/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/200531.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, May 31, 2020, Vol. 24, No. 151 Headlines ACCESS GROUP 2007-1: Fitch Cuts Ratings on 2 Tranches to Bsf AIR CANADA 2020-1: Moody's Gives Ba1 Rating on Class C Certs ANGEL OAK 2020-2: Fitch Rates Class B-2 Debt 'Bsf' BANC OF AMERICA 2005-7: Moody's Cuts Rating on 3 Tranches to Caa1 BANK OF AMERICA 2015-UBS7: Fitch Cuts Class F Certs to 'CCsf' BEAR STEARNS 2005-TOP18: Fitch Affirms D Rating on 6 Tranches BENCHMARK 2020-IG3: DBRS Gives Prov. B(low) Rating on 825S-D Certs CFMT 2020-HB3: DBRS Assigns BB Rating on Class M4 Notes COMM LTD 2004-RS1: Fitch Cuts Rating on 8 Tranches to 'Dsf' CSMC TRUST 2017-RPL2: Fitch Gives B-sf Rating on 2 Tranches DBJPM MORTGAGE 2016-C3: Fitch Affirms Class E Certs at 'BBsf' FALCON 2019-1: Fitch Cuts Rating on Series C Notes to 'Bsf' GOLD KEY 2014-A: DBRS Confirms BB(High) Rating on Cl. C Securities GS MORTGAGE 2020-PJ3: DBRS Gives Prov. B Rating on Class B-5 Certs HERTZ VEHICLE II: DBRS Lowers Rating on 10 Classes to CC(sf) JC PENNEY: S&P Cuts Ratings on 8 Classes From 5 Transactions to 'D' JP MORGAN 2003-CIBC6: Fitch Affirms Dsf on 2 Tranches JP MORGAN 2006-CIBC15: Moody's Affirms C Rating on 2 Tranches JP MORGAN 2012-CIBX: Moody's Cuts Class G Certs to 'Ca' MORGAN STANLEY 2014-C18: Fitch Affirms B on Class 300-E Debt MSBAM 2012-C5: Fitch Alters Outlook on Class H Debt to Stable NELNET STUDENT 2005-4: Fitch Affirms B Ratings on 4 Tranches SLM STUDENT 2003-1: Fitch Affirms B Ratings on 4 Tranches STARWOOD MORTGAGE 2020-2: DBRS Gives (P)B(low) Rating on B-2 Certs UBS-BARCLAYS COMMERCIAL 2013-C5: Moody's Cuts Class F Certs to Ca VERTICAL BRIDGE 2020-1: Fitch Assigns BB-sf Rating on Class F Notes VERUS SECURITIZATION 2020-2: DBRS Gives (P)B Rating on B-2 Certs VERUS SECURITIZATION 2020-2: Fitch Rates Class B-2 Certs 'Bsf' WFRBS 2011-C5: Fitch Revises Outlook on Class F Debt to Negative WFRBS COMMERCIAL 2012-C9: Fitch Affirms Class F Certs at Bsf WFRBS COMMERCIAL 2013-C16: Fitch Cuts Class F Certs to CCCsf ********* ACCESS GROUP 2007-1: Fitch Cuts Ratings on 2 Tranches to Bsf ------------------------------------------------------------ Fitch Ratings has taken the following rating actions on Access Group 2007-1. RATING ACTIONS ENTITY/DEBT RATINGPRIOR Access Group, Inc. - Federal Student Loan Notes, Series 2007-1 - Class A-4 00432CDP3; LT BBsf; Downgrade - Class A-5 00432CDQ1; LT BBsf; Affirmed - Class B 00432CDR9; LT Bsf; Affirmed - Class C 00432CDS7; LT Bsf; Affirmed TRANSACTION SUMMARY The downgrade of class A-4 is due to decreasing prepayment rates, increasing the likelihood of class A-4 missing its legal final maturity. Class A-4 passes the baseline maturity stress, and with three years remaining to maturity, a one-rating category tolerance is applied as the notes pass the credit stress. Classes A-5, B and C notes fail Fitch's baseline stress. The current ratings reflect qualitative considerations such as Access Group's ability to call the notes upon reaching a 10% pool factor and the firm's prior commitment to the performance of its securitizations as evidenced by a previous cash infusion to another trust to meet obligations at maturity. The two-category difference between the 'BBsf' rating on the A-5 notes and Fitch's cash flow model implied rating represents a criteria variation; however, the rating on these notes additionally reflects the time horizon until maturity and the failure of the baseline maturity stress is deemed marginal. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Fitch maintained the sustainable constant default rate assumption of 2.1% but revised the sustainable constant prepayment rate to 11.0% from 12.0%. The sCDR and sCPR take into account expected deterioration of asset performance over the life of the assets, including expected deterioration driven by the coronavirus pandemic. The base case and BB default rates are 13.0% and 16.25% respectively. Fitch applied the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, and forbearance are approximately 2.2%, and 4.4% respectively and are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The class A-4 notes will mature in 2023, and the remaining classes mature in 2035. Fitch's student loan ABS cash flow model indicates that only the A-4 notes are paid in full prior to the legal final maturity in Fitch's 'Bsf' stress rating case. If the A-4 or A-5 senior classes miss their respective maturity dates, an event of default is triggered and interest payments will be diverted away from the subordinate and junior subordinate notes, causing these notes to default. Payment Structure: Credit enhancement is provided by excess spread and for the Class A notes, subordination provided by the class B and class C notes. As of April 2020, distribution, reported senior, senior subordinate and total parity is 114.04%, 105.50% and 100.25% respectively. Liquidity support is provided by a capitalized interest account currently sized at approximately $1.77 million. The trust is releasing cash as total parity is at 100.25%, the cash release threshold. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of April 25, 2020, all trust student loans are indexed to either a 91-day T-bill or a one-month LIBOR, and all notes are indexed to 3ML. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Operational Capabilities: Day-to-day servicing for the trust's entire portfolio is performed by Nelnet Inc., (Nelnet). Fitch believes Nelnet to be an acceptable servicer of FFELP student loans due to their long servicing history. Coronavirus Impact: Fitch has made assumptions about the spread of the coronavirus and the economic impact of the related containment measures. Under the coronavirus baseline scenario, Fitch assumes a global recession in 1H20 driven by sharp economic contractions and a rapid spike in unemployment. Recovery begins in 3Q20, but personal incomes remain depressed through 2022. Under this scenario, Fitch revised the sCPR assumption reflecting a decline in payment rates to previous recessionary levels for two years and return to recent performance for the remainder of the life of the transaction. The sCDR was not adjusted reflecting the cushion between the assumption and recent performance. The risk of negative rating actions will increase under Fitch's coronavirus downside scenario, which contemplates a more severe and prolonged period of stress with a halting recovery beginning in 2Q21. As a down side sensitivity, Fitch assumed the current 'BBsf' default rate of 16.3% without any adjustment to the default multiples as the new base case default rate. Under this scenario, there was no impact to the ratings. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A-4 'AAAsf', class A-5 'BBsf', classes B and C 'Bsf'; -- Basis Spread decrease 0.25%: class A 'AAAsf', class A-5 'BBsf', classes B and C 'Bsf'; Maturity Stress Sensitivity -- CPR increase 25%: class A-4 'Asf', class A-5 'BBsf', classes B and C 'Bsf'; -- IBR usage decrease 25%: class A-4 'BBsf', class A-5 'BBsf', class B and class C 'Bsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A-4 'AAAsf', class A-5 'CCC 'sf', classes B and C 'CCCsf'; -- Default increase 50%: class A-4 'AAAsf', class A-5 'CCCsf', classes B and C 'CCCsf'; -- Basis spread increase 0.25%: class A-4 'AAAsf', class A-5 'CCCsf', classes B and C 'CCCsf'; -- Basis spread increase 0.50%: class A-4 'AAAsf', class A-5 'CCCsf, classes B and C 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A-4 and A-5 'CCCsf', classes B and C 'CCCsf'; -- CPR decrease 50%: class A-4 and A-5 'CCCsf'; classes B and C 'CCCsf'; -- IBR usage increase 25%: classes A-4 and A-5 'CCCsf', classes B and C 'CCCsf'; -- IBR usage increase 50%: classes A-4 and A-5 'CCCsf', classes B and C 'CCCsf'; -- Remaining Term increase 25%: classes A-4 and A-5 'CCCsf', classes B and C 'CCCsf'; -- Remaining Term increase 50%: classes A-4 and A-5 'CCCsf', classes B and C 'CCCsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION The final rating of the class A-5 note is in excess of the one rating category allowed by the FFELP criteria. Should Fitch not apply the variation, class A-5 would have been downgraded to 'CCCsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). AIR CANADA 2020-1: Moody's Gives Ba1 Rating on Class C Certs ------------------------------------------------------------ Moody's Investors Service assigned a Ba1 rating to Air Canada's Pass-Through Certificates, Series 2020-1 the company announced earlier: $315.783 million Class C with a legal final maturity date of July 15, 2026. The scheduled maturity date is also July 15, 2026. There will be no liquidity facility for the Certificates and the obligation is a bullet maturity. Air Canada will use the proceeds for general corporate purposes. The Certificates will be secured on a junior basis by the 27 aircraft that secure the company's Series 2015-1, Series 2015-2 and Series 2017-1 EETCs. The Corporate Family Rating of Air Canada is Ba1 and is unaffected by the issuance of the Certificates. The Ba1 rating of the Certificates and all other ratings assigned to Air Canada including the Ba1 corporate family rating and its other Enhanced Equipment Trust Certificates are on review for downgrade. The spread of the coronavirus outbreak, the weakened global economic outlook, low oil prices and asset price declines are sustaining a severe and extensive credit shock across many sectors, regions and markets. The combined credit effects of these developments are unprecedented. The passenger airline sector is one of the sectors most significantly affected by the shock given its exposure to travel restrictions and sensitivity to consumer demand and sentiment. Passenger demand is currently down by more than 90% across most of the world, excluding a few countries in Asia. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. The impacts of the coronavirus are significantly curtailing airlines' need for aircraft, at least in the near term, which will likely pressure equity cushions of EETC transactions. RATINGS RATIONALE The Ba1 rating of the Certificates reflects an equity cushion of less than ten percent before priority claims that would be recognized under an EETC default scenario. This estimate is on a blended basis across the Three EETCs. The rating also considers the credit quality of Air Canada and the legal protections afforded the Enhanced Equipment Trust Certificates, including being subject to the Cape Town Convention as implemented in the federal and provincial laws of Canada. The Series 2020-1 Class C equipment notes will be cross-defaulted within each series if senior classes of such series remain outstanding, but not across the Three EETCs until the senior classes of each are paid off. For example, under an insolvency of Air Canada where it rejects one or two but not all three of the Three EETCs, the Class C EETC(s) that are not rejected will not be in default pursuant to the terms of the Series 2020-1 Class C equipment notes. The Series 2020-1 Class C equipment notes will be cross-collateralized across the Three EETCs. Moody's currently estimates the blended loan-to-value at about 92% before priority claims of up to 10 percentage points under an EETC default scenario. The ratings of the EETCs reflect Moody's belief that Air Canada would retain the aircraft in each transaction under a reorganization scenario because of the importance of these models to the fleet and network strategy over the remaining lives of each transaction, their relatively young ages and fuel efficiency. The 2015-1 transaction (unrated by Moody's) is secured by eight 787-9s and one 787-8. Moody's estimates the peak LTVs of the Class A and Class B at about 60% and 75%, respectively. The scheduled final payment dates are March 15, 2027 for the Class A and March 15, 2023 for the Class B. The 2015-2 transaction is secured by two 777-300ERs and three 787-9s. Moody's estimates the peak LTVs of the Class AA (rated A1), Class A (rated A3) and Class B (rated Baa2) at about 53%, 74% and 88%, respectively. These occur near the scheduled final payment dates of December 15, 2027 for the Class AA and Class A and December 15, 2023 for the Class B. The 2017-1 transaction is secured by nine 737 MAX 8s and four 787-9s. Moody's anticipates that the 737 MAX will return to service in a timeframe that will not lead to undue pressure on its market value. Moody's estimates the peak LTVs of the Class AA (rated A1), Class A (rated A3) and Class B (rated Baa2) at about 45%, 64% and 79%, respectively. The scheduled final payment dates are January 15, 2030 for the Class AA and Class A and January 15, 2026 for the Class B. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Changes in EETC ratings can result from any combination of changes in the underlying credit quality or ratings of the company, Moody's opinion of the importance of the aircraft collateral to the operations and/or its estimates of current and projected aircraft market values, which will affect estimates of loan-to-value. Near-term updates to Moody's estimates of aircraft market values that reduce the respective equity cushion could lead to further downgrades. The methodologies used in this rating were Passenger Airline Industry published in April 2018. The following rating actions were taken: Assignments: Issuer: Air Canada Series 2020-1 Pass Through Trusts Senior Secured Enhanced Equipment Trust Class C, Assigned Ba1; Placed Under Review for Downgrade Outlook Actions: Issuer: Air Canada Series 2020-1 Pass Through Trusts Outlook, Assigned Rating Under Review Air Canada is the largest provider of scheduled airline passenger services within, and to and from Canada. Revenue in 2019 was CAD19.1 billion. The company is headquartered in Saint-Laurent, Quebec, Canada. ANGEL OAK 2020-2: Fitch Rates Class B-2 Debt 'Bsf' -------------------------------------------------- Fitch Ratings has assigned ratings to the residential mortgage-backed certiﬁcates issued by Angel Oak Mortgage Trust 2020-2. AOMT 2020-2 - Class A-1A; LT AAAsf; New Rating - Class A-1B; LT AAAsf; New Rating - Class A-2; LT AAsf; New Rating - Class A-3; LT Asf; New Rating - Class A-IO-S; LT NRsf; New Rating - Class B-1; LT BBsf; New Rating - Class B-2; LT Bsf; New Rating - Class B-3; LT NRsf; New Rating - Class M-1; LT BBB-sf; New Rating TRANSACTION SUMMARY Fitch has assigned ratings to the residential mortgage-backed certiﬁcates to be issued by Angel Oak Mortgage Trust 2020-2. The certiﬁcates are supported by 827 loans with a balance of $345.95 million as of the cutoff date. This will be the eighth Fitch-rated transaction consisting of loans majority originated by several Angel Oak-afﬁliated entities. The certiﬁcates are secured mainly by nonqualiﬁed mortgages as deﬁned by the Ability to Repay rule. 85.3% of the loans were originated by several Angel Oak entities, which include Angel Oak Mortgage Solutions LLC (AOMS; 76.4%), Angel Oak Home Loans LLC (AOHL; 7.6%) and Angel Oak Prime Bridge LLC (AOPB; 0.2%). The remaining 15.9% of the loans were originated third-party originators. 81.1% of the pool is designated as Non-QM, 0.1% as a higher priced QM, and the remaining 18.8% is not subject to ATR. KEY RATING DRIVERS Revised GDP Due to Coronavirus: Coronavirus and the resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's baseline global economic outlook for U.S. GDP growth is currently a 5.6% decline for 2020, down from 1.7% for 2019. Fitch's downside scenario would see an even larger decline in output in 2020 and a weaker recovery in 2021. To account for declining macroeconomic conditions resulting from the coronavirus, an Economic Risk Factor ﬂoor of 2.0 (the ERF is a default variable in the U.S. RMBS loan loss model) was applied to 'BBBsf' and below. Expected Payment Deferrals Related to Coronavirus (Negative): The outbreak of the coronavirus and widespread containment efforts in the U.S. will result in increased unemployment and cash ﬂow disruptions. To account for the cash ﬂow disruptions, Fitch assumed deferred payments on a minimum of 30% of the pool for the ﬁrst six months of the transaction at all rating categories with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of legacy Alt-A delinquencies and past due payments following Hurricane Maria in Puerto Rico. The cash ﬂows on the certiﬁcates will not be disrupted for the ﬁrst six months due to principal and interest advancing on delinquent loans by the servicer; however, after month six, the lowest ranked classes may be vulnerable to temporary interest shortfalls to the extent there is not enough funds available once the more senior bonds are paid. Stop Advance Structure (Mixed): The transaction has a stop advance feature where the servicer will advance delinquent P&I up to 180 days. While the limited advancing of delinquent P&I beneﬁts the pool's projected loss severity, it reduces liquidity. To account for the reduced liquidity of a limited advancing structure, principal collections are available to pay timely interest to the 'AAAsf', 'AAsf' and 'Asf' rated bonds. Fitch expects 'AAAsf' and 'AAsf' rated bonds to receive timely payments of interest and all other bonds to receive ultimate interest. The servicer, Select Portfolio Servicing, will provide P&I advancing on delinquent loans. If SPS is not able to advance, the master servicer (Wells Fargo Bank) will advance P&I on the certiﬁcates. Payment Forbearance (Mixed): Roughly 26% (197 loans) of the borrowers are on a coronavirus forbearance plan. Angel Oak is offering borrowers a three-month payment forbearance plan. Beginning in month four, the borrower can opt to reinstate (i.e. repay the three missed mortgage payments in a lump sum) or repay the missed amounts with a repayment plan. If reinstatement or a repayment plan is not affordable, the missed payments will be added to the end of the loan term due at payoff or maturity as a deferred principal. If the borrower does not become current under a repayment plan or is not able to make payments under a deferral plan, other loss mitigation options will be pursued. The servicer will continue to advance during the forbearance period. Recoveries of advances will be repaid either from reinstated or repaid amounts from loans where borrowers are on a repayment plan. For loans with deferrals of missed payments, the servicer can recover advances from the principal portion of collections, which may result in a mismatch between the loan balance and certiﬁcate balance. While this may increase realized losses, the 190bps of excess spread should be available to absorb these amounts and reduce the potential for writedowns. Expanded Prime Credit Quality (Mixed): The collateral consists of 30-year and 40-year mainly ﬁxed-rate loans (6.1% of the loans are adjustable rate); 10.9% of the loans are interest-only loans and the remaining 89.2% are fully amortizing loans. The pool is seasoned approximately eight months in aggregate (as determined by Fitch). The borrowers in this pool have strong credit proﬁles with a 725 weighted-average FICO and moderate leverage (77.9% sLTV). In addition, the pool contains 54 loans over $1.0 million and the largest is $2.69 million. 5.6% of the pool consists of borrowers with prior credit events in the past seven years, and 0.5% of the pool was underwritten to foreign nationals. The pool characteristics resemble recent non-prime collateral, and, therefore, the pool was analyzed using Fitch's non-prime model. Bank Statement Loans Included (Negative): Approximately 61.0% (448 loans) were made to self-employed borrowers underwritten to a bank statement program (20.8% to a 24-month bank statement program and 40.2% to a 12-month bank statement program) for verifying income in accordance with either AOHL's or AOMS's guidelines, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. To reﬂect the additional risk, Fitch increases the probability of default by 1.5x on the bank statement loans. High Investor Property Concentration (Negative): Approximately 19% of the pool comprises investment properties. 7.9% were underwritten using the borrower's credit proﬁle, while 11.1% of which were originated through the originators' investor cash ﬂow program that targets real estate investors qualiﬁed on a debt service coverage ratio basis. The borrowers of the Non-DSCR investor properties in the pool have strong credit proﬁles, with a WA FICO of 723 (as calculated by Fitch) and an original CLTV of 76.3% and DSCR loans have a WA FICO of 735 (as calculated by Fitch) and an original CLTV of 65.2%. Fitch increased the PD by approximately 2.0x for the cash ﬂow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. Geographic Concentration (Negative): Approximately 38% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the Los Angeles MSA (19.1%) followed by the Miami MSA 10.9%) and the San Diego MSA (5.0%). The top three MSAs account for 34.9% of the pool. As a result, there was a 9-basis point increase to the 'AAA' expected loss to account for geographic concentration. Modiﬁed Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certiﬁcates while shutting out the subordinate bonds from principal until all four classes have been reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1A, A-1B, A-2 and A-3 bonds until they are reduced to zero. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. Angel Oak employs robust sourcing and underwriting processes and is assessed by Fitch as an 'Average' originator. Primary and master servicing functions will be performed by Select Portfolio Servicing and Wells Fargo Bank, NA, rated 'RPS1-'/Outlook Negative and 'RMS1-'/Outlook Negative, respectively. Fitch's Long-Term Issuer Default Rating for SPS's parent, Credit Suisse Inc., is 'A'/Outlook Positive, as of June 12, 2019. The sponsor's retention of at least 5% of the bonds helps ensure an alignment of interest between the issuer and investors. R&W Framework (Negative): Angel Oak Home Loans LLC, will be providing loan-level representations and warranties to the loans in the trust. If the entity is no longer an ongoing business concern, it will assign to the trust its rights under the mortgage loan purchase agreements with the originators, which include repurchase remedies for R&W breaches. While the loan-level reps for this transaction are substantially consistent with a Tier I framework, the lack of an automatic review for loans other than those with ATR realized loss and the nature of the prescriptive breach tests, which limit the breach reviewers' ability to identify or respond to issues not fully anticipated at closing, resulted in a Tier 2 framework. Fitch increased its loss expectations (159 bps at the 'AAAsf' rating category) to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the providers. The number of unnecessary R&W breach reviews due to a loan going delinquent due to coronavirus forbearance should be limited since the R&W review trigger is based on the loan having a realized loss and an ATR violation. Due Diligence Review Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction by SitusAMC an 'Acceptable - Tier 1' third-party review ﬁrm. The results of the review conﬁrm strong origination practices with only a few material exceptions. Exceptions on loans with 'B' grades either had strong mitigating factors or were mostly accounted for in Fitch's loan loss model. Fitch applied a credit for the high percentage of loan level due diligence, which reduced the 'AAAsf' loss expectation by 50bps. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to negative rating action/downgrade: This deﬁned negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 4.6%at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Factors that could, individually or collectively, lead to positive rating action/upgrade: This deﬁned positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior classes which are already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modiﬁed, while holding others equal. The modelling process uses the modiﬁcation of these variables to reﬂect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has also added a Coronavirus Sensitivity Analysis that contemplates a more severe and prolonged economic stress caused by a re-emergence of infections in the major economies, before a slow recovery begins in 2Q21. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative-grade ratings. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION There was one criteria variation to the "U.S. RMBS Rating Criteria" used in the analysis. The variation was that Fitch used a lower financial assessment of the representation and warranty provider in its analysis due to concerns regarding the financial condition of the company. Applying this variation resulted in ratings that are one rating category lower than if the variation was not implemented. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Third-party loan-level results were reviewed by Fitch for this transaction. Where applicable, the due diligence ﬁrm, SitusAMC examined 100% of the loan ﬁles in three areas: compliance review, credit review and valuation review. AMC is assessed by Fitch as a Tier 1 TPR ﬁrm. The results of the reviews indicated an overall loan quality that is in line with other prior transactions from the issuer and other Fitch-rated nonprime transactions. Approximately 33% or 276 loans were assigned a ﬁnal credit grade of 'B'. The credit exceptions graded 'B' were approved by the originator or waived by Angel Oak due to the presence of compensating factors. Roughly 28% of the loans were graded 'B' for compliance exceptions. The majority of these exceptions are either TRID related issues that were corrected with subsequent documentation, no adjustments were applied for the 'B' graded loans. Form "ABS Due Diligence 15E" was reviewed and used as a part of the rating for this transaction. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100%of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data ﬁles that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). BANC OF AMERICA 2005-7: Moody's Cuts Rating on 3 Tranches to Caa1 ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 10 tranches, from three RMBS transactions issued by multiple issuers. The complete rating actions are as follows: Issuer: Banc of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2005-7 Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Nov 24, 2015 Downgraded to B2 (sf) Cl. 2-A-2*, Downgraded to Caa1 (sf); previously on Nov 24, 2015 Downgraded to B2 (sf) Cl. 2-A-3, Downgraded to Caa1 (sf); previously on Nov 24, 2015 Downgraded to B3 (sf) Issuer: CHL Mortgage Pass-Through Trust 2003-49 Cl. A-8-A, Downgraded to Ba1 (sf); previously on Jan 25, 2019 Downgraded to Baa3 (sf) Cl. A-8-B, Downgraded to Ba3 (sf); previously on Jan 25, 2019 Downgraded to Ba2 (sf) Cl. A-9, Downgraded to Ba2 (sf); previously on Jan 25, 2019 Downgraded to Ba1 (sf) Issuer: CHL Mortgage Pass-Through Trust 2004-24 Cl. A-1, Downgraded to B3 (sf); previously on Dec 20, 2018 Downgraded to B1 (sf) Cl. A-2, Downgraded to Caa1 (sf); previously on Sep 30, 2016 Upgraded to B3 (sf) Cl. A-4, Downgraded to B3 (sf); previously on Dec 20, 2018 Downgraded to B1 (sf) Cl. PO, Downgraded to Caa1 (sf); previously on Sep 30, 2016 Confirmed at B2 (sf) *Reflects Interest-Only Class RATINGS RATIONALE The rating downgrades are primarily due to a deterioration in collateral performance and decline in credit enhancement available to the bonds. The rating actions reflect the recent performance and Moody's updated loss expectations on the underlying pools. Its analysis has considered the effect of the coronavirus outbreak on the US economy as well as the effects that the announced government measures, put in place to contain the virus, will have on the performance of consumer assets. Specifically, for US RMBS, loan performance will weaken due to the unprecedented spike in the unemployment rate, which may limit borrowers' income and their ability to service debt. The softening of the housing market will reduce recoveries on defaulted loans, also a credit negative. Furthermore, borrower assistance programs such as forbearance, may adversely impact scheduled cash flows to bondholders. The contraction in economic activity in the second quarter will be severe and the overall recovery in the second half of the year will be gradual. However, there are significant downside risks to its forecasts in the event that the pandemic is not contained and lockdowns have to be reinstated. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. The principal methodology used in rating all classes except interest-only classes was "US RMBS Surveillance Methodology" published in February 2019. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. 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. 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. BANK OF AMERICA 2015-UBS7: Fitch Cuts Class F Certs to 'CCsf' ------------------------------------------------------------- Fitch Ratings has downgraded five classes and affirmed eight classes of Bank of America Merrill Lynch Commercial Mortgage Trust 2015-UBS7 commercial mortgage pass-through certificates. BACM Trust 2015-UBS7 - Class A-1 06054AAU3; LT PIFsf; Paid In Full - Class A-3 06054AAW9; LT AAAsf; Affirmed - Class A-4 06054AAX7; LT AAAsf; Affirmed - Class A-S 06054ABB4; LT AAAsf; Affirmed - Class A-SB 06054AAV1; LT AAAsf; Affirmed - Class B 06054ABC2; LT AA-sf; Affirmed - Class C 06054ABD0; LT A-sf; Affirmed - Class D 06054ABE8; LT BBsf; Downgrade - Class E 06054AAG4; LT CCCsf; Downgrade - Class F 06054AAJ8; LT CCsf; Downgrade - Class X-A 06054AAY5; LT AAAsf; Affirmed - Class X-B 06054AAZ2; LT AAAsf; Affirmed - Class X-D 06054ABA6 LT BBsf; Downgrade - Class X-E 06054AAA7; LT CCCsf; Downgrade KEY RATING DRIVERS Increased Loss Expectations: The downgrades to classes D, E, F, and interest-only classes X-D and X-E, as well as the Negative Rating Outlooks on classes B and C, reflect an increase to Fitch's base case loss expectations for the remaining pool since its rating action in June 2019. There are currently four Fitch Loans of Concern, of which, two were flagged prior to the coronavirus pandemic. The driver of the increased loss expectations remains the WPC Department Store Portfolio (2.8% of the current pool), which is also a FLOC. The portfolio consists of six single-tenant retail properties that were 100% leased by Bon-Ton stores. The loan transferred to the special servicer when Bon-Ton filed for bankruptcy in February 2018. As part of the bankruptcy, the company surrendered its leases and vacated the properties. All six properties remain fully vacant, and recent appraisals indicate that significant losses are likely. The properties are within regional malls located in the Milwaukee MSA (3), Green Bay, WI, Joliet, IL and Fargo, ND. The largest FLOC is the fifth largest loan in the pool, The Mall of New Hampshire (6.96%). The subject is a regional mall located in Manchester, NH. Sears, a non-collateral anchor, closed in November 2018. The Sears box is being subdivided and leased to Dick's Sporting Goods and Dave & Buster's. Fitch remains concerned about declining NOI and upcoming tenant rollover at the property. Minimal Change in Credit Enhancement: As of the May 2020 distribution date, the pool's aggregate principal balance has paid down by 5.20% to $718 million compared with $757 million at issuance. Two loans (less than 1% of the pool) are defeased. ADDITIONAL CONSIDERATIONS Pool Concentration: The top 10 & 15 loans in the pool account for 65% and 77% of total pool balances, respectively, with no loan accounting for more than 10% of the pool. Collateral Diversification: The pool's collateral is diversified with office backed loans representing roughly 25% of the pool and retail representing 20%. Within the retail concentration, only a single loan is backed by a regional mall. The third and fourth largest concentrations are multi-family with approximately 20% of the pool and lodging with 16.6% of the pool. Transaction Amortization: Of the non-defeased loans, 13 loans (37%) are structured as amortizing balloon, 11 loans (34%) are interest-only and 15 loans (29%) are structured as partial interest-only. Coronavirus Exposure: The hotel sector as a whole is expected to experience significant declines in RevPAR in the near term due to travel disruptions from the coronavirus pandemic. Additionally, retail properties are expected to face cash flow disruption as tenants may not be able to pay rent or as leases with upcoming expiration dates are not renewed given that many retailers are closed for business. Within the transaction, there are four non-defeased loans secured by hotel properties (16.6% of pool), with a weighted average NOI debt service coverage ratio of 2.74x. There are nine non-defeased loans secured by retail properties (20.1%), with a weighted average NOI DSCR of 1.76x. Fitch's base case analysis included additional stresses to the four hotel loans (16.6% of pool), four retail loans (10.86% of the pool), one office loan, and one multifamily loan, related to ongoing performance concerns in light of the coronavirus pandemic. This treatment contributed to the downgrades as well as the Negative Outlooks. RATING SENSITIVITIES The Outlooks on classes A-1 through A-S and the IO classes X-A and X-B remain Stable. The Outlooks on classes B through D and the IO class X-D have been revised to or remain Negative. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. An upgrade to class D would occur with increased paydown and/or defeasance combined with performance stabilization, and would be limited as concentrations increase. Upgrades to classes E and F are not likely unless performance of the FLOCs stabilize and if the performance of the remaining pool is stable, and would not likely occur until later years in the transaction assuming losses were minimal. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes B and C are possible should additional defaults occur or loss expectations increase. Downgrades to classes D, E and F are possible should performance of the FLOCs fail to stabilize or decline further. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The BACM 2015-UBS7 transaction has an ESG Relevance Score of 4 for Exposure to Social Impacts due to a regional mall and other retail FLOCs 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 the downgrades and Negative Outlooks. BEAR STEARNS 2005-TOP18: Fitch Affirms D Rating on 6 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed seven classes of Bear Stearns Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, series 2005-TOP18. Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18 - Class H 07383F5V6; LT BBsf; Affirmed - Class J 07383F5W4; LT Dsf; Affirmed - Class K 07383F5X2; LT Dsf; Affirmed - Class L 07383F5Y0; LT Dsf; Affirmed - Class M 07383F5Z7; LT Dsf; Affirmed - Class N 07383F6A1; LT Dsf; Affirmed - Class O 07383F6B9; LT Dsf; Affirmed KEY RATING DRIVERS Stable Performance: Overall pool performance and loss expectations remain stable since Fitch's last rating action. Concentrated Pool: The pool is highly concentrated with only six loans remaining. One loan is fully defeased (12.8% of pool). The five non-defeased loans (87.2%) are secured by two (31.8%) single-tenant Walgreens retail properties, one (20.5%) multifamily property in Montclair, NJ, one (21.2%) mixed-use property in Burbank, CA and one (13.8%) retail property in Dawsonville, GA. These properties have historically exhibited strong occupancies and stable performance since issuance. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on their loan structural features, collateral quality and performance, and then ranked them by their perceived likelihood of repayment. The ratings reflect this sensitivity analysis. The rating of class H was capped at 'BBsf' due to its reliance on loans secured by mixed-use and retail properties with near-term lease rollover concerns and/or in-place tenancy vulnerable to the coronavirus pandemic. Coronavirus Exposure: The largest loan, Media Village (21.2%), is secured by a 55,339-sf, mixed-use property located in Burbank, CA. The largest tenant, Verdigo Boulders (25.3% of NRA; lease expiry in November 2025), is a rock-climbing gym that is temporarily closed due to the ongoing coronavirus pandemic. Near-term lease rollover for the property consists of 30.7% of the NRA in 2020 and 17.5% in 2021. As of YE 2019, the servicer-reported occupancy and NOI DSCR were 100% and 2.15x, respectively. Three loans (45.6%) are secured by retail properties, including two loans (31.8%) secured by single tenant Walgreens pharmacies located in Baldwin, NY and Gretna, LA, which are leased beyond their respective loan maturities through August 2029 and December 2079. These two Walgreens properties remain open as they are deemed essential during the pandemic. One retail loan, Dawsonville Promenade Center (13.8%), is secured by a 26,519-sf retail convenience center located in Dawsonville, GA (13.8%) that is leased to Mattress Firm (12.1% of NRA; lease expiry in January 2028) and the remainder to several fast food and sit down dining restaurants that remain open for takeout and delivery during the pandemic. As of YTD September 2019, the servicer-reported occupancy and NOI DSCR were 100% and 1.98x, respectively. Increased Credit Enhancement: CE has improved since the last rating action due to loan payoffs and continued amortization of the remaining loans. Both the Sheridan Shoppes and Multiproperty loans (33% of the last rating action pool balance) were repaid in full in April 2020. As of the May 2020 distribution date, the pool's aggregate principal balance has been reduced by 99.2% to $8.5 million from $1.122 billion at issuance. Realized losses to date total $24.7 million (2.2% of the original pool balance). Cumulative interest shortfalls to date total $2.3 million and are affecting classes J through P. All remaining loans are fully amortizing and scheduled to mature in 2025 (78.9%) and 2026 (21.1%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to a Positive Rating Action/Upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Class H may be upgraded with further improvement in CE and/or additional defeasance, as well as continued stable performance of the properties vulnerable to the coronavirus pandemic; however, an upgrade may be limited by adverse selection and increasing pool concentrations. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. No rating changes will occur on classes J through O as they have incurred a principal loss. Factors that Could, Individually or Collectively, Lead to a Negative Rating Action/Downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. A downgrade of class H may occur if pool performance, primarily on those properties vulnerable to the coronavirus, declines significantly. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects negative rating actions, including downgrades or Negative Rating Outlook revisions. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). BENCHMARK 2020-IG3: DBRS Gives Prov. B(low) Rating on 825S-D Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-IG3 to be issued by Benchmark 2020-IG3 Mortgage Trust (BMARK 2020-IG3 or the Issuer): -- Class A2 at AAA (sf) -- Class A3 at AAA (sf) -- Class A4 at AAA (sf) -- Class ASB at AAA (sf) -- Class AS at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class XA at AAA (sf) -- Class XB at AA (sf) -- Class 825S-A at A (low) (sf) -- Class 825S-B at BBB (low) (sf) -- Class 825S-C at BB (low) (sf) -- Class 825S-D at B (low) (sf) -- Class T333-A at AA (low) (sf) -- Class T333-B at A (low) (sf) -- Class T333-C at BBB (low) (sf) -- Class T333-D at BB (high) (sf) -- Class BX-A at A (low) (sf) -- Class BX-B at BBB (low) (sf) -- Class BX-C at BB (high) (sf) All trends are Stable. Classes 825S-A, 825S-B, 825S-C, and 825S-D are loan-specific certificates associated with the 825 South Hill loan. Classes T333-A, T333-B, T333-C, and T333-D are loan-specific certificates associated with the Tower 333 loan. Classes BX-A, BX-B, and BX-C are loan-specific certificates associated with the BX Industrial Portfolio loan. The Class XA and XB balances are notional. The BMARK 2020-IG3 transaction is a pooled securitization of 21 fixed-rate, noncontrolling (with the exception of 1501 Broadway) pari passu senior notes with an aggregate cut-off pooled balance of $608.475 million. The collateral consists of nine mortgage loans (considering the Chase Center Tower I/II loans are crossed) across 144 properties, with significant concentrations in California (seven properties; 48.1% of the pool by loan balance), New York (four properties; 17.7% of the pool), and Washington (one property; 13.0% of the pool). The BMARK 2020-IG3 trust will also issue 11 classes of loan-specific certificates—all DBRS Morningstar rated—collateralized by certain subordinate components of the BX Industrial Portfolio (BX-A/B/C), Tower 333 (T333-A/B/C/D), and 825 South Hill (825S-A/B/C/D/E) mortgage loans. The loan-specific certificates will be assets of the Issuer but are not being pooled with the other mortgage loans and are only entitled to payments of interest and principal from their respective subordinate companion notes. DBRS Morningstar takes a positive view of the BMARK 2020-IG3 transaction and broadly recognizes the benefits of pooling high investment-grade risk. Unlike a typical single-asset/single-borrower (SASB) transaction, certificate holders in this transaction benefit from the pooling of multiple structurally senior investment-grade notes on largely institutional real estate in liquid primary markets. The BMARK 2020-IG3 transaction, like the BMARK 2020-IG2 transaction recently rated by DBRS Morningstar, benefits from the same lack of exposure to lodging properties and very limited exposure to retail properties, both of which remain particularly sensitive to ongoing risks related to the Coronavirus Disease (COVID-19) pandemic. DBRS Morningstar has previously rated several of the loans included in the transaction, including the Moffett Towers Buildings A, B, & C loan in MOFT Trust 2020-ABC (rated by Morningstar Credit Ratings, LLC), while DBRS Morningstar previously rated the 525 Market Street loan in MKT 2020-525M Mortgage Trust on a stand-alone basis. DBRS Morningstar also previously rated pari passu components of all other loans (with the exception of BX Industrial Portfolio and 825 South Hill) in the BMARK 2020-IG2 transaction. All nine of the loans that serve as the collateral for the pooled component of the transaction exhibit investment-grade credit characteristics on a stand-alone basis. The weighted-average (WA) credit profile of the underlying collateral is approximately A (sf)/A (low) (sf) and produces a WA Idealized Default Table rating factor of 2.36%, which is slightly above the recent BMARK 2020-IG2 transaction. Furthermore, 60.7% of the trust collateral by balance had a DBRS Morningstar property quality score of either Above Average or Excellent. For the trust portion, the pool has a WA DBRS Morningstar loan-to-value (LTV) ratio of 61.7% and an Issuer LTV of 37.8%, both of which are substantially below the leverage point of other recently analyzed SASB transactions. The DBRS Morningstar LTV is for the senior note components that serve as the collateral for this transaction. The trust collateral includes two portfolio loans, BX Industrial Portfolio (68 properties; 13.1% of the pool) and Stonemont Net Lease Portfolio (66 properties; 9.1% of the pool). Mortgage loans secured by portfolios of multiple properties generally benefit from greater diversification of cash flow and may exhibit more favorable default and loss severity characteristics. The pool has significantly higher loan concentration than previously analyzed multiborrower transactions, with a loan Herfindahl score of only 8.43. Additionally, the transaction has a substantial property type and geographic concentration, as indicated by property type and state Herfindahl scores of 2.26 and 3.11, respectively. The top five loan exposure is 65.6% of the pool, which is well above the typical exposure level for more diversified multiborrower transactions. Certain components of the BMARK 2020-IG3 trust are collateralized by mortgages that involve multiple layers of structural complexity. The BX Industrial Portfolio loan, for example, has a $99.42 million floating-rate revolving credit facility (balance sheet) that is fully pari passu with the fixed-rate note components, and the fixed-rate components are split into A (pooled trust), B (rake bonds), and C/D notes (privately placed). In the case of 825 South Hill, the loan's co-originator is American International Group, which holds a $114 million note component that is pari passu with both the $61.67 million senior component (pooled) and the $38 million subordinate components (rake bonds). Finally, the Tower 333 loan is split into A (pooled), B (rake bonds), and C notes (privately placed). DBRS Morningstar views the structural complexity of the mortgage loans as a potential risk in the event of a default, whereby other noteholders could potentially exercise certain rights or remedies that are adverse to the interest of the certificate in the BMARK 2020-IG3 trust. None of the pari passu participation in the pooled component of the transaction is the controlling interests in the related whole loans (with the exception of Tower 333). The noncontrolling certificate holders may be in a less favorable position than those with control rights under certain adverse situations, including in the event of a workout. Seven of the nine loans (82.7% of the pool) have some form of existing secured subordinated debt or mezzanine debt and/or permit the sponsors to incur additional debt in the form of mezzanine debt or debtlike preferred equity. Furthermore, the presence of both secured and unsecured subordinated debt adds substantial incremental leverage, resulting in a WA all-in DBRS Morningstar LTV of 100.8% for the pool. Classes XA and XB 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. CFMT 2020-HB3: DBRS Assigns BB Rating on Class M4 Notes ------------------------------------------------------- DBRS, Inc. assigned ratings to the Asset-Backed Notes, Series 2020-2 (the Notes) issued by CFMT 2020-HB3: -- $347.4 million Class A at AAA (sf) -- $20.8 million Class M1 at AA (sf) -- $20.0 million Class M2 at A (sf) -- $17.1 million Class M3 at BBB (sf) -- $14.2 million Class M4 at BB (sf) Our affiliate rating agency, Morningstar Credit Ratings, LLC (MCR), assigned preliminary ratings on these certificates on May 7th, 2020. 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. Upon issuance of DBRS Morningstar's final ratings on these certificates, MCR has today withdrawn its outstanding preliminary ratings. In accordance with MCR's engagement letter covering this transaction, upon withdrawal of MCR's outstanding preliminary ratings, the DBRS Morningstar final ratings will become the successor ratings to the withdrawn preliminary MCR ratings. The AAA (sf) rating on the Class A notes reflects 23.67% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf), and BB (sf) ratings reflect 19.10%, 14.70%, 10.95%, and 7.83% 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 nonperforming home equity conversion mortgage reverse mortgage loans funded by the issuance of the Notes. The Notes are backed by 1,911 loans with a total principal balance of $455,117,898 as of the Cut-Off Date (March 31, 2020). These loans are secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. The loans were originated between 1998 and 2011. Of the total loans, 1,863 are floating rate (96.2% of balance) with a 3.0% current coupon. The remaining 48 loans are fixed (3.8% of balance), with a 5.6% weighted-average coupon (WAC), bringing the entire collateral pool to a 3.1% WAC. All the loans in this transaction are nonperforming (i.e., inactive) loans. There are 759 loans that are referred for foreclosure (45.0% of balance), 137 are in bankruptcy status (6.4%), 296 are called due (16.3%), 242 are real estate owned (11.2%), and the remaining 477 (21.1%) are in default. However all these loans are insured by the United States Department of Housing and Urban Development (HUD), and this insurance acts to mitigate losses from uninsured loans. Because the insurance supplements the home value, the industry metric for this collateral is not a loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 57.0% for these loans. The WA LTV is calculated by dividing the unpaid principal balance by the maximum claim amount and the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available funds caps. Typically, the sponsor or a majority-owned affiliate of the sponsor will retain a vertical or horizontal residual interest of at least 5% of the fair value of the notes, including mezzanine and/or interest-only notes, to satisfy credit risk-retention rules. The seller, as a sponsor, has determined that it is not required to retain credit risk under the U.S. risk retention requirements for asset-backed securities set forth in section 941 of the Dodd-Frank Wall Street Reform and Consumer Protection Act and the final regulations related thereto in connection with this transaction because this transaction is collateralized solely by (i) residential mortgage loan assets, which are insured or guaranteed (in whole or in part) as to the payment of principal and interest by the United States or an agency of the United States and (ii) servicing assets related thereto. Notes: All figures are in U.S. dollars unless otherwise noted. COMM LTD 2004-RS1: Fitch Cuts Rating on 8 Tranches to 'Dsf' ----------------------------------------------------------- Fitch Ratings has upgraded two, downgraded eight and affirmed six classes from three commercial real estate collateralized debt obligations with exposure to commercial mortgage-backed securities. MACH ONE 2004-1 - Class M 55445RAQ0; LT Asf; Upgrade - Class N 55445RAR8; LT BBBsf; Affirmed - Class O 55445RAS6; LT Dsf; Affirmed ARCap 2004-1 Resecuritization, Inc. - Class F 039279AF1; LT AAAsf; Upgrade - Class G 039279AG9; LT Csf; Affirmed - Class H 039279AH7; LT Csf; Affirmed - Class J 039279AJ3; LT Csf; Affirmed - Class K 039279AK0; LT Csf; Affirmed COMM 2004-RS1, Ltd. - Class F 20047JAE1; LT Dsf; Downgrade - Class G 20047JAF8; LT Dsf; Downgrade - Class H 20047JAG6; LT Dsf; Downgrade - Class J 20047JAH4; LT Dsf; Downgrade - Class K 20047JAJ0; LT Dsf; Downgrade - Class L 20047JAK7; LT Dsf; Downgrade - Class M 20047JAL5; LT Dsf; Downgrade - Class N 20047JAM3 LT Dsf; Downgrade KEY RATING DRIVERS Fitch has upgraded the class F notes in ARCap 2004-1 Resecuritization, Inc. to 'AAAsf' from 'Bsf' and revised the Rating Outlook to Stable from Positive as the class is covered in full by defeased collateral. The class F notes were previously assigned a Positive Rating Outlook as a multi-category upgrade to 'AAAsf' was considered possible at Fitch's last rating action should the Old Orchard East Shopping Center loan in the underlying JPMCC 2003-CB6 transaction pay off in full, which would result in the class being fully covered by defeased collateral. The Old Orchard East Shopping Center was repaid in full and reflected in the May 2020 remittance; approximately 90% of the remaining collateral in the underlying JPMCC 2003-CB6 transaction is defeased. Fitch has also affirmed classes G through K at 'Csf'; default is considered inevitable as these classes are undercollateralized. Fitch has upgraded the class M notes in MACH ONE 2004-1 to 'Asf' from 'BBBsf' and revised the Rating Outlook to Stable from Positive due to the class' seniority and high credit enhancement, which has increased from additional amortization since the last rating action; this class is expected to pay off next month from continued scheduled amortization. Fitch has affirmed the class N notes in MACH ONE 2004-1 at 'BBBsf'/Outlook Positive based on a look-through analysis to the rating of the one remaining bond in the collateral pool, MSC 1998-WF2 class L ('BBBsf'/Outlook Positive). The sole remaining loan in the underlying MSC 1998-WF2 transaction is the fully amortizing 1201 Pennsylvania Avenue loan, which is secured by an office property located in Washington, DC. Fitch views the office collateral to be less vulnerable to the impact of the coronavirus pandemic, which is also mitigated by the overall low leverage of the loan and the commitment of the sponsor. Despite the property having negative cash flow since the departure of several larger tenants in 2017, the sponsor has kept the loan current and recently completed a $15 million renovation. The overall loan psf is low at $33, compared to recent sales comparable averaging $393 psf, according to Reis and as of first quarter 2020. Occupancy at YE 2019 has improved to 49% from a low of 19% in 2016. Fitch has also affirmed the class D notes at 'Dsf'; this class had previously experienced a principal loss. Fitch has downgraded all eight of the remaining classes in COMM 2004-RS1, Ltd. to 'Dsf' from 'Csf'. There is no remaining collateral to pay the outstanding bonds. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: The Positive Outlook on class N in MACH ONE 2004-1 reflects the low leverage and sponsor investment in the sole remaining loan in the underlying MSC 1998-WF2 transaction, 1201 Pennsylvania Avenue; with improved cash flow and additional leasing momentum at the property, an upgrade of the class N notes is possible. Further upgrade on the class M notes is not expected as the class is expected to pay off next month from scheduled amortization. Fitch rates the class F in ARCap 2004-1 Resecuritization, Inc. at 'AAAsf'; therefore, an upgrade is not possible. Upgrades are not possible for classes rated 'Csf' in the ARCap 2004-1 Resecuritization, Inc. transaction due to their undercollateralization. Factors that could, individually or collectively, lead to negative rating action/downgrade: A downgrade of the class F notes in ARCap 2004-1 Resecuritization, Inc. is possible with the downgrade of the U.S. government. A downgrade of the class M and N notes in MACH ONE 2004-1, although unlikely, is possible with significant performance deterioration and/or loss of sponsor commitment on the 1201 Pennsylvania Avenue loan in the underlying MSC 1998-WF2 transaction. No further rating changes are expected on the classes rated 'Dsf' in the MACH ONE 2004-1 and COMM 2004-RS1 transactions; these classes have either incurred a principal loss or no collateral remains to pay the outstanding bonds. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical 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 these rating actions. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. CSMC TRUST 2017-RPL2: Fitch Gives B-sf Rating on 2 Tranches ----------------------------------------------------------- Fitch Ratings has assigned ratings to CSMC 2017-RPL2 Trust. CSMC 2017-RPL2 - Class A-1; LT AAAsf; New Rating - Class A-2; LT Asf; New Rating - Class A-3; LT B-sf; New Rating - Class B-1; LT Asf; New Rating - Class B-2; LT B-sf; New Rating - Class B-3; LT NRsf; New Rating - Class B-4; LT NRsf; New Rating - Class B-5; LT NRsf; New Rating - Class PT; LT NRsf; New Rating TRANSACTION SUMMARY CSMC 2017-RPL2 is supported by a pool of re-performing mortgage loans. The transaction was originally issued in 2017 but was not rated at deal close. In tandem with this rating assignment, the transaction is being modified to 1) allow principal collection to be redirected to cover any potential interest shortfalls on the class A-1, 2) use interest payments otherwise allocable to the class B-3 to fund an account that may be used for potential repurchases and 3) add certain constraints on which institutions can act as an "Eligible Account." KEY RATING DRIVERS Coronavirus Impact Addressed (Negative): Coronavirus and the resulting containment efforts have resulted in revisions to its GDP estimates for 2020. Fitch's current baseline outlook for U.S. GDP growth is -5.6% for 2020, down from 1.7% for 2019. To account for declining macroeconomic conditions the Economic Risk Factor default variable for the 'Bsf' and 'BBsf' rating categories was increased from a floor of 1.0 and 1.5, respectively to 2.0. The ERF floor of 2.0 best approximates its baseline GDP for 2020 and a recovery of 4.3% in 2021. If conditions deteriorate further and recovery is longer or less than current projections, the ERF floors may be further revised higher. Expected Payment Deferrals Related to the Coronavirus Pandemic (Negative): The outbreak of the coronavirus and widespread containment efforts in the U.S. will result in increased unemployment and cash flow disruptions. To account for the cash flow disruptions, Fitch assumed deferred payments on a minimum of 40% of the pool for the first six months of the transaction at all rating categories with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of legacy 'Alt-A' delinquencies and past due payments following Hurricane Maria in Puerto Rico. The lowest rate classes will likely experience interest shortfalls to the extent excess cash flow is insufficient as the cash flow waterfall provides for principal otherwise distributable to the lower rated bonds to pay timely interest to the 'AAAsf' and 'AAsf' bonds. RPL Credit Quality (Mixed): The collateral consists of 30-year FRM and five-year ARM fully amortizing loans, seasoned approximately 161 months in aggregate. The borrowers in this pool have weaker credit profiles (687 average FICO) and relatively high leverage (a 101.1% supervisory loan-to-value [sLTV] ratio). In addition, the pool contains no loans of particularly large size. No loans are over $1mm, and the largest is $0.71mm. About 16% of the pool had a delinquency within the past 24 months. Geographic Concentration (Neutral): Approximately 27% of the pool is concentrated in Florida, with relatively low MSA concentration. The largest MSA concentration is in the Miami MSA (12.4%), followed by the Riverside MSA (6.9%) and the New York MSA (6.6%). The top three MSAs account for 25.9% of the pool. As a result, there was no adjustment for geographic concentration. Transaction Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. No Servicer Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities are less for this transaction than for those where the servicer is obligated to advance P&I. Liquidity Stress - Potential Spike in Delinquencies related to Pandemic (Negative): For RPL transactions, Fitch is assuming 40% of the pool will experience payment forbearance for six months before reverting to the standard delinquency and liquidation timing curve. The 40% assumption is based upon a legacy Alt-A 60-plus day delinquency peak of 40% in 2009. This transaction does not provide for advancing; however, the deal allows for subordinated principal to pay timely interest to the 'AAAsf' and 'AAsf' bonds. As a result, the stress will only increase temporary shortfalls of interest and principal to the most subordinated bonds. Low Operational Risk (Neutral): Operational risk is well controlled for this transaction. Credit Suisse has an established operating history acquiring single-family residential loans. Select Portfolio Servicing, Inc. is the named servicer for the transaction and is rated by Fitch as 'RPS1-' with a Negative Outlook. Fitch reduced the expected loss by 262 basis points at the 'AAAsf' rating category based on the strong servicer counterparty. Issuer retention of at least 5% of the bonds also helps ensure an alignment of interest between both the issuer and investor. Tier 2 Representations and Warranty Framework (Negative): The loan-level representations and warranties are consistent with a Tier 2 framework. The tier assessment is based primarily on the inclusion of knowledge qualifiers in the underlying representations, as well as a breach reserve account that replaces the sponsor's responsibility to cure any R&W breaches following the established sunset period. Fitch increased its loss expectations by 206 bps at the 'AAAsf' rating category to reflect both the limitations of the R&W framework as well as the non-investment-grade counterparty risk of the provider. Due Diligence Review Results (Negative): A third-party due diligence review was performed on 100% of the loans in the transaction pool. The review was performed by SitusAMC, which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. The due diligence results indicate moderate operational risk, with 5.8% of loans receiving a final grade of 'C' or 'D'. While this concentration of material exceptions is similar to other Fitch-rated RPL RMBS, adjustments were applied only to loans missing estimated final HUD-1 documents that are subject to testing for compliance with predatory lending regulations. These regulations are not subject to a statute of limitations as with most compliance findings, which ultimately exposes the trust to added assignee liability risk. Fitch adjusted its loss expectation at the 'AAAsf' rating category by 13 bps to account for this added risk. RATING SENSITIVITIES Fitch 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 that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool - as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to negative rating action/downgrade: This defined negative rating 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 38.6% MVD for a 'AAA' rating. The analysis indicates there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level or, in other words, positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. More specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf.' This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up- and down-environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that contemplates a more severe and prolonged economic stress caused by a re-emergence of infections in the major economies, before a slow recovery begins in 2Q21. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade ratings. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION The first variation is that the tax and title search was performed at the time of the initial transaction closing, which is outside of the six-month timeframe that Fitch looks for in criteria. This is mitigated by the relatively small number of outstanding amounts at the time the search was completed, the close proximity to the threshold Fitch has in place as well as the servicers responsibility in line with the transaction documents to advance these payments to maintain the trust's interest in the loans. As a result, there was no rating impact. The second variation relates to the outdated FICO scores for the transaction. The FICOs were updated at the time of the transaction closing, which is more than the six-month window in which Fitch looks for updated scores. The stale values have no impact on the levels as the performance has been fairly stable since they were pulled. Additionally, while outdated, the values better capture the borrower's credit after modification and their initial default. The extent to which the borrower has underperformed will be reflected in the pay string, which would have a much more meaningful impact on the levels. This variation did not result in a rating impact. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 A third-party due diligence review was completed on 100% of the loans in the transaction pool. The due diligence scope included a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth in Lending Act and Real Estate Settlement Procedures Act. The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. The regulatory compliance review indicated that 687 reviewed loans, or approximately 5.8% of the total pool, were found to have a material defect and therefore assigned a final grade of 'C' or 'D'. A total of 304 reviewed loans, or approximately 2.6% of the total pool, received a final grade of 'D' as these loans did not contain a final HUD-1 file. The absence of a final HUD-1 file does not allow the TPR firm to properly test for compliance surrounding predatory lending in which a statute of limitations does not apply. These regulations may expose the trust to potential assignee liability in the future and create added risk for bond investors. Fitch increased the LS on these loans to account for missing final HUD-1 documents. The remaining 383 loans with a final grade of 'C' or 'D' reflect missing final HUD-1 files that are not subject to predatory lending, missing state disclosures and other missing documents related to compliance testing. Fitch notes that these exceptions are unlikely to add material risk to bondholders since the statute of limitations on these issues have expired. No adjustments to loss expectations were made for these 383 loans for compliance issues. Fitch also applied model adjustments on 83 loans with a broken chain of title and 14 loans that had missing modification agreements. These loans received a three-month foreclosure timeline extension to represent a delay in the event of liquidation as a result of these files not being present. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). DBJPM MORTGAGE 2016-C3: Fitch Affirms Class E Certs at 'BBsf' ------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of DBJPM 2016-C3 Mortgage Trust. DBJPM 2016-C3 - Class A-1 23312VAA4; LT AAAsf; Affirmed - Class A-2 23312VAB2; LT AAAsf; Affirmed - Class A-3 23312VAC0; LT AAAsf; Affirmed - Class A-4 23312VAE6; LT AAAsf; Affirmed - Class A-5 23312VAF3; LT AAAsf; Affirmed - Class A-M 23312VAH9; LT AAAsf; Affirmed - Class A-SB 23312VAD8; LT AAAsf; Affirmed - Class B 23312VAJ5; LT AA-sf; Affirmed - Class C 23312VAK2; LT A-sf; Affirmed - Class D 23312VAS5; LT BBB-sf; Affirmed - Class E 23312VAU0; LT BBsf; Affirmed - Class X-A 23312VAG1; LT AAAsf; Affirmed - Class X-B 23312VAL0; LT AA-sf; Affirmed - Class X-C 23312VAN6 LT BBB-sf; Affirmed KEY RATING DRIVERS Minimal Changes to Credit Enhancement: As of the April 2020 distribution date, the pool's aggregate balance has been paid down by 2.49% to $871 million from $894 million at issuance. Eleven loans representing 40.3% of the pool are interest only for the full term. No loans have been repaid or liquidated since issuance. Two loans (14.41% of the pool) are covered by fully defeased collateral. Defeased collateral fully covers the class A-1, A-2, A-3, and A-SB certificates and partially covers (20.9%) the A-4 certificate. Stable Performance Despite Increased Loss Expectations: The pool's performance has been stable overall, although loss expectations have increased. This is primarily related to concerns associated with the coronavirus pandemic. There are two loans (2.72% of the pool) that are delinquent; one of which (0.54% of the pool) transferred to special servicing in November 2018. Eight loans (13.6% of the pool) have been modified after having requested payment relief and are currently in forbearance. High Pool Concentration: The top 15 loans in the pool comprise 73% of the pool. Additionally, the pool totals only 36 loans. There are eight loans representing 20.8% of the pool that are secured by hotel properties. Coronavirus Exposure: The hotel sector as a whole is expected to experience significant declines in RevPAR in the near term due to travel disruptions from the coronavirus pandemic. Additionally, retail properties are expected to face cash flow disruption as tenants may not be able to pay rent or as leases with upcoming expiration dates are not renewed given that many retailers are closed for business. Within the pool, there are eight non-defeased loans secured by hotel properties (20.8% of pool), with a weighted average NOI DSCR of 2.72x. On average, these hotel loans could withstand a 62% decline in NOI before the actual DSCR would fall below 1.0x coverage. There are nine non-defeased loans secured by retail properties (28.8%), with a weighted average NOI DSCR of 2.43x. On average, these retail loans could withstand a 69% decline in NOI before the actual DSCR would fall below 1.0x coverage. Fitch's base case analysis included additional stresses to four hotel loans (10.8% of the pool) and two retail loans (8.4% of the pool) related to ongoing performance concerns in light of the coronavirus pandemic. RATING SENSITIVITIES The Outlooks remain Stable. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of classes B and C would occur with continued paydown and/or defeasance; however, adverse selection and increased concentrations, and/or higher than expected losses on the specially serviced loan could cause this trend to reverse. Upgrades of class D are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to class E are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes C and D are possible should additional defaults occur or loss expectations increase. Downgrades to class E is possible should pool performance decline and/or properties vulnerable to the coronavirus experience losses greater than expected. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. FALCON 2019-1: Fitch Cuts Rating on Series C Notes to 'Bsf' ----------------------------------------------------------- Fitch Ratings has affirmed the outstanding ratings on Falcon 2019-1 Aerospace Limited series A and B fixed-rate secured notes both with a Negative Outlook, while downgrading the series C notes and maintaining the existing Rating Watch Negative. For Kestrel Aircraft Funding Limited, classes A and B notes were affirmed at their current ratings, and placed on NO from the existing RWN. Falcon 2019-1 Aerospace Limited - Series A 30610GAA1; LT Asf; Affirmed - Series B 30610GAB9; LT BBBsf; Affirmed - Series C 30610GAC7; LT Bsf; Downgrade Kestrel Aircraft Funding Limited - Series A 49255PAA1; LT Asf; Affirmed - Series B 49255PAB9; LT BBBsf; Affirmed TRANSACTION SUMMARY The rating actions reflect ongoing deterioration of all airline lessee credits backing the leases in each transaction pool, downward pressure on certain aircraft values, Fitch's updated assumptions and stresses, and resulting impairments to modeled cash flows and coverage levels. Fitch revised or maintained each tranche of each transaction on NO or RWN, reflecting Fitch's base case expectation for the structure to withstand immediate and near-term stresses at the updated assumptions and stressed scenarios commensurate with their respective ratings. On March 31, 2020, Fitch placed the series B and C notes of Falcon 2019-1 and series A and B notes of Kestrel on RWN, and the Falcon 2019-1 series A notes were placed on RON, as a part of its aviation ABS portfolio review due to the ongoing impact of the coronavirus on the global macro and travel/airline sectors. This unprecedented worldwide pandemic continues to evolve rapidly and negatively affect airlines across the globe. To accurately reflect today's global recessionary environment and the impact on airlines backing these pools, Fitch updated rating assumptions for both rated and non-rated airlines with a vast majority of ratings moving lower, which was a key driver of these rating actions along with modeled cash flows. Furthermore, recessionary timing was brought forward to start immediately at this point in time. This scenario further stresses airline credits, asset values and lease rates immediately while incurring remarketing and repossession costs and downtime at each relevant rating stress level. Previously, Fitch assumed that the first recession commenced six months from either the transaction closing date or date of subsequent reviews. Dubai Aerospace Enterprises Ltd. (currently rated 'BBB-'/Outlook Negative) and certain affiliates are the sellers of the assets, and acts as servicer for both transactions. Fitch deems DAE an adequate servicer to service the transactions based on their capabilities and prior experience, including prior experience servicing ABS. KEY RATING DRIVERS Deteriorating Airline Lessee Credit: The credit profiles of the airline lessees in the pools have deteriorated further due to the coronavirus-related impact on all global airlines in 2020, resulting in lower lessee rating assumptions utilized for this review. The proportion of the Falcon 2019-1 pool assumed now at a 'CCC' Issuer Default Rate (IDR) increased to 71.5% from 23.4% at closing, and the 'CCC' assumed airlines in Kestrel rose to 51.8% compared to 11.6% at closing. Newly-assumed 'CCC' credit airlines for this review include Philippine Airlines Inc., AAX Leasing Nine Ltd. (Air Asia X Berhad), Joint Stock Company Siberia Airlines and Korean Air Lines Co. Ltd for Falcon 2019-1, and for Kestrel these include Thai AirAsia X Co., Ltd., Jetstar Pacific Airlines Aviation Joint Stock Company, LongJiang Airlines, Myanmar Airways International, Aegean Airlines S.A. and Bangkok Airway Public Company Limited. The assumptions are more reflective of these airlines' ongoing credit profiles and fleets in the current operating environment, due to the coronavirus-related impact on the sector. Any publically rated airlines in the pools, including those rated by Fitch, whose ratings have shifted since close were updated for this review. Asset Quality and Appraised Pool Value: Both pools feature mostly liquid narrow body aircraft which is generally viewed positively. However, 33.6% of Falcon 2019-1 and 22.6% of Kestrel are comprised of widebody aircraft. There continues to be elevated uncertainty around market values, and how the current environment will impact near-term lease maturities, including for WB aircraft which face greater downward pressure even prior to the pandemic. Further, Fitch recognizes that there will be downward pressure on values in the short to medium term. The appraisers for Kestrel are Aircraft Information Services Inc., Morten Beyer & Agnew (mba) and BK Associates, Inc.; and for Falcon 2019-1 are mba, AISI and Collateral Verifications. Both Falcon 2019-1 and Kestrel received updated appraisals as of Dec. 2019, and the next appraisals are expected in June 2020. Upon receiving these updated appraisals, there was a sizeable decline in adjusted portfolio values for each pool. Using the straight average of three appraisals received compared against transaction documents, there was a decline in value for Falcon 2019-1 of approximately 8.5% to $560.2 million from $612.3 million at closing, and for Kestrel the pool valued dropped approximately 7.5% to $441.3 million from $477.1 million. For both transactions, Fitch utilized the average excluding the highest of the three most current appraised maintenance-adjusted base values for the NBs and turboprops for this review, consistent with recent transaction reviews conducted. The maintenance-adjusted market values for WB aircraft were utilized for each pool, and Fitch applied an additional 5% value haircut to these aircraft. For Falcon 2019-1, Fitch utilized AEH of the maintenance-adjusted MV for the two A330-300s powered by Rolls Royce Trent engines, on lease to Philippine Airlines and Air Asia X Berhad. These aircraft are enrolled in Rolls Royce's Total Care Agreements. Rolls Royce is currently rated 'BBB+'. Fitch has utilized this value approach giving credit to enrollment in Rolls Royce's TCA through the credit profile of the engine manufacturer, who provides maintenance and repair to maintain a full life engine position of the engines enrolled in this program. The utilized appraisals are more conservative compared to closing for both transactions. This resulted in modeled transaction values of $404.1 million for Kestrel, and $512.8 million for Falcon 2019-1, which are approximately 9% haircuts from each transaction's MABV, respectively. Transaction Performance: Nearly all lessees across both transactions have requested some form of payment relief/deferrals to date from DAE as servicer. As of May 2020, only a small number of lease deferrals were approved by DAE to date, and Fitch applied and modeled such terms in cash flow modeling for these reviews. Lease collections vary month-to-month but have trended down in the last few months for both transactions. Kestrel received $2.6 million in the April collection period (May reporting period), down from $4.0 million received in March. Falcon 2019-1 closed in late 2019, and received $3.6 million in the April collection period, versus $6.1 million in March. Both transactions had cash flow to pay interest on all the notes including the most subordinate notes. For Kestrel, cash flow was enough to pay partial class A note principal only, while Falcon 2019-1 received principal payments down to pay partial class B principal. As of the March 2020 collection period (April reporting period), the Board of Directors of Kestrel made a decision to hold back the funds that were due to be distributed to the E Note Holders, an amount equal to $1.6 million. These funds will remain in the Collections account for use to apply to the priority of payments in subsequent months, but Fitch did not apply any credit to such available funds. Fitch Modeling Assumptions: Nearly all servicer-driven assumptions applied for this review are consistent with assumptions utilized at closing for each transaction. These include costs and certain downtime assumptions relating to aircraft repossessions and remarketing, terms of new leases and extension terms. Two leases in Falcon 2019-1 and one lease in Kestrel is expected to expire in the next 12 months. Fitch assumed an additional three-month downtime at lease-end, on top of existing lessor-specific remarketing downtime assumptions, to account for potential remarketing challenges in placing this aircraft with a new lessee in the current distressed environment. With the grounding of global fleets and significant reduction in air travel, maintenance revenue and costs will be impacted and are expected to decline due to airline lessee credit issues and grounded aircraft. Maintenance revenues were cut by 50% over the next immediate 12 months, and such missed payments were assumed to be recouped in the following 12 months thereafter starting in June 2021. Maintenance costs over the immediate next six months were assumed to be incurred as reported. Costs in the following month were reduced by 50%, and assumed to increase straight line to 100% over a 12-month period. Any deferred costs were then incurred in the following 12 months. RATING SENSITIVITIES The NO on all classes of Kestrel and classes A and B of Falcon 2019-1 and RWN on class C of Falcon 2019-1 reflect the potential for further negative rating actions due to concerns over the ultimate impact of the coronavirus pandemic, the resulting concerns associated with airline performance and aircraft values, and other assumptions across the aviation industry due to the severe decline in travel and grounding of airlines. At close, Fitch conducted multiple rating sensitivity analyses to evaluate the impact of changes to a number of the variables in the analysis. The performance of aircraft operating lease securitizations is affected by various factors, which, in turn, could have an impact on the assigned ratings. Due to the correlation between global economic conditions and the airline industry, the ratings can be affected by the strength of the macro-environment over the remaining term of this transaction. In the initial rating analysis, Fitch found the transactions to exhibit sensitivity to the timing and severity of assumed recessions. Fitch also found that greater default probability of the leases has a material impact on the ratings. Furthermore, the timing and degree of technological advancement in the commercial aviation space, and the resulting impact on aircraft values, lease rates and utilization would have a moderate impact on the ratings. Factors that could, individually or collectively, lead to positive rating action/upgrade: The Aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry one category of ratings lower than the senior tranche, and remain below the initial ratings. However, if the transactions experiences stronger residual value realization than what was modeled by Fitch, or if it experiences a stronger lease cash flow collection than the stressed scenarios, the transactions could perform better than expected. Future upgrades beyond current ratings would not be considered due to the rating cap in the sector, the industry cyclicality, and weaker lessee mix present in ABS pools and uncertainty around future lessee mix, all combined with the negative impact on the coronavirus on the global travel/airline sectors and ultimately ABS transactions. Under this scenario, residual value recoveries at time of sale are assumed at 70% of their depreciated market values up from 50% in the base case. All classes of notes for both transactions result in cash flows for that are able to pass at their current ratings. Factors that could, individually or collectively, lead to negative rating action/downgrade: Down: Base Assumptions with 10% Weaker Widebody Values The pools contain large concentration of WB aircraft at approximately 22.6% and 33.6% for Kestrel and Falcon 2019-1, respectively, and any further softening in these aircraft values could lead to further downward rating action. Due to downward ongoing MV pressure on WB and worsening supply and demand value dynamics, Fitch explored the potential cash flow decline if WB values were haircut further by 10% of Fitch's modeled value for cash flow modeling (versus the 5% base scenario haircuts applied in this review mentioned prior). For Kestrel, net cash flow declines by approximately $2 million at the 'Asf' rating category, and class A and B notes are able to pass at the current ratings of 'Asf' and 'BBBsf' under this scenario. For Falcon 2019-1, net cash flow decline by approximately $5 million at the 'Asf' rating category, and classes A and B are each able to pass at 'Asf stress. Class C is unable to pass its current rating of 'Bsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). GOLD KEY 2014-A: DBRS Confirms BB(High) Rating on Cl. C Securities ------------------------------------------------------------------ DBRS, Inc. confirmed the ratings on three classes of securities issued by the Gold Key Resorts 2014-A, LLC transaction. Performance trends of the securities are such that credit enhancement levels are sufficient to cover DBRS Morningstar's expected losses at their current respective rating levels. -- Class A rated A (sf) -- Class B rated BBB (sf) -- Class C rated BB (high) (sf) As the Coronavirus Disease (COVID-19) spreads and its consequences unfold, it is difficult to anticipate the ultimate impact on the variables that drive consumer loan performance. In the context of this highly uncertain environment and in the interest of transparency, DBRS Morningstar released a set of forward-looking macroeconomic scenarios for select economies related to the coronavirus pandemic in a commentary titled "Global Macroeconomic Scenarios: Implications for Credit Ratings" on April 16, 2020. The moderate and the adverse scenarios are being used in the context of our rating analysis, with the moderate scenario serving as the primary anchor for current ratings, and the adverse scenario serving as a benchmark for sensitivity analysis. Our moderate scenario assumes some success in coronavirus containment in Q2 2020 with a gradual relaxation of restrictions, enabling most economies to begin a gradual recovery in Q3 2020. This moderate scenario primarily considers two economic measures: declining GDP growth and increased unemployment levels. For asset classes where consumer-based obligors are the source of cash flows to repay the rated transaction, the unemployment rate provides the basis for measuring performance expectations. The reported performance of the collateral in the transaction has generally been in line with original expectations. However, the impact of the coronavirus pandemic and the consequent widespread shutdown of economic activity throughout the United States is expected to significantly stress the consumer beyond original expectations in the coming months. In order to account for the additional consumer stress resulting from the pandemic, DBRS Morningstar applied transaction stresses in consideration of its moderate scenario, observed performance during the 2008–09 financial crisis, and the possible impact of the stimulus from the "Coronavirus Aid, Relief, and Economic Security Act" (CARES Act). Notes: The principal methodology is the DBRS Master U.S. ABS Surveillance Methodology (July 31, 2019), which can be found on dbrsmorningstar.com under Methodologies & Criteria. GS MORTGAGE 2020-PJ3: DBRS Gives Prov. B Rating on Class B-5 Certs ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-PJ3 (the Certificates) to be issued by GS Mortgage-Backed Securities Trust 2020-PJ3 (GSMBS 2020-PJ3): -- $251.6 million Class A-1 at AAA (sf) -- $251.6 million Class A-2 at AAA (sf) -- $28.6 million Class A-3 at AAA (sf) -- $28.6 million Class A-4 at AAA (sf) -- $188.7 million Class A-5 at AAA (sf) -- $188.7 million Class A-6 at AAA (sf) -- $62.9 million Class A-7 at AAA (sf) -- $62.9 million Class A-8 at AAA (sf) -- $33.2 million Class A-9 at AAA (sf) -- $33.2 million Class A-9-X at AAA (sf) -- $33.2 million Class A-10 at AAA (sf) -- $33.2 million Class A-11 at AAA (sf) -- $33.2 million Class A-11-X at AAA (sf) -- $33.2 million Class A-12 at AAA (sf) -- $33.2 million Class A-12-X at AAA (sf) -- $284.8 million Class A-13 at AAA (sf) -- $284.8 million Class A-14 at AAA (sf) -- $313.4 million Class A-15 at AAA (sf) -- $313.4 million Class A-16 at AAA (sf) -- $313.4 million Class A-17 at AAA (sf) -- $313.4 million Class A-X-1 at AAA (sf) -- $251.6 million Class A-X-2 at AAA (sf) -- $28.6 million Class A-X-3 at AAA (sf) -- $28.6 million Class A-X-4 at AAA (sf) -- $188.7 million Class A-X-5 at AAA (sf) -- $280.2 million Class A-X-6 at AAA (sf) -- $62.9 million Class A-X-7 at AAA (sf) -- $5.7 million Class B-1-A at AA (sf) -- $5.7 million Class B-1 at AA (sf) -- $5.7 million Class B-1-X at AA (sf) -- $5.9 million Class B-2-A at A (sf) -- $5.9 million Class B-2 at A (sf) -- $5.9 million Class B-2-X at A (sf) -- $4.7 million Class B-3-A at BBB (sf) -- $4.7 million Class B-3 at BBB (sf) -- $4.7 million Class B-3-X at BBB (sf) -- $10.6 million Class B-3-Y at BBB (sf) -- $16.2 million Class B-3-Z at BBB (sf) -- $2.8 million Class B-4 at BB (sf) -- $838.0 thousand Class B-5 at B (sf) Classes A-9-X, A-11-X, A-12-X, A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, B-1-X, B-2-X, and B-3-X are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-4, A-6, A-8, A-10, A-11, A-11-X, A-12, A-12-X, A-13, A-14, A-15, A-16, A-17, A-X-2, A-X-6, B-1-A, B-2-A, B-3-A, B-3-Y, and B-3-Z are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-1, A-2, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, and A-14 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-3 and A-4) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.45% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 4.75%, 3.00%, 1.60%, 0.75%, and 0.50% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. GSMBS 2020-PJ3 is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 433 loans with a total principal balance of $335,040,349 as of the Cut-Off Date (May 1, 2020). The originators for the mortgage pool are United Shore Financial Services, LLC (28.3%), loanDepot.com, LLC (17.2%), and various other originators, each comprising less than 10.0% of the mortgage loans. Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller of the transaction. For certain originators, the related loans were sold to MAXEX Clearing LLC (5.6%) and were subsequently acquired by the Mortgage Loan Seller. NewRez LLC doing business as Shellpoint Mortgage Servicing will service all mortgage loans within the pool. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as the Master Servicer, Securities Administrator, and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) File Reviewer. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of three months. Approximately 21.0% of the pool are conforming, high-balance mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. The remaining 79.0% of the pool are traditional, nonagency, prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the presale. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. Coronavirus Disease (COVID-19) Pandemic Impact The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many residential mortgage-backed securities (RMBS) asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies and loans on forbearance plans, slower voluntary prepayment rates, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: Implications for Credit Ratings," published on April 16, 2020), for the prime asset class DBRS Morningstar assumes a combination of higher unemployment rates and more conservative home price assumptions than what DBRS Morningstar previously used. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value ratio (LTV) borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. Notes: All figures are in U.S. dollars unless otherwise noted. HERTZ VEHICLE II: DBRS Lowers Rating on 10 Classes to CC(sf) ------------------------------------------------------------ DBRS, Inc. downgraded the ratings on the following classes of securities issued by Hertz Vehicle Financing II LP: -- Series 2013-A, Class A to A (high) (sf) from AAA (sf) -- Series 2013-A, Class B to BBB (sf) from AA (sf) -- Series 2013-A, Class C to B (high) (sf) from A (sf) -- Series 2013-A, Class D to B (low) (sf) from BBB (sf) -- Series 2015-3, Class A to AA (low) (sf) from AAA (sf) -- Series 2015-3, Class B to BB (high) (sf) from A (sf) -- Series 2015-3, Class C to CCC (high) (sf) from BBB (sf) -- Series 2016-2, Class A to AA (low) (sf) from AAA (sf) -- Series 2016-2, Class B to BB (high) (sf) from A (sf) -- Series 2016-2, Class C to CCC (high) (sf) from BBB (sf) -- Series 2016-2, Class D to CC (sf) from BB (sf) -- Series 2016-4, Class A to AA (low) (sf) from AAA (sf) -- Series 2016-4, Class B to BB (high) (sf) from A (sf) -- Series 2016-4, Class C to CCC (high) (sf) from BBB (sf) -- Series 2016-4, Class D to CC (sf) from BB (sf) -- Series 2017-1, Class A to AA (low) (sf) from AAA (sf) -- Series 2017-1, Class B to BB (high) (sf) from A (sf) -- Series 2017-1, Class C to CCC (high) (sf) from BBB (sf) -- Series 2017-1, Class D to CC (sf) from BB (sf) -- Series 2017-2, Class A to AA (low) (sf) from AAA (sf) -- Series 2017-2, Class B to BB (high) (sf) from A (sf) -- Series 2017-2, Class C to CCC (high) (sf) from BBB (sf) -- Series 2017-2, Class D to CC (sf) from BB (sf) -- Series 2018-1, Class A to AA (low) (sf) from AAA (sf) -- Series 2018-1, Class B to BB (high) (sf) from A (sf) -- Series 2018-1, Class C to CCC (high) (sf) from BBB (sf) -- Series 2018-1, Class D to CC (sf) from BB (sf) -- Series 2018-2, Class A to AA (low) (sf) from AAA (sf) -- Series 2018-2, Class B to BB (high) (sf) from A (sf) -- Series 2018-2, Class C to B (low) (sf) from BBB (sf) -- Series 2018-2, Class D to CC (sf) from BB (sf) -- Series 2018-3, Class A to AA (low) (sf) from AAA (sf) -- Series 2018-3, Class B to BB (high) (sf) from A (sf) -- Series 2018-3, Class C to B (low) (sf) from BBB (sf) -- Series 2018-3, Class D to CC (sf) from BB (sf) -- Series 2019-1, Class A to AA (low) (sf) from AAA (sf) -- Series 2019-1, Class B to BB (high) (sf) from A (sf) -- Series 2019-1, Class C to CCC (high) (sf) from BBB (sf) -- Series 2019-1, Class D to CC (sf) from BB (sf) -- Series 2019-2, Class A to AA (low) (sf) from AAA (sf) -- Series 2019-2, Class B to BB (high) (sf) from A (sf) -- Series 2019-2, Class C to B (low) (sf) from BBB (sf) -- Series 2019-2, Class D to CC (sf) from BB (sf) -- Series 2019-3, Class A to AA (low) (sf) from AAA (sf) -- Series 2019-3, Class B to BB (high) (sf) from A (sf) -- Series 2019-3, Class C to B (low) (sf) from BBB (sf) -- Series 2019-3, Class D to CC (sf) from BB (sf) The ratings remain Under Review with Negative Implications, where they were placed on April 29, 2020. In a commentary titled "Rental Car ABS Performance Expected to Remain Stable in the Near Term Despite Coronavirus Disease (COVID-19) Concerns" published on March 18, 2020, DBRS Morningstar discussed some of the challenges facing the rental car sector and concluded that despite these challenges, the outlook for rental car asset-backed security (ABS) performance remained stable. In a subsequent commentary titled "DBRS Morningstar Revises Rental Car ABS Sector Outlook to Negative Due to Coronavirus Disease (COVID-19) Concerns" published on April 21, 2020, DBRS Morningstar revised its outlook for the rental car ABS sector to negative. The primary reason cited for the revised outlook was that the rapidity and severity of negative developments related to the Coronavirus Disease (COVID-19) that have directly affected the rental car business were observed to be greater than originally anticipated. In a commentary titled "Global Macroeconomic Scenarios: Implications for Credit Ratings" published on April 16, 2020, DBRS Morningstar explains its belief that, in a moderate scenario, the coronavirus will most likely be contained in Q2 2020, resulting in a gradual relaxation of restrictions, thus enabling most economies to begin a gradual economic recovery in Q3 2020. However, negative developments in the travel and tourism and automotive sectors have been particularly damaging to The Hertz Corporation's (Hertz or the Company; rated CC, Under Review with Negative Implications, by DBRS Morningstar) rental car business, resulting in the present rating actions. The rating actions by DBRS Morningstar are based on the following analytical considerations: (1) Nonessential business closures have limited the Company's ability to reduce fleet commensurate with demand, adversely affecting fleet utilization. As a result, Hertz's liquidity has been and may continue to be impaired because of requirements in its ABS financing arrangements whereby lease payments are required on vehicles regardless of their revenue or nonrevenue-producing status. (2) On April 27, 2020, Hertz failed to pay variable rent (interest) and base rent (principal) due under the operating lease. On May 5, 2020, the trustee received funds with respect to interest due on the Series 2013-A variable-funding notes (VFNs) and the remainder of the ABS medium-term notes (MTNs). The nonpayment under the lease triggered an amortization event and a liquidation event with respect to the VFNs. On May 5, 2020, Hertz entered into a Forbearance Agreement with the VFN holders and lenders in their senior credit facility whereby they agreed to forbear their rights to direct a liquidation. No waiver was provided by the VFN holders with respect to the amortization event and the Forbearance Agreement will expire on May 22, 2020. Failure to pay base rent under the lease resulted in an amortization event occurring with respect to the MTNs which, absent a waiver from the requisite amount of MTN noteholders, will result in a liquidation event with respect to the MTNs. (3) The information about the extent of the impact of coronavirus on Hertz's rental car operations to date, which was shared with DBRS Morningstar by the Company. (4) Provisions in ABS financing documents, which cover a substantial portion of the Company's fleet, specify that incremental credit enhancement be provided based upon certain mark-to-market and disposition proceeds tests. While there is a time lag associated with the likely impact of these tests, based upon DBRS Morningstar's evaluation of the potential impact of these tests in the upcoming months, the negative impact on the Company's liquidity could be significant. (5) The failure to or inability to adjust the credit enhancement as indicated under the ABS financing documents, potential deterioration in the used vehicle market beyond original expectations, and the failure to pay base rent due on April 27, 2020, could result in losses upon disposition that are inconsistent with original expectations and outstanding ratings prior to these rating downgrades. (6) Concern that recovery in the tourism and travel sector, a significant driver of rental business, could be protracted to the extent individuals are wary of resuming normal travel patterns. (7) DBRS Morningstar downgraded Hertz' ratings, including its Long-Term Issuer Rating, to CC from CCC (high) on April 29, 2020, and the ratings remain Under Review with Negative Implications. (8) The DBRS Morningstar ratings of the relevant original equipment manufacturers as of May 19, 2020. The ratings remain Under Review with Negative Implications. DBRS Morningstar will seek to complete its assessment and remove the ratings from Under Review with Negative Implications status as soon as appropriate. Upon the resolution of the Under Review status, DBRS Morningstar may confirm or downgrade the ratings on the affected classes. Notes: The principal methodology is the DBRS Master U.S. ABS Surveillance Methodology (July 31, 2019), which can be found on dbrsmorningstar.com under Methodologies & Criteria. JC PENNEY: S&P Cuts Ratings on 8 Classes From 5 Transactions to 'D' ------------------------------------------------------------------- S&P Global Ratings lowered its ratings on eight classes from five transactions linked to J.C. Penney Co. Inc.'s (JCP's) debentures to 'D' from 'C'. S&P's ratings on all eight classes of certificates are dependent on its rating on the underlying security, J.C. Penney Co. Inc.'s 7.625% debentures due March 1, 2097 ('D'). The lowered ratings reflect the May 19, 2020, lowering of our rating on the underlying security to 'D' from 'C'. As noted in "J.C. Penney Co. Inc.'s Debt Downgraded To 'D' On Chapter 11 Filing; Secured Recovery Rating Revised To '3'," published May 20, 2020, JCP has struggled for years to adapt its business model to the challenging domestic department store space while being saddled with large amounts of debt and operating stores in unattractive mall locations. More recently, its business prospects have deteriorated sharply because of the disruptions from COVID-19 and recessionary conditions. Environmental, social, and governance (ESG) factors relevant to the rating action: -- Health and safety RATINGS LOWERED CABCO Trust For J.C. Penney Debentures (Series 1999-1) US$52.65 million series trust certificates due March 1, 2097 Rating Class To From Certificates D C CorTS Trust For J.C. Penney Debentures US$100 million corporate-backed trust securities (CorTS) certificates Rating Class To From Certificates D C Corporate-Backed Callable Trust Certificates J.C. Penney Debenture-Backed Series 2006-1 US$27.5 million Rating Class To From A-1 D C A-2 D C Corporate-Backed Callable Trust Certificates J.C. Penney Debenture-Backed Series 2007-1 Trust US$55 million corporate-backed callable trust certificates J.C. Penney debentures-backed series 2007-1 Rating Class To From A-1 D C A-2 D C Structured Asset Trust Unit Repackaging (SATURNS) J.C. Penney Co. US$54.5 million units series 2007-1 Rating Class To From A D C B D C JP MORGAN 2003-CIBC6: Fitch Affirms Dsf on 2 Tranches ----------------------------------------------------- Fitch Ratings has upgraded one and affirmed three classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. 2003-CIBC6. J. P. Morgan Chase Commercial Mortgage Securities Corp. 2003-CIBC6 - Class K 46625MXJ3; LT AAAsf; Affirmed - Class L 46625MXK0; LT AAAsf; Upgrade - Class M 46625MXL8; LT Dsf; Affirmed - Class N 46625MXM6; LT Dsf; Affirmed KEY RATING DRIVERS Increased Credit Enhancement and High Defeasance: The affirmation of class K at 'AAAsf' and the upgrade of class L to 'AAAsf' from 'Bsf' reflect these classes being fully covered by defeasance. Four of the remaining six loans (90.2% of the pool) are defeased. Credit enhancement has improved since Fitch's last rating action due to the payoff of the Old Orchard Village East Shopping Center loan (32% of the last rating action pool balance) and continued amortization of the remaining loans. As of the May 2020 remittance reporting, the pool has been reduced by 99% to $10 million from $1.04 billion at issuance. Realized losses to date total $21.2 million (2% of the original pool balance). At the last rating action, Fitch had assigned a Positive Rating Outlook to class L, which reflected the class could be subject to a multiple category upgrade to 'AAAsf' should the Old Orchard East Shopping Center loan pay in full at its April 2020 maturity date; this would result in the class being fully covered by defeased collateral. Fitch's rating on class L at the last rating action reflected the uncertainty of the payoff of the Old Orchard East Shopping Center loan due to prior occupancy issues. The loan had previously transferred to special servicing in 2010 and was modified and returned to the master servicer in 2011. Stable Performance/Coronavirus Exposure: Performance of the two remaining non-defeased loans (9.8% of the pool) has remained stable. The Eckerd - Charlotte loan is fully amortizing and secured by a 10,900 square foot (sf) single tenant retail property located in Charlotte, NC leased to Walgreens through January 2027. This property remains open as it is deemed essential during the pandemic. The 5141 North 40th Street loan is fully amortizing and secured by an 11,000 sf suburban office property located in Phoenix, AZ. The property was 100% leased to five different tenants, with over 65% of the NRA rolling in 2020. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: No further rating changes are expected on the classes rated 'Dsf' as they have incurred a principal loss. Fitch rates classes K and L at 'AAAsf'; therefore, upgrades are not possible. Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of classes K and L, which are covered fully by defeasance, are possible with a downgrade of the U.S. government. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 No third-party due diligence was provided to or reviewed by Fitch in relation to this rating. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). JP MORGAN 2006-CIBC15: Moody's Affirms C Rating on 2 Tranches ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CIBC15 as follows: Cl. A-M, Affirmed B3 (sf); previously on Sep 28, 2018 Affirmed B3 (sf) Cl. A-J, Affirmed C (sf); previously on Sep 28, 2018 Affirmed C (sf) Cl. X-1*, Affirmed C (sf); previously on Sep 28, 2018 Affirmed C (sf) * Reflects Interest-Only Class RATINGS RATIONALE The ratings on Cl. AM and Cl. AJ were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The loans in special servicing now constitute 68% of the pool. These specially serviced loans are all REO and have been deemed non-recoverable by the master servicer. The rating on the interest only class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 61.1% of the current pooled balance, compared to 55.4% at Moody's last review. Moody's base expected loss plus realized losses are now 19.7% of the original pooled balance, the same as at Moody's last review. Its analysis has considered the effect of the coronavirus outbreak on the US economy as well as the effects that the announced government measures, put in place to contain the virus, will have on the performance of commercial real estate. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. The contraction in economic activity in the second quarter will be severe and the overall recovery in the second half of the year will be gradual. However, there are significant downside risks to its forecasts in the event that the pandemic is not contained and lockdowns have to be reinstated. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and available. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 67.7% of the pool is in special servicing. 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 to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the May 12, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 96.4% to $75.3 million from $2.1 billion at securitization. The certificates are collateralized by 9 mortgage loans ranging in size from less than 1% to 21% 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 7, compared to 12 at Moody's last review. There are no loans on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council 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. Forty-one loans have been liquidated from the pool, contributing to an aggregate realized loss of $372 million (for an average loss severity of 35%). Six loans, constituting 68% of the pool, are currently in special servicing. These specially serviced loans are all REO and have been deemed non-recoverable by the master servicer. The largest specially serviced loan is the FGP Portfolio I -- A Note Loan ($15.9 million -- 21.2% of the pool) and the FGP Portfolio I - B Note ($8.3 million -- 11.0% of the pool). The loan was initially secured by a portfolio of 12 industrial properties, of which nine have been released. The original loan was first transferred to the special servicer in July 2009 due to imminent default as a result of tenant departures. The loan was modified in July 2011, including the creation of a B note. The loan subsequently returned to master servicer; however, the loan was transferred back to the special servicer in June 2016 for maturity default. The remaining four specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $46.0 million loss for the specially serviced loans (90% expected loss on average). As of the May 12, 2020 remittance statement cumulative interest shortfalls were $31.5 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, loan modifications and extraordinary trust expenses. The top three performing non-specially serviced loans represent 32% of the pool balance. The largest performing loan is the Harbor Freight Tools USA, Inc. Loan ($14.9 million -- 19.8% of the pool), which is secured by a one million SF industrial property located in Dillon, South Carolina, approximately 65 miles northwest of Myrtle Beach. The property is 100% leased to Harbor Freight Tools through March 2039. The loan is amortizing and has paid down 37% since securitization. Moody's analysis incorporated a Lit/Dark approach to account for the single-tenant exposure. Moody's LTV and stressed DSCR are 82% and 1.31X, respectively, compared to 81% and 1.52X at the last review. The second largest performing loan is the 70 Jewett City Road Loan ($7.5 million -- 10.0% of the pool), which is secured by a 638,000 SF industrial property located in Norwich, Connecticut. The property is 100% leased to Bob's Discount Furniture which runs through September 2027. Moody's analysis incorporated a Lit/Dark approach to account for the single-tenant exposure. The loan is fully amortizing and has paid down 53% since securitization. Moody's LTV and stressed DSCR are 41% and 2.36X, respectively, compared to 45% and 2.4X at the last review. The third largest performing loan is the Eckerd - Voorhies Loan ($1.8 million -- 2.4% of the pool), which was originally secured by a 13,813 SF Eckerd, then to Rite Aid, and is now sub-leased to a wine and spirits shop in Voorhies, New Jersey approximately 23 miles east of Philadelphia. Moody's analysis incorporated a Lit/Dark approach to account for the single-tenant exposure. The loan is amortizing and has paid down 57% since securitization. Moody's LTV and stressed DSCR are 70% and 1.54X, respectively, compared to 73% and 1.64X at the last review. JP MORGAN 2012-CIBX: Moody's Cuts Class G Certs to 'Ca' ------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and downgraded the ratings on five classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX, Commercial Mortgage Pass-Through Certificates, Series 2012-CIBX, as follows: Cl. A-4, Affirmed Aaa (sf); previously on Aug 2, 2019 Affirmed Aaa (sf) Cl. A-4FL, Affirmed Aaa (sf); previously on Aug 2, 2019 Affirmed Aaa (sf) Cl. A-4FX, Affirmed Aaa (sf); previously on Aug 2, 2019 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Aug 2, 2019 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Aug 2, 2019 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Aug 2, 2019 Affirmed A2 (sf) Cl. D, Downgraded to Baa3 (sf); previously on Apr 17, 2020 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. E, Downgraded to B1 (sf); previously on Apr 17, 2020 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. F, Downgraded to Caa1 (sf); previously on Apr 17, 2020 B1 (sf) Placed Under Review for Possible Downgrade Cl. G, Downgraded to Ca (sf); previously on Apr 17, 2020 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. X-A*, Affirmed Aaa (sf); previously on Aug 2, 2019 Affirmed Aaa (sf) Cl. X-B*, Downgraded to Caa1 (sf); previously on Apr 17, 2020 B1 (sf) Placed Under Review for Possible Downgrade * Reflects Interest Only Classes RATINGS RATIONALE The ratings on six P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value ratio, Moody's stressed debt service coverage ratio and the transaction's Herfindahl Index, are within acceptable ranges. The ratings on four P&I classes, Cl. D, E, F and G, were downgraded due to the decline in pool performance and higher anticipated losses, driven primarily by the decline in performance of three of the four largest non-defeased loans. Two regional malls, Jefferson Mall (8% of the pool) and Southpark Mall (7% of the pool) transferred to special servicing since the beginning of 2020 and the largest performing loan, theWit Hotel (10% of the pool), has suffered from declining net operating income since securitization. The rating on the IO class X-A was affirmed based on the credit quality of its referenced classes. The rating on the IO Class X-B was downgraded due to a decline in the credit quality of its referenced classes. The IO Class references P&I classes, Cl. B through Cl. NR (Cl. NR is not rated by Moody's). The actions conclude the review for downgrade initiated on April 17, 2020. Its analysis has considered the effect of the coronavirus outbreak on the US economy as well as the effects that the announced government measures, put in place to contain the virus, will have on the performance of commercial real estate. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. The contraction in economic activity in the second quarter will be severe and the overall recovery in the second half of the year will be gradual. However, there are significant downside risks to its forecasts in the event that the pandemic is not contained and lockdowns have to be reinstated. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 11.4% of the current pooled balance, compared to 7.5% at Moody's last review. Moody's base expected loss plus realized losses is now 7.1% of the original pooled balance, compared to 4.8% 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 May 2020. DEAL PERFORMANCE As of the May 15, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 38% to $800 million from $1.29 billion at securitization. The certificates are collateralized by 40 mortgage loans ranging in size from less than 1% to just under 10% of the pool, with the top ten loans (excluding defeasance) constituting 54% of the pool. Ten loans, constituting 26% 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 14, compared to 17 at Moody's last review. As of the May 15, 2020 remittance report, loans representing 72% of the pool were current on their debt service payments, 23% were beyond their grace period but less than 30 days delinquent and 5% were 30 - 59 days delinquent. 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. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $157,592 (for a minimal loss severity of less than 1%). Three loans, constituting 16% of the pool, are currently in special servicing. Two of the specially serviced loans, representing 8% of the pool, have transferred to special servicing since March 2020. The largest specially serviced loan is the Jefferson Mall Loan ($61.3 million -- 7.7% of the pool), which is secured by a 281,000 SF portion of a 957,000 SF regional mall located in Louisville, Kentucky. The mall's non-collateral anchors include a former Sears, Dillard's and J.C. Penney. Macy's (152,000 SF) closed their store at this location before the end of 2017 and the sponsor, CBL & Associates Properties, then purchased the Macy's parcel. A portion (46,000 SF) of the former Macy's space has been partially backfilled by Round One Entertainment which features bowling, billiards, arcade games, karaoke, darts, ping pong and a kids zone. Additionally, CBL has purchased the Sears parcel and leased it back to Sears on a 10-year lease with termination options with a 6-month advance notice. The collateral portion of the mall was 94% leased as of December 2019 compared to 96% in 2018 and 2017. The sponsor reported 2019 mall store sales of $397 per square foot compared to $382 PSF in 2018. The loan transferred to special servicing in February 2020 due to imminent default as the borrower indicated they would not be able to pay off the loan at its June 2022 maturity date. The mall faces competition within the Louisville area from two Brookfield-owned malls, Oxmoor Center and Mall St. Matthews, both located approximately eight miles northeast of the subject property. Moody's analysis accounted for the higher cash flow volatility and loss severity associated with Class B malls. The loan has amortized by approximately 14% since securitization. The special servicer indicated they were working with the borrower on a loan modification, however, due to the coronavirus impact a modification was unable to executed. The mall re-opened with limited hours on May 20. As of the May 2020 remittance, the loan is paid through its April 2020 payment. The special servicer indicated they are now negotiating relief due to the recent market events. The second largest specially serviced loan is the Southpark Mall Loan ($57.9 million -- 7.2% of the pool), which is secured by a 390,000 SF portion of a 590,000 SF regional mall located in Colonial Heights, Virginia. The mall is located approximately 22 miles south of Richmond, Virginia, along Interstate-95. The current anchors include a 16-screen Regal Cinema (collateral) and two non-collateral tenants, JC Penney and Macy's. A former Sears, one of the original anchors, closed its store at this location in 2018. As a result, total mall occupancy declined to 68% as of December 2018, compared to 99% in 2017 and 98% at securitization. As of December 2019, inline occupancy was 95%, compared to 84% in 2018 and 85% in 2017. The increase in 2019 can be partly attributed to a new lease with H&M for approximately 21,000 SF. As of December 2019, the total occupancy included a temporary tenant, Spirit Halloween (in the former Sears space) and was reported at 98%, however, excluding Spirit Halloween the occupancy would be reduced to 78%. The sponsor reported 2019 mall store sales of $388 PSF compared to $387 PSF in 2018. The loan transferred to special servicing in March 2020 due to imminent default as the borrower initially requested a loan modification and extension, however, due to the coronavirus impact the borrower has withdrew its request. The mall re-opened with limited hours on May 15. As of the May 2020 remittance, the loan is paid through its April 2020 payment. The property benefits from being the only mall situated in the southern portion of the Richmond, VA MSA and is the only enclosed regional mall within a 25-mile radius. Moody's analysis accounted for the higher cash flow volatility and loss severity associated with Class B malls. The loan sponsor is CBL and the loan matures in June 2022. The loan has amortized by approximately 14% since securitization. The third largest specially serviced loan is the Nittany Commons Loan ($9.6 million -- 1.2% of the pool), which is secured by a 120,391 SF retail center located in State College, Pennsylvania. The center was formerly anchored by a grocery store, Giant Foods (65,301 SF), which vacated during 2019 at its lease expiration. As a result, the center is now only 46% leased. The loan transferred to special servicing in March 2020 due to imminent monetary default. The borrower stated there is interest in the vacant space but a LOI has not been finalized. The loan is now fully cash managed with a cash trap in place. The loan has amortized by approximately 12% since securitization. Moody's has also assumed a high default probability for four poorly performing loans, constituting 14% of the pool, and has estimated an aggregate loss of $68.4 million (a 28% expected loss on average) from these specially serviced and troubled loans. The largest troubled loan is theWit hotel (10% of the pool) and is discussed in further detail below. The second largest troubled loan is Plaza Centro (3% of the pool) which is secured by a 283,000 SF anchored retail center located in Caguas, Puerto Rico that has suffered from declining revenue and DSCR since securitization. Furthermore, the largest tenant, K-Mart (32% of the NRA), had a lease which expired in February 2020 and the borrower indicated that the tenant would not be renewing. Moody's received full year 2018 operating results for 100% of the pool, and full or partial year 2019 operating results for 96% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 101%, compared to 98% 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 25% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.0%. Moody's actual and stressed conduit DSCRs are 1.33X and 1.12X, respectively, compared to 1.41X and 1.15X 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 performing loans represent 25% of the pool balance. The largest loan is the theWit Hotel Loan ($77.5 million -- 9.7% of the pool), which is secured by a 310-room full-service hotel located in Chicago, Illinois. The property is a boutique hotel product in the Hilton Doubletree brand. The December 2019 trailing twelve-month occupancy and revenue per available room (RevPAR) figures were 80% and $178, respectively, compared to 84% and $193 at December 2018. Property performance has declined significantly since securitization due to a decrease in room and F&B revenue as well as an increase in expenses. The decrease in revenues can be partially attributed to new inventory of rooms in the area and fewer citywide conventions in 2019 along with the roof patio being under renovation during the first half of 2019. The loan has amortized by approximately 12% since securitization, however, the 2019 reported net operating income was more than 20% below its underwritten levels. The loan was current as of its May 2020 remittance statement, however, due to the low 2019 DSCR and declining NOI since securitization, Moody's considers this a troubled loan. The second largest loan is the 100 West Putnam Loan ($69.3 million -- 8.7% of the pool), which is secured by a 156,000 SF class A suburban three building office complex located in Greenwich, Connecticut. The property is also encumbered by a $16 million B-Note. As of December 2019, the property was 68% leased, unchanged since the prior review and compared to 97% at securitization. The decrease in occupancy from securitization was driven partly by the departure of two tenants during the first half of 2016. Additionally, two other tenants downsized their spaces upon lease renewal. There is minimal lease rollover for the current tenants through 2022 and the loan has amortized by approximately 13% since securitization. Due to lower rental revenues and higher expenses, the property's NOI has been below underwritten levels since 2015. Moody's LTV and stressed DSCR are 131% and 0.81X, respectively, compared to 130% and 0.79X at the last review. The third largest loan is The Court at Oxford Valley Loan ($52.8 million -- 6.6% of the pool), which is secured by a shadow anchored retail center in Fairless Hills, Pennsylvania. It is located approximately 25 miles from downtown Philadelphia, and 2 miles southwest of Interstate-95. Shadow anchors include BJ's Wholesale Club, Best Buy, Home Depot and Barnes and Noble. There was a Babies R Us (10% of NRA) at the center which vacated in June 2018 and Spirit Halloween has temporarily leased the space during seasonal times. The property was 90% leased as of December 2019, compared to 98% in 2015 and 89% at securitization. Moody's LTV and stressed DSCR are 100% and 1.03X, respectively, compared to 93% and 1.29X at the last review. MORGAN STANLEY 2014-C18: Fitch Affirms B on Class 300-E Debt ------------------------------------------------------------ Fitch Ratings has affirmed five classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2014-C18. Fitch has only issued ratings for the 300 North LaSalle B Note (300 North LaSalle rake certificates) issued by MSBAM 2014-C18. These certificates are subordinate in right of payment of interest and principal to the 300 North LaSalle A notes and derive their cash flow solely from the 300 North LaSalle Street loan. The 300 North LaSalle rake certificates are generally not subject to losses from any of the other loans collateralizing the MSBAM 2014-C18 transaction. Fitch does not rate any other classes issued by MSBAM 2014-C18. MSBAM 2014-C18 – 300 North LaSalle Rake - Class 300-A 61763XBF2; LT AA-sf; Affirmed - Class 300-B 61763XBH8; LT A-sf; Affirmed - Class 300-C 61763XBK1; LT BBB-sf; Affirmed - Class 300-D 61763XBM7; LT BB-sf; Affirmed - Class 300-E 61763XBP0; LT Bsf; Affirmed KEY RATING DRIVERS Stable Performance; Institutional-Quality Tenants: As of the December 2019 rent roll, the property was 95.8% occupied, compared to 95.9% in April 2019, 96.7% in April 2018, 94.4% in March 2017, and 98.1% at issuance. The five largest tenants occupy approximately 75% of the net rentable area and have lease expirations occurring in 2022 or later: Kirkland & Ellis, LLP (49% of NRA; lease expiry in February 2029), The Boston Consulting Group (11.4%; December 2024), Quarles and Brady LLP (7.7%; various lease expirations), GTCR Leasing, LLC (5.7%; March 2024) and Aviva USA Corporation (3.8%; March 2022). Approximately 23% of the NRA rolls prior to the loan's August 2024 loan maturity, including 6% of the NRA in 2020. Kirkland & Ellis, LLP has a one-time termination option in 2025, requiring 24 months' notice. The second largest tenant, Boston Consulting Group, has a lease expiring at the end of 2024, four months after loan maturity. The servicer-reported debt service coverage ratio is down slightly to 2.10x for the TTM ended June 2019, down from 2.29x in the TTM period ended June 2018, and 2.13x in the TTM ended June 2017. The non-rated senior portion of the debt began amortizing in August 2019. The adjusted amortizing TTM ended June 2019 DSCR is 1.64x. The property's fiscal year ends in June and the TTM June 2020 statement has not yet been finalized. The T-6 statement ended December 2019 indicates performance in-line with and slightly above that of the June 2019 TTM. Fitch expects this loan will continue to perform in line with issuance expectations. High Asset Quality and Strong Market Positioning: 300 North LaSalle, which was newly constructed in 2009, is a 60-story, class A, LEED Platinum central business district office building. The property is located along the north bank of the Chicago River in the River North neighborhood and features high-quality amenities. 300 North LaSalle is considered by Fitch as one of the premier buildings in the city of Chicago. Fitch assigned the subject a property quality grade of 'A' at issuance. High Fitch Leverage: The $475 million whole loan (total debt of $365 psf) has a Fitch-stressed DSCR and loan to value of 1.04x and 84.6%, respectively, compared to 1.0x and 89.0% at issuance. The 10-year loan was interest-only for the first five years of its term. In August 2019, it began amortizing on a 30-year schedule for the remaining five years of the loan term. This will result in a scheduled 9.6% reduction to the original loan balance at maturity. Loan Structural Features: A DSCR trigger period will commence upon an event of default or the DSCR dropping below 1.20x. During a DSCR trigger period, the borrower is required to fund several reserve accounts. Additionally, in the event Kirkland & Ellis, LLP ever gives notice of its intentions to exercise an early termination, the borrower is required to deposit $51.2 million ($75 psf of Kirkland's space) into a reserve account. The 10-year loan was interest-only for the first five years of its term. In August 2019, it began amortizing on a 30-year schedule for the remaining five years of the loan term. Currently, paydown from the amortization is only allocated to the non-rated A-1, A-2 and A-3 bonds. Remaining amortization will result in a scheduled 9.6% reduction to the original loan balance at maturity. Experienced Sponsorship: The loan is sponsored by The Irvine Company LLC, which dates its history back to 1864 and the Irvine Ranch. Since then, the company has grown to be the largest owner and manager of commercial real estate in California. Coronavirus Exposure: The Fitch-rated bonds are secured by a single property and are therefore more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. The social and market disruption caused by the effects of the coronavirus pandemic and related containment measures were not a factor in this review. RATING SENSITIVITIES The Outlooks on all classes remain Stable. Factors that could, individually or collectively, lead to positive rating action/upgrade: An upgrade to classes 300-A and 300-B would occur with paydown of the bonds and continued stable performance of the asset. An upgrade of class 300-C would occur with significant improvement in credit enhancement. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. An upgrade to classes 300-D and 300-E could occur should rental income continue to trend upward and expenses remain stable. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include a decline in performance of the underlying asset or loan default. A downgrade to classes 300-A and 300-B is not considered likely due to the current credit support, but may occur should interest shortfalls occur. A downgrade to class 300-C is possible should the loan default or transfer to special servicing. A downgrade to classes 300-D and 300-E is possible should the loan experience material and sustained performance decline. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). MSBAM 2012-C5: Fitch Alters Outlook on Class H Debt to Stable ------------------------------------------------------------- Fitch Ratings has revised the Rating Outlooks on 11 classes from seven U.S. CMBS conduit transactions from the 2012 vintage to Negative from Stable. Fitch also revised the Rating Outlooks to Stable from Positive on three classes from three transactions. Fitch reviewed four 2012 transactions, COMM 2012-CCRE3, JPMCC 2012-C8, WFCM 2012-LC5 and WFRBS 2012-C9, in the past six weeks. Negative Rating Outlooks were assigned to classes in COMM 2012-CCRE3, JPMCC 2012-C8 and WFRBS 2012-C9 at that time. All classes in WFCM 2012-LC5 have Stable or Positive Rating Outlooks. No further actions were taken on these four deals in this review. Fitch analyzed its entire portfolio of 2012 U.S. CMBS conduit transactions, which consists of 21 deals. The review focused solely on the impact of the coronavirus pandemic on the transactions. Including the transactions listed above, 18 transactions from the 2012 vintage now have at least one class with a Negative Outlook. Three transactions have Stable or Positive Rating Outlooks on all outstanding classes. GS Mortgage Securities Trust 2012-GCJ9 - Class B 36192PAD8; LT AAsf; Revision Outlook - Class E 36192PAN6; LT BBsf; Revision Outlook - Class F 36192PAR7; LT Bsf; Revision Outlook WFRBS 2012-C7 - Class B 92936TAD4; LT AAsf; Revision Outlook - Class C 92936TAE2; LT Asf; Revision Outlook MSBAM 2012-C5 - Class H 61761AAQ1; LT Bsf; Revision Outlook CGCMT 2012-GC8 - Class B 17318UAG9; LT AA-sf; Revision Outlook - Class C 17318UAH7; LT A-sf; Revision Outlook - Class D 17318UAJ3; LT BBB-sf; Revision Outlook MSBAM 2012-C6 - Class B 61761DAF9; LT AAsf; Revision Outlook COMM 2012-CCRE1 - Class F 12624BAQ9; LT BBsf; Revision Outlook WFRBS 2012-C6 - Class B 92936QAJ7; LT AAsf; Revision Outlook - Class F 92936QAW8; LT Bsf; Revision Outlook COMM 2012-CCRE5 - Class F 12623SAW0; LT BBsf; Revision Outlook KEY RATING DRIVERS The Negative Rating Outlooks reflect the potential for future downgrades stemming from an increase in expected losses due to Fitch's anticipation of a significant negative economic impact and property performance deterioration due to the coronavirus pandemic. Near-term cash flow performance is expected to decline on certain properties. However, it is difficult to discern at this time which loans will ultimately default and whether the default will result in losses to the trust given the lack of clarity about the length of the pandemic and permanence of the performance declines. As described in Fitch's "Update on Response on Coronavirus Related Reviews for North American CMBS" published on April 13, 2020, Fitch continues to incorporate its baseline scenario from its Global Economic Outlook into its analysis. For property sectors highly vulnerable to the coronavirus pandemic, Fitch has assumed significant declines in cash flow occurring over the next two to four months: for hotel, a 65% decline; for retail, a 45% decline; and for multifamily, a 20% decline. After applying the declines to cash flow, Fitch assumed any loan with a resulting debt service coverage ratio of less than 0.95x would have a 75% probability of default. For the hotel sector, the cash flow stress is roughly equivalent to a loan with the most recent servicer-reported DSCR of 2.75x moving to 0.95x; for retail, the most recent servicer-reported DSCR of 1.75x moving to 0.95x; and for multifamily, the most recent servicer-reported DSCR of 1.20x moving to 0.95x. Although Fitch expects significant defaults among for properties that suffer the harshest short-term cash flow declines, some well-capitalized sponsors will be willing and able to support their properties through this period, particularly those in high demand locations. Fitch does not expect loans to be liquidated in any great number prior to the end of 2Q21, when the agency's "Global Economic Outlook" envisages a slow recovery will be under way. The expected losses for the loans assumed to default were calculated by applying Fitch's stressed cap rate to the most recent servicer-reported NOI less a haircut of 26% for hotel, 20% for retail and 15% for multifamily. Fitch's stressed cap rates generally range between 10.25%-13.50% for hotel, 8.00%-11.25% for retail and 8.00%-10.00% for multifamily. Fitch did not apply distinct coronavirus stresses for office and industrial properties; however, individual factors such as tenancy, lease term, demand drivers and location were considered. For example, single-tenant office properties with unrated tenants and office properties with significant exposure to co-working tenants were assumed likely to default. The rating actions at this time were limited to Rating Outlook revisions. Over the next few months, Fitch will monitor the performance of the loans in the transactions to evaluate if actual defaults are occurring in line with Fitch's expectations. A significant divergence to the downside may accelerate ratings downgrades. Otherwise, ratings changes, if any, will likely occur in 2021 with a clearer view of how an economic recovery is affecting property performance and values. Additionally, all of the transactions will be subject to their annual review over the next 12 months, and Fitch's analysis will incorporate adjustments, both less and more stressful, if warranted, based on idiosyncratic features of the loans and properties. The transactions with Outlooks that were not revised to Negative had several common factors, including increased credit enhancement (CE) from paydowns and/or defeasance, lower concentrations of loans to sectors vulnerable to the pandemic and/or higher DSCRs relative to Fitch's assumptions on default risk. By rating category, a summary of the current ratings and transaction characteristics of the 11 classes from the seven transactions with Negative Outlook revisions is included below: One class in the 'AAsf' category, one class in the 'Asf' category and one class in the 'BBBsf' category from the CGCMT 2012-GC8 transaction, which has a hotel concentration of 20% and a retail concentration of 14%. One class in the 'AAsf' category and one class in the 'Asf' category from the WFRBS 2012-C7 transaction, which has a hotel concentration of 8% and a retail concentration of 58%. Three classes from three transactions in the 'BBsf' category; this represents 19% of the total number of classes rated in the 'BBsf' category from the 2012 vintage. -- These three transactions include: COMM 2012-CCRE1, COMM 2012-CCRE5 and GSMS 2012-GCJ9; -- Average hotel concentration of 5% (ranging between 3%-8%); -- Average retail concentration of 29% (ranging between 11%-47%). Three classes from three transactions in the 'Bsf' category; this represents 12% of the total number of classes rated in the 'Bsf' category from the 2012 vintage. -- These three transactions include GSMS 2012-GCJ9, MSBAM 2012-C5 and WFRBS 2012-C6; -- Average hotel concentration of 10% (ranging between 8%-14%); -- Average retail concentration of 29% (ranging between 11%-39%). The Rating Outlooks on one class from the GSMS 2012-GCJ9 transaction, one class from the MSBAM 2012-C6 transaction and one class from the WFRBS 2012-C6 transaction were revised to Stable from Positive. Fitch will be reviewing its entire portfolio and expects to release updated rating actions for each vintage, with the 2011 vintage transactions to follow. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades, although not likely in the near term, would occur with stable to improved asset performance coupled with paydown and/or defeasance. The Negative Rating Outlooks may be revised back to Stable if overall pool performance and/or properties vulnerable to the coronavirus stabilize to pre-pandemic levels. Classes with Negative Outlooks in the 'AAAsf', 'AAsf' and 'Asf' categories may be more likely to be revised back to Stable should CE or defeasance increase significantly. Prior to any classes being upgraded, adverse selection, sensitivity to concentrations and/or the potential for future concentration would be taken into consideration. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that could lead to downgrade include an increase in expected pool level losses from underperforming or specially serviced loans. Downgrades of one category or more to the classes assigned Negative Rating Outlooks would occur if expected losses increase, or a high proportion of the pool defaults and/or properties vulnerable to the coronavirus fail to return to pre-pandemic levels. The severity of the downgrades would be based on the level of CE relative to losses. Below-investment grade classes with Negative Outlooks would likely be downgraded first, as losses would impact these classes sooner. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook and/or those with Negative Rating Outlooks may be downgraded by a greater magnitude. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. NELNET STUDENT 2005-4: Fitch Affirms B Ratings on 4 Tranches ------------------------------------------------------------ Fitch Ratings has affirmed the notes issued by Nelnet Student Loan Trust 2004-3, 2004-4, 2005-2, 2005-3, and 2005-4 and maintained the Stable Rating Outlooks. Nelnet Student Loan Trust 2004-4 - Class A-5 64031QBK6; LT AAAsf; Affirmed - Class B 64031QBL4; LT AAsf; Affirmed Nelnet Student Loan Trust 2005-3 - Class A-5 64031QCD1; LT AAAsf; Affirmed - Class B 64031QCE9; LT AAsf; Affirmed Nelnet Student Loan Trust 2004-3 - Class A-5 64031QBC4; LT AAAsf; Affirmed - Class B 64031QBE0; LT AAsf; Affirmed Nelnet Student Loan Trust 2005-2 - Class A-5 64031QBX8; LT AAAsf; Affirmed - Class B 64031QBY6; LT AAsf; Affirmed Nelnet Student Loan Trust 2005-4 - Class A-4AR-1 64031QCK5; LT Bsf; Affirmed - Class A-4AR-2 64031QCM1; LT Bsf; Affirmed - Class A-4L 64031QCJ8; LT Bsf; Affirmed - Class B 64031QCL3; LT Bsf; Affirmed TRANSACTION SUMMARY Nelnet 2004-3: Cash flow modeling for the class A-5 notes supports 'AAAsf' ratings under Fitch's credit and maturity stresses. Although cash flow modeling implies higher ratings for the class B notes, the total parity does not meet the parity threshold of 102.5% required for 'AAAsf' ratings per Fitch's criteria. Nelnet 2004-4: Cash flow modeling for the class A-5 notes supports 'AAAsf' ratings under Fitch's credit and maturity stresses. Although cash flow modeling implies higher ratings for the class B notes, and the total parity is currently at 104.5%, Fitch is affirming the class due to the current economic environment. Nelnet 2005-2: Cash flow modeling for the class A-5 notes supports 'AAAsf' ratings under Fitch's credit and maturity stresses. Although cash flow modeling implies higher ratings for the class B notes, the total parity does not meet the parity threshold of 102.5% required for 'AAAsf' ratings per Fitch's criteria. Nelnet 2005-3: Cash flow modeling for the class A-5 notes supports 'AAAsf' ratings under Fitch's credit and maturity stresses. Although cash flow modeling implies higher ratings for the class B notes, and the total parity is currently at 102.7%, Fitch is affirming the class due to the current economic environment. Nelnet 2005-4: An updated cash flow was not run for Nelnet 2005-4, reflecting current ratings and no material change in performance since the last review. Fitch affirmed the ratings of the class A-4 notes at 'Bsf' because the legal final maturity of class A-4 is over 11 years away, and qualitative credit give to the servicer's ability to call the notes upon reaching 10% pool factor.The rating of subordinate tranches will typically not be eligible for ratings higher than any senior tranche in the same transaction, because in an event of default caused by a senior class that is not paid in full by maturity, all subordinate classes will not receive principal or interest payments. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Nelnet 2004-3: Based on transaction-specific performance to date, Fitch is changing the sustainable constant default rate to 3.0% from 2.7%. Fitch is also changing the sustainable constant prepayment rate (voluntary and involuntary) to 8.0% from 9.0%. Fitch assumes a base case default rate of 16.75% and 50.25% under the 'AAA' credit stress scenario and a sustainable constant default rate of 3.0%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment are 4.2%, 4.1%, and 18.8%, respectively, and are used as the starting point in cash flow modelling. The sustainable constant prepayment rate (voluntary and involuntary) is assumed to be 8.0%. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.15%, based on information provided by the sponsor. Nelnet 2004-4: Based on transaction-specific performance to date, Fitch is changing the sustainable constant default rate to 4.0% from 3.5%. Fitch is also changing the sustainable constant prepayment rate (voluntary and involuntary) to 8.0% from 9.0%. Fitch assumes a base case default rate of 23.25% and 69.75% under the 'AAA' credit stress scenario and a sustainable constant default rate of 4.0%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment are 5.2%, 5.4%, and 23.8%, respectively, and are used as the starting point in cash flow modelling. The sustainable constant prepayment rate (voluntary and involuntary) is assumed to be 8.0%. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.09%, based on information provided by the sponsor. Nelnet 2005-2: Based on transaction-specific performance to date, Fitch is changing the sustainable constant default rate to 3.0% from 2.6%. Fitch is also changing the sustainable constant prepayment rate (voluntary and involuntary) to 8.0% from 8.9%. Fitch assumes a base case default rate of 17.25% and 51.75% under the 'AAA' credit stress scenario and a sustainable constant default rate of 3.0%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment are 4.7%, 3.8%, and 17.3%, respectively, and are used as the starting point in cash flow modelling. The sustainable constant prepayment rate (voluntary and involuntary) is assumed to be 8.0%. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.18%, based on information provided by the sponsor. Nelnet 2005-3: Based on transaction-specific performance to date, Fitch is changing the sustainable constant default rate to 3.0% from 2.5%. Fitch is also changing the sustainable constant prepayment rate (voluntary and involuntary) to 8.0% from 9.0%. Fitch assumes a base case default rate of 17.50% and 52.50% under the 'AAA' credit stress scenario and a sustainable constant default rate of 3.0%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The trailing twelve month (TTM levels of deferment, forbearance and income-based repayment are 4.8%, 3.8%, and 20.0%, respectively, and are used as the starting point in cash flow modelling. The sustainable constant prepayment rate (voluntary and involuntary) is assumed to be 8.0%. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.19%, based on information provided by the sponsor. Nelnet 2005-4: Based on transaction-specific performance to date, Fitch is changing the sustainable constant default rate to 3.0% from 2.5%. Fitch is also changing the sustainable constant prepayment rate (voluntary and involuntary) to 8.0% from 8.5%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment are 4.0%, 3.3%, and 19.0%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.19%, based on information provided by the sponsor. Basis and Interest Rate Risk: Nelnet 2004-3: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments and the securities. As of April 2020, 99.1% of the principal balance is indexed to one-month LIBOR with the rest indexed to 91 Day T-Bills. All notes are indexed to three-month LIBOR. Nelnet 2004-4: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of April 2020, 90.9% of the principal balance is indexed to one-month LIBOR with the rest indexed to 91 Day T-Bills. All notes are indexed to three-month LIBOR. Nelnet 2005-2: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of March 2020, 98.8% of the principal balance is indexed to one-month LIBOR with the rest indexed to 91 Day T-Bills. All notes are indexed to three-month LIBOR. Nelnet 2005-3: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of March 2020, 99.7% of the principal balance is indexed to one-month LIBOR with the rest indexed to 91 Day T-Bills. All notes are indexed to three-month LIBOR. Nelnet 2005-4: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of March 2020, 96.2% of the principal balance is indexed to one-month LIBOR with the rest indexed to 91 Day T-Bills. All notes are indexed to three-month LIBOR. Payment Structure: Nelnet 2004-3: Credit enhancement is provided by overcollateralization, excess spread and, for the class A notes, subordination. As of April 2020, total and senior effective parity ratios (including the reserve) are 101.73% (1.70% CE) and 109.39% (8.58% CE). Liquidity support is provided by a reserve, which is currently at its floor of $2,011,386.13. The transaction will continue to release cash as long as the target OC amount of $921,831.95 is maintained. Nelnet 2004-4: CE is provided by OC excess spread and, for the class A notes, subordination. As of April 2020, total and senior effective parity ratios (including the reserve) are 104.50% and 116.02%. Liquidity support is provided by a reserve, which is currently at its floor of $2,991,407.19. The transaction will continue to release cash as long as the target OC amount of $2,152,841.15 is maintained. Nelnet 2005-2: CE is provided by OC, excess spread and, for the class A notes, subordination. As of March 2020, total and senior effective parity ratios (including the reserve) are 101.62% (1.59% CE) and 108.95% (8.22% CE). Liquidity support is provided by a reserve, which is currently at its floor of $2,976,292.60. The transaction will continue to release cash as long as the target OC amount of $1,433,657.96 is maintained. Nelnet 2005-3: CE is provided by OC, excess spread and, for the class A notes, subordination. As of March 2020, total and senior effective parity ratios (including the reserve) are 102.69% (2.62% CE) and 111.21% (10.08% CE). Liquidity support is provided by a reserve, which is currently at its floor of $1,988,699.90. The transaction will continue to release cash as long as the target OC amount of $ 1,325,800.10 is maintained. Nelnet 2005-4: CE is provided by OC, excess spread and, for the class A notes, subordination. As of March 2020, total and senior effective parity ratios (including the reserve) are 100.90% (0.89% CE) and 105.85% (5.53% CE). Liquidity support is provided by a reserve, which is currently at its floor of $2,841,887.45. The transaction will continue to release cash as long as the target OC amount of $ 1,116,965.95 is maintained. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc. Fitch believes Nelnet to be an acceptable servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Coronavirus Impact: Fitch has made assumptions about the spread of the coronavirus and the economic impact of the related containment measures. Under the coronavirus baseline scenario, Fitch assumes a global recession in 1H20 driven by sharp economic contractions in major economies with a rapid spike in unemployment. Recovery begins in 3Q20, but personal incomes remain depressed through 2022. Under this scenario, Fitch revised the sCPR assumption reflecting a decline in payment rates to previous recessionary levels for two years and return to recent performance for the remainder of the life of the transaction. The sCDR was not adjusted reflecting the cushion between the assumption and recent performance. The risk of negative rating actions will increase under Fitch's coronavirus downside scenario, which contemplates a more severe and prolonged period of stress with a halting recovery beginning in 2Q21. As a downside sensitivity, provided in the Expected Rating Sensitivity section, Fitch assumed the current 'BBsf' default rate of 20.94%, 29.06%, 21.56%, and 21.88% for Nelnet 2004-3, 2004-4, 2005-2, and 2005-3, respectively, without any adjustment to the default multiples as the new base case default rate. Under this scenario, there was no impact to the ratings. A downside sensitivity scenario for Nelnet 2005-4 was not run for these transactions reflective of the current rating of 'Bsf'. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. This section provides insight into the model-implied sensitivities transactions face when one assumption is modified, while holding others equal. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Nelnet 2004-3 Current Ratings: class A 'AAAsf', class B 'AAsf' Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'AAAsf'; class B 'AAAsf' -- Basis Spread decrease 0.25%: class A 'AAAsf'; class B 'AAAsf' Maturity Stress Sensitivity -- CPR increase 25%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf' Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAA 'sf'; class B 'AAAsf' -- Default increase 50%: class A 'AAAsf'; class B 'AAsf' -- Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAsf' -- Basis spread increase 0.50%: class A 'AAAsf; class B 'Asf' Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf' -- CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf' -- Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'. Nelnet 2004-4 Current Ratings: class A 'AAAsf', class B 'AAsf' Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'AAAsf'; class B 'AAAsf' -- Basis Spread decrease 0.25%: class A 'AAAsf'; class B 'AAAsf' Maturity Stress Sensitivity -- CPR increase 25%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf' Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAA 'sf'; class B 'AAAsf' -- Default increase 50%: class A 'AAAsf'; class B 'AAAsf' -- Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf' -- Basis spread increase 0.50%: class A 'AAAsf; class B 'AAAsf' Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf' -- CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf' -- Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'. Nelnet 2005-2 Current Ratings: class A 'AAAsf', class B 'AAsf' Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'AAAsf'; class B 'AAAsf' -- Basis Spread decrease 0.25%: class A 'AAAsf'; class B 'AAAsf' Maturity Stress Sensitivity -- CPR increase 25%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf' Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAA 'sf'; class B 'AAAsf' -- Default increase 50%: class A 'AAAsf'; class B 'AAAsf' -- Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf' -- Basis spread increase 0.50%: class A 'AAAsf; class B 'AAAsf' Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf' -- CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf' -- Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Remaining Term increase 50%: class A 'AAAsf'; class B 'AAsf'. Nelnet 2005-3 Current Ratings: class A 'AAAsf', class B 'AAsf' Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'AAAsf'; class B 'AAAsf' -- Basis Spread decrease 0.25%: class A 'AAAsf'; class B 'AAAsf' Maturity Stress Sensitivity -- CPR increase 25%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf' Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAA 'sf'; class B 'AAAsf' -- Default increase 50%: class A 'AAAsf'; class B 'AAAsf' -- Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf' -- Basis spread increase 0.50%: class A 'AAAsf; class B 'AAAsf' Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf' -- CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf' -- IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf' -- Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'. Nelnet 2005-4 Cash flow modeling was not conducted for Nelnet 2005-4, reflecting performance since their last reviews and current ratings. In general, ratings for FFELP student loan transactions are sensitive to defaults, basis risk and loan extension risk. The current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of credit enhancement from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead positive rating action. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). SLM STUDENT 2003-1: Fitch Affirms B Ratings on 4 Tranches --------------------------------------------------------- Fitch Ratings has affirmed the ratings of all outstanding classes of SLM Student Loan Trust 2003-1, 2007-7 and 2014-1 and maintained their Rating Outlooks at Stable. SLM Student Loan Trust 2003-1 - Class A-5A 78442GFK7; LT Bsf; Affirmed - Class A-5B 78442GFL5; LT Bsf; Affirmed - Class A-5C 78442GFM3; LT Bsf; Affirmed - Class B 78442GFJ0; LT Bsf; Affirmed SLM Student Loan Trust 2007-7 - Class A-4 78444EAD1; LT Bsf; Affirmed - Class B 78444EAE9; LT Bsf; Affirmed SLM Student Loan Trust 2014-1 - Class A-3 78448EAC9; LT Bsf; Affirmed - Class B 78448EAD7; LT Bsf; Affirmed The senior notes of each trust do not pass Fitch's maturity base case stresses, which did not change since Fitch's last review. All notes for these transactions are rated 'Bsf', supported by qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreement established by Navient, which allows the servicer to purchase loans from the trusts. Because Navient has the option but not the obligation to lend to the trust, Fitch does not give quantitative credit to these agreements; however, they provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. Navient Corporation is currently rated 'BB-' with a Negative Rating Outlook by Fitch. The notes' ratings are one category higher than their current/last model-implied ratings of 'CCCsf'. Although all the class B notes have legal final maturity dates beyond 2035, in an event of default, caused by a senior class that is not paid in full by maturity, the subordinate classes will not receive principal or interest payments. For SLM 2007-7, the legal final maturity date of the class A-4 notes is Jan. 25, 2022, and so in affirming the notes at 'Bsf', more credit was given to the revolving credit agreement than the other trusts. The legal final maturity dates of the senior classes of SLM 2003-1 and 2014-1 are more than 12 years and eight years away, respectively. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Based on transaction-specific performance to date, Fitch is maintaining a sustainable constant default rate of 2.9%, 4.5% and 2.7% for SLM 2003-1, 2007-7 and 2014-1, respectively. Fitch is also maintaining a sustainable constant prepayment rate (voluntary & involuntary) of 10.0%, 11.5% and 14.0% for SLM 2003-1, 2007-7 and 2014-1, respectively. The sCDR and sCPR for SLM 2007-7 translate into a cumulative default rate of 28.5% under the base case scenario and an 85.5% default rate under the 'AAA' credit stress scenario. Fitch applies the standard default timing curve in its credit stress cash flow analysis. For all the transactions, the claim reject rate is assumed to be 0.50% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment are 3.34%, 7.17% and 6.96% for SLM 2003-1, 2007-7 and 2014-1, respectively. The TTM levels of forbearance are 9.55%, 16.54% and 15.69% for SLM 2003-1, 2007-7 and 2014-1, respectively. The TTM levels of income-based repayment (prior to adjustment) are 32.36%, 27.68% and 29.76% for SLM 2003-1, 2007-7 and 2014-1, respectively. These TTM levels are used as the starting point in cash flow modeling for SLM 2007-7. Subsequent declines and increases are modeled as per criteria. The borrower benefits are 0.02%, 0.03% and 0.12% for SLM 2003-1, 2007-7 and 2014-1, respectively, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments and the securities. For SLM 2003-1, as of February 2020, approximately 86.97% of the student loans are indexed to LIBOR, and 13.03% are indexed to T-Bill. All notes are indexed to three-month LIBOR. For SLM 2007-1, as of March 2020, approximately 92.86% of the student loans are indexed to LIBOR, and 7.14% are indexed to T-Bill. All notes are indexed to three-month LIBOR. For SLM 2014-1, as of April 2020, approximately 99.76% of the student loans are indexed to LIBOR, and 0.24% are indexed to T-Bill. All notes are indexed to one-month LIBOR. Payment Structure: Credit enhancement is provided by overcollateralization, excess spread and for the class A notes, subordination. As of the most recent collection period, senior parity ratios (including the reserve) are 105.66% (5.36% CE), 121.77% (17.88% CE) and 109.03% (8.28% CE) for SLM 2003-1, 2007-7 and 2014-1, respectively. Total effective parity ratios (including the reserve) are 100.71% (0.71% CE), 100.57% (0.56% CE) and 101.27% (1.25% CE) for SLM 2003-1, 2007-7 and 2014-1, respectively. Liquidity support is provided by a reserve account initially sized at 0.25% of the outstanding pool balance for SLM 2003-1 and 2007-7 and at 0.50% of the outstanding pool balance for SLM 2014-1. The reserve accounts are currently at their floors of $3,083,057, $1,951,617 and $996,942 for SLM 2003-1, 2007-7 and 2014-1, respectively. SLM 2003-1 and 2007-7 will continue to release cash as long as 100.0% total parity is maintained. SLM 2014-1 will continue to release cash as long as 101.01% total parity is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. Coronavirus Impact: Fitch has made assumptions about the spread of the coronavirus pandemic and the economic impact of the related containment measures. Under the coronavirus baseline scenario, Fitch assumes a global recession in 1H20 driven by sharp economic contractions in major economies with a rapid spike in unemployment, followed by a recovery that begins in 3Q20 as the health crisis subsides. Fitch's assumptions reflect the nature of the baseline scenario and include a healthy cushion from current performance due to the long weighted average life of the assets. Fitch's downside coronavirus scenario, as a rating sensitivity, was not run for these transactions, because the current ratings are 'Bsf'. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. Cashflow modeling was not conducted for SLM 2003-1 and 2014-1, reflecting performance since their last reviews and current ratings. In general, ratings for FFELP student loan transactions are sensitive to defaults, basis risk and loan extension risk. Factors that could, individually or collectively, lead to positive rating action/upgrade: The current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of credit enhancement from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead positive rating action. Factors that could, individually or collectively, lead to negative rating action/downgrade: The current ratings reflect the risk the senior notes miss their legal final maturity date under Fitch's base case maturity scenario. If the margin by which these classes miss their legal final maturity date increases, or does not improve as the maturity date nears, the ratings may be downgraded further. Additional defaults, increased basis spreads beyond Fitch's published stresses, lower-than-expected payment speed or loan term extension are factors that could lead to future rating downgrades. This section provides insight into the model-implied sensitivities SLM 2007-7 faces when one assumption is modified, while holding others equal. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. SLM 2007-7 Current Ratings: Class A-4 'Bsf', Class B 'Bsf' (Model-Implied Ratings: Class A-4 'CCCsf', Class B 'CCCsf'). Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). STARWOOD MORTGAGE 2020-2: DBRS Gives (P)B(low) Rating on B-2 Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2020-2 (the Certificates) to be issued by Starwood Mortgage Residential Trust 2020-2 (STAR 2020-2 or the Trust): -- $381.9 million Class A-1 at AAA (sf) -- $32.4 million Class A-2 at AA (sf) -- $42.0 million Class A-3 at A (sf) -- $36.8 million Class M-1 at BBB (low) (sf) -- $30.3 million Class B-1 at BB (low) (sf) -- $24.2 million Class B-2 at B (low) (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 certificates reflects 34.55% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 29.00%, 21.80%, 15.50%, 10.30%, and 6.15% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime, expanded prime, and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 890 mortgage loans with a total principal balance of $583,501,955 as of the Cut-Off Date (April 30, 2020). The originators for the mortgage pool are HomeBridge Financial Services, Inc. (HomeBridge; 40.6%); Luxury Mortgage Corp. (Luxury; 27.0%); Impac Mortgage Corp. (Impac; 20.9%); and other originators, each comprising less than 10% of the mortgage pool. The Servicer of the loans is Select Portfolio Servicing, Inc. (SPS). Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules where applicable, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, 80.0% of the loans are designated as non-QM. Approximately 20.0% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules, including 0.4% investor loans with cash out used for consumer purposes. Starwood Non-Agency Lending, LLC is the Sponsor and the Servicing Administrator of the transaction. The Sponsor, Seller, Depositor, and Servicing Administrator are affiliates of the same entity. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as the Master Servicer Securities Administrator, and Certificate Registrar. Wilmington Savings Fund Society, FSB will serve as the Trustee. Deutsche Bank National Trust Company will serve as the Custodian. The Sponsor, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class B-3 and Class XS certificates, representing at least 5% of the Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the earlier of (1) the distribution date in May 2023 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, Starwood Non-Agency Securities Holdings, LLC as Optional Redemption Holder may redeem all outstanding certificates (Optional Redemption) at a price equal to the greater of A) unpaid balances of the mortgage loans plus accrued and unpaid interest and the fair market value of all real estate owned (REO) properties, and B) the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed servicing advances (Optional Clean-Up Call Price). Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO properties has declined to less than 8% of the initial mortgage loan balance as of the Cut-off Date, the Master Servicer will also have the right to purchase at the Optional Clean-Up Call Price all of the mortgages, REO properties, and any other properties from the Issuer. However, following receipt of notice of the Master Servicer's intent to exercise the Optional Clean-Up Call, the Servicing Administrator will have 30 days to exercise an Optional Redemption. The Seller (SMRF TRS LLC) will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent under the Mortgage Bankers Association (MBA) method (or in the case of any mortgage loan that has been subject to a forbearance plan related to the impact of the Coronavirus Disease (COVID-19) pandemic, on any date from and after the date on which such loan becomes more than 90 days delinquent under the MBA Method from the end of the forbearance period) 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 (excluding any loan repurchased by the Seller related to a breach of a representation and warranty). Unlike the prior Starwood non-QM securitizations where the Servicer funds advances of delinquent principal and interest (P&I) until loans become 180 days delinquent or are deemed unrecoverable, for this transaction, the Servicer will not fund advances for delinquent P&I. The Servicer, however, is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. That said, the transaction does include a Liquidity Backstop Account, which will hold an amount of $3.0 million or approximately three months of interest payments on Class A-1 and A-2 certificates as of the Closing Date. Until the account termination date, distributions of interest will be made from the account to Class A-1 and A-2 certificates, to the extent needed after using interest and principal remittance amounts, as described in the related report so that the certificateholders receive full and timely interest payments. The account will be available until the earlier of a) the first Distribution Date six months from the Closing Date on which the 30-days or more delinquency rate according MBA method (including loans in foreclosure and properties in REO) falls below 20% of the collateral balance or b) Class A-1 and A-2 certificates are paid off. Unlike the prior Starwood non-QM securitizations, which incorporate a pro rata feature among the senior tranches, this transaction employs a sequential-pay cash flow structure across the entire capital stack. Also, principal proceeds can be used to cover interest shortfalls on the senior certificates before paying principal to the outstanding senior certificates sequentially (IIPP). For subordinated certificates, the principal will be paid to the most senior bonds outstanding to pay any unpaid current interest or interest shortfalls before any payments are applied as principal on the bonds. Additionally, excess spread can be used to cover realized losses and prior period bond writedown amounts first before being allocated to unpaid cap carryover amounts to Class A-1 down to Class M-1. The coronavirus pandemic and resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many residential mortgage-backed securities (RMBS) asset classes, some meaningfully. The non-QM sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans that may fall outside of the CFPB's ATR rules, which became effective on January 10, 2014. Non-QM loans encompass the entire credit spectrum. They range from high-FICO, high-income borrowers who opt for interest-only (IO) or higher debt-to-income (DTI) ratio mortgages, to near-prime debtors who have had certain derogatory pay histories but were cured more than two years ago, to nonprime borrowers whose credit events were only recently cleared, among others. In addition, some originators offer alternative documentation or bank statement underwriting to self-employed borrowers in lieu of verifying income with W-2s or tax returns. Finally, foreign nationals and real estate investor programs, while not necessarily non-QM in nature, are often included in non-QM pools. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies and loans on forbearance plans, slower voluntary prepayment rates, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario, (see Global Macroeconomic Scenarios: Implications for Credit Ratings, published on April 16, 2020), for the non-QM asset class DBRS Morningstar assumes a combination of higher unemployment rates, lower voluntary prepayment rates, and more conservative home price assumptions than what DBRS Morningstar previously used. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the non-QM asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes loans originated to (1) borrowers with recent credit events, (2) self-employed borrowers, or (3) higher loan-to-value ratio (LTV) borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with prior credit events have exhibited difficulties in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security (CARES) Act, signed into law on March 27, 38.9% of the borrowers are on forbearance plans because the borrowers reported financial hardship related to coronavirus. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. SPS, in collaboration with Starwood Non-Agency Lending, LLC (SNAL), is generally offering borrowers a three-month payment forbearance plan. Beginning in month four, the borrower can repay all of the missed mortgage payments at once or opt to go on a repayment plan to catch up on missed payments for several, typically six, months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. DBRS Morningstar had a conference call with SPS and SNAL regarding their approach to the forbearance loans and understood that SPS would attempt to contact the borrowers before the expiration of the forbearance period and evaluate the borrowers' capacity to repay the missed amounts. As a result, SPS, in collaboration with SNAL, may offer a repayment plan or other forms of payment relief, such as deferral of the unpaid principal and interest amounts or a loan modification, in addition to pursuing other loss mitigation options. For the loans, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower principal and interest collections and (2) no servicing advances on delinquent P&I. These assumptions include: -- Increasing delinquencies to generally two times the forbearance percentage as of the closing date for the AAA (sf) and AA (sf) rating levels for the first 18 months, -- Increasing delinquencies to generally 1.5 times the forbearance percentage as of the closing date for the first nine months for the A (sf) and below rating levels, -- Assuming no voluntary prepayments for the first 18 months for the AAA (sf) and AA (sf) rating levels. -- Delaying the receipt of liquidation proceeds during the first 18 months for the AAA (sf) and AA (sf) rating levels. The ratings reflect transactional strengths that include the following: -- improved underwriting standards, -- robust loan attributes and pool composition, -- a satisfactory third-party due-diligence review, -- a strong servicer, -- a transaction structure and liquidity reserve fund, and -- compliance with the ATR rules. The transaction also includes the following challenges: -- borrowers on forbearance plans, -- nonprime, non-QM, and investor loans, -- bank statement loans to self-employed borrowers, -- a representations and warranties framework, and -- servicer advances of delinquent P&I. Notes: All figures are in U.S. dollars unless otherwise noted. UBS-BARCLAYS COMMERCIAL 2013-C5: Moody's Cuts Class F Certs to Ca ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on nine classes and downgraded the ratings on three classes in UBS-Barclays Commercial Mortgage Trust 2013-C5, Commercial Mortgage Pass-Through Certificates, Series 2013-C5, as follows: Cl. A-3, Affirmed Aaa (sf); previously on May 9, 2019 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 9, 2019 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on May 9, 2019 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on May 9, 2019 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on May 9, 2019 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on May 9, 2019 Affirmed A3 (sf) Cl. D, Downgraded to Ba3 (sf); previously on Apr 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. E, Downgraded to B3 (sf); previously on Apr 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. F, Downgraded to Ca (sf); previously on Apr 17, 2020 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. X-A*, Affirmed Aaa (sf); previously on May 9, 2019 Affirmed Aaa (sf) Cl. X-B*, Affirmed Aa3 (sf); previously on May 9, 2019 Affirmed Aa3 (sf) Cl. EC**, Affirmed Aa3 (sf); previously on May 9, 2019 Affirmed Aa3 (sf) * Reflects Interest Only Classes ** Reflects Exchangeable Classes RATINGS RATIONALE The ratings on six P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value ratio, Moody's stressed debt service coverage ratio and the transaction's Herfindahl Index, are within acceptable ranges. The ratings on three P&I classes, Cl. D, E and F, were downgraded due to a decline in pool performance and higher anticipated losses, driven primarily from the two specially serviced loans, Harborplace (6% of the pool) and The Village of Cross Keys (2% of the pool). Furthermore, the Valencia Town Center (16% of the pool), is secured by a regional mall which has experienced recent declines in net operating income to below securitization levels and two hotel loans, representing 2.6% of the pool, had significant declines in 2019 NOI as compared to securitization. The ratings on the IO classes were affirmed based on the credit quality of their referenced classes. The rating on class EC was affirmed due to the credit quality of the referenced exchangeable classes. The actions conclude the review for downgrade initiated on April 17, 2020. Its analysis has considered the effect of the coronavirus outbreak on the US economy as well as the effects that the announced government measures, put in place to contain the virus, will have on the performance of commercial real estate. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. The contraction in economic activity in the second quarter will be severe and the overall recovery in the second half of the year will be gradual. However, there are significant downside risks to its forecasts in the event that the pandemic is not contained and lockdowns have to be reinstated. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 6.4% of the current pooled balance, compared to 3.3% at Moody's last review. Moody's base expected loss plus realized losses is now 5.3% of the original pooled balance, compared to 3.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except exchangeable classes and interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in May 2020. DEAL PERFORMANCE As of the May 12, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $1.2 billion from $1.5 billion at securitization. The certificates are collateralized by 77 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten loans (excluding defeasance) constituting 54% of the pool. Nineteen loans, constituting 19% 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 10, compared to 12 at Moody's last review. As of the May 12, 2020 remittance report, loans representing 90% of the pool, by balance, were current or within their grace period on debt service payments, 5% were beyond their grace period but less than 30 days delinquent and 5% were greater than 90 days delinquent. Sixteen loans, constituting 16% of the pool, are on the master servicer's watchlist, of which five loans, representing 3% of the pool, indicate the borrower has requested relief in relation to coronavirus impact on the property. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council 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. Two notable loans secured by hotel properties, representing 2.6%, on the master servicer's watchlist were already experiencing performance declines prior to 2020. The Residence Inn Tysons Corner (1.8% of the pool) and Hampton Inn and Suites Mount Pleasant both had 2019 reported NOI that was more than 20% below underwritten levels. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $2.4 million (for an average loss severity of 23%). Two loans, constituting 7% of the pool, are currently in special servicing. The largest specially serviced loan is the Harborplace Loan ($65.1 million -- 5.4% of the pool), which is secured by a leasehold interest in an approximately 149,000 SF lifestyle retail center in Baltimore, Maryland. The property is located less than 0.5 miles south of the Baltimore Central Business District, right on the harbor waterfront. The loan transferred to special servicing in February 2019 due to payment default after the borrower submitted a letter to the master servicer indicating an unwillingness to continue covering cash flow shortfalls, and that there were unpaid vendor invoices. Several tenants vacated the property, including Urban Outfitters, Banana, Republic, Five Guys, M&S Grill and Noodles & Co. The Urban Outfitters' departure triggered co-tenancy provisions which caused other tenants to depart. The loan's DSCR has been below 1.00X since 2017 and has continued to decline due to lower rental revenues and higher expenses. Any tenant renewals have generally been at lower rents. The property was 64% leased as of January 2020, compared to 67% in December 2018, and 95% at securitization. Inline occupancy was only 40% as of January 2020, compared to 43% in February 2019. A receiver was appointed in May 2019 and is currently marketing the property for lease. The second largest specially serviced loan is the Village of Cross Keys Loan ($20.0 million -- 1.7% of the pool), which is secured by an approximately 297,000 SF mixed-use property located roughly five miles northwest of the Baltimore CBD. The property consists of 119,334 SF of office, 147,140 SF of retail space and a 30,292 SF outparcel. The loan transferred to special servicing in March 2019 due to imminent default after the borrower submitted a letter to the master servicer indicating an unwillingness to continue covering cash flow shortfalls, and a request to discuss a potential modification of the loan. The NOI has decreased approximately 73% since securitization due to lower rental revenue and higher expenses. The property was 62% leased as of November 2019, compared to 66% in September 2018 and 79% at securitization. Special servicer commentary indicated an assumption request was in progress in early 2020, however, the assumption has fallen through and will not close. Moody's received full year 2018 operating results for 99% of the pool, and full or partial year 2019 operating results for 94% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 99%, compared to 91% 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 reflects a weighted average haircut of 25% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 2.04X and 1.12X, respectively, compared to 2.14X and 1.18X 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 37% of the pool balance. The largest loan is the Santa Anita Mall Loan ($215 million -- 18.0% of the pool), which represents a pari-passu interest in a $285 million mortgage loan. The loan is secured by a 956,343 SF portion of a 1.47 million SF super-regional mall located in Arcadia, California. The mall is anchored by J.C. Penney, Macy's, and Nordstrom. All three anchor units are owned by their respective tenants and are not contributed as collateral for the loan. The mall was expanded in 2009 to include the promenade portion of the center, an additional 115,000 SF at a cost of $120 million. The property is adjacent to the Santa Anita Park, a thoroughbred racetrack, which is a demand driver for the mall. As of December 2019, the property was 94% leased compared to 98% in December 2018. For the same period, inline occupancy was 90% compared to 97% in December 2018, essentially unchanged from the prior review and compared to 97% for the total property and 93% for inline space at securitization. Occupancy will be negatively impacted by the departure of a large Forever 21 space (117,817 SF), which vacated in January 2020. However, the property's rental revenue has improved significantly since securitization and the reported 2019 NOI was over 30% higher than at securitization with an actual NOI DSCR of 3.85X. The loan is interest only for its entire term and Moody's LTV and stressed DSCR are 86% and 1.13X, respectively, compared to 84% and 1.13X at the last review. The second largest loan is the Valencia Town Center Loan ($195 million -- 16.3% of the pool), which is secured by a 646,121 SF portion of a 1.1 million SF super-regional mall located in Valencia, California. The mall is currently anchored by Macy's and JC Penney. A former anchor, Sears, vacated in 2018. The three anchor units are not included as collateral for the loan. Major collateral tenants include a 12-screen Edward's Theater and Gold's Gym. The mall was expanded in 2010, adding roughly 180,000 SF of outdoor space at a cost of approximately $131 million. As of December 2019, the property was 85% leased, compared to 84% in December 2018 and 96% in September 2017. Inline occupancy was 92% for the same period compared to 95% at the last review. The Sponsor announced plans for an over $100 million investment, called the Patios Connection Project to be completed by late 2022, which includes demolishing the former Sears space and adding features such as a new Costco, luxury cinema and fitness center. This closely follows the November 2018 announcement of a $20 million renovation of the center interior which was completed in 2019. After improving annually since securitization, the property's NOI declined below securitization levels in 2019 due to lower rental revenue and increased expenses. The property benefits from strong demographics and being the only mall serving the Santa Clarita Valley submarket. The loan is interest only for its entire term and Moody's LTV and stressed DSCR are 121% and 0.87X, respectively, compared to 94% and 1.09X at the last review. The third largest loan is the Residence Inn San Diego Mission Valley Loan ($27.0 million -- 2.3% of the pool), which is secured by five story, 192-room extended stay hotel located in San Diego, CA. The hotel was developed in 2003 and most recently renovated between 2010 and 2011 ($3.7 million ($19,270 per key)), consisting of upgrades to the public areas and guestrooms. For the trailing twelve-month period ending December 2019, the property's occupancy, ADR and RevPAR were 85%, $179 and $149, respectively, compared to 86%, $171 and $147 in December 2018, respectively. There is a franchise agreement with Marriott International, Inc. that is scheduled to expire in July 2031 with no extension options. The reported 2019 NOI DSCR was 2.45X and the loan has amortized by over 12% since securitization. VERTICAL BRIDGE 2020-1: Fitch Assigns BB-sf Rating on Class F Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks as follows: -- $60,000,000 Series 2020-1, class C-1, 'Asf'; Outlook Stable (this note has a maximum commitment of $60 million, contingent on leverage consistent with the class C notes. This class will reflect a zero balance at issuance); -- $375,000,000 series 2020-1, class C-2, 'Asf'; Outlook Stable; -- $37,000,000 series 2018-1, class D, 'BBBsf'; Outlook Stable; and -- $122,000,000 series 2020-1, class F, 'BB-sf'; Outlook Stable. In addition, Fitch has affirmed the following classes: -- $185,000,000 series 2018-1, class C-2, 'Asf'; Outlook Stable; -- $13,000,000 series 2016-1, class D, 'BBBsf'; Outlook Stable; -- $38,000,000 series 2016-1, class F, 'BB-sf'; Outlook Stable. The series 2016-1 class C, 2016-1 class D, and 2016-1 class F are paid in full. There are no additional classes in the 2016-1 series of notes. Vertical Bridge 2018-1 - Series 2018-1, Class C 91823AAG6; LT Asf; Affirmed - Series 2018-1, Class D 91823AAH4; LT BBBsf; Affirmed - Series 2018-1, Class F 91823AAJ0; LT BB-sf; Affirmed Vertical Bridge 2020-1 - Series 2020-1 Class C-1; LT Asf; New Rating - Series 2020-1 Class C-2; LT Asf; New Rating - Series 2020-1 Class D; LT BBBsf; New Rating - Series 2020-1 Class F; LT BB-sf; New Rating - Series 2020-1 Class R; LT NRsf; New Rating Upon the closing of the 2020 series, the 2018-1 class C notes will rank pari passu with the 2018-1 class C notes; the 2020-1 class D notes will rank pari passu with the 2018-1 class D notes; and the 2020-1 class F notes will rank pari passu with the 2018-1 class F notes. Following the payoff of the 2018 series of notes, the class C-1 notes will rank senior to the class C-2 notes. The new series of securities was issued pursuant to a supplement to the original indenture. Fitch has reviewed the indenture supplement and has confirmed that the 2018 series of notes will not be downgraded upon the issuance of the 2020 series or as a result of the amended indenture. TRANSACTION SUMMARY The ratings are based on information provided by the issuer as of March 31, 2020. The transaction is an issuance of notes backed by mortgages representing approximately 88.3% of the annualized run rate net cash flow and guaranteed by the direct parent of the borrower. This guarantee is secured by a pledge and first-priority-perfected security interest in 100% of the equity interest of the issuer, direct subsidiaries of which own or lease 2,797 wireless communication sites, which include 2,924 towers and other structures. The new notes have been issued pursuant to a supplement to the amended and restated indenture dated as of the closing date of the Series 2020-1 transaction. Note proceeds will be used to fund upfront reserves, refinance the existing 2016-1 series of notes and for general corporate purposes. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in cellular sites, not an assessment of the corporate default risk of the ultimate parent, Vertical Bridge. KEY RATING DRIVERS Trust Leverage: Fitch's net cash flow on the pool is $82.7 million, implying a Fitch stressed debt service coverage ratio of 1.10x. The debt multiple relative to Fitch's NCF is 9.84x, which equates to a debt yield of 10.2%. Excluding the non-offered risk-retention class R notes, the offered notes have a Fitch stressed DSCR, debt multiple and debt yield of 1.16x, 9.31x and 10.7%, respectively. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for tower space, similar to most wireless tower transactions, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology -- rendering obsolete the current transmission of wireless signals through cellular sites -- will be developed. Wireless service providers currently depend on towers to transmit their signals and continue to invest in this technology. Diversified Pool: There are 2,797 wireless sites (2,924 towers and other structures) and 4,719 tenant leases spanning 49 states and Puerto Rico. The largest state (Wisconsin) represents approximately 10.3% of ARRNCF. Leases to Strong Tower Tenants: There are 4,719 tenant leases. Telephony tenants represent approximately 85.3% of the annualized run rate revenue, and 43.5% of the ARRR is from investment-grade tenants. The tenant leases have weighted average annual escalators of approximately 2.7% and a weighted average final remaining term, including renewals, of 23.2 years. The largest tenant, AT&T Inc. (A-/Stable; 22.4% of ARRR), is rated investment grade by Fitch. T-Mobile and Sprint Consolidation: T-Mobile US, Inc. and Sprint Corporation (combined 28.3% of ARRR) merged in April 2020 to form The New T-Mobile; approximately 11.9% of transaction-level ARR from The New T-Mobile is attributable to Sprint legacy leases. Leases from those tenants could experience churn if overlapping sites are decommissioned. Fitch's NCF assumes 75% of co-located Sprint leases will not renew at lease maturity, resulting in approximately a $0.4 million reduction in Fitch stressed cash flow. Broadcast Concentration: Broadcast tenants represent approximately 10.1% of the ARRR. Broadcast has limited growth prospects given the ability for one or a few towers to cover an MSA, the low consumption of over-the-air television and competing mediums for distributing local advertising. Sites Located in Top 100 Basic Trading Areas: Of the ARRNCF, 47.3% is from sites located in the top 100 basic trading areas. BTAs are ranked by population, with the top 100 BTAs representing the 100 highest populated BTAs out of a total of 487 BTAs. BTAs are geographic boundaries used by the FCC to segment the U.S. wireless market for licensing purposes. Security Interest: Sites representing approximately 88.3% of the ARRNCF are secured by mortgages and 100% by equity interest in asset entities. The pledge of the equity of the asset entities provides security holders with the ability to foreclose on the ownership of the asset entities in the event of default under the indenture structure. Title insurance policies are in place for all mortgaged sites as of the expected closing date. Importance of Towers to Wireless Service Providers: Increased smartphone penetration and data usage increased the need for cell towers. With WSPs continuing to densify 4G networks and roll out 5G networks to handle increased demands for data capacity, there is a need for additional towers. The emergence of tablets and other devices creates additional demand for higher speeds and network buildouts. Additional Securities: The transaction allows for the issuance of additional notes. Such additional notes may rank pari passu with or subordinate to the 2020 notes. Any additional notes will be pari passu with any class of notes bearing the same alphabetical class designation. Additional notes may be issued without the benefit of additional collateral, provided the post-issuance DSCR is not less than 2.0x. The possibility of upgrades may be limited due to this provision. Coronavirus: Fitch believes the risk of the coronavirus pandemic on the operational performance of the telecom sector, including the tower operators, is low relative to other sectors. The lower risk is due to the integral nature of wireless services in consumers' day-to-day lives. As such, wireless phone services have a high position in consumer priority payments. Nonetheless, demands on infrastructure due to changes in work and usage patterns, as well as the ability of network suppliers to provide products and services to wireless carriers, could have an impact. The ultimate impact is mixed as some factors could also increase demand for certain products and services. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Increasing cash flow without an increase in corresponding debt, from contractual lease escalators, new tenant leases, or lease amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following model-implied rating sensitivities: Class C from 'Asf' to 'Asf'; class D from 'BBBsf' to 'Asf'; class F from 'BB-sf' to 'BBsf'. However, upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. Upgrades are further constrained by the Variable Funding Notes, which will likely offset any improvements in cash flow with a corresponding increase in debt, keeping leverage levels relatively flat. Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow as a result of higher site expenses or lease churn and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. Fitch's NCF was 5.5% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following model-implied rating sensitivities: Class C from 'Asf' to 'BBB-sf'; class D from 'BBBsf' to 'BB+sf'; and class F from 'BB-sf' to 'B-sf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Deloitte & Touche LLP. The third-party due diligence information was provided on Form ABS Due Diligence Form-15E and focused on a comparison of certain characteristics with respect to the portfolio of wireless communication sites and related tenant leases in the data file. Fitch considered this information in its analysis, and the findings did not have an impact on itsanalysis. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS Vertical Bridge 2020-1: Transaction & Collateral Structure: 4 VERUS SECURITIZATION 2020-2: DBRS Gives (P)B Rating on B-2 Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2020-2 (the Certificates) to be issued by Verus Securitization Trust 2020-2 (Verus 2020-2 or the Trust): -- $281.8 million Class A-1 at AAA (sf) -- $21.4 million Class A-2 at AA (sf) -- $27.8 million Class A-3 at A (sf) -- $20.8 million Class M-1 at BBB (low) (sf) -- $10.1 million Class B-1 at BB (sf) -- $7.6 million Class B-2 at B (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Certificates reflects 27.60% of credit enhancement provided by subordinate Certificates. The AA (sf), A (sf), BBB (low) (sf), BB (sf), and B (sf) ratings reflect 22.10%, 14.95%, 9.60%, 7.00%, and 5.05% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, expanded prime and nonprime, first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 870 mortgage loans with a total principal balance of $389,209,724 as of the Cut-Off Date (May 1, 2020). The originators for the mortgage pool are Athas Capital Group, Inc. (Athas; 14.6%), Sprout Mortgage Corporation (Sprout; 14.1%), Calculated Risk Analytics LLC dba Excelerate Capital (Excelerate; 13.3%), and other originators, each comprising less than 10.0% of the mortgage loans. The Servicer of the loans is Shellpoint Mortgage Servicing (Shellpoint). Although the mortgage loans were generally originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label non-agency prime jumbo products for various reasons. In accordance with the QM/ATR rules, 80.8% of the loans are designated as non-QM, 0.4% as QM-Rebuttable Presumption, and 0.9% as QM-Safe Harbor. Approximately 18.0% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. All of the loans not subject to the QM/ATR rules were underwritten using the borrower's DTI. The sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal residual interest consisting of the Class B-2, Class B-3, and Class XS Certificates, representing at least 5% of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the earlier of (1) the Distribution Date occurring in May 2023 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Administrator, at the Issuer's option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any cap carryover amounts. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Representation Provider will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The P&I Advancing Party will fund advances of delinquent principal and interest on any mortgage until such loan becomes 90 days delinquent. The Servicers are also obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. In contrast to other non-QM transactions, which employ a fixed coupon for senior bonds (Class A-1, A-2, and A-3), Verus 2020-2's senior bonds are subject to a step-up rate (a per annum rate equal to 1.0%) starting on the distribution date in June 2024. Unlike the prior Verus non-QM securitizations for which the Servicers and P&I Advancing Party fund advances of delinquent principal and interest (P&I) on loans up to 180 days delinquent, for this transaction, the P&I Advancing Party will fund advances only up to 90 days of delinquent P&I. The Servicer, however, is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The three-month advancing mechanism may increase the probability of periodic interest shortfalls in the current economic environment impacted by the Coronavirus Disease (COVID-19). As a large number of borrowers seek forbearance on their mortgages in the coming months, principal and interest collections may be reduced meaningfully. Unlike the prior Verus non-QM (or traditional non-QM) securitizations, which incorporate a pro rata feature among the senior tranches, this transaction employs a sequential-pay cash flow structure across the entire capital stack. Principal proceeds can be used to cover interest shortfalls on the A-1 and A-2 Certificates sequentially (IIPP). For more subordinated Certificates, principal proceeds can be used to cover interest shortfalls as the more senior Certificates are paid in full. Furthermore, excess spread can be used to cover realized losses and prior period bond writedown amounts first before being allocated to unpaid cap carryover amounts to Class A-1 down to Class B-1. The Coronavirus Disease (coronavirus or COVID-19) pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many residential mortgage-backed securities (RMBS) asset classes, some meaningfully. The non-QM sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans that may fall outside of the CFPB's ATR rules, which became effective on January 10, 2014. Non-QM loans encompass the entire credit spectrum. They range from high-FICO, high-income borrowers who opt for interest-only (IO) or higher debt-to-income (DTI) ratio mortgages, to near-prime debtors who have had certain derogatory pay histories but were cured more than two years ago, to nonprime borrowers whose credit events were only recently cleared, among others. In addition, some originators offer alternative documentation or bank statement underwriting to self-employed borrowers in lieu of verifying income with W-2s or tax returns. Finally, foreign nationals and real estate investor programs, while not necessarily non-QM in nature, are often included in non-QM pools. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies and loans on forbearance plans, slower voluntary prepayment rates, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario, (see Global Macroeconomic Scenarios: Implications for Credit Ratings, published on April 16, 2020), for the non-QM asset class DBRS Morningstar assumes a combination of higher unemployment rates, lower voluntary prepayment rates, and more conservative home price assumptions than what DBRS Morningstar previously used. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the non-QM asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes loans originated to (1) borrowers with recent credit events, (2) self-employed borrowers, or (3) higher loan-to-value ratio (LTV) borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with prior credit events have exhibited difficulties in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security (CARES) Act, signed into law on March 27, 7.1% (as of May 14, 2020) of the borrowers are on forbearance plans because of financial hardship related to coronavirus. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. The Servicer, in collaboration with the Servicing Administrator, is generally offering borrowers a three-month payment forbearance plan. Beginning in month four, the borrower can repay all of the missed mortgage payments at once or opt for other loss mitigation options. Prior to the end of the applicable forbearance period, the Servicer will contact each related borrower to identify the options available to address related forborne payment amounts. As a result, the Servicer, in conjunction with or at the direction of the Servicing Administrator, may offer a repayment plan or other forms of payment relief, such as deferral of the unpaid principal and interest amounts or a loan modification, in addition to pursuing other loss mitigation options. For these loans, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower principal and interest collections and (2) limited servicing advances on delinquent P&I. These assumptions include: -- Increasing delinquencies on the AAA (sf) and AA (sf) rating levels for the first 12 months, -- Increasing delinquencies on the A (sf) and below rating levels for the first nine months, Assuming no voluntary prepayments for the first 12 months for the AAA (sf) and AA (sf) rating levels. -- Assuming no liquidation recovery for the first 12 months for all rating levels. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2020-2: Fitch Rates Class B-2 Certs 'Bsf' -------------------------------------------------------------- Fitch Ratings has assigned ratings to the residential mortgage-backed certificates issued by Verus Securitization Trust 2020-2. Verus 2020-2 - Class A-1; LT AAAsf New Rating - Class A-2; LT AAsf New Rating - Class A-3; LT Asf New Rating - Class M-1; LT BBBsf New Rating - Class B-1; LT BBsf New Rating - Class B-2; LT Bsf New Rating - Class B-3; LT NRsf New Rating - Class A-IO-S; LT NRsf New Rating TRANSACTION SUMMARY The certificates are supported by 870 loans with a balance of $389.21 million as of the cutoff date. This will be the first transaction issued by Verus that Fitch is expected to rate. The certificates are secured mainly by nonqualified mortgages as defined by the ability to repay rule. Of the pool, 80.8% is designated as Non-QM, 0.9% as safe-harbor QM, 0.4% as a higher priced QM and the remaining 18.0% is not subject to ATR. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The transaction has a stop advance feature where the P&I advancing party will advance delinquent P&I up to 90 days. KEY RATING DRIVERS Revised GDP Due to the Coronavirus: The coronavirus and the resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's baseline global economic outlook for U.S. GDP growth is currently at a 5.6% decline for 2020, down from 1.7% for 2019. Fitch's downside scenario would see an even larger decline in output in 2020 and a weaker recovery in 2021. To account for declining macroeconomic conditions resulting from the coronavirus, an Economic Risk Factor (ERF) floor of 2.0 was applied to 'BBBsf' and below. The ERF is a default variable in the U.S. RMBS loan loss model. Expected Payment Deferrals Related to the Coronavirus (Negative): The outbreak of the coronavirus and widespread containment efforts in the U.S. will result in increased unemployment and cash flow disruptions. To account for the cash flow disruptions, Fitch assumed deferred payments on a minimum of 30% of the pool for the first six months of the transaction at all rating categories, with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of legacy Alt-A delinquencies and past-due payments following Hurricane Maria in Puerto Rico. Stop Advance Structure (Mixed): The transaction has a stop advance feature where the P&I advancing party, IRP Advancing Company II, LLC, will advance delinquent P&I up to 90 days. While the limited advancing of delinquent P&I benefits the pool's projected loss severity, it reduces liquidity. To account for the reduced liquidity of a limited advancing structure, principal collections are available to pay timely interest to the 'AAAsf' and 'AAsf' rated bonds. If the P&I advancing party fails to make a required advance, the master servicer, Nationstar Mortgage LLC, will be obligated to make such advance. If the master servicer fails to make advances, the securities administrator, Citibank, N.A., will fund advances. Payment Forbearance (Mixed): Roughly 7% of the borrowers - 46 loans - in the pool are on a coronavirus forbearance plan, all of which are current. These borrowers were generally granted up to a three-month forbearance period by the servicer. While a borrower who does not make a payment while on a forbearance plan, related to the coronavirus or not, will be considered delinquent, the P&I advancing party will not be obligated to advance until the end of the related forbearance period for the missed payments. The servicer is expected to offer up to three months of forbearance for borrowers affected by the coronavirus. At the end of the forbearance period, the servicer, in conjunction with or at the direction of the servicing administrator, Verus Residential Loanco, LLC, may evaluate repayment and/or loss mitigation options. Repayment options are likely to include reinstatement, such as a lump sum repayment of the missed payments, repayment plan deferrals of the missed payments to the end of the loan term, or capitalization of the missed payments. Loss mitigation options for borrowers with permanent hardships could be offered rate and/or term modifications, principal reduction modifications, short sales or deed-in-lieu resolution strategies. P&I Advancing During Forbearance Period (Mixed): The P&I advancing party will not be advancing delinquent P&I for borrowers on any forbearance plan, even those relating to the coronavirus, during the forbearance period. A borrower who does not make a payment while on a forbearance plan will be considered delinquent; however, the P&I advancing party will not be obligated to advance during that time. If a borrower fails to make P&I payments during the related forbearance period and has not received any additional forbearance, payment restructuring or modification relief, the P&I advancing party will advance an amount equal to the missed payments in a lump sum to the trust irrespective of whether the borrower becomes current. This occurs at the end of the related forbearance period, such as in month four. As P&I advances are intended to provide liquidity to the rated certificates if borrowers fail to make their monthly payments, the lack of advancing during a forbearance period could result in temporary interest shortfalls to the lowest ranked classes, as principal can be used to pay interest to the A-1 and A-2 classes. Fitch assumed a no-advancing scenario in its cash flow analysis, and there were no interest shortfalls to the most senior classes under this scenario. The 'BBsf' and 'Bsf' certificates experienced roughly 25bps of writedowns in period 150, when delinquencies are unlikely to result in a no-advancing scenario. Expanded Prime Credit Quality (Mixed): The collateral consists of 15-year, 30-year and 40-year fixed-rate and adjustable-rate loans, with 47.9% of the loans adjustable rate, 17.9% interest only and the remaining 82.1% fully amortizing. The pool is seasoned approximately five months in aggregate. The borrowers in this pool have moderate credit profiles with a 709 weighted average Fitch-calculated model FICO and relatively low leverage, with a sustainable loan to value of 71.9%. Approximately 1.8% of the pool has experienced a non-servicing transfer related delinquency in the past, but all loans are current. Approximately 6.9% of the loans in the pool were underwritten to foreign national or nonpermanent resident borrowers. The pool characteristics resemble recent nonprime collateral, and therefore, the pool was analyzed using Fitch's nonprime model. Nonfull Documentation Loans (Negative): Approximately 68% of the loans used alternative documentation to underwrite the loan. Of this, 43.1% was underwritten to a bank statement program -- 23.2% to a 24-month bank statement program and 19.9% to a 12-month bank statement program -- for verifying income, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default by 1.5x on the bank statement loans. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Finance Protection Bureau's ATR rule, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the rule's mandates for underwriting and documenting a borrower's ability to repay. Geographic Concentration (Negative): Approximately 54% of the pool is concentrated in California with a moderate MSA concentration. The largest MSA concentration is in the Los Angeles MSA (28.0%) followed by the Miami MSA (9.6%) and the San Francisco MSA (6.0%). The top three MSAs account for 43.6% of the pool. As a result, there was an 83-bp increase to the 'AAA' expected loss to account for geographic concentration. Sequential Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated certificates prior to other principal distributions is highly supportive of timely interest payments to those classes. Low Operational Risk (Neutral): Verus Mortgage Capital, a wholly owned subsidiary of Invictus Capital Partners, exceeds industry standards needed to properly aggregate residential mortgage loans. Verus' assessment as an 'Above Average' aggregator incorporates its well-established underwriting team of 30 plus individuals, which is atypical for most aggregators, controlled acquisition strategy, and highly experienced management. Primary and master servicing functions will be performed by Shellpoint Mortgage Servicing (RPS2-/Negative) and Nationstar Mortgage LLC (RMS2+/Negative). Alignment of Interests (Positive): The transaction benefits from an alignment of interest between the issuer and investors. VMC Asset Pooler, LLC, as sponsor, will retain a horizontal residual interest of at least 5% of the aggregate certificate balance of all certificates in the transaction, subject to both U.S. and European risk retention rules. R&W Framework (Negative): The R&W framework for this transaction is classified as a Tier 2 due to the lack of an automatic review for loans other than those with ATR realized losses. The R&Ws are being provided by Invictus Alternative Credit Pooler, LLC and Invictus Residential Pooler II, L.P., which do not have a financial credit opinion or public rating from Fitch. The rep providers are the parent of the sponsor. Fitch increased its loss expectations 166bps at the 'AAAsf' rating category to account for the limitations of the Tier 2 framework and the counterparty risk. The number of unnecessary R&W breach reviews due to a loan going delinquent due to coronavirus-related forbearance should be limited as the R&W review trigger is based on the loan having a realized loss and an ATR violation. Due Diligence Review Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction by SitusAMC (AMC), Clayton Services, Covius Real Estate Services and Edge Mortgage Advisory Company, LLC. The due diligence results are in line with industry averages and 99% received an overall grade of 'A' or 'B'. Loan exceptions with an overall grade 'B' either had strong mitigating factors or were accounted for in Fitch's loan loss model resulting in no additional adjustments. Fitch applied adjustments for the three loans with overall grades of 'C', which had an immaterial impact to the losses. The model credit for the high percentage of loan level due diligence combined with the adjustments for loan exceptions reduced the 'AAAsf' loss expectation by 47bps. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs illustrated by a gain in home prices. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 3.5%. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Fitch has added a coronavirus sensitivity analysis that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term effects arising from coronavirus-related disruptions on these economic inputs will likely affect both investment- and speculative-grade ratings. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 A third-party due diligence review was completed on 100% of the loans in the transaction pool and the loan-level results were reviewed by Fitch for this transaction. The review was conducted by AMC, Clayton, Covius and EdgeMac. AMC and Clayton are assessed by Fitch as Tier 1 TPR firms, Covius is assessed as a Tier 2 TPR firm and EdgeMac is assessed as a Tier 3 TPR firm. The review scope was consistent with Fitch's criteria and the overall diligence grades are in line with other non-QM transactions Fitch has rated. Two loans have a compliance grade 'C' due to TRID violation and one loan has a property grade of 'C' due to the secondary valuation having a greater than minus-10% variance. Adjustments were applied based on the due diligence findings, which had an immaterial effect on losses. Approximately 497 loans, or 57%, were assigned a final credit grade of 'B'. The credit exceptions graded 'B' were approved by the originator or waived by Verus due to the presence of compensating factors. Approximately 34% of the loans were graded 'B' for compliance exceptions. The majority of these exceptions are either TRID-related issues that were corrected with subsequent documentation, timing of when appraisal was provided and points and fees over the QM thresholds. No adjustments were applied for the 'B' graded loans. Form 'ABS Due Diligence 15E' was received from each of the TPR firms. The 15E forms were reviewed and used as a part of the rating for this transaction. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). WFRBS 2011-C5: Fitch Revises Outlook on Class F Debt to Negative ---------------------------------------------------------------- Fitch Ratings has revised the Rating Outlooks on five classes from two U.S. CMBS conduit transactions from the 2011 vintage. The Rating Outlooks for four classes in DBUBS 2011-LC1 were revised -- two classes to Negative from Stable and two classes to Stable from Positive. The Rating Outlook for one class in WFRBS 2011-C5 was revised to Negative from Stable. Fitch reviewed three 2011 transactions -- DBUBS 2011-LC3, GSMS 2011-GC5, and JPMCC 2011-C5 -- in the past four weeks, and assigned Negative Rating Outlooks at that time. No further actions were taken on these three deals for this review. Fitch analyzed its entire portfolio of 2011 U.S. CMBS conduit transactions, which consists of 14 deals. The review focused solely on the impact of the coronavirus pandemic on the transactions. Including the transactions listed above, 11 transactions from the 2011 vintage now have at least one class with a Negative Outlook. Three transactions have Stable Rating Outlooks on all nondistressed rated outstanding classes. DBUBS 2011-LC1 - Class D 233050AH6; LT AAsf; Revision Outlook - Class E 233050AJ2; LT BBBsf; Revision Outlook - Class F 233050AK9; LT BBsf; Revision Outlook - Class G 233050AL7; LT Bsf; Revision Outlook WFRBS 2011-C5 - Class F 92936JAQ7; LT BBsf; Revision Outlook KEY RATING DRIVERS The Negative Rating Outlooks reflect the potential for future downgrades stemming from an increase in expected losses due to Fitch's anticipation of a significant negative economic impact and property performance deterioration due to the coronavirus pandemic. Fitch expects near-term cash flow performance to decline on certain properties. However, it is difficult to discern at this time which loans will ultimately default and whether the default will result in losses to the trust, given the lack of clarity about the length of the pandemic and permanence of the performance declines. As described in Fitch's "Update on Response on Coronavirus Related Reviews for North American CMBS" published on April 13, 2020, Fitch continues to incorporate its baseline scenario from its Global Economic Outlook into its analysis. For property sectors highly vulnerable to the coronavirus pandemic, Fitch assumed significant declines in cash flow occurring over the next two to four months: for hotel, a 65% decline; for retail, a 45% decline; and for multifamily, a 20% decline. After applying the declines to cash flow, Fitch assumed any loan with a resulting debt service coverage ratio of less than 0.95x would have a 75% probability of default. For the hotel sector, the cash flow stress is roughly equivalent to a loan with the most recent servicer-reported DSCR of 2.75x moving to 0.95x; for retail, the most recent servicer-reported DSCR of 1.75x moving to 0.95x; and for multifamily, the most recent servicer-reported DSCR of 1.20x moving to 0.95x. Although Fitch expects significant defaults among for properties that suffer the harshest short-term cash flow declines, some well-capitalized sponsors will be willing and able to support their properties through this period, particularly those in high-demand locations. Fitch does not expect loans to be liquidated in any great number prior to the end of 2Q21, when the agency's Global Economic Outlook envisages a slow recovery will be under way. The expected losses for the loans assumed to default were calculated by applying Fitch's stressed cap rate to the most recent servicer-reported net operating income less a haircut of 26% for hotel, 20% for retail and 15% for multifamily. Fitch's stressed cap rates generally range between 10.25% and 13.50% for hotel, 8.00% and 11.25% for retail, and 8.00% and 10.00% for multifamily. Fitch did not apply distinct coronavirus stresses for office and industrial properties. However, individual factors such as tenancy, lease term, demand drivers and location were considered. For example, single-tenant office properties with unrated tenants and office properties with significant exposure to co-working tenants were assumed likely to default. The rating actions at this time were limited to Negative Rating Outlooks. Over the next few months, Fitch will monitor the performance of the loans in the transactions to evaluate if actual defaults are occurring in line with Fitch's expectations. A significant divergence to the downside may accelerate rating downgrades. Otherwise, ratings changes, if any, will likely occur in 2021 with a clearer view of how an economic recovery is affecting property performance and values. Additionally, all of the transactions will be subject to their annual review over the next 12 months, and Fitch's analysis will incorporate adjustments, both less and more stressful, if warranted, based on idiosyncratic features of the loans and properties. The transactions that were not assigned Negative Rating Outlooks had several common factors, including increased credit enhancement (CE) from paydowns and/or defeasance, lower concentrations of loans to sectors vulnerable to the pandemic and/or higher DSCRs relative to Fitch's assumptions on default risk. By rating category, a summary of the current ratings and transaction characteristics of the five classes from the two transactions with Rating Outlook revisions is included below: For the DBUBS 2011-LC1 transaction, the Rating Outlook for class D (AAsf) and class E (BBBsf) were revised to Stable from Positive. In addition, the Rating Outlooks for class F (BBsf) and class G (Bsf) were revised to Negative from Stable. The hotel and retail concentrations for the transaction are 14% and 39%, respectively. The transaction is 20% defeased. For the WFRBS 2011-C5 transaction, the Rating Outlook for class F (BBsf) was revised to Negative from Stable. Class G (Bsf) was already previously assigned a Negative Outlook. The hotel and retail concentrations for the transaction are 8% and 52%, respectively. The transaction is 25% defeased. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades, although not likely in the near term, would occur with stable to improved asset performance coupled with paydown and/or defeasance. The Negative Rating Outlooks may be revised back to Stable if overall pool performance and/or properties vulnerable to the coronavirus stabilize to pre-pandemic levels. Classes with Negative Outlooks in the 'AAAsf', 'AAsf' and 'Asf' categories may be more likely to be revised back to Stable if CE or defeasance increase significantly. Prior to any classes being upgraded, adverse selection, sensitivity to concentrations and/or the potential for future concentration would be taken into consideration. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that could lead to downgrade include an increase in expected pool-level losses from underperforming or specially serviced loans. Downgrades of one category or more to the classes assigned Negative Rating Outlooks would occur if expected losses increase, or a high proportion of the pool defaults and/or properties vulnerable to the coronavirus fail to return to pre-pandemic levels. The severity of the downgrades would be based on the level of CE relative to losses. Below-investment-grade classes with Negative Outlooks would likely be downgraded first, as losses would affect these classes sooner. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021. If this scenario plays out, Fitch expects a greater percentage of classes may be assigned a Negative Rating Outlook and/or those with Negative Rating Outlooks may be downgraded by a greater magnitude. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. WFRBS COMMERCIAL 2012-C9: Fitch Affirms Class F Certs at Bsf ------------------------------------------------------------ Fitch Ratings affirms 10 classes of WFRBS Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2012-C9. WFRBS 2012-C9 - Class A-3 92930RBB7; LT AAAsf; Affirmed - Class A-S 92930RAC6; LT AAAsf; Affirmed - Class A-SB 92930RBD3; LT AAAsf; Affirmed - Class B 92930RAD4; LT AAsf; Affirmed - Class C 92930RAE2; LT A-sf; Affirmed - Class D 92930RAJ1; LT BBB-sf; Affirmed - Class E 92930RAK8; LT BBsf; Affirmed - Class F 92930RAL6; LT Bsf; Affirmed - Class X-A 92930RAF9; LT AAAsf; Affirmed - Class X-B 92930RAG7; LT A-sf; Affirmed KEY RATING DRIVERS Stable Overall Performance and Credit Enhancement: The rating affirmations reflect the generally stable collateral performance, continued amortization, and significant defeasance. As of the May 2020 distribution date, the pool's aggregate principal balance was reduced by 28.7% to $750.8 million from $1.05 billion at issuance. Two loans (3.0% of the current pool balance) are 30 days delinquent, but there are no specially serviced loans. Loans accounting for 29.0% of the pool ($217.4 million) have been defeased and five loans (22.0%) have been designated as Fitch Loans of Concern. Class G has realized $378,996 in losses and is being affected by interest shortfalls. Fitch Loans of Concern: Five loans (29.0%) have been designated as FLOCs. The largest FLOC is Chesterfield Towne Center (13.0%), a regional mall in the Richmond, VA metro anchored by JC Penney, Macy's, and At Home. While overall performance has remained stable since issuance, Sears went dark in February 2019 and Macy's has a lease expiration in January 2021. As of March 2020, the property is 82% physically occupied. The YE 2019 NOI DSCR was 2.00x and YE 2019 in-line sales for tenants under 10,000 sf were $410. Given the mall's strong competition in its trade area, potential for another vacant anchor box, and overall retail challenges, Fitch has concerns about the ability to refinance the large amount of outstanding debt at maturity. The second largest FLOC is 888 Bestgate Road (3.5%), an office property in Annapolis, MD, where occupancy had declined to 72% as of YE 2019 after several tenants vacated when their leases ended. In June 2018, there was a shooting in the Capital Gazette's office at the property, which has contributed to the decline in occupancy and the borrower's difficulty in leasing up vacant space. As of YE 2019, the loan was performing at a 1.19x NOI DSCR. Smaller FLOCs include a hotel in East Rutherford, NJ and a retail property in Oxford, MS that have an additional NOI stress due to the coronavirus and a hotel in Houston where RevPAR has declined due to energy-sector exposure and reduced demand. Alternative Loss Considerations: To factor in upcoming refinance concerns, Fitch performed an additional sensitivity scenario, which applied a 40% loss on the maturity balance of Chesterfield Towne Center to reflect the potential for outsized losses. The sensitivity scenario also factored in the expected paydown of the transaction from defeased loans. This scenario contributed to the Negative Outlooks on classes E and F and the Outlook revisions of classes B, C, and X-B to Stable from Positive. Coronavirus Exposure: Fitch's base case analysis applied an additional NOI stress to seven hotel and six retail loans. The pool contains nine non-defeased loans (13.6%) secured by hotels with a weighted-average debt service coverage ratio of 1.99x. Retail properties account for 33.9% of the pool balance and have weighted average DSCR of 1.89x. Cash flow disruptions are expected as a result of property and consumer restrictions due to the spread of the coronavirus. These additional stresses contributed to the Negative Outlooks on classes E and F and the Outlook revisions of classes B, C, and X-B to Stable from Positive. Maturity Concentration: All remaining loans either mature or reach their anticipated repayment date in 2022. RATING SENSITIVITIES The Negative Outlooks on classes E and F reflect the potential for a near-term rating change should the performance of the FLOCs deteriorate. It also reflects concerns with hotel and retail properties due to decline in travel and commerce as a result of the coronavirus pandemic. The Stable Outlooks on classes A-3, A-SB, A-S, X-A, B, C, X-B, and D reflect the overall stable performance of the pool and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B, C, and X-B may occur with further improvement in credit enhancement or defeasance but would be limited should the deal be susceptible to a concentration whereby the underperformance of FLOCs could cause this trend to reverse. An upgrade to class D would also consider these factors but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. An upgrade to classes E and F is not likely until later years in a transaction and only if performance of the remaining pool is stable and there is sufficient credit enhancement, which would likely occur when the non-rated class is not eroded and the senior classes payoff. While coronavirus-related stresses continue to impact the pool, upgrades are unlikely. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or the transfer of loans to special servicing. Downgrades to the super-senior classes A-3 and A-SB are not likely due to the position in the capital structure and the high credit enhancement but could occur if interest shortfalls occur or if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to classes A-S, X-A, B, C, and X-B may occur and be one category or more should overall pool losses increase or if several large loans, particularly Chesterfield Towne Center, have an outsized loss and/or properties vulnerable to the coronavirus fail to stabilize to pre-pandemic levels. Downgrades to class E and F with Negative Outlooks would occur should loss expectations increase due to an increase in specially serviced loans, particularly Chesterfield Towne Center, the disposition of a specially serviced loan/asset at a high loss, or a decline in the FLOCs' performance. The Negative Rating Outlooks on classes E and F may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over, but it is unlikely to occur unless Chesterfield Towne Center successfully repays at maturity. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). WFRBS COMMERCIAL 2013-C16: Fitch Cuts Class F Certs to CCCsf ------------------------------------------------------------ Fitch Ratings has removed five classes from Rating Watch Negative, downgraded two classes and affirmed nine classes of WFRBS Commercial Mortgage Trust commercial mortgage pass-through certificates series 2013-C16. WFRBS 2013-C16 - Class A-4 92938EAM5; LT AAAsf; Affirmed - Class A-5 92938EAQ6; LT AAAsf; Affirmed - Class A-S 92938EAW3; LT AAAsf; Affirmed - Class A-SB 92938EAT0; LT AAAsf; Affirmed - Class B 92938EBF9; LT AA-sf; Affirmed - Class C 92938EBJ1; LT A-sf; Affirmed - Class D 92938EBR3; LT BBB-sf; Affirmed - Class E 92938EBU6; LT Bsf; Downgrade - Class F 92938EBX0; LT CCCsf; Downgrade - Class PEX 92938EBM4; LT A-sf; Affirmed - Class X-A 92938EAZ6; LT AAAsf; Affirmed KEY RATING DRIVERS Increased Loss Expectations/Fitch Loans of Concern: While the majority of the pool maintains stable performance, loss expectations on the pool have increased due to the 10 Fitch Loans of Concern (FLOCs, 14.3% of the pool) and the projected impact of the coronavirus pandemic on the pool. The downgrades to classes E and F, along with the Negative Rating Outlooks on classes D and E, primarily reflect the performance decline of the 10 FLOCs, including six loans in special servicing (7.8%) and the decreased likelihood of stabilization in the current market environment. The largest FLOC is the Hutton Hotel loan (5.5%), which is secured by a 247-room full-service hotel located in Nashville, TN. The loan has been designated as a FLOC due to the upcoming maturity in July 2020 in a potentially challenging refinancing environment. The property was in a transition phase during 2017 and 2018 due to major renovations, including updates to rooms, hallways, lobby, a restaurant and a new 4,000-square foot music venue. Property performance improved post renovation. The servicer reported the YE 2019 NOI debt service coverage ratio increased to 1.68x from 1.18x at YE 2018. However, the property was performing below its comp set in occupancy, ADR and RevPAR, indicating penetration rates of 91%, 93% and 86%, respectively. The next largest FLOC is the Sun Valley MHC loan (2.1%), the loan transferred to special servicing in August 2019, due to lack of financial reporting for a number of years. Financials were recently received and the loan remains current. Fitch will continue to monitor the loan. The next largest FLOC is the Wyoming Hotel Portfolio loan (2%). The loan is secured by two hotel properties totaling 241 rooms, both of which are located in Casper, WY. The loan transferred to the special servicer in January 2018 due to a borrower default on one of the franchise agreements. A receiver was appointed in May 2018, and the property became REO in September 2019. According to servicer updates, both properties are still open and performance is expected to decline due to the coronavirus pandemic. Next FLOC is the REO Holiday Inn & Suites Westway Park (1.6%), which is a 113-room hotel located in Houston, TX. The loan transferred to special servicing in August 2017 for imminent monetary default and became REO in February 2019. Fitch continues to monitor the loan. The remaining six FLOCs combine for approximately 4.2% of the pool balance and were designated as FLOCs due to lack of financial reporting, a single tenant vacating, low DSCRs and occupancy declines. Slight Increase to Credit Enhancement: As of the May 2020 distribution date, the pool's aggregate principal balance was reduced by 28% to $753.1 million from $1.05 billion at issuance. Eight loans (7.1%) are fully defeased. There have been no realized losses to date and interest shortfalls are currently affecting the non-rated class G. Four loans (25%) are full-term IO, and all loans with partial IO periods have expired. The affirmations reflect increased credit enhancement from loan payoffs, defeasance and continued amortization, which help offset Fitch's higher loss expectations. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario that assumed a potential outsized loss of 25% to the current balances of both the 24 Hour Fitness, CA, loan and 24 Hour Fitness, TX, loan due to reports the company is considering bankruptcy. This scenario contributed to the Negative Outlook on class D. Coronavirus Impact: Fitch expects significant economic impacts to certain hotels, and retail and multifamily properties from the coronavirus pandemic due to the recent and sudden reductions in travel and tourism, temporary property closures and lack of clarity at this time on the potential duration of the impacts. The pandemic already prompted the closure of several hotel properties in gateway cities, as well as malls, entertainment venues and individual stores. Classes C through F were placed on RWN due to the pool's significant exposure to retail and hotel properties, which represent 40% and 21.6% of the pool, respectively. Business disruption due to the pandemic partially contributes to the Negative Rating Outlook on class D and the downgrades to classes E and F. RATING SENSITIVITIES The Negative Outlooks on Class D and E reflect the potential for further downgrades if recoveries from the specially serviced loans exceed Fitch's loss expectations and if the performance of the FLOCs continues to deteriorate. The Stable Outlooks on Classes A-4 through C reflect the sufficient credit enhancement relative to expected losses. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in credit enhancement and/or defeasance. However, adverse selection and increased concentrations, or the underperformance of the FLOCs, could cause this trend to reverse. -- Upgrades to the 'BBB-sf' and below rated classes are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'Bsf' and 'CCCsf' rated classes is not likely given the expected losses from loans already in special servicing, and would only occur with better than expected recoveries on the REO assets and stabilization of the remaining FLOCs. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses due to underperforming or specially serviced loans. Downgrades to the senior classes, rated 'AA-sf' through 'AAAsf', are not likely due to their position in the capital structure and the high credit enhancement. However, downgrades to these classes may occur if interest shortfalls occur. Downgrades to the classes rated 'BBB-sf' and below would occur if the REO assets dispose for less than current projections, or if the performance of the FLOC continues to decline or fails to stabilize. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021. If this scenario plays out, Fitch expects classes assigned a Negative Rating Outlook will be downgraded in one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ********* 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. 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