ratings. Lease cash flow has been in line with Fitch's base scenarios, but has declined in recent months due to delinquencies and recent groundings, including one aircraft grounded on lease to Lucky Air in third-quarter (Q3) 2019, and one aircraft recently off lease as Atlasglobal who recently filed for bankruptcy in mid-February. As a result, utilization has declined since the prior review in February 2019. Loan-to-value (LTV) levels have declined marginally since the prior review, and two recent aircraft sales have been executed while one aircraft was declared a total loss, contributing to a faster-than-scheduled principal paydown of each series of notes. The DSCR remains well above the 1.20x cash trap trigger, and no rapid amortization event has occurred. Cash flow modeling was completed for this review. Fitch's primary stress rating scenarios incorporated some updates for a number of assumptions compared with closing, to bring them in line with approaches taken in recent transactions. Fitch utilized an 85% sales proceeds assumption for near-term sales of certain qualifying, in-production narrowbody aircraft, and 50% for all others. Sales assumptions had stepped from 100% to 75% to 50% at initial rating. Additionally, Fitch assumed a useful life of 20 years for all aircraft, except for those aircraft that will be 20 years or older at the end of their current lease. In such case, Fitch assumed the useful life to match the aircraft's age at lease end. At close, Fitch assumed the same 20-year useful life assumption, except for certain aircraft that were assumed at 22- or 25-year useful lives largely mirroring the servicer's own plans, while assuming more conservative residual value assumptions. Finally, Fitch utilized the average appraisal value but exclude the highest appraisal for this review, to derive each aircraft's initial modeled value. At close, Fitch used the lower of mean and median approach (LMM). Also, given the larger disparity of market values (MVs) and base values (BVs) observed on widebody variants, the average highest MV was utilized for widebodies, but excluding the highest MV appraisal, whereas LMM of BV was utilized at close. All other cash flow modeling assumptions remain unchanged since closing. Under these assumptions and stresses, each series of notes remains able to pass their respective modeled stress scenarios, commensurate with current ratings. RATING SENSITIVITIES Due to the correlation between global economic conditions and the airline industry, the ratings may be impacted by the strength of the macro-environment over the remaining term of this transaction. Global economic conditions that are inconsistent with Fitch's expectations and stress parameters could lead to negative rating actions. In the initial rating analysis, Fitch found the transaction to have minimal sensitivity to the timing or severity of assumed recessions. Fitch also found that greater default probability of the leases would have a material impact on the ratings. In addition, Fitch found the timing or degree of technological advancement in the commercial aviation space and the impacts these changes would have on values, lease rates, and utilization, would have a moderate impact on the ratings. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is typically a score of 3 - ESG issues are credit neutral or have only a minimal credit impact on the transaction, either due to their nature or the way in which they are being managed. SAPPHIRE AVIATION II: Fitch Assigns BBsf Rating on Cl. C Debt ------------------------------------------------------------- Fitch Ratings assigned final ratings to Sapphire Aviation Finance II Limited. RATING ACTIONS Sapphire Aviation Finance II Limited Class A; LT Asf New Rating; previously at A(EXP)sf Class B; LT BBBsf New Rating; previously at BBB(EXP)sf Class C; LT BBsf New Rating; previously at BB(EXP)sf TRANSACTION SUMMARY Fitch rates the aircraft operating lease ABS secured notes issued by Sapphire Aviation Finance II Limited (Sapphire II Cayman) and its wholly owned subsidiary Sapphire Aviation Finance II LLC (Sapphire II USA), collectively Sapphire Aviation Finance II Limited (Sapphire II or SAPA II), as listed. SAPA II will use proceeds of the initial notes to acquire a pool of 21 midlife aircraft from Avolon Aerospace Leasing Limited (AALL), a wholly owned indirect subsidiary of Avolon Holdings Limited (Avolon; BBB-/Stable). The pool will be serviced by Avolon via AALL, with the notes secured by each aircraft's future lease payments and residual cash flows. This is the second Fitch-rated aircraft ABS serviced by AALL, following SAPA I's issuance in 2018 and third serviced by Avolon. 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 Unsecured Exposure to Avolon Credit — Optional Standby Letters of Credit: The sellers will have the option to obtain standby letters of credit (LCs) for any or all of the undelivered aircraft over the delivery period. The pre-delivery payment amount covered by the LCs will then be transferred to the sellers out of the aircraft acquisition account. Any LC providers will be required to maintain a minimum rating of 'A' or higher by Fitch. Asset Quality — Mostly Liquid Narrowbody — Positive: The pool of 21 aircraft comprises mostly of in-demand Tier 1 narrowbody aircraft including current generation A320 and B737 family aircraft, with a weighted average (WA) age of 7.5 years, which is significantly younger than in SAPA I (12.0 years). There are also two young A320-200neos (10.4%) with a WA age of 2.1 years. Three aircraft totaling 31.7% are widebody aircraft, generally considered weaker as they are associated with higher transition costs and volatile values. However, two of the three widebodies (23.9%) are in-demand Tier 1 (A330-300s) aged less than five years with lengthy remaining lease terms of six-eight years. Lease Term and Maturity Schedule — Positive: The WA remaining lease term of 6.4 years is one of the longest of recently rated pools, and a credit positive as longer lease terms give more certainty to the anticipated cash flows. Lease maturities are well distributed with 28.4% of the pool coming due from years 2021-2024, and 44.9% maturing in years 2026-2027. Operational and Servicing Risk — Adequate Servicing Capability: Fitch believes Avolon (parent: Avolon Holdings Limited currently rated BBB-/Stable) has the ability to collect lease payments, remarket and repossess aircraft in an event of lessee default and procure maintenance to retain values and ensure stable performance. This is evidenced by the experience of their team, the servicing of their managed fleet and prior securitization performance (including SAPA I, rated by Fitch). Lessee Credit Risk — Weak Credits: There are 19 airline lessees in SAPA II with the top three totaling 35.5%, up from 30.0% in SAPA I. The 'CCC' assumed lessee concentration is 44.9%, up from 26.1% from SAPA I. 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 default risk in the pool. Lessee ratings were further stressed during future assumed recessions and once aircraft reach Tier 3 classification. Country Credit Risk — Diversified: The three largest countries total 38.7%, up from 33.5% in SAPA I and on the lower-end of recent Fitch-rated ABS transactions. The top three countries are Philippines (14.6%), Sri Lanka (12.4%) and Canada (11.6%). Transaction Structure — Consistent: Credit enhancement (CE) comprises of overcollateralization (OC), a liquidity facility and a cash reserve. The initial loan to value (LTV) ratios for series A, B and C notes are 65.6%, 77.1% and 83.0%, respectively, based on the average of the maintenance-adjusted base values (MABVs). Adequate Structural Protections: Each class 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 series fail at their respective ratings, but are able to pass one rating category below. As a result, such a scenario could result in the downgrade of each series by one category. 'CCC' Unrated Lessee Assumption Stress Scenario Airlines across the globe are generally viewed as speculative grade. While Fitch gives credit to available ratings of the initial lessees in the pool, assumptions must be made for the unrated lessees in the pool, as well as all future unknown lessees. While Fitch typically utilizes a 'B' assumption for most unrated lessees with some assumed to be 'CCC', Fitch evaluated a scenario in which all unrated airlines are assumed to carry a 'CCC' rating. This scenario mimics a prolonged recessionary environment in which airlines are susceptible to an increased likelihood of default. This would subject the aircraft pool to increased downtime and expenses, as repossession and remarketing events would increase. Under this scenario, all series fail at their respective ratings, but are able to pass one rating category below. Such a scenario could result in the downgrade of each series by one rating category Widebody Stress Scenarios This pool contains a large concentration of A330s (31.7%). Fitch created a scenario in which the widebody aircraft in the pool encounter a considerable amount of stress to their residual values. First, Fitch assumed all were initially considered to be Tier 3 aircraft to stress depreciation rates and recessionary value declines. In addition, Fitch decreased its residual credit to 25% from 50% of stressed future market values. Under this scenario, A330s encounter severe value decline stresses and are only granted part-out value at the end of their useful lives. Under this scenario, series A fails at the 'Asf' stress scenario and passes at the 'BBBsf' stress. Series B notes pass at 'BBBsf' stress and series C notes pass at 'BBsf' stress, respectively. Such a scenario could result in the downgrade of the series A notes by up to a one rating category. 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. SBALR COMMERCIAL 2020-RR1: DBRS Gives (P)B(low) Rating on F Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-RR1 to be issued by SBALR Commercial Mortgage 2020-RR1 Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-AB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at A (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The collateral consists of 59 fixed-rate loans secured by 91 commercial and multifamily properties. Two separate groups of loans, the Emerald Bronx Multifamily Portfolio loans and the Gutman and Hoffman Multifamily Portfolio loans, each have the same sponsor, property type, and assets located in the same or similar submarkets. Although these two groups of loans are not cross collateralized or cross defaulted, the DBRS Morningstar analysis of this transaction incorporates these groups of loans as single loans, resulting in a modified loan count of 51, and the loan number referenced within this report reflects this total. The transaction employs a sequential pass-through structure. The 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) Debt Service Coverage Ratio (DSCR) of the pool was 1.39 times (x), and 22 loans, representing 29.4% of the pool, had a DBRS Morningstar DSCR below 1.30x, a threshold indicative of a higher likelihood of midterm default. One loan, representing 1.0% of the pool, had a DBRS Morningstar DSCR below 1.00x. The pool additionally includes 17 loans comprising a combined 23.1% of the pool balance with a DBRS Morningstar Loan-to-Value (LTV) ratio in excess of 67.0%, a threshold generally indicative of above-average default frequency. The WA DBRS Morningstar LTV of the pool at issuance was 65.5%, and the pool is scheduled to amortize down to a DBRS Morningstar WA LTV of 58.2% at maturity. The property has 24 loans, representing 62.2% of the pool balance, that are secured by multifamily properties. Multifamily properties typically have low NCF volatility because of granular rent rolls despite the short-term nature of the leases. In addition, multifamily loans have exhibited lower default frequency, resulting in lower expected losses. The deal has favorable credit metrics as evidenced by a WA DBRS Morningstar LTV and Balloon WA LTV of 65.5% and 58.2%, respectively. In addition, only four loans, representing 5.5% of the trust balance, have an issuance LTV of 75.0% or higher. Historical data generally demonstrates that loans with lower LTVs at issuance have a lower probability of default. The pool has 32 loans, representing 41.8% of the pool balance that should amortize down by 10.0% to 20.0% over their respective terms. In addition, there are 12 loans, representing 17.9% of the pool balance, that have expected amortization in excess of 20.0% of the original loan balance. The transaction's scheduled amortization by maturity is 10.9%, which is much higher than recent traditional conduit transactions. Loan amortization is correlated with lower levels of refinance risk. The pool is heavily concentrated based on loan size, as the largest loan group in the pool (the Emerald Bronx Multifamily Portfolio) alone constitutes 27.5% of the pool balance. Together with the Gutman and Hoffman Multifamily Portfolio, the top two loan groups represent 33.5% of the pool balance. Although the pool has 51 modeled loan groups, it has a concentration profile similar to a pool of 11 equally sized loans. In addition, the eight Emerald Bronx Multifamily Portfolio loans and the two Gutman and Hoffman Multifamily Portfolio loans are not cross collateralized and cross defaulted, exposing them to selective default risk. By treating them each as single loans because of their sponsorship, locations, and property types, DBRS Morningstar is amplifying the concentration effects of these loans on the pool in the pooling simulation analysis within the CMBS Insight Model, which implicitly accounts for loan concentration, resulting in high AAA loss estimates. Compared with a pool that has a concentration profile similar to a pool of 20 equally sized loans but a WA expected loss equal to the subject transaction, the subject transaction's AAA loss estimate is several points higher. Thirty loans, representing 38.4% of the pool, are secured by properties located in DBRS Morningstar Market Ranks of 3 or 4, which are considered lighter suburban in nature, including four of the top 10 loans (Hurstbourne Landings and Oak Run Apartments, Kingsley Building, Crystal Townhomes, and University Plaza). Properties located in these light suburban locations have historically performed poorly and often have limited barriers to entry or minimal growth in the metropolitan statistical area. Areas with a Market Rank of 7 or 8 are generally more urban and can benefit from greater liquidity, even during times of economic stress. However, two loans, representing 29.9% of the pool are located in markets with a DBRS Morningstar Market Rank of 7. These loans are the largest two in the pool, the Emerald Bronx Portfolio and the Gutman and Hoffman Multifamily Portfolio. Market Rank 7 represents dense urban areas that benefit from greater liquidity, even in times of stress, and these areas have historically performed very well. This urban concentration brings up the WA DBRS Morningstar Market Rank to a relatively strong 4.55. Eight loans, representing 11.6% of the pool by allocated loan balance, are secured by hospitality properties. Hotels have the highest cash flow volatility of all property types, as their income—which is derived from daily contracts rather than multiyear leases and their expenses, which are often mostly fixed—account for a relatively large proportion of revenue. As a result, revenue can decline sharply in the event of a downturn and cash flow may decline more exponentially because of high operating leverage. These loans have modest going-in leverage with a WA DBRS Morningstar LTV of only 64.00% and benefit from substantial amortization, resulting in a low WA DBRS Morningstar Balloon LTV of 51.04%. Classes X-A and X-B 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. SEQUOIA MORTGAGE 2020-2: Fitch Rates Class B-4 Certs 'BB-(EXP)' --------------------------------------------------------------- Fitch Ratings assigns ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2020-2. RATING ACTIONS Sequoia Mortgage Trust 2020-2 Class A-1; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-2; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-3; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-4; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-5; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-6; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-7; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-8; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-9; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-10; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-11; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-12; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-13; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-14; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-15; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-16; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-17; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-18; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-19; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-20; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-21; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-22; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-23; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-24; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO1; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO2; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO3; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO4; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO5; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO6; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO7; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO8; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO9; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO10; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO11; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO12; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO13; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO14; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO15; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO16; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO17; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO18; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO19; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO20; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO21; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO22; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO23; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO24; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO25; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO26; LT AAAsf New Rating; previously at Class B-1; LT AA-sf New Rating; previously at AA-(EXP)sf Class B-2; LT A-sf New Rating; previously at A-(EXP)sf Class B-3; LT BBBsf New Rating; previously at BBB(EXP)sf Class B-4; LT BB-sf New Rating; previously at BB-(EXP)sf Class B-5; LT NRsf New Rating; previously at NR(EXP)sf Class A-IO-S; LT NRsf New Rating; previously at NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 653 loans with a total balance of approximately $499.1 million as of the cutoff date. The pool consists of prime fixed-rate mortgages (FRMs) acquired by Redwood Residential Acquisition Corp. (Redwood) from various mortgage originators. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30-year, 25-year and 20-year, fixed-rate, fully amortizing loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The pool has a weighted average (WA) original model FICO score of 766 and an original WA CLTV ratio of 69%. All the loans in the pool consist of Safe Harbor Qualified Mortgages (SHQM) or were originated prior to the implementation of the rule. Interest Reduction Risk (Negative): The transaction incorporates a structural feature unique to Redwood's program for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high-stress scenarios. Prioritization of Principal Payments (Positive): The limited advancing leads to lower loss severities than a full advancing structure. The unique stop-advance structural feature reduces interest payments to subordinate bonds but allows for greater principal recovery than a traditional structure. Furthermore, while traditional structures determine senior principal distributions by comparing the senior bond size with the collateral balance, this transaction structure compares the senior balance with the collateral balance less any stop-advance loans. In a period of increased delinquencies, this will result in a larger amount of principal paid to the senior bonds relative to a traditional structure. Low Operational Risk (Neutral): The operational risk is well controlled for in this transaction. Redwood is assessed as an 'Above Average' aggregator. The aggregator has a robust sourcing strategy, and maintains experienced senior management and staff, strong risk management and corporate governance controls, and a robust due diligence process. Primary and master servicing functions will be performed by entities rated 'RPS2-' and 'RMS2+', respectively. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 97% of loans in the transaction. Due diligence was performed by Clayton Services, LLC, which is assessed by Fitch as 'Acceptable - Tier 1'. The review scope is consistent with Fitch criteria, and the results are in line with prior RMBS issued by Redwood. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 16bps. Top Tier Representation and Warranty Framework (Neutral): The loan-level representation, warranty and enforcement (RW&E) framework is consistent with Fitch's Tier 1, the highest possible. Fitch applied a neutral treatment at the 'AAAsf' rating category as a result of the Tier 1 framework and the internal credit opinion supporting the repurchase obligations of the ultimate R&W backstop. Credit Enhancement Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.75% of the original balance will be maintained for the certificates. The floor is more than sufficient to protect against the five largest loans defaulting at Fitch's 'AAAsf' average loss severity of 38.93%. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 5.1%. As shown in the table included in the presale report, the analysis indicates that some potential rating migration exists with higher MVDs compared with the model projection. Additionally, the defined rating sensitivities determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade and to 'CCCsf'. SHELTER GROWTH 2019-FL2: DBRS Assigns B(low) Rating on Cl. H Notes ------------------------------------------------------------------ DBRS, Inc. assigned ratings to the Priority Secured Floating Rate Notes Due 2036 issued by Shelter Growth CRE 2019-FL2 Issuer Ltd as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (high) (sf) -- Class F at BBB (low) (sf) -- Class G at BB (low) (sf) -- Class H at B (low) (sf) All trends are Stable. These certificates are currently also rated by DBRS Morningstar's affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In connection with the ongoing consolidation of DBRS Morningstar and MCR, MCR previously announced that it had placed its outstanding ratings of these certificates Under Review–Analytical Integration Review and that MCR intended to withdraw its outstanding ratings; such withdrawal will occur on or about April 3, 2020. In accordance with MCR's engagement letter covering these certificates, upon withdrawal of MCR's outstanding ratings, the DBRS Morningstar ratings will become the successor ratings to the withdrawn MCR ratings. The ratings were determined using DBRS Morningstar's "North American CMBS Multi-borrower Rating Methodology," "North American CMBS Surveillance Methodology," and the North American CMBS Insight Model. As part of the integration of the analytical teams for DBRS, Inc., and MCR, DBRS Morningstar announced its determination that the aforementioned methodologies and model would be used to assign ratings to the outstanding multi-borrower transactions rated by MCR. At issuance, the collateral consisted of 18 collateral interests comprising three first-lien whole mortgage loans and 15 pari passu participation interests in either a mortgage loan or a combined loan that consists of a mortgage loan and a related mezzanine loan secured by equity interests in the related mortgage borrower. Each mezzanine loan that is part of a combined loan is secured by a pledge of equity in the related mortgage borrower. The collateral interests are secured by 29 properties located in eleven states with all loans secured by currently cash-flowing assets, some of which are in a period of transition, with plans to stabilize and improve the asset value. At issuance, the trust cut-off balance was $453.7 million and eight loans had future funding of $38.7 million, available to individual borrowers to aid in property stabilization. All or a portion of the future funding participation are eligible to be acquired by the trust after the closing date once such participation have been funded, subject to the satisfaction of certain criteria. As of the February 2020 remittance, 17 of the 18 original loans remained in the pool, the total future funding balance yet to be funded was $36.2 million, and there were no loans on the servicer's watchlist or in special servicing. DBRS Morningstar analyzed the commercial real estate collateralized loan obligations pool to determine the ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. As part of this process, DBRS Morningstar reviewed the performance of the underlying loans. The floating-rate mortgages were analyzed to determine the probability of loan default over the term of the loan and its refinance risk at maturity based on a fully extended loan term. Because of the floating-rate nature of the loans, the index (one-month LIBOR) was applied at the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans and the strike price of the interest rate cap, with the respective contractual loan spread added to determine a stressed interest rate over the loan term. The properties are frequently transitioning, with potential upside in the cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with structural features provided, DBRS Morningstar generally does not assume the assets will stabilize above market levels. The transaction is a sequential-pay structure. DBRS Morningstar will provide detailed loan-level commentary for pivotal loans within the transaction on the DBRS Viewpoint platform within the near term. Notes: All figures are in U.S. dollars unless otherwise noted. SPRUCE HILL 2020-SH1: DBRS Finalizes B Rating on Class B-2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2020-SH1 (the Notes) issued by Spruce Hill Mortgage Loan Trust 2020-SH1 (the Trust): -- $178.1 million Class A-1 at AAA (sf) -- $22.9 million Class A-2 at AA (high) (sf) -- $40.3 million Class A-3 at A (sf) -- $21.4 million Class M-1 at BBB (sf) -- $16.0 million Class B-1 at BB (sf) -- $12.4 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Notes reflects 40.55% of credit enhancement provided by subordinated Notes in the pool. The AA (high) (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 32.90%, 19.45%, 12.30%, 6.95%, and 2.80% 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 prime and non-prime first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,003 loans with a total principal balance of $299,652,359 as of the Cut-Off Date (January 1, 2020). The mortgage loans were originated by Carrington Mortgage Services, LLC. 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, 84.4% of the loans are designated as non-QM, 0.3% as QM-Safe Harbor, and 7.4% as QM-Rebuttable Presumption. Approximately 8.0% 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 three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Administrator, at the Issuer's option, may redeem all outstanding Notes at a price equal to the greater of (a) the class balances of the related Notes plus accrued and unpaid interest, including any Cap Carryover Amounts and (b) the sum of the principal balances on the underlying mortgage loans. 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 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. Notes: All figures are in U.S. dollars unless otherwise noted. SYMPHONY CLO XXII: S&P Assigns Prelim BB- (sf) Rating to E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Symphony CLO XXII Ltd.'s fixed- and floating-rate XXII. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests and managed by Symphony Asset Management LLC, a wholly owned subsidiary of Nuveen LLC. The preliminary ratings are based on information as of Feb. 25, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool, which consists primarily of primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Symphony CLO XXII Ltd./Symphony CLO XXII LLC Class Rating Amount (mil. $) X AAA (sf) 1.50 A-1A(i) AAA (sf) 228.00 A-1B(i) AAA (sf) 20.00 A-2(i) NR 8.00 B(i) AA (sf) 48.00 C(i) A (sf) 26.00 D(i) BBB- (sf) 22.00 E BB- (sf) 12.00 Subordinated notes NR 41.90 Symphony CLO XXII Ltd./Symphony CLO XXII LLC Exchangeable note combinations Class Rating Max. principal amount (mil. $) Combination 1(ii) A-1A-1(iii) AAA (sf) 228.00 A-1A-1X(iv) AAA (sf) N/A Combination 2(ii) A-1A-2(iii) AAA (sf) 228.00 A-1A-2X(iv) AAA (sf) N/A Combination 3(ii) A-1A-3(iii) AAA (sf) 228.00 A-1A-3X(iv) AAA (sf) N/A Combination 4(ii) A-1A-4(iii) AAA (sf) 228.00 A-1A-4X(iv) AAA (sf) N/A Combination 5(ii) A-1B-1(iii) AAA (sf) 20.00 A-1B-1X(iv) AAA (sf) N/A Combination 6(ii) A-1B-2(iii) AAA (sf) 20.00 A-1B-2X(iv) AAA (sf) N/A Combination 7(ii) A-1B-3(iii) AAA (sf) 20.00 A-1B-3X(iv) AAA (sf) N/A Combination 8(ii) A-1B-4(iii) AAA (sf) 20.00 A-1B-4X(iv) AAA (sf) N/A Combination 9(ii) A-2-1(iii) NR 8.00 A-2-1X(iv) NR N/A Combination 10(ii) A-2-2(iii) NR 8.00 A-2-2X(iv) NR N/A Combination 11(ii) A-2-3(iii) NR 8.00 A-2-3X(iv) NR N/A Combination 12(ii) A-2-4(iii) NR 8.00 A-2-4X(iv) NR N/A Combination 13(ii) B-1(iii) AA (sf) 48.00 B-1X(iv) AA (sf) N/A Combination 14(ii) B-2(iii) AA (sf) 48.00 B-2X(iv) AA (sf) N/A Combination 15(ii) B-3(iii) AA (sf) 48.00 B-3X(iv) AA (sf) N/A Combination 16(ii) B-4(iii) AA (sf) 48.00 B-4X(iv) AA (sf) N/A Combination 17(ii) C-1(iii) A (sf) 26.00 C-1X(iv) A (sf) N/A Combination 18(ii) C-2(iii) A (sf) 26.00 C-2X(iv) A (sf) N/A Combination 19(ii) C-3(iii) A (sf) 26.00 C-3X(iv) A (sf) N/A Combination 20(ii) C-4(iii) A (sf) 26.00 C-4X(iv) A (sf) N/A Combination 21(ii) D-1(iii) BBB- (sf) 22.00 D-1X(iv) BBB- (sf) N/A Combination 22(ii) D-2(iii) BBB- (sf) 22.00 D-2X(iv) BBB- (sf) N/A Combination 23(ii) D-3(iii) BBB- (sf) 22.00 D-3X(iv) BBB- (sf) N/A Combination 24(ii) D-4(iii) BBB- (sf) 22.00 D-4X(iv) BBB- (sf) N/A (i)The class A-1A, A-1B, A-2, B, C, and D notes will be exchangeable for proportionate interest in combinations of MASCOT P&I notes and interest-only notes of their respective classes. In aggregate, the cost of debt, outstanding balance, stated maturity, subordination levels, and payment priority following that exchange would remain the same. See the exchangeable note combinations section above for the combinations. (ii)The applicable combinations will have an aggregate interest rate equal to that of the exchanged note. (iii)MASCOT P&I notes will have the same principal balance as the class A-1A, A-1B, A-2, B, C, and D notes, as applicable, surrendered in the exchange. (iv)The interest-only notes will earn a fixed rate of interest on their notional balance and are not entitled to any payments of principal. The notional balance will equal the principal balance of the corresponding MASCOT P&I note of that combination. NR--Not rated. N/A--Not applicable. TCW CLO 2017-1: S&P Assigns Prelim BB- (sf) Rating to ER Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class AR, BR, CR, DR, and ER replacement notes from TCW CLO 2017-1 Ltd., a CLO originally issued in 2017 that is managed by TCW Asset Management Co. LLC. The replacement notes will be issued via a proposed supplemental indenture. "The preliminary ratings reflect our opinion that the credit support available is commensurate with the associated rating levels," S&P said. The preliminary ratings are based on information as of Feb. 24, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 2, 2020, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture. Based on the proposed supplemental indenture and the information provided to S&P in connection with this review, the replacement class AR, BR, CR, DR, and ER notes are expected to be issued at a lower spread than the original notes. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount (mil. $) Interest rate (%) AR 261.00 LIBOR + 1.03 BR 42.50 LIBOR + 1.55 CR 28.00 LIBOR + 2.05 DR 22.00 LIBOR + 3.15 ER 16.50 LIBOR + 6.75 Original Notes Class Amount (mil. $) Interest rate (%) A 256.00 LIBOR + 1.28 B 48.00 LIBOR + 1.79 C 26.00 LIBOR + 2.50 D 20.00 LIBOR + 3.96 E 18.00 LIBOR + 6.50 The proposed supplemental indenture, in addition to outlining the terms of the replacement notes, will also: -- Update the S&P CDO Monitor language to conform to the current methodology; -- Update the S&P Global Ratings recovery rate tables, as well as the industry and country classifications to conform to the latest criteria released; -- Add benchmark replacement language; -- Update the overcollateralization ratio test levels; -- Update the interest coverage test levels; and -- Adjust the subordination levels. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. In S&P's view, the results of the cash flow analysis, and other qualitative factors as applicable, demonstrated that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions, as we deem necessary," S&P said. PRELIMINARY RATINGS ASSIGNED TCW CLO 2017-1 Ltd. Replacement class Rating Amount (mil. $) AR AAA (sf) 261.00 BR AA (sf) 42.50 CR A (sf) 28.00 DR BBB- (sf) 22.00 ER BB- (sf) 16.50 TICP CLO VII: S&P Assigns Prelim BB-(sf) Rating to Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class X, A-S-R, B-R, C-R, D-R, and E-R replacement notes from TICP CLO VII Ltd./TICP CLO VII LLC, a CLO originally issued in July 2017 that is managed by TICP CLO VII Management LLC. The replacement notes will be issued via a proposed supplemental indenture. The assigned preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Feb. 26, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 3, 2020, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing its rating on the class A-S original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the rating on the original class A-S notes and withdraw its preliminary ratings on the above replacement notes. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the preliminary ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary," S&P said. PRELIMINARY RATINGS ASSIGNED TICP CLO VII Ltd./TICP CLO VII LLC Replacement class Rating Amount (mil. $) X AAA (sf) 4.50 A-S-R AAA (sf) 307.50 A-J-R NR 9.00 B-R AA (sf) 63.50 C-R (deferrable) A (sf) 30.00 D-R (deferrable) BBB- (sf) 30.00 E-R (deferrable) BB- (sf) 20.00 Subordinated notes NR 53.75 NR--Not rated. TICP CLO XV: S&P Assigns BB- (sf) Rating to Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to TICP CLO XV Ltd./TICP CLO XV LLC's floating-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The ratings reflect: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED TICP CLO XV Ltd./TICP CLO XV LLC Class Rating Amount (mil. $) A AAA (sf) 267.75 B AA (sf) 54.40 C (deferrable) A (sf) 26.35 D (deferrable) BBB- (sf) 24.70 E (deferrable) BB- (sf) 16.80 Subordinated notes NR 42.90 TRESTLES CLO III: S&P Assigns BB- (sf) Rating to Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trestles CLO III Ltd./Trestles CLO III LLC's fixed- and floating-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The ratings reflect S&P's view of: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Trestles CLO III Ltd./Trestles CLO III LLC Class Rating Amount (mil. $) A-1 AAA (sf) 247.00 A-2 NR 12.00 B-1 AA (sf) 35.00 B-2 AA (sf) 10.00 C (deferrable) A (sf) 25.00 D (deferrable) BBB- (sf) 22.00 E (deferrable) BB- (sf) 17.00 Subordinated notes NR 37.70 NR--Not rated. TRESTLES CLO III: S&P Assigns BB- (sf) Rating to Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trestles CLO III Ltd./Trestles CLO III LLC's fixed- and floating-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The ratings reflect S&P's view of: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Trestles CLO III Ltd./Trestles CLO III LLC Class Rating Amount (mil. $) A-1 AAA (sf) 247.00 A-2 NR 12.00 B-1 AA (sf) 35.00 B-2 AA (sf) 10.00 C (deferrable) A (sf) 25.00 D (deferrable) BBB- (sf) 22.00 E (deferrable) BB- (sf) 17.00 Subordinated notes NR 37.70 NR--Not rated. UBS COMMERCIAL 2012-C1: Moody's Lowers Class F Debt Rating to Caa3 ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings on seven classes, and downgraded the ratings on three classes in UBS Commercial Mortgage Trust 2012-C1, Commercial Mortgage Pass-Through Certificates, Series 2012-C1 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jul 15, 2019 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Jul 15, 2019 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jul 15, 2019 Affirmed Aaa (sf) Cl. B, Affirmed Aa1 (sf); previously on Jul 15, 2019 Affirmed Aa1 (sf) Cl. C, Affirmed A1 (sf); previously on Jul 15, 2019 Affirmed A1 (sf) Cl. D, Affirmed Baa2 (sf); previously on Jul 15, 2019 Affirmed Baa2 (sf) Cl. E, Downgraded to B2 (sf); previously on Jul 15, 2019 Affirmed Ba3 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Jul 15, 2019 Affirmed B3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jul 15, 2019 Affirmed Aaa (sf) Cl. X-B*, Downgraded to B3 (sf); previously on Jul 15, 2019 Affirmed B1 (sf) * Reflects Interest Only Classes RATINGS RATIONALE Affirm six P&I classes 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. Downgrade two P&I classes due to a decline in performance in the largest loan in the pool, Poughkeepsie Galleria. Affirm one interest only (IO) class based on the credit quality of its referenced classes. Downgrade one IO class based on 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 4.3% at Moody's last review. Moody's base expected loss plus realized losses is now 4.3% of the original pooled balance, compared to 3.5% 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 February 12, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 23% to $1.0 billion from $1.3 billion at securitization. The certificates are collateralized by 65 mortgage loans ranging in size from less than 1% to 7.5% of the pool, with the top ten loans (excluding defeasance) constituting 34% of the pool. Twenty-three loans, constituting 47% 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 16, compared to 17 at Moody's last review. Eight loans, constituting 17% 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 loan has been liquidated from the pool, resulting in an aggregate realized loss of $5.4 million (for an average loss severity of 33.5%). One loan, constituting 1.6% of the pool, is currently in special servicing. The specially serviced loan is the Westminster Square Loan ($16.3 million -- 1.6% of the pool), which is secured by a 194,703 SF office building located in Providence, RI. The property was built in 1960 and was renovated in 2008. The loan was transferred to the special servicer in November 2019 due to occupancy issues. As of June 2019, the property was 74% occupied compared to 82% in December 2018. A Default letter has been sent to the borrower and negotiations are currently underway. Moody's has stressed the value of this loan. Moody's estimates an aggregate $3.8 million loss for the specially serviced loan (23.4% expected loss). Moody's has also assumed a high default probability for two poorly performing loans, constituting 8% of the pool, due to vacancy concerns. Moody's has estimated an aggregate loss of $31.8 million (a 40% expected loss based on a 75% probability default) from these troubled loans. As of the February 12, 2020 remittance statement cumulative interest shortfalls were $1.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2018 operating results for 90.9% of the pool, and partial year 2019 operating results for 90.9% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 89.1%, compared to 94.9% 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 11.2% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.42X and 1.28X, respectively, compared to 1.38X and 1.11X 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 19.4% of the pool balance. The largest loan is the Poughkeepsie Galleria Loan ($77.1 million -- 7.5% of the pool), which represents a pari-passu portion of $140.2 million senior mortgage. The loan is also encumbered by $21 million of mezzanine debt. The loan is secured by a 691,000 square foot (SF) portion of a 1.2 million SF regional mall located about 70 miles north of New York City in Poughkeepsie, New York. Mall anchors include J.C. Penney, Regal Cinemas, and Dick's Sporting Goods as part of the collateral. Non-collateral anchors include Macy's, Best Buy, Target and Sears. In early February 2020 Sears announced their plans to vacate the property. As of the September 2019 rent roll the collateral portion was 79% leased, compared to 89% in December 2018. For the trailing-twelve-month period ending September 2019 average in-line tenant sales ( UBS COMMERCIAL 2017-C1: Fitch Affirms B- Rating on Cl. F-RR Certs ----------------------------------------------------------------- Fitch Ratings affirmed 14 classes of UBS Commercial Mortgage Securitization Corp. commercial mortgage pass-through certificates, series 2017-C1. RATING ACTIONS UBS 2017-C1 Class A1 90276EAA5; LT AAAsf Affirmed; previously at AAAsf Class A2 90276EAB3; LT AAAsf Affirmed; previously at AAAsf Class A3 90276EAD9; LT AAAsf Affirmed; previously at AAAsf Class A4 90276EAE7; LT AAAsf Affirmed; previously at AAAsf Class AS 90276EAH0; LT AAAsf Affirmed; previously at AAAsf Class ASB 90276EAC1; LT AAAsf Affirmed; previously at AAAsf Class B 90276EAJ6; LT AA-sf Affirmed; previously at AA-sf Class C 90276EAK3; LT A-sf Affirmed; previously at A-sf Class D 90276EAN7; LT BBB+sf Affirmed; previously at BBB+sf Class D-RR 90276EAQ0; LT BBB-sf Affirmed; previously at BBB-sf Class E-RR 90276EAS6; LT BB-sf Affirmed; previously at BB-sf Class F-RR 90276EAU1; LT B-sf Affirmed; previously at B-sf Class X-A 90276EAF4; LT AAAsf Affirmed; previously at AAAsf Class X-B 90276EAG2; LT A-sf Affirmed; previously at A-sf KEY RATING DRIVERS Minimal Change to Credit Enhancement: As of the February 2020 distribution date, the pool's aggregate principal balance has been reduced by 2.5% to $935.0 million from $959.0 million at issuance. Eleven loans (30.0%) are full-term interest-only and 17 loans (27.2%) are partial-term interest-only loans, ten of which (14.0%) have begun amortizing. Increase in Loss Expectations: Loss expectations have increased since the prior review due to the declining performance of the specially serviced assets (2.5%) but the majority of the pool has remained stable since issuance. Two assets are REO and five loans (11.6%) have been designated as Fitch Loans of Concern (FLOC), including three loans (9.0%) in the top 15. Two loans (1.1%) are defeased. Fitch Loans of Concern: The largest FLOC, Los Arboles and Canyon Club Apartments (3.6%), is collateralized by two multifamily properties, Los Arboles Apartments, a 97-unit property in Del Mar, CA, and Canyon Club Apartments, a 300-unit property in Las Vegas, NV. YE 2018 NOI is 8.1% above YE 2017, but still remains below Fitch's expectations at issuance. The loan is interest-only until May 2021, and if the loan were amortizing, debt service coverage ratio (DSCR) net cash flow (NCF) would be 1.26x. As of second-quarter 2019 (2Q19), the servicer-reported portfolio occupancy was 97% and interest-only NOI DSCR was 1.68x. The 10th largest loan in the pool, Baypoint Commerce Center (3.2%), is a 689,778 sf office property in St. Petersburg, FL. Per the 3Q19 servicer-reported OSAR, the property is 92% occupied; however, tenants accounting for 11.9% of NRA have leases expiring in 2020. The 13th largest loan in the pool, Unisquare Portfolio (2.3%), is a 417-bed student housing portfolio near Indiana University of Pennsylvania. As of the YE 2019 rent roll, the portfolio is 83% occupied compared with 82% at YE 2018 and 91% at YE 2017. As of 3Q 2019, the property is performing at a 0.57x NOI DSCR. University enrollment has been trending lower and per the borrower, substantial vacancy in on-campus residence halls has put negative pressure on occupancy at the subject. The specially serviced assets include Boston Creek Apartments (1.7%), an apartment complex in Lubbock, TX with extremely low occupancy and Greenhill Apartments (0.8%), an underperforming student housing property near Columbus State University. Retail and Hotel Concentration: Loans backed by retail properties account for 26.9% of the pool, including three loans (10.2%) in the top 15. One loan (1.9%) is collateralized by a regional mall, Macomb Mall, in Roseville, MI. Major tenants at the mall include Kohl's, Dick's Sporting Goods and Michael's. Sears vacated their space in 2017 and has since divided up the anchor box and leased a portion to At Home, DieHard and Chick-Fil-A. Loans backed by hotel properties account for 17% of the pool, including two (5.4%) in the top 15. RATING SENSITIVITIES The Rating Outlook on class F-RR has been revised to Negative from Stable due to the class's exposure to the expected losses on the REO assets. The Outlooks on all other classes remain Stable. Downgrades are possible if additional loans transfer to special servicing or if the performance of the FLOCs continue to deteriorate. Upgrades are possible with additional paydown or defeasance. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of 3. ESG issues are credit neutral or have only a minimal credit impact on the transaction, either due to their nature or the way in which they are being managed by transaction. UBS-CITIGROUP 2011-C1: Moody's Lowers Class G Certs to Caa3 ----------------------------------------------------------- Moody's Investors Service affirmed the ratings on seven classes and downgraded the ratings on four classes in UBS-Citigroup Commercial Mortgage Trust 2011-C1, Commercial Mortgage Pass-Through Certificates, Series 2011-C1 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Mar 22, 2019 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Mar 22, 2019 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 22, 2019 Affirmed Aaa (sf) Cl. B, Affirmed Aa1 (sf); previously on Mar 22, 2019 Affirmed Aa1 (sf) Cl. C, Affirmed A1 (sf); previously on Mar 22, 2019 Affirmed A1 (sf) Cl. D, Affirmed A3 (sf); previously on Mar 22, 2019 Affirmed A3 (sf) Cl. E, Downgraded to Ba3 (sf); previously on Mar 22, 2019 Affirmed Ba1 (sf) Cl. F, Downgraded to B3 (sf); previously on Mar 22, 2019 Affirmed B1 (sf) Cl. G, Downgraded to Caa3 (sf); previously on Mar 22, 2019 Affirmed Caa1 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Mar 22, 2019 Affirmed Aaa (sf) Cl. X-B*, Downgraded to B3 (sf); previously on Mar 22, 2019 Affirmed B1 (sf) * Reflects Interest Only Classes RATINGS RATIONALE Affirm six P&I classes 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. Downgrade three P&I classes due to a decline in performance in the largest loan in the pool, Poughkeepsie Galleria. Affirm one interest only class based on the credit quality of its referenced classes. Downgrade one IO class based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 8.2% of the current pooled balance, compared to 5.8% at Moody's last review. Moody's base expected loss plus realized losses is now 5.0% of the original pooled balance, compared to 3.6% 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 February 12, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 39% to $410 million from $674 million at securitization. The certificates are collateralized by 25 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans (excluding defeasance) constituting 50% of the pool. Ten loans, constituting 43% 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 eight, compared to 12 at Moody's last review. Seven loans, constituting 36% 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 loan has been liquidated from the pool, resulting in an aggregate realized loss of $81,661 (for a loss severity of 1.2%). No loans, are currently in special servicing. Moody's has also assumed a high default probability for two poorly performing loans, constituting 18% of the pool, due to vacancy concerns. Moody's has estimated an aggregate loss of $27.5 million (a 38% expected loss based on a 72% probability default) from these troubled loans. Moody's received full year 2018 operating results for 100% of the pool, and partial year 2019 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 90%, compared to 97% 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 21% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.5%. Moody's actual and stressed conduit DSCRs are 1.43X and 1.36X, respectively, compared to 1.33X and 1.23X 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 25.3% of the pool balance. The largest loan is the Poughkeepsie Galleria Loan ($63.1 million -- 15.4% of the pool), which represents a pari-passu portion of $140.2 million senior mortgage. The loan is also encumbered by $21 million of mezzanine debt. The loan is secured by a 691,000 square foot (SF) portion of a 1.2 million SF regional mall located about 70 miles north of New York City in Poughkeepsie, New York. Mall anchors include J.C. Penney, Regal Cinemas, and Dick's Sporting Goods as part of the collateral. Non-collateral anchors include Macy's, Best Buy, Target and Sears. In early February 2020 Sears announced their plans to vacate the property. As of the September 2019 rent roll the collateral portion was 79% leased, compared to 89% in December 2018. For the trailing-twelve-month period ending September 2019 average in-line tenant sales ( WELLS FARGO 2015-C29: Fitch Affirms Bsf Rating on Class F Certs --------------------------------------------------------------- Fitch Ratings affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2015-C29 commercial mortgage pass-through certificates. RATING ACTIONS WFCM 2015-C29 Class A-2 94989KAT0; LT AAAsf Affirmed; previously at AAAsf Class A-3 94989KAU7; LT AAAsf Affirmed; previously at AAAsf Class A-4 94989KAV5; LT AAAsf Affirmed; previously at AAAsf Class A-S 94989KAX1; LT AAAsf Affirmed; previously at AAAsf Class A-SB 94989KAW3; LT AAAsf Affirmed; previously at AAAsf Class B 94989KBA0; LT AA-sf Affirmed; previously at AA-sf Class C 94989KBB8; LT A-sf Affirmed; previously at A-sf Class D 94989KBC6; LT BBB-sf Affirmed; previously at BBB-sf Class E 94989KAE3; LT BBsf Affirmed; previously at BBsf Class F 94989KAG8; LT Bsf Affirmed; previously at Bsf Class PEX 94989KBD4; LT A-sf Affirmed; previously at A-sf Class X-A 94989KAY9; LT AAAsf Affirmed; previously at AAAsf KEY RATING DRIVERS Generally Stable Loss Expectations: The majority of the pool continues to experience generally stable performance; however, Fitch has designated six Fitch Loans of Concern (FLOCs). The FLOCs represent 13.92% of the pool's balance and five are within the top 15. While the transaction's overall loss expectations have decreased since the prior rating action, expected losses for two FLOCs are higher due to continued occupancy and rollover issues. Fitch Loans of Concern: The largest FLOC is the second-largest loan, 150 Royall Street (3.47% of the pool), is a 259,341 sf class A office building located in Canton, MA. The loan was designated as a FLOC after the largest tenant, McDermott, vacated its space in 2018. McDermott's lease expires in January 2023 and the tenant continues to pay rent while attempting to sublease its space. Per the servicer, approximately half the space has been subleased. The second FLOC is the third-largest loan, Cathedral Place (3.44% of the pool). The loan is secured by a mixed-use property located in the Milwaukee, WI, central business district (CBD). As of September 2019, the property was fully leased with the three largest tenants accounting for 87.5% of the net rentable area (NRA). The largest tenant, Husch Blackwell LLP (42.7% of NRA), is vacating at lease expiration in November 2020. The servicer reports that the borrower expects to sign replacement leases for approximately 74% of Husch Blackwell LLP's space by the end of February. Parkway Crossing East Shopping Center (2.18% of the pool) is the ninth largest loan in the pool and is the largest driver to expected losses. It has been a FLOC since 2018 when Babies R' Us (21% of NRA) vacated. While Bed Bath & Beyond (24% of NRA) and Michael's (17% of NRA) recently renewed for an additional five years, the property continues to experience performance issues and a permanent tenant has not been signed for the Babies R' Us space. As of December 2019, the occupancy was 68%. Per the October 2019 rent roll, two tenants (4% of the NRA) had leases expiring at year-end 2019 and Feb. 1, 2020. Fitch assumed a 64% occupancy rate in its analysis as updates have not been provided from the servicer. The fourth FLOC is the 10th largest loan in the pool. Hall Office Park (2.17% of the pool) is secured by a six-story office building located in Frisco, TX, approximately 25 miles north of the Dallas CBD. The property's largest tenant, Fiserv (35% of NRA), vacated at their lease expiration in May of 2019. As of September 2019, occupancy was 58% and the debt service coverage ratio (DSCR) was 0.99x. The borrower previously stated that Fiserv's space will be re-leased during the normal course of business. The 14th loan in the pool, Dulles North Corporate Parks (2.01% of the pool), is secured by a suburban office building and a data center totaling 159,601 sf. The subject is located in Sterling (Loudon County) Virginia, and consists of 79,210 sf of class 'B' office space and a 80,391 sf data center. Per the most recent watchlist commentary, the sole-tenant in the data center space vacated prior to their lease expiration in February 2020. Per the October 2019 rent roll, the data center was still vacant and the office was fully occupied, and total occupancy was approximately 50%. Per the borrower, a broker has been hired and is aggressively marketing the vacant data center space. Cash management has been implemented for the loan as the DSCR for the trailing twelve month period ending June 30, 2019 was 0.15x. The final FLOC is the 46th loan in the pool. Courtyard by Marriott - Shawnee (0.65% of the pool), is secured by a 90-key full service hotel located in Shawnee, KS. The property performance has declined since issuance due to increased competition in the MSA. The property continues to outperform the market; however, performance remains below issuance levels. Minimal Changes in Credit Enhancement: There have been minimal changes to credit enhancement since issuance. As of the February 2020 remittance report, the transaction has paid down by 6.53%. There are currently no loans in special servicing and the deal has not experienced any losses to date. Seven loans (8.5% of the pool's balance) have defeased. 67 loans (32.6% of pool) are balloon, 48 loans (53.8%) are partial interest-only and 14 loans (13.6%) are interest-only. Pool Diversity: The top 10 loans represent 33.86% of the pool by balance. This is well below the 2015 and 2016 averages of 49.3% and 54.8%, respectively. Property Type Diversity: The largest property type concentrations are Retail (28%), Office (26%) and Multifamily (22%). RATING SENSITIVITIES The Negative Rating Outlook on class F reflects the continued under-performance of six FLOCs. The FLOCs are exposed to significant upcoming lease rollover and the potential for subsequent performance declines. Future downgrades to class F are possible if the performance of the FLOCs continues to deteriorate. Conversely, if performance stabilizes, a revision to Outlook Stable on class F is possible. Stable Outlooks on classes A-2 through E reflect the relatively stable performance for the majority of the pool, and continued paydown of the transaction. Upgrades, while not likely in the near term, are possible with additional paydown, defeasance or improved pool performance. 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. WELLS FARGO 2017-RB1: Fitch Affirms B-sf Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings affirmed all classes of Wells Fargo Commercial Mortgage Trust 2017-RB1. RATING ACTIONS WFCM 2017-RB1 Class A-2 95000TBP0; LT AAAsf Affirmed; previously at AAAsf Class A-3 95000TBQ8; LT AAAsf Affirmed; previously at AAAsf Class A-4 95000TBR6; LT AAAsf Affirmed; previously at AAAsf Class A-5 95000TBS4; LT AAAsf Affirmed; previously at AAAsf Class A-S 95000TBU9; LT AAAsf Affirmed; previously at AAAsf Class A-SB 95000TBT2; LT AAAsf Affirmed; previously at AAAsf Class B 95000TBX3; LT AA-sf Affirmed; previously at AA-sf Class C 95000TBY1; LT A-sf Affirmed; previously at A-sf Class D 95000TAC0; LT BBB-sf Affirmed; previously at BBB-sf Class E 95000TBA3; LT BB-sf Affirmed; previously at BB-sf Class E-1 95000TAE6; LT BB+sf Affirmed; previously at BB+sf Class E-2 95000TAG1; LT BB-sf Affirmed; previously at BB-sf Class EF 95000TBE5; LT B-sf Affirmed; previously at B-sf Class F 95000TBC9; LT B-sf Affirmed; previously at B-sf Class X-A 95000TBV7; LT AAAsf Affirmed; previously at AAAsf Class X-B 95000TBW5; LT A-sf Affirmed; previously at A-sf Class X-D 95000TAA4; LT BBB-sf Affirmed; previously at BBB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The overall pool performance and loss expectations remain stable from issuance. There are no delinquent or specially serviced loans and performance generally remains in line with Fitch's expectations. One loan within the top 15 (1.6% of pool) was designated a Fitch Loan of Concern. Fitch Loan of Concern: The collateral for the Hotel Wilshire loan is a 74-key full-service boutique hotel located in Los Angeles, CA that was originally developed as a medical office property in 1950. The building was completely gutted in 2009 and reopened as a hotel in 2011 under the Kimpton flag. The operating agreement with Kimpton expires in 2022, four years prior to the loan's maturity date, and contains two, five-year extension options that are automatically exercised unless Kimpton provides at least six months' notice prior to expiration. As of the September 2019 STR Report, RevPAR is 5% below and occupancy is 4% below Fitch's expectations at issuance. NOI debt service coverage ratio (DSCR) declined to 1.39x as of September 2019 TTM, compared with 1.93x at YE 2018 and 2.10x at YE 2017. Minimal Change to Credit Enhancement: As of the January 2020 distribution date, the pool's aggregate principal balance has paid down by 1.8% to $626.2 million from $637.6 million at issuance. The transaction is expected to pay down by 6.2% based on scheduled loan maturity balances. One loan (2% of pool) is fully-defeased and one loan (1% of pool at Fitch's last rating action) prepaid with yield maintenance in December 2019. Thirteen loans (53.2% of pool) are full-term interest-only while eight loans (26.3%) remain in their partial interest-only periods. One loan matures in 2022 (3.3%) and in 2026 (6.4%), with the majority of the pool maturing in 2027 (90.3%). Pool Concentration: The top 10 loans compose 58% of the pool, which is above the 2017 and 2016 averages of 53.1% and 54.8%, respectively. The pool's largest property type is office at 49.7%, followed by retail at 18.6% and hotel at 9.4% of the pool. The pool's office concentration is above the 2017 and 2016 averages of 39.8% and 28.7%, respectively. Pari Passu Loans: Eleven loans comprising 54.5% of the pool, including six of the top 10, are pari passu loans. This is significantly higher than the 2017 average of 45.0% for other Fitch-rated multiborrower deals. 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. WFRBS COMMERCIAL 2012-C10: Moody's Lowers Class F Certs to Caa3 --------------------------------------------------------------- Moody's Investors Service affirmed the ratings on nine classes and downgraded the ratings on three classes in WFRBS Commercial Mortgage Trust 2012-C10, Commercial Mortgage Pass-Through Certificates Series 2012-C10 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa (sf) Cl. A-FL, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa (sf) Cl. A-FX, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Nov 9, 2018 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Nov 9, 2018 Affirmed A3 (sf) Cl. D, Downgraded to Ba2 (sf); previously on Nov 9, 2018 Affirmed Baa3 (sf) Cl. E, Downgraded to B3 (sf); previously on Nov 9, 2018 Downgraded to B1 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Nov 9, 2018 Downgraded to Caa1 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Nov 9, 2018 Affirmed Aaa (sf) Cl. X-B*, Affirmed A2 (sf); previously on Nov 9, 2018 Affirmed A2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings on seven P&I classes 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 (Herf), are within acceptable ranges. The ratings on three P&I classes, Cl. D, Cl. E and Cl. F were downgraded due to a decline in pool performance driven primarily by exposure to regional malls representing 14% of the outstanding pooled balance that have experienced declines in net operating income (NOI). The loans include Dayton Mall, Animas Valley Mall and Towne Mall. The ratings on the IO classes were affirmed based on the credit quality of their referenced classes. Moody's rating action reflects a base expected loss of 7.4% of the current pooled balance, compared to 4.0% at Moody's last review. Moody's base expected loss plus realized losses is now 5.9% of the original pooled balance, compared to 3.3% 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 rating all classes except the interest-only classes was "Approach to Rating US and Canadian Conduit/Fusion 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 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. DEAL PERFORMANCE As of the February 18, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $1.04 billion from $1.31 billion at securitization. The certificates are collateralized by 72 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) constituting 56% of the pool. One loan, constituting 11% of the pool, has an investment-grade structured credit assessment. Thirteen loans, constituting 6% 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 20, compared to 22 at Moody's last review. Nine loans, constituting 22% 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. There have been no loans liquidated from the pool and there are no loans currently in special servicing. Moody's has assumed a high default probability for four poorly performing loans, constituting 11% of the pool, and has estimated an aggregate loss of $38.3 million (a 35% expected loss on average) from these troubled loans. Moody's received full year 2018 operating results for 100% of the pool, and full or partial year 2019 operating results for 98% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 95%, compared to 96% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 23% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.1%. Moody's actual and stressed conduit DSCRs are 1.62X and 1.24X, respectively, compared to 1.68X and 1.25X 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 loan with a structured credit assessment is the Concord Mills Loan ($110.0 million -- 10.6% of the pool), which represents a pari-passu participation of a $235 million mortgage loan. The loan is secured by a 1.28 million square foot (SF) super-regional mall located in Concord, North Carolina. Major tenants include Bass Pro Shops Outdoor, Burlington Coat Factory and AMC Corporation. The mall was 96% leased as of September 2019 compared to 97% in June 2018. Inline occupancy for the same period was 89% compared to 92%. While occupancy has remained stable compared to last review and securitization, financial performance has steadily improved due to an increase in rental revenue. Moody's structured credit assessment and stressed DSCR are a2 (sca.pd) and 1.34X, respectively, the same as at last review. The top three conduit loans represent 24% of the pool balance. The largest loan is the Republic Plaza Loan ($115.9 million -- 11.2% of the pool), which represents a pari-passu portion of a $259.7 million loan. The loan is secured by a 56-story Class-A trophy office tower and a separate 12-story parking garage located in downtown Denver, Colorado. Major tenants include Encana Oil & Gas, DCP Midstream, LP and Wheeler Trigg O'Donnell LLP. The tower was 84% leased as of December 2019, compared to 92% in June 2018, 87% in December 2017 and 95% at securitization. Moody's LTV and stressed DSCR are 112% and 0.87X, respectively, compared to 114% and 0.85X at the last review. The second largest loan is the Dayton Mall Loan ($78.9 million -- 7.6% of the pool), which is secured by a 778,500 SF, two-story regional mall located in Dayton, Ohio. The mall's current anchor tenants include Macy's (non-collateral), JC Penney (collateral) and Dick's Sporting Goods (collateral). Sears, a prior non-collateral anchor, closed at this location during 2018. The mall has had other major tenants shutter due to bankruptcy including a 203,000 SF Elder Beerman (non-collateral) in early 2018 and a 30,000 SF HHgregg (collateral) in 2017. The former HHgregg space has since been replaced by Ross Dress for Less which opened in October 2019. The total mall was 88% leased as of September 2019 compared to 96% in June 2018 and 92% at securitization. Excluding the vacant anchor spaces (Sears and Elder Beerman), total occupancy is approximately 66%. As of September 2019, inline occupancy was 71% compared to 79% in June 2018. Due to the decline in NOI and DSCR, Moody's considers this as a troubled loan. The third largest loan is the STAG REIT Portfolio Loan ($51.3 million -- 4.9% of the pool), which was originally secured by 28 industrial buildings totaling 3.6 million SF and located throughout eight states. Four of the properties have since defeased and one has been released and currently only 23 properties remain totaling 3.3 million SF. The portfolio was 94% leased as of September 2019, compared to 90% in December 2017 and 98% at securitization. Excluding the defeased properties, Moody's LTV and stressed DSCR are 70% and 1.58X, respectively, compared to 72% and 1.54X at the last review. There are two additional loans that are secured by malls in tertiary markets which have experienced declines in operating performance. The Animas Valley Mall Loan ($44.9 million -- 4.3% of the pool), is secured by an approximately 477,000 SF regional mall located in Farmington, New Mexico. It is the only regional enclosed mall in the trade area (30 miles radius) and the only regional mall serving the Farmington MSA and the Four Corners market of NM, CO, AZ and UT. The mall was 90% leased as of September 2019 (inline occupancy was 77%). However, as of February 2020, Sears (14% of Net Rentable Area (NRA)) has closed at this location. Moody's LTV and stressed DSCR are 122% and 0.99X, respectively, compared to 113% and 1.08X at the last review. The other mall with a decline in performance is the Towne Mall Loan ($20.3 million -- 2.0% of the pool), which is secured by a 354,000 SF regional shopping mall located along the primary commercial district in Elizabethtown, Kentucky approximately three miles south of the CBD. Sears (20% of NRA) closed in October 2019 and was temporarily replaced by a Spirit Halloween store. The loan is on the watchlist due to low DSCR, as a result of declining occupancy since 2015. The total mall was 89% leased as of September 2019, unchanged from June 2018 and compared to 94% at year-end 2015. The property would be 69% leased without the Spirit Halloween tenant. Moody's LTV and stressed DSCR are 122% and 0.99X, respectively, compared to 95% and 1.20X at the last review. WFRBS COMMERCIAL 2013-C11: Fitch Affirms B Rating on Cl. F Certs ---------------------------------------------------------------- Fitch Ratings affirmed 12 classes of WFRBS Commercial Mortgage Trust 2013-C11 certificates. RATING ACTIONS WFRBS 2013-C11 Class A-3 92937EAC8; LT AAAsf Affirmed; previously at AAAsf Class A-4 92937EAD6; LT AAAsf Affirmed; previously at AAAsf Class A-5 92937EAZ7; LT AAAsf Affirmed; previously at AAAsf Class A-S 92937EAF1; LT AAAsf Affirmed; previously at AAAsf Class A-SB 92937EAE4; LT AAAsf Affirmed; previously at AAAsf Class B 92937EAG9; LT AAsf Affirmed; previously at AAsf Class C 92937EAH7; LT Asf Affirmed; previously at Asf Class D 92937EAJ3; LT BBB-sf Affirmed; previously at BBB-sf Class E 92937EAL8; LT BBsf Affirmed; previously at BBsf Class F 92937EAN4; LT Bsf Affirmed; previously at Bsf Class X-A 92937EAS3; LT AAAsf Affirmed; previously at AAAsf Class X-B 92937EAU8; LT Asf Affirmed; previously at Asf KEY RATING DRIVERS Increased Credit Enhancement/Additional Defeasance: The increased credit enhancement is a result of loan amortization, prepayments, and additional defeasance of four loans (2.2%) since Fitch's last rating action. In total, 17 loans (12.6%) are fully defeased. As of the February 2020 remittance report, the pool's aggregate principal balance has been reduced by 30.3% to $1.00 billion from $1.44 billion at issuance. Five loans (4.8%) are considered Fitch Loans of Concern (FLOCs) and are on the master servicer's watchlist due to performance declines resulting from tenants vacating, weak market conditions, and/or deferred maintenance, of which, one is a retail property (2.2%) within the top 15. Overall Stable Performance Since Last Rating Action: Although overall loss expectations have increased since issuance, performance has been stable since Fitch's last rating action. Five loans (4.8% of the pool) are currently on the servicer watchlist and are considered FLOCs. There are currently no specially serviced loans. Since Fitch's last rating action, two loans (0.6%) prepaid with yield maintenance. FLOCs: The largest FLOC, Encino Courtyard (2.2%) is a 99,677 sf shopping center located in Encino, CA. At issuance, the property was anchored by Bed Bath and Beyond and LA Fitness and a mix of 18 other in-line tenants. The property's occupancy declined to 22.5% as of December 2019, due to the two largest tenants, LA Fitness and Bed Bath & Beyond vacating their space in December 2018 and September 2019, respectively. The most recent NOI debt service coverage ratio (DSCR) as of September 2019 declined to 0.34x from 1.18x at YE 2018 and 1.50x at issuance. Per the master servicer, the borrower has agreed to terms with Target and Planet Fitness to back fill the spaces vacated by these two tenants. The borrower intends to deliver the space to Planet Fitness in the Summer/Fall of 2020 with an estimated rent commencement date of July 2021. The estimated rent commencement date for Target is March 2021. The second largest FLOC (0.9%) is secured by a 22 unit hotel property located in Indianapolis, IN, built in 2009. The loan is on the master servicer's watchlist for deferred maintenance. Per the December 2019 Smith Travel Research (STR) report, the property's occupancy, average daily rate (ADR), and revenue per available room (RevPAR) were 66.2%, $138, $92 compared to 59%, $119, $69 for its competitive set. The most recent NOI DSCR as of TTM June 2019 is 2.19x, 2.45x at YE 2018, 2.53x at YE 2017 and 1.81x at issuance. The third largest FLOC (0.9%) is secured by a 95 room hotel property located in Baltimore, MD. As of 2Q19, the property was 70.9% occupied with a TTM NCF DSCR of 0.63x and an ADR and RevPAR of $105.86 and $75.06, respectively. Per the master servicer, the borrower stated the Baltimore market has suffered a steady decline due to weak convention attendance and riots that happened several of years ago. However, room revenue has increased by $105,000 over same period last year. Additionally, they have spent funds to renovate and improve the property and consequently their guest service scores have increased as well. Alternative Loss Considerations Sensitivity Analysis: Fitch ran an additional stressed sensitivity of 15% on Concord Mills to address the lack of updated sales, potential for tenant departures as a result of major-tenant bankruptcies and upcoming rollover risk. Limited Near-term Maturities: Approximately 39% matures in 2022 and 61% in 2023. Pool Concentrations: The largest 10 loans account for 64.4% of the pool balance. No loan accounts for more than 14.3% of the pool's balance. 34.9% of the pool is secured by office properties, 28.8% retail with no exposure to retailers Macy's, JC Penney's or Sears, 12.8% mobile home communities, and 9.8% hotels. Two loans (19.1%) are interest-only and nine loans (43.2%) are interest-only then balloon. Energy Tenancy Exposure: The largest loan, Republic Plaza (14.3%) and the fifth largest loan, Encana Oil & Gas (6.6%), have significant exposure to energy related tenants. However, Encana vacated the Encana Oil & Gas property in Plano, TX, when they consolidated U.S. business operations in 2014 and have subleased all of their space. Fitch will continue to monitor the performance of these loans due to ongoing concerns with oil and gas industry. Fitch's cash flow analysis reflects the high energy related tenancy. RATING SENSITIVITIES The revision of the Outlook of class B to Positive reflects increased credit enhancement (CE) resulting from paydown and additional defeasance since Fitch's last rating action. An upgrade of a category is expected if CE increases and the overall pool performance remains stable. Rating Outlooks for classes A-3 through A-S, C through F, and interest only classes X-A and X-B remain Stable due to the overall stable pool performance and continued amortization, paydown, and defeasance. Additional upgrades may occur with improved pool performance and additional paydown or defeasance. Although the below investment grade classes E and F could withstand a 15% loss on the Concord Mills loan, downgrades of up to one category are possible should loans transfer to special servicing or performance of the FLOCs deteriorate. 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. YORK CLO-4: S&P Assigns Prelim BB- (sf) Rating to Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to York CLO-4 Ltd.'s floating-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 27, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED York CLO-4 Ltd. Class Rating Amount (mil. $) X-R AAA (sf) 2.00 A-1-R AAA (sf) 246.50 A2-R AAA (sf) 11.80 B-R AA (sf) 43.80 C-R (deferrable) A (sf) 23.90 D-R (deferrable) BBB- (sf) 21.80 E-R (deferrable) BB- (sf) 18.60 Subordinated notes NR 40.00 NR--Not rated. [*] DBRS Reviews 316 Classes From 12 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 316 classes from 12 U.S. residential mortgage-backed security (RMBS) transactions. Of the 316 classes reviewed, DBRS Morningstar, on Feb. 21, 2020, upgraded 315 ratings and discontinued one rating. These classes were also removed from Under Review with Positive Implications (see the PR titled "DBRS Morningstar Places 12 GSE CRT Transactions Under Review with Positive Implications," published in November 2019). The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The discontinued rating reflects a full repayment of the principal to the bondholders. The pools backing these RMBS transactions consist of Fannie and Freddie residential collateral. The rating actions are a result of DBRS Morningstar's application of the "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," published in December 2019. In this update, DBRS Morningstar implemented a minimum asset correlation in its RMBS Insight model with respect to pools with very high loan counts. In its analysis, DBRS Morningstar used prepayment rates that are consistent with those used in its new rating analysis. Such prepayment rates are slightly more conservative than the 12-month trailing conditional prepayment rates exhibited in the government-sponsored enterprise credit risk transfer (GSE CRT) transactions. Notes: The principal methodologies are RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology and the U.S. RMBS Surveillance Methodology. The Affected Rating is Available at https://bit.ly/2waasyx [*] S&P Takes Various Actions on 143 Classes From 23 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 143 classes from 23 U.S. RMBS transactions issued between 2001 and 2007. The transactions are backed by prime jumbo, alternative-A, subprime, neg-am, re-performing, and outside-the-guidelines collateral. The review yielded 38 upgrades, 10 downgrades, 84 affirmations, and 11 withdrawals. Of the 38 raised ratings, five are corrections to prior assigned ratings. "We corrected our ratings on the class A-2, A-3, A-4, A-5, and PO certificates from Residential Asset Securitization Trust 2003-A10. These corrections are due to an update in the cash flow allocation data provided by Intex Solutions Inc. (Intex), a third-party data provider. While the internal model we use in determining our ratings on U.S. RMBS transactions typically applies to our criteria assumptions, in many cases Intex provides the collateral composition and structural modeling used as inputs to our analysis. Therefore, the resulting collateral characteristics and structural mechanics that use our input assumptions depend on the modeling and data provided to us by Intex," S&P said. "During this review, we observed that the cash flow results for these classes were inconsistent with the available credit support. We subsequently determined that Intex was not applying the cash flow allocation for these classes as per the transaction documents, and we informed Intex of the discrepancy. As such, Intex corrected its cash flow allocation data to reflect what was set forth in the transaction documents. Based on our updated cash flow results and our current view of these classes' credit risk, we have raised our ratings on the class A-2, A-3, A-4, A-5, and PO certificates," the rating agency said. In addition, 37 ratings from 13 of the transactions within this review were placed under criteria observation (UCO) on Oct. 18, 2019, following the publication of "Methodology To Derive Stressed Interest Rates In Structured Finance." The rating actions resolve the UCO placements and each of the ratings reviewed are based on the application of S&P's updated stressed interest rate assumptions and incorporate any performance changes since last review. ANALYTICAL CONSIDERATIONS S&P incorporate various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Historical missed interest payments; -- Available subordination and/or overcollateralization; -- The erosion of or increases in credit support; and -- Tail risk. RATING ACTIONS The rating actions reflect S&P's view of the associated transaction-specific collateral performance and structural characteristics and/or the application of specific criteria applicable to these classes. The affirmations reflect S&P's view that its projected credit support and collateral performance on these classes have remained relatively consistent with its prior projections. S&P raised its ratings on Bear Stearns Asset Backed Securities Trust 2006-SD3's class I-A-IA and I-A-IB certificates to 'AA (sf)' from 'BBB+ (sf)' and 'BBB- (sf)', respectively, due to increased group-directed credit support. The group-directed credit support increased to 68.1% in January 2020 from 60.8% during S&P's last review. The upgrades reflect the classes' ability to withstand a higher level of projected loss than previously anticipated. S&P also raised its rating on the class 2-A-1 certificates from IndyMac INDX Mortgage Loan Trust 2004-AR2 to 'BB+ (sf)' from 'CCC (sf)' due to expected short duration. Based on the class' average recent principal allocation, this class is projected to pay down in a short period of time relative to projected loss timing, which limits its exposure to potential losses. S&P withdrew its rating on the class 2-A certificates from GMACM Mortgage Loan Trust 2005-AR1. As of January 2020, there are 33 loans remaining in group two, 59% of which are modified. Additionally, the total outstanding balance of class 2-A is approximately $4.8 million, whereas the balance of current loans in the pool is approximately $3.8 million. As such, it is uncertain when or if this class will receive all of its remaining outstanding principal. A list of Affected Ratings can be viewed at: https://bit.ly/3c4fdu3 [*] S&P Takes Various Actions on 82 Classes From 24 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 82 classes from 24 U.S. RMBS transactions issued between 2003 and 2007. The review yielded 11 upgrades, four downgrades, 58 affirmations, three discontinuances, and six withdrawals. In addition, seven of the transactions within this review had one class each that was placed under criteria observation (UCO) on Oct. 18, 2019, following the publication of "Methodology To Derive Stressed Interest Rates In Structured Finance." The rating actions resolve the UCO placements based on the application of S&P's updated stressed interest rate assumptions and incorporate any performance changes since last review. ANALYTICAL CONSIDERATIONS S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance and/or delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Available subordination and/or overcollateralization; -- The erosion of or increases in credit support; -- Interest-only criteria; -- Principal-only criteria; -- Tail risk; and -- A small loan count. RATING ACTIONS "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or reflect the application of specific criteria applicable to these classes," S&P said. "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections," the rating agency said. S&P withdrew its ratings on MASTR Alternative Loan Trust 2003-4 classes 1-A-1, 4-A-1, 4-A-2, 4-A-3, and 15-PO because the related group has less than six loans remaining. It also withdrew its rating on First Horizon Alternative Mortgage Securities Trust 2005-FA3 class II-A-PO due to two loans remaining in that related group. Once a pool has declined to a de minimis amount, the rating agency believes there is a high degree of credit instability that is incompatible with any rating level. A list of Affected Ratings can be viewed at: https://bit.ly/2PvNSqZ ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. 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