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         T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, June 14, 2020, Vol. 24, No. 165

                            Headlines

610 FUNDING: Moody's Cuts Rating on Class E-R Notes to 'Caa2'
A10 BRIDGE ASSET 2015-A: DBRS Hikes Class F-1 Notes Rating to BB
AASET TRUST 2018-2: Fitch Lowers Rating on Class C Notes to CCC
ACIS CLO 2014-5: S&P Lowers Class E-1 Notes Rating to B- (sf)
ACRE COMMERCIAL 2017-FL3: DBRS Confirms B(low) Rating on F Notes

AIR CANADA: S&P Rates 2020-1 Pass-Through Certificates 'BB (sf)'
AMSR 2020-SFR2: DBRS Assigns Prov. BB(low) Rating on Class G Certs
AMUR EQUIPMENT VII: DBRS Rates Series 2020-1 Class F Notes 'Bsf'
APIDOS CLO XXXIII: S&P Assigns Prelim BB- (sf) Rating to E Notes
ARBOR REALTY 2017-FL3: DBRS Confirms BB Rating on Class E Notes

ARBOR REALTY 2018-FL1: DBRS Confirms B(low) Rating on Cl. F Notes
ARBOR REALTY 2019-FL1: DBRS Confirms B(low) Rating on Cl. G Notes
BAIN CAPITAL 2020-2: S&P Assigns Prelim BB- (sf) Rating to E Notes
BANK 2017-BNK6: Fitch Affirms B- Rating on 2 Tranches
BBCMS MORTGAGE 2020-C7: Fitch to Rate 2 Tranches 'B-(EXP)sf'

BLUE RIDGE II: S&P Lowers Class D Notes Rating to B- (sf)
BNPP IP 2014-II: S&P Lowers Class D-R Notes Rating to BB+ (sf)
BNPP IP CLO 2014-1: S&P Lowers Class C Notes Rating to 'BB+ (sf)'
CARLYLE GLOBAL 2015-1: Moody's Lowers $23.7MM Cl. E-R Notes to B1
CITIGROUP COMMERCIAL 2012-GC8: Fitch Cuts Cl. E Debt Rating to CCC

CMLS ISSUER 2014-1: Fitch Affirms Class G Certs at 'Bsf'
COLT 2020-2: Fitch Gives Bsf Rating on Class B2 Certs
COMM 2014-CCRE17: Moody's Lowers Class E Certs to 'Ba3'
COMM MORTGAGE 2012-LC4: Moody's Cuts Rating on Class F Certs to 'C'
COMM MORTGAGE 2013-CCRE11: Fitch Affirms B Rating on Class F Debt

CPS AUTO 2020-B: DBRS Confirms BB Rating on $22MM Class E Notes
CPS AUTO 2020-B: S&P Rates Class E Notes 'BB- (sf)'
CSAIL COMMERCIAL 2017-C8: Fitch Affirms B- Rating on Class F Certs
CSMC TRUST 2017-MOON: Fitch Affirms BB- on 2 Tranches
DENALI CAPITAL XII: Moody's Lowers $15MM Cl. E-R Notes to B1

DT AUTO 2020-2: S&P Rates Class E Notes 'BB- (sf)'
DT AUTO OWNER 2020-2: DBRS Confirms BB Rating on Class E Notes
ELLINGTON FINANCIAL 2020-1: S&P Assigns B (sf) Rating to B-2 Certs
ETRADE RV 2004-1: S&P Lowers Class D Notes Rating to 'CCC- (sf)'
EXETER AUTOMOBILE 2020-2: S&P Rates Class E Notes 'BB (sf)'

GLM LLC 2015-1: Moody's Cuts Rating on Series A Cl. D Notes to Ba2
GLS AUTO 2020-2: S&P Rates Class D Notes 'BB- (sf)'
GS MORTGAGE 2018-GS10: Fitch Affirms Class G-RR Certs at B-sf
HOME PARTNERS 2020-1: DBRS Finalizes B(High) Rating on Cl. F Certs
HUNT COMMERCIAL 2017-FL1: DBRS Confirms B(low) Rating on E Notes

JP MORGAN 2011-C5: Moody's Cuts Class G Certs to 'C'
LOANCORE 2019-CRE2: DBRS Confirms B(low) Rating on Class G Notes
LOANCORE 2019-CRE3: DBRS Confirms B(low) Rating on Class F Notes
MORGAN STANLEY 2007-TOP27: Fitch Hikes Rating on Class C Certs to B
MORGAN STANLEY 2013-C10: Moody's Lowers Class F Certs to B3

MORGAN STANLEY 2013-C11: Moody's Cuts Class E Certs to Caa3
MORGAN STANLEY 2013-C12: Moody's Cuts Rating on Class F Certs to B3
NATIONAL COLLEGIATE 2003-1: Fitch Affirms C Ratings on 2 Tranches
NATIONAL COLLEGIATE 2007-A: Fitch Affirms B Rating on Class C Debt
NEUBERGER BERMAN 37: S&P Assigns Prelim BB- (sf) Rating to E Notes

SLC STUDENT 2004-1: Fitch Affirms B- Rating on 2 Tranches
SOUND POINT CLO XIV: Moody's Cuts Rating on Class E Notes to 'B1'
STARWOOD MORTGAGE 2020-2: DBRS Finalizes B(low) on 11 Tranches
STUDENT LOAN 2007-2: Moody's Cuts Class IO Certs Rating to Caa1
VERUS SECURITIZATION 2020-INV1: S&P Rates Class B-2 Certs 'B (sf)'

WELLS FARGO 2010-C1: Fitch Affirms CCC Rating on Class F Debt
WELLS FARGO 2020-2: Fitch to Rate Class B-5 Debt 'B+(EXP)sf'
WELLS FARGO 2020-2: Moody's Gives (P)B1 Rating on Class B-5 Debt
WESTLAKE 2020-2: S&P Assigns Prelim BB (sf) Rating to Class E Notes
WFRBS COMMERCIAL 2011-C2: Mood's Cuts Class F Certs to 'Caa2'

WFRBS COMMERCIAL 2011-C3: Moody's Cuts Class E Certs to 'C'
[*] DBRS Places 60 U.S. RMBS Securities Under Review Negative
[*] S&P Takes Various Actions on 81 Classes From 19 U.S. RMBS Deals

                            *********

610 FUNDING: Moody's Cuts Rating on Class E-R Notes to 'Caa2'
-------------------------------------------------------------
Moody's Investors Service has downgraded its ratings on the
following notes issued by 610 Funding CLO 1, Ltd.:

US$24,000,000 Class B-R Senior Secured Deferrable Floating Rate
Notes Due 2029 (the "Class B-R Notes"), Downgraded to A3 (sf);
previously on September 21, 2017 Assigned A2 (sf)

US$22,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2029 (the "Class C-R Notes"), Downgraded to Ba1 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,000,000 Class D-R Secured Deferrable Floating Rate Notes Due
2029 (the "Class D-R Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$4,700,000 Class E-R Secured Deferrable Floating Rate Notes Due
2029 (the "Class E-R Notes"), Downgraded to Caa2 (sf); previously
on April 17, 2020 B2 (sf) Placed Under Review for Possible
Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class C-R, Class D-R and Class E-R notes. The CLO,
issued in June 2015 and refinanced in September 2017 is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in September 2021.

RATINGS RATIONALE

The downgrades on the Class B-R, Class C-R, Class D-R and Class E-R
notes reflect the specific risks to the mezzanine and junior notes
posed by credit deterioration and loss of collateral coverage
observed in the underlying CLO portfolio, which have been primarily
prompted by economic shocks stemming from the coronavirus pandemic.
Since the outbreak widened in March, the decline in corporate
credit has resulted in a significant number of downgrades, other
negative rating actions, or defaults on the assets collateralizing
the CLO tranches. Consequently, the default risk of the CLO
portfolio has increased substantially, exposure to Caa-rated assets
has increased significantly, and the credit enhancement available
to the CLO notes has eroded.

Based on Moody's calculation, the CLO's weighted average rating
factor is 3329 as of May 2020 compared to 2857 reported in the
March 2020 trustee report [1]. Moody's also noted that
approximately 29% and 4% of the portfolio par is from obligors
assigned negative outlooks or whose ratings are on review for
possible downgrade, respectively. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (after any
adjustments for negative outlook and watchlist for possible
downgrade) is approximately 22% as of May 2020. Furthermore,
Moody's calculated total collateral par balance, including
recoveries from defaulted securities, is $393.6 million, or $6.4
million less than the deal's ramp-up target par balance, and
Moody's calculated the over-collateralization ratios (excluding
haircuts) for the Class B-R, Class C-R, Class D-R and Class E-R
notes as of May 2020 at 120.0%,112.5%, 106.4% and 105.1%,
respectively.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $393.6 million, defaulted par of $2.4
million, a weighted average default probability of 26.49% (implying
a WARF of 3329), a weighted average recovery rate upon default of
48.23%, a diversity score of 67 and a weighted average spread of
3.50%. Moody's also analyzed the CLO by incorporating an
approximately $1.6 million par haircut in calculating the OC and
interest diversion test ratios.

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 corporate assets.

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 of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

Methodology Underlying the Rating Action:

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


A10 BRIDGE ASSET 2015-A: DBRS Hikes Class F-1 Notes Rating to BB
----------------------------------------------------------------
DBRS Limited upgraded the ratings on the following secured
Fixed-Rate Notes (the Notes) issued by A10 Bridge Asset Financing
2015-A, LLC as follows:

-- Class B-1 to A (sf) from A (low) (sf)
-- Class C-1 to BBB (high) (sf) from BBB (sf)
-- Class D-1 to BBB (sf) from BBB (low) (sf)
-- Class E-1 to BBB (low) (sf) from BB (sf)
-- Class F-1 to BB (sf) from BB (low) (sf)

DBRS Morningstar also confirmed Class A-1 at AAA (sf). All trends
are Stable.

The rating upgrades reflect the continued overall stable
performance of the underlying loans since issuance along with
principal reduction from successful loan repayments. The
transaction closed in April 2015 and featured a funding period
through April 2016, whereby the issuer had the ability to upsize
the pool with additional collateral, subject to certain eligibility
criteria and concentration limits. Following the funding period,
the transaction paid sequentially, with 24 loans secured by 33
commercial properties, all originated by A10 Capital, LLC (A10). As
of May 2020, the transaction consists of 11 floating-rate, fixed
rate, and hybrid mortgage loans secured by transitional commercial
real estate properties that are in some level of transition or
stabilization.

According to the May 2020 remittance, there has been a collateral
reduction of 39.0% since issuance, from principal paydown of $46.3
million. The pool has an aggregate balance of $72.3 million as of
May 2020, as four loans paid out of the trust over the past 12
months. Nine loans in the pool (70.7% of the current outstanding
loan balances) have remaining unfunded pari passu companion
participations totaling $9.0 million. Most of the properties are
currently cash-flowing assets in a period of transition with viable
plans and loan structure in place to facilitate stabilization and
value growth.

The pool is concentrated by loan size, as the largest five loans
represent 69.3% of the pool. The pool is also concentrated by
property type, as office (56.6% of the pool) and retail (43.4% of
the pool) properties represent 100% of the pool balance. Per the
most recent financials, the pool had a weighted-average (WA) debt
yield and debt service coverage ratio (DSCR) of 9.5% and 1.54x,
respectively, based on the fully funded whole loan amount. As of
the May 2020 remittance report, all loans are current and there are
no loans on the watchlist or in special servicing.

The Rite Aid Portfolio (Prospectus ID#34; 12.8% of the pool
balance) was originally secured by a 10-property retail portfolio
of single tenant Rite Aid drug stores. Nine of the properties were
in New York, and the remaining property was in Chattanooga,
Tennessee, with the properties built between 1997 and 2003. At
contribution, the sponsor had purchased the portfolio assets with a
business plan of selling off the individual properties throughout
the loan term. The merger between Walgreens Boots Alliance Inc.
(WBA) and Rite Aid Corporation was initially announced in October
2015; however, when the sponsor purchased the subject properties in
November 2016 there was uncertainty regarding the proposed merger.
Had the merger occurred, it could potentially have resulted in a
higher sales prices for the individual assets; however, the merger
agreement was ultimately terminated in June 2017, and WBA instead
purchased 1,932 Rite Aid stores.

The loan is structured with an execution covenant, which requires
the borrower to sell a certain number of properties prior to the
18th, 24th, and 30th month of the loan term. In the event that the
borrower is unable meet the execution timeline, all excess cash
flow will be swept into a cash management account to paydown the
loan. As of September 2019, the borrower went under contract to
sell three properties and the loan was subsequently paid down by
$10.5 million. The three properties were 173 Fairview Ave, Hudson,
New York (Walgreens), 3569 Brainerd Road, Chattanooga, Tennessee
(vacant), and 3249 Sheridan Drive, Amherst, New York. Previously in
November 2018, leases on five of the remaining properties were
extended for a 10-year term (through 2028) with reduced rents,
while the other two properties have lease expirations in May 2022
and March 2025.

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


AASET TRUST 2018-2: Fitch Lowers Rating on Class C Notes to CCC
---------------------------------------------------------------
Fitch Ratings has downgraded the series A, B and C fixed-rate
secured notes issued by AASET 2018-1 Trust (2018-1) and AASET
2018-2 Trust (2018-2). For AASET 2018-1, the series B and C notes
were removed from Rating Watch Negative (RWN), and the RWN on the
series A notes was maintained. For AASET 2018-2, the RWNs on the
series A and B notes were maintained, and the series C was removed
from RWN.

RATING ACTIONS

AASET 2018-2 Trust

Class A 04546KAA6; LT BBBsf Downgrade; previously at Asf

Class B 04546KAB4; LT BBsf Downgrade;  previously at BBBsf

Class C 04546KAC2; LT CCCsf Downgrade; previously at BBsf

AASET 2018-1 Trust

Class A 000367AA0; LT BBsf Downgrade;  previously at Asf

Class B 000367AB8; LT CCCsf Downgrade; previously at BBBsf

Class C 000367AC6; LT CCCsf Downgrade; previously at BBsf

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 maintained the RWN for certain tranches in both deals given
its limited ability to cover further downward stress to modeled
cash flow coverage levels from the ongoing pandemic hitting
airlines, aircraft values and other related downside events at the
current modeled scenarios and ratings.

On March 31, 2020, Fitch placed all series of notes issued by AASET
2018-1 and 2018-2 on RWN 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 the 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. This was a key driver of these
rating actions, along with modeled cash flows.

Furthermore, recessionary timing was brought forward to start
immediately. This scenario further stresses airline credits, asset
values and lease rates immediately, while incurring remarketing and
repossession cost 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.

Carlyle Aviation Partners Ltd. (CAP) (parent: The Carlyle Group
rated BBB+/Stable) and its affiliates manage certain funds (the
SASOF Funds). AASET 2018-1 and 2018-2 purchased the initial
aircraft in their respective pools from the SASOF Funds. Carlyle
Aviation Management Limited (CAML; not rated by Fitch), an indirect
subsidiary of CAP, is the servicer for both transactions. Fitch
believes the servicer can adequately service these transactions
based on its experience as a lessor and overall servicing
capabilities.

KEY RATING DRIVERS

Deteriorating Airline Lessee Credit:

The credit profiles of the airline lessees in the pools have
further deteriorated 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 airline
lessees assumed to have an Issuer Default Rating (IDR) of 'CCC' or
lower increased to 61.2% from 31.6% for AASET 2018-1 and rose to
68.8% from 32.8% for AASET 2018-2, in each pool, from the time of
last review.

Newly-assumed 'CCC' credit airlines in AASET 2018-1 include
Nordstar, Caribbean Airlines Limited, and Eastar Jet. For AASET
2018-2, 'CCC' assumed lessees now include Air Europa, Bangkok
Airways, Boliviana de Aviacion, Caribbean Airlines Limited, Cathay
Dragon, China Airlines, Corsair International, Enter Air, IndiGo,
Nile Air, Joint Stock Company Siberia Airlines, Smartlynx Airlines,
and Ural Airlines. Additionally, Aerolineas Argentinas and Interjet
Airlines are assumed to immediately default in Fitch's model for
AASET 2018-2. This is due to the recent downgrade of Argentina's
sovereign IDR to 'RD' and 100% government ownership of the
Argentinian airline, and Fitch's view of Interjet Airlines'
elevated default risk. All these assumptions reflect these
airlines' ongoing deteriorating credit profiles and fleet in the
current operating environment due to the coronavirus-related impact
on the sector. For airlines assumed to immediately default in
Fitch's modeling, narrow-body (NB) aircraft were assumed to remain
on ground for three additional months and widebody (WB) aircraft
for six months, in addition to lessor-specific remarketing downtime
assumptions to account for potential remarketing challenges in
placing these aircraft with new lessees in the current distressed
environment.

Asset Quality and Appraised Pool Value:

Both pools consist of older mid-to-end-of-life aircraft
(weighted-average [WA] age of 16.3 years for 2018-1 and 15.3 years
for 2018-2) and leases with short remaining terms (WA 2.1 years
remaining term for 2018-1 and 2.5 years for 2018-2). AASET 2018-1's
pool is less diversified with only 17 aircraft and nine lessees,
while 2018-2 comprises of 35 aircraft and 30 lessees. Further,
2018-1's pool has decreased by seven aircraft since close due to a
sale in July 2019 and six aircraft sales out of the pool to AASET
2020-1 (rated by Fitch) within the past few months. Three aircraft
remained off-lease since October 2019 and one aircraft came
off-lease in April 2020 for AASET 2018-1, while AASET 2018-2 does
not have off-lease aircraft at this time.

Both pools include widebody (WB) aircraft concentrations, totaling
36.7% in AASET 2018-1 with four such aircraft and 31.9% or six
aircraft in AASET 2018-2, which did not materially change since the
last review. WBs typically incur higher repossession, transition,
reconfiguration and maintenance costs. Due to ongoing market value
pressures for WBs and worsening supply and demand value dynamics
for these aircraft, Fitch utilized market values (MVs) as opposed
to base values (BVs) for cash flow modeling, and then further
applied an additional immediate and permanent 5% value haircut for
AASET 2018-1, after taking into account depreciation applied by
Fitch since the last appraisals as of the beginning of 2020. An
additional immediate value haircut was not applied for AASET 2018-2
considering more recent values were provided by the Issuer, which
takes into account recent value declines. The remaining aircraft in
both pools consist of narrow-body (NB) aircraft, which Fitch
utilized BVs given ongoing market dynamics, consistent with prior
review.

For this review, Fitch utilized the average of the two lowest and
most current appraisal values (BV for NB and MV for WB) for both
pools. The appraisals were provided by Avitas, BK Associates Inc
(BK) and morten beyer & agnew Inc. (mba) for AASET 2018-1.
Appraisers for AASET 2018-2 are Avitas, Collateral Valuations, Inc.
(CV) and mba. For each pool, Fitch utilized the average of the
lowest two appraisals. This approach results in Fitch modeled pool
values of $243.7 million for AASET 2018-1, and $550.4 million for
AASET 2018-2. This is notably lower compared to $361.9 million and
$651.9 million as stated in the May 2020 servicer reports.

Transaction Performance to Date:

Lease collections and transaction cash flows for both transactions
have trended down since the beginning of 2020 due to impact from
the pandemic. AASET 2018-1 received $2.1 million in lease
collections in the May collection period, down 28% from April and
67% down from March. AASET 2018-2 received $6.5 million in lease
collection in the May collection period, down 20% from April and
25% down from March report. AASET 2018-1 available cashflow during
May's payment period was able to reach the maintenance reserve
amount step, with class A and B notes having amortized faster than
scheduled due to recent sales and end-of-lease (EOL) payments.
AASET 2018-2 payments reached the series A schedule principal
payment step during May's payment period.

To date, there have been seven aircraft sales in AASET 2018-1, with
six of the sales occurring in the March and April period, which
were sold to AASET 2020-1, as previously mentioned. These sales
contributed to a faster than scheduled principal paydown of the
series A and B notes, at that time, but the transaction would lose
out on future lease cash flows. The debt-service-coverage-ratio
triggers (DSCR) for both deals remain above their respective cash
trap triggers and rapid amortization event (RAE) triggers, although
they have declined (after adjusting for EOL payments) compared to
April levels.

As a result of the coronavirus pandemic, AASET 2018-1 and 2018-2
had six and 10 lessees that are delinquent and behind on lease
payments by at least one-month, in each case accounting for 44% and
35% of their respective pools. For modeling purposes, Fitch assumed
three months of lease deferrals for all airlines, with contractual
lease payments resuming thereafter plus additional repayment of
deferred amounts over a six-month period.

Fitch Assumptions, Stresses and Cash Flow Modeling:

Nearly all CAML servicer-driven Fitch assumptions are unchanged
from the prior rating reviews for each transaction, and include
consistent repossession and remarketing costs, new lease and
extended lease terms assumed.

Three and six aircraft on lease are expected to mature within the
next 12 months for AASET 2018-1 and AASET 2018-2, respectively. For
these near-term maturities, Fitch assumed an additional three-month
downtime stress at lease-end in addition to lessor-specific
remarketing downtime assumptions in order 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 affected and are
expected to decline due to airline lessee credit issues and
grounded aircraft. Maintenance revenues were haircut by 50% over
the next immediate 12 months for these reviews, and such missed
payments were assumed to be recouped in the following 12 months
thereafter starting in June 2021. Maintenance costs over the
immediate six months were assumed to be incurred as reported. Costs
in the next 12 months were haircut to 50% of their original
schedules. Over the following 12 months, the 50% of deferred costs
in prior periods were assumed to be repaid every month in addition
to the scheduled maintenance costs.

RATING SENSITIVITIES

The Rating Watch Negatives on AASET 2018-1 series A and AASET
2018-2 series A and B notes, 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. Several factors affect the performance of aircraft
operating lease securitizations, which in turn could have an impact
on the assigned ratings. Due to the correlation between global
economic conditions and the airline industry, the strength of the
macro-environment over the remaining term of this transaction can
affect the ratings.

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:

Up: Base Assumptions with Stronger Residual Value Realization:

The aircraft ABS sector has a rating cap of 'Asf'. All subordinate
tranches carry one category of ratings lower than the senior
tranche and below the ratings at close. However, if the assets in
this pool experience stronger residual value (RV) realization than
Fitch modeled, or if it experiences a stronger lease collection in
flow than Fitch's stressed scenarios, the transaction could perform
better than expected.

In an "Up" scenario, RV recoveries at time of sale are assumed to
be 70% of their depreciated market values, higher than the base
case scenario at 50% for certain aircraft. For AASET 2018-1, net
cash flow increases by approximately $20 million at the 'Asf'
rating category, and series A and B are able to pass under the
'BBBsf' and 'BBsf' stress scenarios, respectively, and series C is
not able to pass the 'Bsf' stress scenario. For AASET 2018-2, net
cash flow increases by $32 million at the 'Asf' rating category,
and series A, B and C are able to pass under the 'Asf', 'BBBsf' and
'Bsf' stress scenarios, respectively.

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 37% and 32% for AASET 2018-1 and 2018-2,
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.

For AASET 2018-1, net cash flow declines by approximately $4.3
million at the 'Asf' rating category. The series A is able to pass
under the 'Bsf' scenario, and series B and C are not able to pass
under the 'Bsf' stress scenario. For AASET 2018-2, net cash flow
declines by $10.6 million at the 'Asf' rating category. The series
A and B are able to pass at 'BBsf' stress scenario, and series C is
unable to pass at the 'Bsf' stress scenario.

Down: Base Assumptions with Extended Downtime By Six Months:

During this coronavirus pandemic, parked aircraft, sharply reduced
air travel demand and increased bankruptcies would lead to lessors
facing significant challenges to place aircraft to new lessees or
extending existing leases. As a result, downtimes can be longer
during this recession. Fitch ran a sensitivity to extend downtime
by six months for leases maturing within the next four years.

Under this scenario, leases that mature during the first recession
were assumed six months of additional jurisdictional downtime. For
AASET 2018-1, net cash flow declined by approximately $3.1 million
at the 'Asf' rating category. The class A is able to pass under the
'Bsf' scenario and class B and C are not able to pass under the
'Bsf' stress scenario. For AASET 2018-2, net cash flow declines by
$9.5 million at the 'Asf' rating category. The class A and B are
able to pass under the 'BBsf' scenario and class C is not able to
pass under the 'Bsf' stress scenario.


ACIS CLO 2014-5: S&P Lowers Class E-1 Notes Rating to B- (sf)
-------------------------------------------------------------
S&P Global Ratings reviewed its ratings on eight classes of notes
from ACIS CLO 2014-5 Ltd. The review yielded two ratings lowered
and remaining on CreditWatch negative where they were placed with
negative implications on Jan. 22, 2020, one rating placed on
CreditWatch negative, and five ratings affirmed.

The ratings on the class E notes were already on CreditWatch
negative prior to the coronavirus outbreak in the U.S. in March
2020.
The rating actions follow its review of the transaction's
performance using data from the April 21, 2020, trustee report.

The downgrades reflect the decline in the credit support available
to the notes, primarily due to an increase in excess 'CCC' rated
collateral haircuts and par losses, which contributed to the
decline in the trustee-reported overcollateralization (O/C)
ratios.

As of the April 2020 monthly trustee report (and compared with the
January 2015 monthly report after which the deal closed):

-- The class A/B O/C ratio declined to 127.79% from 132.52%,
-- The class C O/C ratio declined to 115.85% from 122.20%,
-- The class D O/C ratio declined to 107.67% from 114.92%, and
-- The class E O/C ratio declined to 101.86% from 109.65%.
-- The class D and E O/C ratios are below their trigger levels of
108.50% and 105.20%, respectively, according to the April 2020
trustee report.

On a standalone basis, the results of the cash flow analysis
indicated higher ratings on the class B, C-1, and C-2 notes.
However, the transaction has heightened exposure to 'CCC' rated
collateral, as well as significant exposure to obligations that are
currently on CreditWatch negative, have a negative rating outlook,
and are trading at distressed prices. The transaction also has
considerable exposure to loans in stressed sectors such as hotels,
restaurants and leisure, and media. As a result, S&P affirmed the
ratings on the class B, C-1, and C-2 notes to maintain a cushion
that can help offset future potential volatility in the underlying
portfolio. S&P will continue to review any changes in the available
credit support to the rated notes, as any further deterioration
could result in negative rating actions in the future.

On a stand-alone basis, the cash flow results for the class D notes
indicated a failure at the current rating level; however, based on
the margin of failure and recent paydowns, which are expected to
bring the O/C ratio back into compliance, S&P decided to place the
notes on CreditWatch negative rather than downgrade the rating at
this time. The lowered ratings on the class E notes remain on
CreditWatch negative given the exposure to the stressed sectors and
assets in the portfolio whose ratings are on CreditWatch negative.

In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
(rated 'BB+' and lower) corporate loan issuers, S&P may make
qualitative adjustments to its analysis when rating CLO tranches to
reflect the likelihood that changes to the credit profile of the
underlying assets may affect a portfolio's credit quality in the
near term. This is consistent with paragraph 15 of S&P's criteria
for analyzing CLOs. To do this, S&P reviews the likelihood of
near-term changes to the portfolio's credit profile by evaluating
the transaction's specific risk factors. For this transaction, S&P
took into account 'CCC' and 'B-' rated assets, assets on
CreditWatch negative, assets with a negative rating outlook, and
assets that operate in what the rating agency views as a
higher-risk corporate sector.

S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction, as reflected in the
aforementioned trustee report, to estimate future performance. In
line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. In S&P's view, the results
of the cash flow analysis, and other qualitative factors as
applicable, demonstrated that all of the rated outstanding classes
have adequate credit enhancement available at the rating levels
associated with these rating actions.

"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary," S&P said.

The rating agency acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak.

"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly," S&P said.

  RATINGS LOWERED AND REMAIN ON CREDITWATCH NEGATIVE

  ACIS CLO 2014-5 Ltd.

                       Rating
  Class       To                     From
  E-1         B- (sf)/Watch Neg      BB (sf)/Watch Neg
  E-2         B- (sf)/Watch Neg      BB (sf)/Watch Neg

  RATING PLACED ON CREDITWATCH NEGATIVE

  ACIS CLO 2014-5 Ltd.

                       Rating
              To                     From
  D           BBB (sf)/Watch Neg     BBB (sf)

  RATINGS AFFIRMED

  ACIS CLO 2014-5 Ltd.

  Class       Rating
  A-1         AAA (sf)
  A-2         AAA (sf)
  B           AA (sf)
  C-1         A (sf)
  C-2         A (sf)


ACRE COMMERCIAL 2017-FL3: DBRS Confirms B(low) Rating on F Notes
----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
secured Floating Rate Notes (the Notes) issued by ACRE Commercial
Mortgage 2017-FL3 Ltd.:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. Amid the effects of the Coronavirus
Disease (COVID-19) pandemic, DBRS Morningstar is monitoring this
and other transactions for relief requests, new delinquencies, and
any other impacts. In its analysis of the transaction, DBRS
Morningstar applied probability of default (POD) adjustments to
loans with confirmed issues caused in part by these events. Because
of the transitional nature of the underlying collateral and the
general state of flux amid the pandemic, proposed business plans
that are necessary to bring the assets to stabilization may be
delayed and, in some cases, borrowers may be in need of payment
relief or other loan modification to address unforeseen cash flow
disruptions. DBRS Morningstar applied the POD adjustments to
reflect these increased risks to increase the expected loss for
each respective loan in the analysis. For additional information
regarding the DBRS Morningstar process for addressing the
coronavirus impact to ratings, please see the press release links
in the Notes at the end of this document.

At issuance, the collateral for the transaction consisted of 12
floating-rate mortgages secured by 16 transitional commercial real
estate properties, with a total balance of $341.2 million. The
transaction is structured with a reinvestment period that expires
in March 2021 during which Ares Management can substitute
collateral in the pool subject to certain reinvestment criteria,
including RAC by DBRS Morningstar. As of the May 2020 remittance,
there were 12 floating-rate mortgages with a total loan balance of
$425.9 million as all of the original collateral from the pool has
been replaced with reinvestment assets, with the exception of
Sheraton Ann Arbor (Pros ID#5, 8.3% of the pool). The majority of
the loans were structured with three-year initial terms with two
12-month extension options that are performance-based. These assets
are in various stages of stabilization and six of these loans,
representing 52.5% of the outstanding loan pool balance, have a
pari passu companion participation held by a subsidiary of the
trust asset seller and sponsor, ACRC Lender LLC.

All loans remained current as of the May 2020 remittance. However,
the collateral manager has confirmed there were forbearance
requests made for two loans, Hyatt Regency Deerfield (Prospectus
ID#24 – 7.8% of the pool) and Sheraton Ann Arbor. The collateral
manager noted that a 90-day forbearance agreement was in the
process of execution for the Hyatt Regency loan, while the request
for Sheraton Ann Arbor was denied, with the collateral manager and
sponsor continuing to discuss options going forward.

As of May 2020, four loans, representing 26.7% of the current trust
balance, are on the servicer's watchlist because of low occupancy
and/or a low debt service coverage ratio (DSCR), upcoming maturity,
or for failure to report financials. However, these loans are
secured by properties that are generally in the process of
executing their respective stabilization plans. There is only one
loan, representing 5.7% of the current trust balance, secured by a
property in a tertiary or rural market. Two pivotal loans within
the top 10 are highlighted below.

The Old Orchard Towers loan (Prospectus ID#23, 13.3% of the trust
balance) is secured by a 355,195-sf office building in the Chicago
suburb of Skokie, Illinois. At issuance, the borrower's business
plan was to retenant or secure a long-term renewal for the largest
tenant at the property, National Louis University (NLU), which
represents 24.7% of the NRA on a lease that is scheduled to expire
in July 2021. At loan contribution in October 2018, the sponsor was
in ongoing discussions with NLU for a lease renewal. According to
the May 2020 portfolio update, provided by the collateral manager,
the tenant has not provided notice to renew or vacate by the
renewal notice period in November 2019. As a result, all excess
cash from project operations is being swept and any request for
capital expenditures or leasing dollars will be drawn from excess
cash before future funding is released. According to the December
2019 rent roll, the property was 87.8% occupied with an average
rental rate of $21.95 psf. The four largest tenants represent 68.8%
of the NRA with leases that are scheduled to expire between July
2021 and October 2024. The YE2019 DSCR was reported at 1.31x, which
is above DBRS Morningstar stabilized estimates at issuance. DBRS
Morningstar will continue to monitor the loan for developments
related to the renewal status of the largest tenant.

The Sheraton Ann Arbor loan is secured by a 197-key, six-story,
full-service hotel in Ann Arbor, Michigan. In 2010, the property
underwent an extensive $11.2 million ($57,000 per key) renovation
to convert the hotel to the Sheraton brand. In conversations with
DBRS Morningstar, the collateral manager noted that the borrower
made a forbearance request, which was subsequently denied. The loan
was added to the servicer's watchlist in April 2020 as a result of
the upcoming loan maturity in July 2020. The near-term maturity
with no extension options poses a challenge given the ongoing
performance declines as a direct result of the pandemic, which has
significantly affected the travel and lodging industry. The
collateral manager noted discussions with the loan sponsor to
address the ongoing concerns and need for relief. As of the May
2020 portfolio update provided by the collateral manager, the
borrower is completing a mandated property improvement plan (PIP)
renovation at a cost of $8.0 million ($40,000 per key), which began
post-loan contribution. The borrower has funded the renovation
out-of-pocket and has completed 50% of the PIP requirements, with a
scheduled completion date of the project in Q2 2020. As of YE2019,
the occupancy, average daily rate, and revenue per available room
were reported at 68.1%, $153.35, $104.37, respectively, and the
YE2019 DSCR was reported at 1.18x, which is below the DBRS
Morningstar stabilized estimates at issuance. This loan was
analyzed with an elevated POD to reflect DBRS Morningstar’s
concerns about the hospitality industry and the ultimate delay in
property stabilization.

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


AIR CANADA: S&P Rates 2020-1 Pass-Through Certificates 'BB (sf)'
----------------------------------------------------------------
S&P Global Ratings assigned its 'BB' (sf) final issue-level rating
to the series 2020-1 Class C certificates, reflecting a one-notch
uplift from its ICR on Air Canada. All of its current ratings on
Air Canada, including on its existing enhanced equipment trust
certificates (EETCs), are unchanged.

S&P placed the rating on CreditWatch with negative implications to
reflect the likelihood that it could lower its ICR on Air Canada,
which could result in a lower rating on these certificates.

One-notch uplift from the ICR. The one-notch uplift from the ICR
reflects S&P's view that Air Canada is very likely to reorganize as
a going concern in a default scenario, and that the company is
likely to affirm payment on the certificates. This reflects S&P's
view that the underlying aircraft, which are technologically
advanced and should have good resale liquidity, would remain core
to Air Canada's long-term strategy and that the LTV on the
certificates should remain less than 90%.

The Class C certificates do not have the benefit of any liquidity
facility, which limits elevation above S&P's ICR on Air Canada to
one notch. Liquidity facilities are a key feature of EETCs and
typically cover up to 18 months of interest payments. During that
period, the collateral may be repossessed and remarketed on behalf
of certificate holders if an airline does not cure defaults or
while the certificate holders negotiate with the airline during an
insolvency. Without this enhancement, there is a higher likelihood
that an interest payment could be missed if Air Canada files for
bankruptcy and an interest payment falls due during the 60-day stay
period before payments are affirmed by the company.

Canada's legal system recognizes the rights of secured creditors
and has adopted The Cape Town Convention And Aircraft Protocol. The
pass-through certificates benefit from legal protections afforded
by Article XI, Alternative A, of the Protocol to the Cape Town
Convention on International Interests in Mobile Equipment (Cape
Town Convention), as adopted in Canada. Alternative A is similar to
Section 1110 of the U.S. Bankruptcy Code. Alternative A and
Canada's corresponding declarations to the Cape Town Convention
provide that, within 60 calendar days after the commencement of an
insolvency in Canada with respect to Air Canada or its insolvency
administrator, the company would be required either to give
possession of the aircraft securing the equipment notes to the
relevant mortgagee, or to cure all defaults (other than those based
on the commencement of the insolvency-related event) and agree to
perform all future obligations under the equipment notes and the
security agreements securing the equipment notes (as applicable).

The Cape Town Convention went into effect in Canada on April 1,
2013, and has received very limited application by Canadian courts.
Accordingly, there is very limited precedent determining how
Canadian courts would enforce it. However, consistent with its
generally positive view of the Canadian legal system, S&P's
analysis assumes that Canadian courts will interpret the statutory
provisions of the convention in a manner that will give effect to
the protections afforded by the Cape Town Convention and the
related protocol. Therefore, S&P's analysis anticipates that in a
scenario where the mortgagee seeks to exercise its remedies as
applicable under the equipment notes, the legal protections
afforded by Article XI, Alternative A of the Protocol to the Cape
Town Convention will be available.

Air Canada is likely to reorganize and affirm payments on the Class
C certificates in a default scenario. The collateral pool for the
2020-1 Class C certificates consists of 15 Boeing 787-9 aircraft,
one Boeing 787-8s, two Boeing 777-300ERs, and nine Boeing 737 MAX
8s. These aircraft have a value-weighted-average age of
approximately 3.7 years, and S&P considers them core to Air
Canada's fleet. About 84% of collateral value is from wide-body
aircraft that are used primarily on international routes. With the
collapse in air travel demand this year stemming from temporary
restrictions on non-essential cross-border travel and passenger
fears of contracting the coronavirus, S&P believes demand will take
at least three years to recover to pre-pandemic levels. In S&P's
view, demand for international travel will lag demand for domestic
and U.S. cross-border travel, which could make wide-body jets less
desirable in general. However, S&P believes the wide-body B787s and
B777-300ERs in the collateral pool for these certificates are
likely to remain core to Air Canada's fleet based on their
relatively young age and operating efficiency. For instance, the
B787 family has a strong global order backlog, and the B787-9 is
the most popular version among airlines globally.

"In our opinion, if Air Canada needed to shrink its fleet during
insolvency reorganization proceedings it would first retire other,
older aircraft," S&P said.

Air Canada primarily used the B737 MAX 8 narrow-body jets on
domestic and U.S. cross-border routes, but they have been grounded
worldwide since March 2019 following two fatal crashes. S&P
believes the B737 MAX will return to service later this year and
remain a core aircraft within Air Canada's fleet, reflecting its
relatively young age and meaningful expected cost savings compared
with the older A320s in Air Canada's fleet. Furthermore, the order
book for the 737-MAX remains strong with only modest market value
declines, which suggests the aircraft is still in relatively high
demand.

S&P's expectation that Air Canada will perform its future
obligations is also supported by its belief that, should it become
subject to insolvency proceedings, the company would very likely be
reorganized. This expectation is supported by Air Canada's position
as the largest airline in Canada. The company's market share (based
on 2019 available seat miles) was 53% on routes within Canada, 49%
cross-border routes, and 41% on international routes. Furthermore,
Air Canada was reorganized after its last bankruptcy filing in
2003.

LTV should remain below 90% through the life of the deal based on
S&P's estimates. Using the appraised base values and depreciation
assumptions provided by the company, the initial LTV is 83.7% for
the 2020-1 Class C certificates.

When S&P evaluates Equipment Trust Certificates, it compares the
values from airline-hired appraisers with its own sources. Overall,
the values that S&P uses approximate those set out by the company
for the pass-through certificates. However, S&P applies more
conservative (faster) depreciation rates than those provided by the
company. It projects the LTV will be 85%-90% during the first three
years of the deal's life and less than 85% during the last three
years. Although S&P considers the LTV to be relatively high, the
rating agency believes a one-notch uplift remains appropriate after
incorporating its view that Air Canada is very likely to reorganize
in a bankruptcy scenario, the aircraft within the collateral pool
are efficient with good resale liquidity and are core to Air
Canada's longer-term strategy, and that aircraft-secured creditors
in Canada should benefit from similar protections that exist under
Section 1110 of the U.S. Bankruptcy Code."

Air Canada is Canada's largest domestic and international
full-service airline and the fourth-largest in North America. It
generated slightly more than C$19 billion of revenue in 2019. As of
Dec. 31, 2019, the company operated a mainline fleet of 188
aircraft, and its wholly owned leisure carrier Air Canada Rouge
operated 65. In addition, the company has capacity purchase
agreements with regional airlines that operate an additional 151
aircraft under Air Canada Express.

In 2019, Air Canada generated about 30% of its passenger revenue on
domestic routes, 22% on U.S. cross-border routes, 26% on Atlantic
routes, 14% on Pacific routes, and 7% on other routes.

At March 31, 2020, the company mainline had an operating fleet of
193 aircraft, composed of 97 Boeing and Airbus narrow-body jets
(including 24 Boeing 737 MAX aircraft grounded since March 2019),
82 Boeing and Airbus wide-body jets, and 14 Embraer 190 regional
jets. Air Canada Rouge operated a fleet of 65 aircraft, composed of
22 Airbus A319s, 14 Airbus A321s, four Airbus A320s, and 25 Boeing
767-300ERs.


AMSR 2020-SFR2: DBRS Assigns Prov. BB(low) Rating on Class G Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Single-Family Rental Pass-Through Certificates (the Certificates)
to be issued by AMSR 2020-SFR2 Trust (the Issuer):

-- $159.0 million Class A at AAA (sf)
-- $43.5 million Class B at AAA (sf)
-- $31.3 million Class C at AA (high) (sf)
-- $32.6 million Class D at AA (low) (sf)
-- $27.2 million Class E1 at A (low) (sf)
-- $59.8 million Class E2 at BBB (low) (sf)
-- $27.2 million Class F at BB (high) (sf)
-- $25.8 million Class G at BB (low) (sf)

The AAA (sf) rating on the Certificates reflects 69.2% and 60.8% of
credit enhancement respectively provided by subordinated notes in
the pool. The AA (high) (sf), AA (low) (sf), A (low) (sf), BBB
(low) (sf), BB (high) (sf), and BB (low) (sf) ratings reflect
54.7%, 43.2%, 31.6%, 31.6%, 26.3%, and 21.3% of credit enhancement,
respectively.

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

The Certificates are supported by the income streams and values
from 2,759 rental properties. The properties are distributed across
15 states and 38 metropolitan statistical areas (MSAs) in the
United States. DBRS Morningstar maps an MSA based on the ZIP code
provided in the data tape, which may result in different MSA
stratifications than those provided in offering documents. As
measured by broker price opinion (BPO) value, 63.2% of the
portfolio is concentrated in three states: Florida (21.4%), Georgia
(21.1%), and Texas (20.8%). The average postrenovation price per
property that the securitization asset company paid to acquire the
properties is $186,166 and the average value is $197,059. The
average age of the properties is roughly 30 years. The majority of
the properties have three or more bedrooms. The certificates
represent a beneficial ownership in an approximately five-year
fixed-rate, interest-only loan with an initial aggregate principal
balance of approximately $406.4 million.

As in typical single-borrower, single-family rental transactions,
the waterfall has straight sequential payments with reverse
sequential losses.

DBRS Morningstar's assumed base-case net cash flow (NCF) is
approximately $15.4 million, which is 41.7% lower than the
Issuer-underwritten NCF of about $26.4 million. Stressing the NCF
during the term of the loan and at the maturity date reflects
worsening economic conditions that are consistent with DBRS
Morningstar's rating stresses.

Vacancy data in the single-family rental space is relatively
limited. In general, based on performance data in existing
securitizations as well as information gathered in annual
property-manager reviews, vacancy is considered low in the
single-family rental market. DBRS Morningstar applied a base
vacancy rate of 11.0%, an additional base vacancy adjustment
related to the impact of the Coronavirus Disease (COVID-19)
pandemic, plus a qualitative adjustment to account for structural
and documentation weakness in the transaction. The loan agreement
lacks credit measures, such as the income-to-rent ratio, in the
eligible tenant provision. DBRS Morningstar accounted for this
potential impact by reducing the DBRS Morningstar gross rent by
1.0%. DBRS Morningstar also accounted for the current delinquency
levels and vacancy levels by further stressing the vacancy
assumption, bringing the DBRS Morningstar vacancy rate to 17.3%,
which is more conservative than the underwritten economic vacancy
rate of 7.9% of the Issuer's gross income.

Additionally, DBRS Morningstar applied a stress to the BPOs
because, in general, a valuation based on a BPO may be less
comprehensive than a valuation based on a full appraisal. In
addition to the BPO stress, DBRS Morningstar recently adjusted that
stress upward due to the impact of the coronavirus pandemic.

For more information regarding rating methodologies and the
coronavirus, please see the following DBRS Morningstar
publications: "DBRS Morningstar Provides Update on Rating
Methodologies in Light of Measures to Contain Coronavirus Disease
(COVID-19)," dated March 12, 2020; "DBRS Morningstar Global
Structured Finance Rating Methodologies and Coronavirus Disease
(COVID-19)," dated March 20, 2020; and "Global Macroeconomic
Scenarios: June Update," dated June 1, 2020.

The transaction allows for discretionary substitutions of up to
5.0% of the number of properties as of the closing date, as long as
certain restrictions are met.

The Sponsor intends to satisfy its risk retention obligations under
the U.S. Risk Retention Rules by holding at least 5.0% of the
initial certificate balance of each Class of Certificates, either
directly or through a majority-owned affiliate.

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


AMUR EQUIPMENT VII: DBRS Rates Series 2020-1 Class F Notes 'Bsf'
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
equipment contract backed notes to be issued by Amur Equipment
Finance Receivables VIII LLC (the Issuer):

-- $56,300,000 Series 2020-1, Class A-1 Notes at R-1 (high) (sf)
-- $104,932,000 Series 2020-1, Class A-2 Notes at AAA (sf)
-- $15,279,000 Series 2020-1, Class B Notes at AA (sf)
-- $13,291,000 Series 2020-1, Class C Notes at A (sf)
-- $17,266,000 Series 2020-1, Class D Notes at BBB (sf)
-- $11,925,000 Series 2020-1, Class E Notes at BB (sf)
-- $7,329,000 Series 2020-1, Class F Notes at B (sf)

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

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: June Update," published on June 1, 2020.
The June 1, 2020, commentary updates DBRS Morningstar's
macroeconomic scenarios initially published on April 16, 2020.

-- The assumptions consider the moderate macroeconomic scenario
outlined in the commentary (the moderate scenario serving as the
primary anchor for current ratings). The moderate scenario assumes
some success in containment of coronavirus within Q2 2020 and a
gradual relaxation of restrictions, enabling most economies to
begin a gradual economic recovery in Q3 2020.

-- DBRS Morningstar estimated the expected cumulative net loss
(CNL) of 7.05% in its cash flow scenarios using the originator's
actual performance data and accounting for the expected equipment
mix in the collateral pool. DBRS Morningstar's CNL assumption also
considers the effect of the 2019 recessionary downturn in the
trucking industry on the performance of more recent static pool
vintages.

-- Transaction capital structure, proposed ratings, as well as
sufficiency of available credit enhancement, which includes
overcollateralization (OC), subordination, and amounts held in the
Reserve Account to support the CNL assumption projected by DBRS
Morningstar under various stressed cash flow scenarios.

-- The rating on the Class A-1 Notes reflects 78.5% of initial
hard credit enhancement (as a percentage of the collateral balance)
provided by the subordinated notes (68.4%), the Reserve Account
(1.18%), and OC (8.90%). The rating on the Class A-2 Notes reflects
36.3% of initial hard credit enhancement provided by the
subordinated notes (26.2%), the Reserve Account, and OC. The
ratings on the Class B, Class C, Class D, Class E, and Class F
Notes reflect 30.1%, 24.8%, 17.8%, 13.0%, and 10.1% of initial hard
credit enhancement, respectively.

-- Contracts with deferrals related to coronavirus and past due
contracts will not be eligible for inclusion in the collateral pool
as Initial Contracts or Additional Contracts.

-- The proposed concentration limits mitigating the risk of
material migration in the collateral pool's composition during the
approximately four-month prefunding period.

-- The capabilities of Amur Equipment Finance, Inc. (Amur EF), a
commercial finance company providing equipment financing solutions
to a broad range of small to medium-size businesses across all 50
U.S. states with regard to originations, underwriting, and
servicing. DBRS Morningstar performed an operational review of Amur
EF and continues to deem the company an acceptable originator and
servicer of equipment lease and loan financing contracts. In
addition, Wells Fargo Bank, N.A. (rated AA with a Negative trend by
DBRS Morningstar), an experienced servicer of equipment
lease-backed securitizations, will be the backup servicer for the
transaction.

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

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


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

The note issuance is a CLO transaction backed by primarily broadly
syndicated speculative-grade senior secured term loans that are
governed by collateral quality tests.

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

The preliminary ratings reflect:

-- The diversified collateral pool.

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

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

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

  PRELIMINARY RATINGS ASSIGNED
  Apidos CLO XXXIII

  Class                Rating       Amount (mil. $)
  A                    AAA (sf)              256.00
  B                    AA (sf)                46.00
  C (deferrable)       A (sf)                 24.00
  D (deferrable)       BBB- (sf)              22.00
  E (deferrable)       BB- (sf)               12.00
  Subordinated notes   NR                     32.22

  NR--Not rated.


ARBOR REALTY 2017-FL3: DBRS Confirms BB Rating on Class E Notes
---------------------------------------------------------------
DBRS Limited confirmed the ratings of Floating-Rate Notes (the
Notes) issued by Arbor Realty Commercial Real Estate Notes
2017-FL3, Ltd. (the Issuer) as follows:

-- Class A Senior Secured Floating Rate Notes at AAA (sf)
-- Class B Secured Floating Rate Notes at AA (low) (sf)
-- Class C Secured Floating Rate Notes at A (low) (sf)
-- Class D Secured Floating Rate Notes at BBB (low) (sf)
-- Class E Floating Rate Notes at BB (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which remains generally in line with DBRS
Morningstar's expectations at issuance. In the analysis for this
review, DBRS Morningstar applied probability of default (POD)
adjustments to a few loans to reflect increased risks observed
since issuance, particularly in light of the Coronavirus Disease
(COVID-19) impact to the economy and general unknowns with regard
to timing for recovery. Because of the transitional nature of the
underlying collateral, proposed business plans that are necessary
to bring the assets to stabilization may be delayed and, in some
cases, borrowers may request relief from the Issuer. Based on the
information received thus far with regard to relief requests and
payment statuses for the underlying loans, DBRS Morningstar
believes the rated classes are generally insulated from adverse
credit implications at this time, warranting the rating
confirmations.

The pool currently consists of 36 floating-rate loans totaling
$419.6 million, secured by multifamily and commercial properties.
At issuance, the pool consisted of 16 loans totaling $368.3
million. The transaction is structured with an initial replacement
period (which ends December 2020) whereby the Issuer can substitute
collateral in the pool, subject to certain eligibility criteria,
including the rating agency condition by DBRS Morningstar. As of
the May 2020 remittance, there remains $60.4 million in equity that
the Issuer can deploy to originate additional loans. The
transaction pays sequentially after the replacement period ends.

The loans are predominantly secured by multifamily properties, most
of which are located in urban and suburban markets that benefit
from greater liquidity and/or are affordable offerings in stable
communities. The pool composition consists of 29 multifamily
properties (76.7% of the pool), three student-housing properties
(12.8% of the pool), two office properties (7.6% of the pool), one
self-storage property (2.1% of the pool), and one retail property
(0.8% of the pool). Most loans have a maximum initial term of two
or three years, with extension options generally available to
borrowers, subject to criteria. Most of the properties are
currently cash-flowing assets in a period of transition with viable
plans and loan structures in place to facilitate stabilization and
value growth. All of the loans are structured with cash management
in place at origination and are also structured with reserves,
including several loans that were structured with an initial
operating, interest, and renovation reserve.

The Issuer, Servicer, Mortgage Loan Seller, and Advancing Agent are
related parties and nonrated entities. Arbor Realty SR, Inc.
(Arbor) holds the unrated 19.1% equity piece as Preferred Shares in
the transaction. DBRS Morningstar has communicated with Arbor
regarding the potential for business plan stoppages or delays, as
well as foreseeable debt service payment disruptions resulting from
the pandemic. With the most recent remit, all loans are current and
it is Arbor's expectation that all borrowers will continue to make
debt service payments even if there are shortfalls.

One loan, 331 Park Avenue South, represents 3.4% of the fully
funded trust balance and is secured by a 12-story, mixed-use
property in the Midtown South submarket of Manhattan. The
collateral consists of both office and retail space, and with
lockdown restrictions as a result of the coronavirus, the property
remains closed, although tenants have limited access to their
respective spaces. The restaurant tenant, which was anticipated to
open in early 2020, has delayed its plans to open until summer
2020. The property was originally renovated into a co-working
office space. The occupancy rate was 40% as of January 2020 and has
likely increased to approximately 48.5% as a new tenant, Ubiquity,
had a lease start date of March 2020. The subject loan and
associated mezzanine loan are scheduled to mature in June 2020,
although the subject loan has a one-year extension option
remaining.

The 114 East 25th Street loan, representing 4.2% of the fully
funded trust balance, is secured by an office property adjacent to
the 331 Park Avenue South asset and shares sponsorship. The
borrower initially planned to implement the same renovation and
business plan, and as of the February 2020 update, the property was
27.0% occupied based on membership capacity. Similar to the 331
Park Avenue South loan, the loan on the collateral matures in July
2020 with a one-year extension option available to the borrower. As
the original business plan has been ineffective for both
properties, the borrower has shifted its plan to include leasing to
traditional office tenants for both buildings. Considering the
uncertainty surrounding both loans' exit strategies combined with
the near-term maturities during the coronavirus environment and
overall increased risk associated with completing leasing efforts
prior to maturity, DBRS Morningstar analyzed these loans with
elevated POD levels as it is awaiting further information from the
collateral manager.

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


ARBOR REALTY 2018-FL1: DBRS Confirms B(low) Rating on Cl. F Notes
-----------------------------------------------------------------
DBRS Limited confirmed the ratings of Floating-Rate Notes (the
Notes) issued by Arbor Realty Commercial Real Estate Notes
2018-FL1, Ltd. (the Issuer) as follows:

-- Class A Senior Secured Floating Rate Notes at AAA (sf)
-- Class A-S Senior Secured Floating Rate Notes at AAA (sf)
-- Class B Secured Floating Rate Notes at AA (low) (sf)
-- Class C Secured Floating Rate Notes at A (low) (sf)
-- Class D Secured Floating Rate Notes at BBB (low) (sf)
-- Class E Floating Rate Notes at BB (low) (sf)
-- Class F Floating Rate Notes at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which remains generally in line with DBRS
Morningstar's expectations at issuance. In its analysis of the
transaction, DBRS Morningstar applied probability of default (POD)
adjustments to loans with confirmed issues caused in part by the
stressed real estate environment associated with the Coronavirus
Disease (COVID-19) pandemic. Because of the transitional nature of
the underlying collateral, proposed business plans that are
necessary to bring the assets to stabilization may be delayed and,
in some cases, borrowers may request relief from the Issuer. DBRS
Morningstar has built additional POD stress into the analysis for
this transaction and, given what is known today, expects that the
rated classes are insulated from adverse credit implications at
this time, warranting the rating confirmations.

The pool currently consists of 49 floating-rate loans totaling
$542.3 million, secured by multifamily and commercial properties.
At issuance, the pool consisted of 28 loans totaling $494.4
million. The transaction is structured with an initial 36-month
replacement period whereby the Issuer can substitute collateral in
the pool, subject to certain eligibility criteria, including the
rating agency condition by DBRS Morningstar. As of the May 2020
remittance, there remains $17.7 million in equity that the Issuer
can deploy to originate additional loans. The transaction pays
sequentially after the replacement period ends.

As of the May 2020 remittance, seven of the original 28 loans,
representing 18.5% of the current transaction balance, remain in
the pool. The pool composition consists of 37 multifamily
properties, three student-housing properties, three healthcare
properties, one mixed-use property, and one office property. Most
loans have a maximum initial term of two or three years, with
extension options generally available to borrowers, subject to
criteria. Most of the properties are currently cash-flowing assets
in a period of transition with viable plans and loan structures in
place to facilitate stabilization and value growth. All of the
loans are structured with cash management in place at origination
and are also structured with reserves, including several loans that
were structured with an initial operating, interest, and renovation
reserve.

The Issuer, Servicer, Mortgage Loan Seller, and Advancing Agent are
related parties and nonrated entities. Arbor Realty SR, Inc.
(Arbor) holds the unrated 11.8% equity piece as Preferred Shares in
the transaction. Amid the Coronavirus Disease (COVID-19) pandemic,
DBRS Morningstar has made inquiries to Arbor about potential
business plan stoppages or delays, as well as foreseeable debt
service payment disruptions. With the most recent remit, all loans
are current and it is Arbor’s expectation that all borrowers will
continue to make debt service payments even if there are
shortfalls.

One loan, 331 Park Avenue South, represents 3.0% of the current
trust balance and is secured by a 12-story, mixed-use property
located in the Midtown South submarket of Manhattan. The collateral
consists of both office and retail space, and with lockdown
restrictions as a result of the coronavirus, the property remains
closed, although tenants can access their respective space on a
limited basis. The restaurant tenant, which was anticipated to open
in early 2020 has delayed its plans to open until Summer 2020. The
property was originally renovated into a co-working office space;
however, the borrower has shifted its business plan to include
traditional office tenants. The occupancy rate was 40% as of
January 2020 and has likely increased to approximately 48.5% as a
new tenant, Ubiquity, had a lease start date of March 2020. The
subject loan and associated mezzanine loan are scheduled to mature
in June 2020, although the subject loan has a one-year extension
option remaining. According to a Q1 2020 update, the borrower is
working on selling the property but is facing difficulties in
showing the property because of the pandemic. Considering the
overall increased risk associated with completing leasing efforts
in the current environment and the uncertainty surrounding the
outcome of the proposed sale of the subject, DBRS Morningstar
analyzed this loan with an elevated POD as it is awaiting further
information from the collateral manager.

DBRS Morningstar materially deviated from its principal methodology
when determining the rating assigned to Class F as the quantitative
results suggest a higher rating. DBRS Morningstar considers a
material deviation from a methodology to exist when there may be a
substantial likelihood that a reasonable investor or other user of
the credit ratings would consider the material deviation to be a
significant factor in evaluating the ratings. The material
deviation is warranted given the structural features (loan or
transaction) and/or provisions in other relevant methodologies
outweigh the quantitative output.

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


ARBOR REALTY 2019-FL1: DBRS Confirms B(low) Rating on Cl. G Notes
-----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of notes
issued by Arbor Realty Commercial Real Estate Notes 2019-FL1, Ltd.
(the Issuer):

-- Class A Senior Secured Floating Rate Notes at AAA (sf)
-- Class A-S Senior Secured Floating Rate Notes at AAA (sf)
-- Class B Secured Floating Rate Notes at AAA (sf)
-- Class C Secured Floating Rate Notes at A (sf)
-- Class D Secured Floating Rate Notes at BBB (sf)
-- Class E Floating Rate Notes at BBB (low) (sf)
-- Class F Floating Rate Notes at BB (low) (sf)
-- Class G Floating Rate Notes at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. In its analysis of the transaction,
DBRS Morningstar applied probability of default (POD) adjustments
to loans with confirmed issues partially related to the stressed
real estate environment caused by the Coronavirus Disease
(COVID-19) pandemic. Because of the transitional nature of the
underlying collateral, proposed business plans that are necessary
to bring the assets to stabilization may be delayed, and, in some
cases, borrowers may request relief from the Issuer. DBRS
Morningstar has built an additional POD stress into its analysis of
this transaction and, based on currently available information,
expects the rated classes to be insulated from adverse credit
implications at this time, warranting the rating confirmations.

The $650.0 million collateralized loan obligation pool consisted of
28 loans, totaling $520.4 million, at issuance. The transaction
features a reinvestment period that is expected to expire in May
2022, then pays sequentially after the reinvestment period ends.
The Issuer, Servicer, Mortgage Loan Seller, and Advancing Agent are
related parties and nonrated entities. Arbor Realty SR, Inc.
(Arbor) holds the unrated 7.4% equity piece as Preferred Shares in
the transaction. Amid the pandemic, DBRS Morningstar has made
inquiries to Arbor about potential business plan stoppages or
delays, as well as foreseeable debt service payment disruptions.
All loans are current per the May 2020 remittance report, and it is
Arbor's expectation that all borrowers will continue to make debt
service payments even if there are shortfalls.

Per the May 2020 remittance, there are 35 loans, totaling $630.3
million, in the pool. DBRS Morningstar analyzed and modeled the
existing loan pool in addition to loans that can be purchased
subject to the eligibility criteria during the reinvestment period.
The modeled loans represent a small portion of the transaction as
the pool is 97.0% funded as of May 2020. The pool is relatively
granular in loan size as the largest 15 loans represent 62.7% of
the trust balance. Approximately 86.8% of the trust is backed by
multifamily properties and there are only two properties (6.9% of
the trust balance) secured by two hospitality properties. Only five
loans, totaling 15.2% of the trust balance, have DBRS Morningstar
Stabilized DSCRs less than 1.00x, indicating low refinance risk for
most loans. The pool also exhibits relatively low leverage as there
are 17 loans, representing 42.3% of the trust balance, that have
stabilized LTVs of less than 70.0% based on appraised values.

According to the ARCREN 2019-FL1 Q1 2020 Quarterly Investor
Newsletter, the borrowers for the two hospitality properties, Mr.
C. Seaport Hotel (Prospectus ID#5) and The Mondrain Hotel
(Prospectus ID#38), have requested short-term payment relief for
the loan given the pandemic's impact on the New York City
hospitality industry. The borrowers have considerable equity
remaining in the projects and the properties are in desirable
Manhattan locations. DBRS Morningstar increased the POD for each
loan as part of the analysis given the request for payment relief.
Two loans (3.9% of the trust balance) are secured by senior housing
properties, which could be at risk for an increase in operating
expenses stemming from the coronavirus. Clairborne at Hattiesberg
(Prospectus ID#16; 2.3% of the trust balance) is an independent
senior living facility in Hattiesburg, Mississippi, and
Pennsylvania Garden 6 SNF Portfolio (Prospectus ID#22; 1.5% of the
trust balance) is a portfolio of six skilled nursing properties in
various regions of Pennsylvania. While DBRS Morningstar has no
indication that these properties have been adversely affected, it
will monitor properties' reported operating expenses
post-pandemic.

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


BAIN CAPITAL 2020-2: S&P Assigns Prelim BB- (sf) Rating to E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Bain Capital
Credit CLO 2020-2 Ltd./Bain Capital Credit CLO 2020-2 LLC's fixed-
and floating-rate notes.

The note issuance is a CLO transaction backed by broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests. The notes are
managed by Bain Capital Credit U.S. CLO Manager LLC, a subsidiary
of Bain Capital Credit.

The preliminary ratings are based on information as of June 11,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

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

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

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

  PRELIMINARY RATINGS ASSIGNED

  Bain Capital Credit CLO 2020-2 Ltd./
  Bain Capital Credit CLO 2020-2 LLC

  Class                  Rating       Amount (mil. $)
  A-1                    AAA (sf)              240.00
  B-1                    AA (sf)                47.00
  B-2                    AA (sf)                10.00
  C (deferrable)         A (sf)                 20.00
  D (deferrable)         BBB- (sf)              24.00
  E (deferrable)         BB- (sf)               14.20
  Subordinated notes     NR                     33.30
  
  NR--Not rated.


BANK 2017-BNK6: Fitch Affirms B- Rating on 2 Tranches
-----------------------------------------------------
Fitch Ratings has affirmed 17 classes of BANK 2017-BNK6, commercial
mortgage pass-through certificates, series 2017-BNK6. Fitch Ratings
has also maintained the Negative Outlooks on classes E, F, X-E and
X-F.

BANK 2017-BNK6

  - Class A-1 060352AA9; LT AAAsf; Affirmed

  - Class A-2 060352AB7; LT AAAsf; Affirmed

  - Class A-3 060352AD3; LT AAAsf; Affirmed

  - Class A-4 060352AE1; LT AAAsf; Affirmed

  - Class A-5 060352AF8; LT AAAsf; Affirmed

  - Class A-S 060352AJ0; LT AAAsf; Affirmed

  - Class A-SB 060352AC5; LT AAAsf; Affirmed

  - Class B 060352AK7; LT AA-sf; Affirmed

  - Class C 060352AL5; LT A-sf; Affirmed

  - Class D 060352AV3; LT BBB-sf; Affirmed

  - Class E 060352AX9 LT BB-sf; Affirmed

  - Class F 060352AZ4; LT B-sf; Affirmed

  - Class X-A 060352AG6; LT AAAsf; Affirmed

  - Class X-B 060352AH4; LT A-sf; Affirmed

  - Class X-D 060352AM3; LT BBB-sf; Affirmed

  - Class X-E 060352AP6; LT BB-sf; Affirmed

  - Class X-F 060352AR2; LT B-sf; Affirmed

KEY RATING DRIVERS

Stable Overall Performance; Increased Loss Expectations Due to
Coronavirus Pandemic Concerns: While overall pool performance
remains stable, loss expectations have increased since Fitch's
prior rating action primarily due to additional stresses applied to
loans expected to be impacted in the near-term from the coronavirus
pandemic. Twelve loans (22.1% of pool), were designated Fitch Loans
of Concern. Six of these FLOCs (13.1%) were designated FLOCs
primarily due to exposure to the coronavirus pandemic in the
near-term.

Fitch Loans of Concern: The largest non-coronavirus specific FLOC,
Center at Pearland Parkway (2.8%), secured by a 167,698-sf retail
center in Pearland, TX, was designated a FLOC for occupancy
concerns. Stage Stores which leases 14.9% NRA through January 2025
recently filed for Chapter 11 bankruptcy. The center also has
exposure to Petco which leases 8.1% NRA through January 2026. At YE
2019, occupancy and servicer-reported NOI DSCR were 96% and 2.66x,
respectively.

Trumbull Marriott (2.3%), secured by a 325-key, full-service hotel
in Trumbull, CT, was designated a FLOC due to a decline in
performance, primarily from the loss of GE's corporate business. At
YE 2019, occupancy and servicer-reported NOI DSCR were 66% and
1.86x, respectively and further declines are expected due to the
coronavirus pandemic's impact on occupancy. At issuance,
servicer-reported NOI DSCR was 2.42x.

Gran Park at the Avenues (2.3%), secured by a 241,496-sf office
property in Jacksonville, FL, was designated a FLOC because
occupancy declined to 80% at YE 2019 from 90% at issuance. The
decline was primarily due to Florida East Coast Railway (14.3% NRA)
vacating upon lease expiration in December 2018. Also, Value
Options reduced is NRA to 2.3% from 12.7% in 2018. At YE 2019,
servicer-reported NOI DSCR was 1.58x (based on fully amortizing
principal and interest payments). The loan was in its initial 24
months interest-only period through July 2019. At issuance,
occupancy and servicer-reported NOI DSCR were 90% and 2.08x
respectively. Per servicer updates, there has been some positive
leasing activity, but a cash trap remains in place.

Minimal Change to Credit Enhancement: There has been minimal change
to credit enhancement since issuance. As of the May 2020
distribution date, the pool's aggregate balance has been paid down
by 2.2% to $912.8 million from $933.2 million at issuance.
Seventy-one of the original 72 loans remain in the pool. One loan
(0.7%) was prepaid with yield maintenance. Based on the scheduled
maturity balances of the loans, the pool is expected to amortize
9.6% during the term. Fourteen loans (44.9% of pool) are full-term,
interest-only and 20 (29.9%) have a partial-term, interest-only
component of which eight have begun to amortize.

Pool Concentration: The top 10 loans comprise 51.4% of the pool.
Loan maturities are concentrated in 2027 (85.9%). Two loans (3.2%)
mature in 2022, two loans (6.8%) in 2024, one loan (2.8%) in 2026
and one loan (0.9%) in 2037. Based on property type, the largest
concentrations are retail at 27.5%, office at 19.2% and hotel at
14%.

Exposure to Coronavirus Pandemic: Five loans (14%) are secured by
hotel properties. The weighted average NOI DSCR for all the hotel
loans is 2.87x. These hotel loans could sustain a weighted average
decline in NOI of 66% before DSCR falls below 1.00x. Twenty loans
(27.5%) are secured by retail properties. The weighted average NOI
DSCR for all performing retail loans is 2.65x. These retail loans
could sustain a weighted average decline in NOI of 63% before DSCR
fall below 1.00x. Additional coronavirus specific base case
stresses were applied to three hotel loans (10%), including
Starwood Hotel Capital Portfolio (6.5%) and Trumbull Marriott
(2.8%), three retail loans (2.3%) and 2041 Rosecrans 831 Nash
(3.1%) which is 46.9% leased to Arclight Pacific Theatres. These
additional stresses contributed to the Negative Outlooks on classes
E, F, X-E and X-F.

RATING SENSITIVITIES

The Stable Outlooks on classes A-1 through D reflect the overall
stable performance of the pool and expected continued amortization.
The Negative Outlooks on classes E, F, X-E and X-F reflect concerns
with the FLOCs, primarily loans expected to be impacted by exposure
to the coronavirus pandemic in the near-term.

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 and C would likely occur with significant improvement
in CE and/or defeasance; however increased concentrations, further
underperformance of FLOCs and decline in performance of loans
expected to be impacted by the coronavirus pandemic could cause
this trend to reverse. An upgrade of class D is 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 is a likelihood for interest shortfalls.
Upgrades of classes E and F are not likely due to performance
concerns with loans expected to be impacted by the coronavirus
pandemic in the near-term but could occur if performance of the
FLOCs improves and/or if there is sufficient CE, which would likely
occur if the non-rated class is not eroded and the senior classes
pay off.

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 specially serviced loans. Downgrades
of classes A-1 through C are not likely due to the position in the
capital structure. Downgrades of classes D through F could occur if
additional loans become FLOCs or with further underperformance of
the FLOCs and decline in performance of loans expected to be
impacted by the coronavirus pandemic in the near-term.

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 Outlook or those
with Negative 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).


BBCMS MORTGAGE 2020-C7: Fitch to Rate 2 Tranches 'B-(EXP)sf'
------------------------------------------------------------
Fitch Ratings has issued a presale report on BBCMS Mortgage Trust
2020-C7, commercial mortgage pass-through certificates series
2020-C7.

BBCMS 2020-C7      

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

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

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

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

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

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

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

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

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

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

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

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

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

  -- Class RR Certificates; LT NR(EXP)sf Expected Rating   

  -- Class RR Interest; LT NR(EXP)sf Expected Rating   

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

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

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

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

  -- Class X-G LT NR(EXP)sf Expected Rating   

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

  -- $13,198,000 class A-1 'AAAsf'; Outlook Stable;

  -- $115,000,000 class A-2 'AAAsf'; Outlook Stable;

  -- $38,000,000 class A-3 'AAAsf'; Outlook Stable;

  -- $26,000,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $70,000,000a class A-4 'AAAsf'; Outlook Stable;

  -- $275,000,000a class A-5 'AAAsf'; Outlook Stable;

  -- $537,198,000b class X-A 'AAAsf'; Outlook Stable;

  -- $117,992,000b class X-B 'AA-sf'; Outlook Stable;

  -- $89,214,000 class A-S 'AAAsf'; Outlook Stable;

  -- $28,778,000 class B 'AA-sf'; Outlook Stable;

  -- $28,779,000 class C 'A-sf'; Outlook Stable;

  -- $15,349,000bc class X-E 'BB-sf'; Outlook Stable;

  -- $7,674,000bc class X-F 'B-sf'; Outlook Stable;

  -- $33,574,000c class D 'BBB-sf'; Outlook Stable;

  -- $15,349,000c class E 'BB-sf'; Outlook Stable;

  -- $7,674,000c class F 'B-sf'; Outlook Stable.

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

  -- $26,860,708bc class X-G;

  -- $26,860,708c class G;

  -- $32,308,893cd RR Certificates

  -- $8,081,988cd RR Interest.

(a) The initial certificate balances of class A-4 and A-5 are
unknown and expected to be $345,000,000 in the aggregate, subject
to a 5.0% variance. The certificate balances will be determined
based on the final pricing of those classes of certificates. The
expected class A-4 balance range is $0 to $140,000,000, and the
expected class A-5 balance range is $205,000,000 to $345,000,000.
If the class balance of class A-5 is $345,000,000, the class A-4
certificates will not be issued. Fitch's certificate balances for
classes A-4 and A-5 are assumed at the midpoint for each class.

(b) Notional amount and interest only.

(c) Privately-placed and pursuant to Rule 144a.

(d) The RR certificates and RR interest collectively are the
"eligible vertical interest" representing 5.0% of the pool.

The expected ratings are based on information provided by the
issuer as of June 8 2020.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 49 loans secured by 153
commercial properties having an aggregate principal balance of
$807,817,588 as of the cut-off date. The loans were contributed to
the trust by Barclays Capital Real Estate, Inc, KeyBank National
Association, Societe Generale Financial Corporation, Natixis Real
Estate Capital LLC and Rialto Real Estate Fund IV - Debt, LP.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 57.2% of the properties
by balance, cash flow analyses of 89.5% of the pool, and asset
summary reviews on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus pandemic may have an adverse impact on near-term
revenue (i.e. bad debt expense, rent relief) and operating expenses
(i.e. sanitation costs) for some properties in the pool.
Delinquencies may occur in the coming months as forbearance
programs are put in place, although the ultimate impact on credit
losses will depend heavily on the severity and duration of the
negative economic impact of the coronavirus pandemic, and to what
degree fiscal interventions by the U.S. federal government can
mitigate the impact on consumers. Per the offering documents, all
of the loans are current and are not subject to any forbearance
requests; however, a loan modification request for the 1st & Pine
loan (1.7% of the pool) is currently being negotiated between the
lender and the borrower. The loan modification may include the
waiver of the monthly capex and rollover reserves for 12 months,
suspending the 1.40x DSCR cash sweep trigger through the rest of
2020 and the ability to provide rent relief for several tenants at
the property.

KEY RATING DRIVERS

Credit Opinion Loans: Six loans representing 33.5% of the pool by
balance have credit characteristics consistent with
investment-grade obligations on a stand-alone basis. This is above
the 2020 YTD and 2019 averages of 27.8% and 14.2%, respectively.
Parkmerced (7.4%) received a standalone credit opinion of 'BBB+sf';
525 Market Street (7.4%) received a standalone credit opinion of
'A-sf'; The Cove at Tiburon (6.2%) received a standalone credit
opinion of 'BBB-sf'; Acuity Portfolio (5.0%) received a standalone
credit opinion of 'BBB+sf'; F5 Tower (4.9%) received a standalone
credit opinion of 'BBB-sf'; and 650 Madison Avenue (2.7%) received
a standalone credit opinion of 'BBB-sf'.

Favorable Property Type Concentration: The pool does not include
any hotels, and retail properties only comprise 12.2% of the pool,
which is below the 2020 YTD and 2019 averages of 21.0% and 23.6%,
respectively. Multifamily properties represent the highest
concentration at 30.1%. In Fitch's multiborrower model, multifamily
properties have a below-average likelihood of default, all else
equal. Office properties represent the second highest concentration
at 28.9%. Office properties have an average likelihood of default
in Fitch's multiborrower model, all else equal.

Highly Concentrated Pool: The pool's 10 largest loans comprise
58.2% of the pool, which is greater than the 2020 YTD and 2019
concentrations of 52.7% and 51.0%, respectively. The pool's LCI of
419 is also greater than the 2020 YTD and 2019 average LCIs of 393
and 371, respectively.

Higher Fitch Leverage: Overall, the pool's Fitch DSCR of 1.21x is
worse than average when compared to the 2020 YTD and 2019 averages
of 1.31x and 1.26x, respectively. The pool's trust Fitch LTV of
98.9% is in line with 2020 YTD average of 99.0% but better than the
2019 average of 103.0%. Excluding credit opinion loans, the pool's
WA DSCR and LTV are 1.17x and 113.9%, respectively.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Declining cash flow decreases property value and capacity to meet
its debt service obligations. The list below indicates the model
implied rating sensitivity to changes in one variable, Fitch NCF:

Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' /
'B-sf'

10% NCF Decline: 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BB+sf' / 'BB-sf' /
'CCCsf'

20% NCF Decline: 'A+sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'CCCsf' /
'CCCsf'

30% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf' /
'CCCsf'

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Similarly, improvement in cash flow increases property value and
capacity to meet its debt service obligations. The table below
indicates the model implied rating sensitivity to changes to the
same one variable, Fitch NCF:

Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' /
'B-sf'

20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' /
'BBB+sf'

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.

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

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).


BLUE RIDGE II: S&P Lowers Class D Notes Rating to B- (sf)
---------------------------------------------------------
S&P Global Ratings reviewed its ratings on seven classes of notes
from Blue Ridge CLO Ltd. II, a U.S. CLO transaction managed by
Barings LLC. The review yielded one rating lowered and removed from
CreditWatch, one rating lowered and remaining on CreditWatch with
negative implications, and five ratings affirmed.

The ratings on the class D and E notes were placed on CreditWatch
negative prior to the coronavirus outbreak in the U.S. in March
2020.

The downgrades reflect the decrease in the credit support available
to the notes, par losses, declining overcollateralization (O/C)
ratios, and the underlying portfolio's deteriorated credit
quality.

The rating actions follow S&P's review of the transaction's
performance using data from the April 30, 2020, trustee report.

Since S&P's July 2019 rating actions, paydowns to the transaction's
class A-1-R notes totaled $196.45 million. These paydowns resulted
in an improved reported O/C ratio for the class A-1-R, A-2A-R,
A-2B-R (collectively, class A notes), and B-R notes. However, an
increase in haircuts (largely due to excess 'CCC' rated collateral
adjustments) and par losses contributed to the decrease in the O/C
ratios for the class C, D, and E notes.

As of the April 30, 2020, monthly trustee report (and compared with
the May 2019 monthly report that S&P used in its last rating
action):

-- The class A O/C ratio increased to 154.30% from 131.00%;
-- The class B O/C ratio increased to 123.45% from 118.17%;
-- The class C O/C ratio declined to 109.14% from 111.03%;
-- The class D O/C ratio is currently failing, and declined to
98.12% from 104.89%; and
-- The class E O/C ratio is currently failing, and declined to
92.93% from 101.84.

The class D and E O/C ratios are below their trigger levels, which
has resulted in the class E notes to defer their interest.

The collateral portfolio's credit quality has significantly
deteriorated since S&P's last rating actions. Collateral
obligations with ratings in the 'CCC' category have increased, with
$43.18 million (17.64% of collateral principal amount) reported as
of the April 30, 2020, trustee report, compared with $27.71 million
(6.09% of collateral principal amount) reported as of the May 2019
trustee report. Furthermore, the pool is now fairly concentrated.
This deterioration in the credit quality has resulted in the
decline of the weighted average rating for the pool to 'B' from
'B+'.

In addition, the transaction has heightened exposure to obligations
that are currently on CreditWatch negative and are trading at
distressed prices. The transaction also has considerable exposure
to loans in stressed sectors such as specialty retail, and hotels,
restaurants, and leisure. Although the results of the cash flow
analysis on a stand-alone basis indicated higher ratings on the
class A-2A-R, A-2B-R, B-R, and C notes, S&P considered the above
factors and additional sensitivity runs in its decision to affirm
the ratings on these classes. The affirmed ratings reflect the
adequate credit support at the current rating levels, though any
further deterioration in the credit support available to the notes
could result in negative rating actions.

S&P's analysis also considered the existing cushion that can help
offset future potential volatility in the underlying portfolio.

"Though the cash flow results for the class D notes on a standalone
basis were not passing, our decision reflects our opinion that
based on their existing O/C and credit enhancement, the class D
notes do not yet meet our definition of 'CCC' credit risk because
they are not currently vulnerable to non-payment or dependent upon
favorable market conditions in order to repay in full. However, S&P
left the lowered rating on CreditWatch negative to reflect the
exposure to assets whose underlying ratings are on CreditWatch
negative," S&P said.

"Similarly, the cash flow results for the class E notes were not
passing. However, we did not downgrade the rating to 'CC (sf)'
because in our opinion, it is not yet virtually certain to default.
Therefore, we lowered the rating on the class E notes to 'CCC-
(sf)', which is the lowest performing rating, and removed it from
CreditWatch," the rating agency said.

In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
(rated 'BB+' and lower) corporate loan issuers, S&P may make
qualitative adjustments to its analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile may affect a portfolio's credit quality in the near
term. This is consistent with paragraph 15 of S&P's criteria for
analyzing CLOs. To do this, S&P reviews the likelihood of near-term
changes to the portfolio's credit profile by evaluating the
transaction's specific risk factors. For this transaction, S&P took
into account 'CCC' and 'B-' rated assets, assets on CreditWatch
negative, assets with a negative rating outlook, and assets that
operate in what it views as a higher-risk corporate sector.

S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction, as reflected in the
aforementioned trustee report, to estimate future performance. In
line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. In S&P's view, the results
of the cash flow analysis, and other qualitative factors as
applicable, demonstrated that all of the rated outstanding classes
have adequate credit enhancement available at the rating levels
associated with these rating actions.

"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary," S&P said.

The rating agency acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak.

"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly," S&P said.

  RATINGS LOWERED AND REMAINING ON CREDITWATCH NEGATIVE

  Blue Ridge CLO Ltd. II

                       Rating
  Class       To                         From
  D           B- (sf)/Watch Neg          B+ (sf)/Watch Neg

  RATING LOWERED AND REMOVED FROM CREDITWATCH

  Blue Ridge CLO Ltd. II

                       Rating
  Class       To                 From
  E           CCC- (sf)          CCC+ (sf)/Watch Neg

  RATINGS AFFIRMED

  Blue Ridge CLO Ltd. II

  Class             Rating
  A-1-R             AAA (sf)
  A-2A-R            AA (sf)
  A-2B-R            AA (sf)
  B-R               A (sf)
  C                 BBB (sf)


BNPP IP 2014-II: S&P Lowers Class D-R Notes Rating to BB+ (sf)
--------------------------------------------------------------
S&P Global Ratings reviewed its ratings on five classes of notes
from BNPP IP CLO 2014-II Ltd., a U.S. CLO transaction managed by
BNP Paribas Asset Management Inc. The review yielded one rating
lowered and placed on CreditWatch negative, one rating lowered and
remaining on CreditWatch negative, and three ratings affirmed.

The rating on the class E note was already on CreditWatch negative
prior to the coronavirus outbreak in the U.S. in March 2020.

The rating actions follow S&P's review of the transaction's
performance using data from the May 2020 trustee report.

The downgrades reflect the decrease in the credit support available
to the notes, par losses, declining overcollateralization (O/C)
ratios, and the underlying portfolio's deteriorated credit
quality.

Since S&P's July 2019 rating actions, paydowns to the transaction's
class A-R notes totaled $124.67 million. These paydowns resulted in
an improved reported O/C ratio for the class A-R and B-R notes.
However, an increase in haircuts (largely due to excess 'CCC' rated
collateral adjustments and defaulted assets) and par losses
contributed to the decrease in the O/C ratios for the class C-R,
D-R, and E notes.

As of the May 2020 monthly trustee report (and compared with the
June 2019 monthly report that S&P used in its last rating action):

-- The class A/B O/C ratio increased to 135.47% from 130.40%.

-- The class C O/C ratio is currently failing, and declined to
111.51% from 118.15%.

-- The class D O/C ratio is currently failing, and declined to
98.61% from 110.56%.

-- The class E O/C ratio is currently failing, and declined to
89.23% from 104.50%.

-- The class C, D, and E O/C ratios are below their trigger
levels, which has resulted in classes D and E to defer their
interest.

The collateral portfolio's credit quality has significantly
deteriorated since S&P's last rating actions. Collateral
obligations with ratings in the 'CCC' category have increased, with
$68.11 million (38.69% of the collateral principal amount) reported
as of the May 2020 trustee report, compared with $28.91 million
(9.11% of the collateral principal amount) reported as of the June
2019 trustee report. Over the same period, the par amount of
defaulted collateral has increased to $9.58 million from $0.00.
Furthermore, the pool is now fairly concentrated. This
deterioration in the credit quality has resulted in the decline of
the weighted average rating for the pool to 'B-' from 'B'.

In addition, the transaction has heightened exposure to obligations
that are currently on CreditWatch negative and are trading at
distressed prices. The transaction also has considerable exposure
to loans in stressed sectors such as hotels; restaurants and
leisure; oil, gas, and consumable fuels; and specialty retail.

Although the results of the cash flow analysis on a stand-alone
basis indicated higher ratings on the class B-R, C-R and D-R notes,
S&P considered the above factors and additional sensitivity runs in
its decision to lower the rating on the class D-R notes to 'BB+
(sf)' and kept it on CreditWatch with negative implications. S&P
affirmed the ratings on the class A-R, B-R, and C-R notes. The
affirmed ratings reflect the adequate credit support at the current
rating levels, though any further deterioration in the credit
support available to the notes could result in negative rating
actions.

S&P's analysis also considered the existing cushion that can help
offset future potential volatility in the underlying portfolio.

"The cash flow results for the class E notes were not passing at a
'CCC+' rating level. However, we considered the degree of financial
stress, likelihood of default, and the level of available credit
enhancement, which in our opinion is in line with a 'CCC+' risk.
Therefore, we lowered the rating on the class E notes to 'CCC+
(sf)', where it remains on CreditWatch negative to reflect the
exposure to assets whose underlying ratings are on CreditWatch
negative," S&P said.

In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
(rated 'BB+' and lower) corporate loan issuers, S&P may make
qualitative adjustments to its analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile may affect a portfolio's credit quality in the near
term. This is consistent with paragraph 15 of S&P's criteria for
analyzing CLOs. To do this, S&P reviews the likelihood of near-term
changes to the portfolio's credit profile by evaluating the
transaction's specific risk factors. For this transaction, S&P took
into account 'CCC' and 'B-' rated assets, assets on CreditWatch
negative, assets with a negative rating outlook, and assets that
operate in what the rating agency views as a higher-risk corporate
sector.

S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction, as reflected in the
aforementioned trustee report, to estimate future performance. In
line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.

"In our view, the results of the cash flow analysis, and other
qualitative factors as applicable, demonstrated that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions," S&P said.

"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary," the rating agency said.

S&P acknowledges a high degree of uncertainty about the rate of
spread and peak of the coronavirus outbreak.

"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly," S&P said.

  RATING LOWERED AND PLACED ON CREDITWATCH NEGATIVE

  BNPP IP CLO 2014-II Ltd.
                       Rating
  Class       To                         From
  D-R         BB+ (sf)/Watch Neg         BBB (sf)

  RATING LOWERED AND REMAINING ON CREDITWATCH NEGATIVE

  BNPP IP CLO 2014-II Ltd.
                       Rating
  Class       To                         From
  E           CCC+ (sf)/Watch Neg        BB- (sf)/Watch Neg

  RATINGS AFFIRMED

  BNPP IP CLO 2014-II Ltd.
  Class             Rating
  A-R               AAA (sf)
  B-R               AA (sf)
  C-R               A (sf)


BNPP IP CLO 2014-1: S&P Lowers Class C Notes Rating to 'BB+ (sf)'
-----------------------------------------------------------------
S&P Global Ratings reviewed its ratings on six classes of notes
from BNPP IP CLO 2014-1 Ltd., a U.S. CLO transaction managed by BNP
Paribas Asset Management Inc. The review yielded two ratings
lowered and remaining on CreditWatch negative, one rating lowered
and removed from CreditWatch negative, and three ratings affirmed.

The ratings on the class C, D, and E notes were already on
CreditWatch negative prior to the coronavirus outbreak in the U.S.
in March 2020.

The rating actions follow S&P's review of the transaction's
performance using data from the May 2020 trustee report.

The downgrades reflect the decrease in the credit support available
to the notes, par losses, declining overcollateralization (O/C)
ratios, and the underlying portfolio's deteriorated credit
quality.

Since S&P's July 2019 rating actions, paydowns to the transaction's
class A-1-R notes totaled $174.91 million. These paydowns resulted
in an improved reported O/C ratio for the class A-1-R, A-2-R
(collectively, class A notes), and B-R notes. However, an increase
in haircuts (largely due to excess 'CCC' rated collateral
adjustments and defaulted assets) and par losses contributed to the
decrease in the O/C ratios for the class C, D, and E notes.  As of
the May 2020 monthly trustee report (and compared with the June
2019 monthly report that S&P used in its last rating action):

-- The class A O/C ratio increased to 178.90% from 133.62%;

-- The class B O/C ratio increased to 118.13% from 117.73%;

-- The class C O/C ratio is currently failing, and declined to
96.60% from 109.21%;

-- The class D O/C ratio is currently failing, and declined to
84.18% from 103.33%; and

-- The class E O/C ratio is currently failing, and declined to
75.69% from 98.82%.

-- The class C, D, and E O/C ratios are below their trigger
levels, which has resulted in classes D and E continuing to defer
their interest.

The collateral portfolio's credit quality has significantly
deteriorated since S&P's last rating actions. Collateral
obligations with ratings in the 'CCC' category have increased, with
$56.33 million (44.4% of collateral principal amount) reported as
of the May 2020 trustee report, compared with $30.93 million (9.7%
of collateral principal amount) reported as of the June 2019
trustee report. Over the same period, the par amount of defaulted
collateral has increased to $10.01 million from $0.00. Furthermore,
the pool is now fairly concentrated. This deterioration in the
credit quality has resulted in the decline of the weighted average
rating for the pool to 'B-' from 'B'.

In addition, the transaction has heightened exposure to obligations
that are currently on CreditWatch negative and are trading at
distressed prices. The transaction also has considerable exposure
to loans in stressed sectors such as hotels; restaurants and
leisure; oil, gas, and consumable fuels; and specialty retail.

Although the results of the cash flow analysis on a stand-alone
basis indicated higher ratings on the class A-2-R and B-R notes,
and passed at the current rating level for the class C notes, S&P
considered the above factors and additional sensitivity runs in its
decision to lower the rating on the class C notes to 'BB+ (sf)' and
continue to keep it on CreditWatch with negative implications. S&P
affirmed the ratings on the class A-1-R, A-2-R, and B-R notes. The
affirmed ratings reflect the adequate credit support at the current
rating levels, though any further deterioration in the credit
support available to the notes could result in negative rating
actions.

S&P's analysis also considered the existing cushion that can help
offset future potential volatility in the underlying portfolio.

The cash flow results for the class D notes were not passing at a
'CCC' rating level. However, S&P considered the degree of financial
stress, likelihood of default, and the level of available credit
enhancement, which in its opinion is more in line with a 'CCC'
risk. Therefore, S&P lowered the rating on the class D notes to
'CCC (sf)', where it remains on CreditWatch negative to reflect the
exposure to assets whose underlying ratings are on CreditWatch
negative.

S&P lowered its rating on the class E notes to 'CC (sf)' because
the total assets (assuming a 100% recovery on defaults) including
principal cash are less than the cumulative balance of the
outstanding notes. As such, S&P expects a default is virtually
certain regardless of the time to default, and thus lowered the
rating accordingly.

In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
(rated 'BB+' and lower) corporate loan issuers, S&P may make
qualitative adjustments to its analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile may affect a portfolio's credit quality in the near
term. This is consistent with paragraph 15 of S&P's criteria for
analyzing CLOs. To do this, S&P reviews the likelihood of near-term
changes to the portfolio's credit profile by evaluating the
transaction's specific risk factors. For this transaction, S&P took
into account 'CCC' and 'B-' rated assets, assets on CreditWatch
negative, assets with a negative rating outlook, and assets that
operate in what the rating agency views as a higher-risk corporate
sector.

S&P's review of this transaction included a cash flow analysis,
based on the portfolio and transaction, as reflected in the
aforementioned trustee report, to estimate future performance. In
line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. In S&P's view, the results
of the cash flow analysis, and other qualitative factors as
applicable, demonstrated that all of the rated outstanding classes
have adequate credit enhancement available at the rating levels
associated with these rating actions.

S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and the rating agency will take rating
actions as it deems necessary.

S&P acknowledges a high degree of uncertainty about the rate of
spread and peak of the coronavirus outbreak. Some government
authorities estimate the pandemic will peak about midyear, and S&P
is using this assumption in assessing the economic and credit
implications. S&P believes the measures adopted to contain COVID-19
have pushed the global economy into recession. As the situation
evolves, S&P will update its assumptions and estimates
accordingly.

  RATINGS LOWERED AND REMAIN ON CREDITWATCH NEGATIVE

  BNPP IP CLO 2014-1 Ltd.

                       Rating
  Class       To                         From
  C           BB+ (sf)/Watch Neg         BBB (sf)/Watch Neg
  D           CCC (sf)/Watch Neg         B+ (sf)/Watch Neg

  RATING LOWERED AND REMOVED FROM CREDITWATCH

  BNPP IP CLO 2014-1 Ltd.

                       Rating
  Class       To                 From
  E           CC (sf)            CCC (sf)/Watch Neg
        
  RATINGS AFFIRMED

  BNPP IP CLO 2014-1 Ltd.

  Class             Rating
  A-1-R             AAA (sf)
  A-2-R             AA (sf)
  B-R               A (sf)


CARLYLE GLOBAL 2015-1: Moody's Lowers $23.7MM Cl. E-R Notes to B1
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Carlyle Global Market Strategies CLO
2015-1, Ltd.:

US$23,765,000 Class E-R Junior Secured Deferrable Floating Rate
Notes Due 2031, Downgraded to B1 (sf); previously on April 17, 2020
Ba3 (sf) Placed Under Review for Possible Downgrade

US$7,275,000 Class F-R Junior Secured Deferrable Floating Rate
Notes Due 2031 (current outstanding balance of $7,457,950,
including deferred interest), Downgraded to Caa2 (sf); previously
on April 17, 2020 B3 (sf) Placed Under Review for Possible
Downgrade

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

US$29,585,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate
Notes Due 2031, Confirmed at Baa3 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D-R2, Class E-R and Class F-R notes issued by
the CLO. Carlyle Global Market Strategies CLO 2015-1, Ltd., issued
in March 2015, partially refinanced in July 2017 and refinanced in
July 2019, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
July 2022.

RATINGS RATIONALE

The downgrade on the Class E-R and Class F-R Notes reflects the
risks posed by credit deterioration and loss of collateral coverage
observed in the underlying CLO portfolio, which have been primarily
prompted by economic shocks stemming from the coronavirus pandemic.
Since the outbreak widened in March, the decline in corporate
credit has resulted in a significant number of downgrades, other
negative rating actions, or defaults on the assets collateralizing
the CLO. Consequently, the default risk of the CLO portfolio has
increased, the credit enhancement available to the CLO notes has
eroded, and exposure to Caa-rated assets has increased
significantly.

Based on Moody's calculation, the weighted average rating factor
(WARF) is 3569 as of May 2020 compared to 3010 reported in the
March 2020 trustee report [1]. Moody's notes that approximately 33%
and 8% of the CLO's par is from obligors assigned a negative
outlook or whose ratings are on review for possible downgrade,
respectively. Additionally, based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (after any
adjustments for negative outlook and watchlist for possible
downgrade) is approximately 24% as of May 2020. Furthermore,
Moody's calculated total collateral par balance, including
recoveries from defaulted securities, is at $475.1 million, or $9.9
million less than the deal's ramp-up target par balance, and
Moody's calculated the over-collateralization (OC) ratios
(excluding haircuts) for the Class D-R2, Class E-R, and Class F-R
notes as of May 2020 at 113.04%, 106.99%, and 105.22%,
respectively. Moody's also considered the CLO manager's recent
investment decisions and trading strategies in its analysis.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Class D-R2 Notes continue to be consistent with the current
rating after taking into account the CLO's latest portfolio, its
relevant structural features and its actual OC levels.
Consequently, Moody's has confirmed the rating on the Class D-R2
notes.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $472.3 million, defaulted par of $6.4
million, a weighted average default probability of 28.59% (implying
a WARF of 3569), a weighted average recovery rate upon default of
48.28%, a diversity score of 78 and a weighted average spread of
3.45%. Moody's also analyzed the CLO by incorporating an
approximately $19.1 million par haircut in calculating the OC and
interest diversion test ratios.

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 corporate assets. 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. Fitch 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 of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

Methodology Underlying the Rating Action:

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


CITIGROUP COMMERCIAL 2012-GC8: Fitch Cuts Cl. E Debt Rating to CCC
------------------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed six classes
of Citigroup Commercial Mortgage Trust 2012-GC8 commercial mortgage
pass-through certificates.

CGCMT 2012-GC8

  - Class A-4 17318UAD6; LT AAAsf; Affirmed

  - Class A-AB 17318UAE4; LT AAAsf; Affirmed

  - Class A-S 17318UAF1; LT AAAsf; Affirmed

  - Class B 17318UAG9; LT AA-sf; Affirmed

  - Class C 17318UAH7; LT A-sf; Affirmed

  - Class D 17318UAJ3; LT BBsf; Downgrade

  - Class E 17318UAS3; LT CCCsf; Downgrade

  - Class F 17318UAT1 LT CCsf; Downgrade

  - Class X-A 17318UAK0 LT AAAsf; Affirmed

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades to classes D, E and F
reflect an increase to Fitch's base case loss expectations for the
remaining pool since its prior rating action in June 2019. There
are currently six Fitch Loans of Concern, of which, four were
flagged prior to the coronavirus pandemic. The main drivers of the
increased loss expectations are the Pinnacle at Westchase (FLOC;
9.76% of the pool) and Gansevoort Park Avenue (FLOC; 9.56% of the
pool) loans.

Fitch Loans of Concern: Six loans (39.74% of the pool) have been
identified as Fitch Loans of Concern, including the largest loan in
the pool. The Miami Center loan (14.11%) is secured by a 35-story
office property located on Biscayne Bay in downtown Miami, FL.
Between issuance and December 2019, occupancy at the subject
property fell from 83.7% to 69.0% (increase of 1% from 2018 to
2019). Year-end 2019 NOI is approximately 22% below bank
underwriting (increase of 6% from 2018 to 2019) as a result of flat
to increasing expenses and falling rental revenue due to the
declining occupancy. Year-end 2019 net operating income debt
service coverage ratio was 1.21x, which compares with 1.54x at bank
underwriting. Due to continually failing DSCR tests, the loan is
still in a cash trap. The borrower was optimistic that the $20
million renovation that took place in 2017 would attract new
guests, but it has not.

The second largest FLOC is the Pinnacle at Westchase (9.76%) loan,
which transferred to special servicing in February 2020 for
imminent monetary default. The loan is secured by a mid-rise office
property located in Houston's Energy Corridor. The subject has
continuously dealt with occupancy issues and in May, the loan
became 90 days delinquent. Phillips 66, which occupied 45% of the
NRA at the time of issuance, went dark in July 2016 to move to a
newly built-to-suit location. Phillips 66, which sublet
approximately half of its space to Empyrean Benefit Solutions,
continued to pay rent through its scheduled July 2019 lease
expiration. The borrower executed a direct lease with Empyrean
Benefit Solutions in August 2019 for 23% of the NRA through January
2025. However, occupancy as of March 2020 plummeted to 25% from 67%
in September 2019 after major tenant MHWirth vacated at its
scheduled January 2020 lease expiration.

The third largest FLOC is the Gansevoort Park Avenue (9.56%) loan.
The loan is collateralized by a 249-key full-service boutique
luxury hotel located in Manhattan. In December 2017, the subject
was sold to Highgate for approximately $200,000,000 ($803,213/key)
& re-flagged to Royalton Park Avenue. Since issuance, performance
at the property has declined yoy. As of year-end 2019, NOI was $5.9
million, which represents a decrease of 13% yoy and a decline of
66% when compared with bank underwriting at issuance. According to
the borrower, the hotel has been affected by the significant supply
growth in the Manhattan hotel market over the past few years.

Defeasance and Paydown; Increased Credit Enhancement: Sixteen loans
totaling approximately 19.9% of the pool are defeased.
Additionally, the pool has paid down approximately 31.6% since
issuance. At Fitch's prior rating action, 14 loans totaling
approximately 18.9% of the pool had been defeased, and the
transaction had paid down 29.5% since issuance.

Alternative Loss Considerations: In addition to Fitch's base case
loss, Fitch performed an additional sensitivity scenario which
applied a 75% loss on the maturity balance of the Pinnacle at
Westchase loan 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
maintenance of the Negative Outlooks as well as the Downgrades.

RATING SENSITIVITIES

The Outlooks on classes A-4 through A-S and the IO classes X-A
remain Stable.

The Outlooks on classes B through D 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 stabilizes.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Factors that could 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 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 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).


CMLS ISSUER 2014-1: Fitch Affirms Class G Certs at 'Bsf'
--------------------------------------------------------
Fitch Ratings has affirmed eight classes of CMLS Issuer Corp.'s
commercial mortgage pass-through certificates, series 2014-1.

CMLS Issuer Corporation 2014-1

  - Class A-1 125824AA0; LT AAAsf; Affirmed

  - Class A-2 125824AB8; LT AAAsf; Affirmed

  - Class B 125824AC6; LT AAsf; Affirmed

  - Class C 125824AD4; LT Asf; Affirmed

  - Class D 125824AE2; LT BBBsf; Affirmed

  - Class E 125824AF9; LT BBB-sf; Affirmed

  - Class F 125824AG7; LT BBsf; Affirmed

  - Class G 125824AH5 LT Bsf; Affirmed

KEY RATING DRIVERS

Increased Loss Expectations: While the majority of the pool has
exhibited stable performance, as of the May 2020 remittance, three
loans (13.5% of the pool) had been modified due to the coronavirus
pandemic. All three loans will have interest-only payments for the
next three months with deferred principal payments due within a
maximum of the following 12 months. There are currently no
delinquent or specially serviced loans.

Two loans (7.8% of pool) are considered Fitch Loans of Concern due
to declining performance and/or failure to meet the coronavirus net
operating income debt service coverage ratio tolerance thresholds.
The largest FLOC, Spring Garden Place (6.0% of pool), is secured by
a 113,807-sf office and retail building located in downtown
Halifax, Nova Scotia. The property's occupancy as of April 2020 had
slightly improved to 64.6% from 54.3% at YE 2018, but remained well
below the YE 2017 level of 92.5% and the April 2016 level of 87.8%.
NOI DSCR also declined significantly, to 0.60x as of YE 2018 from
1.34x at YE 2017, 1.18x at YE 2016 and 1.51x at YE 2015. The
declines in performance are primarily due to the departure of IWK
Healthcare Centre (previously 20.8% of NRA), which vacated upon
lease expiration, and the Bank of Nova Scotia downsized its space.
As a result, as of April 2020, the office property was 48.5%
occupied. As of May 2020, the loan had been modified to have
interest-only payments with deferred principal payments due over
the following 12 months. The loan remains current; however, the
loan is non-recourse.

The second FLOC, Nautilus Place (1.8% of pool), is secured by a
41,381-sf retail center located in Quebec City. The property is
anchored by a gym, Nautilus Plus (49% of NRA). Due to the current
closure of retail centers during the coronavirus pandemic, the loan
is considered a FLOC. As of May 2020, the loan remains current and
no modification has been noted. The loan is partial recourse to the
borrower.

Increasing Credit Enhancement: Since Fitch's last rating action,
five loans (10.3% of the loan) paid off either at or ahead of their
respective maturity dates. As of the May 2020 remittance, the
pool's aggregate principal balance had been reduced by 28.5% to
$202.8 million from $283.7 million at issuance. There are no
defeased loans. Seven loans (18.9% of pool) had partial
interest-only payments at issuance, all of which are now
amortizing. Three of these loans (13.5% of pool) have been modified
effective May 12, 2020 and will have interest-only payments for the
next three months. The remainder of the pool is amortizing.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail and multifamily properties is expected 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 length of the impact. The pandemic
has already prompted the closure of several hotel properties in
gateway cities as well as malls, entertainment venues and
individual stores. The pool has minimal exposure to hotel
properties, including the top loan Zzen Westin Element, which is
cross-collateralized with three industrial properties and one
retail property. As of YE 2018, the Zzen Westin Element reported an
NOI DSCR of 3.32x, compared with 3.40x at YE 2017 and 3.53x at YE
2016. Occupancy as of May 2019 was 73.5% versus 82.6% at YE 2018
and 86.4% at YE 2016. An updated STR report was requested from the
master servicer, but Fitch did not receive a response. The loans
did receive additional stresses due to the exposure to retail and
hotel properties.

The majority of the pool is secured by retail properties (41.8% of
pool). The WA DSCR for the retail loans is 1.72x and made up all
the loans that failed to meet the property-specific coronavirus NOI
DSCR tolerance thresholds. However, the majority of the retail
properties has exposure to grocery stores or pharmacies, which
remain open during the coronavirus pandemic. As a result, dependent
on the collateral makeup, some of the loans did receive additional
stresses; however, haircuts were adjusted based on the underlying
collateral and if the loan featured partial or full recourse. The
Negative Rating Outlooks on classes F and G consider these
additional concerns.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes F and G reflect performance
concerns with the FLOCs and hotel and retail properties due to the
decline in travel and commerce as a result of the coronavirus
pandemic. The Stable Rating Outlooks on class A-1 through E reflect
the continued amortization and/or paydown of the performing loans,
relatively stable performance of the pool and sufficient CE.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Factors that could lead to upgrades would include stable to
improved asset performance, coupled with additional paydown and/or
defeasance. Upgrades to the 'Asf' and 'AAsf' 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 of the 'BBBsf' and below-rated classes are considered
unlikely and would be limited based on the sensitivity to
concentrations or the potential for future concentrations. Classes
would not be upgraded above 'Asf' if there is a likelihood for
interest shortfalls. An upgrade to the 'BBsf' and 'Bsf' rated
classes is not likely until the later years in the transaction and
only if the performance of the remaining pool is stable and/or if
there is sufficient CE, which would likely occur when the non-rated
class is not eroded and the senior classes pay off.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Factors that could lead to downgrades include an increase in
pool-level losses due to underperforming or specially serviced
loans. Downgrades to the senior classes, rated 'AAsf' through
'AAAsf', are not likely due to the position in the capital
structure and the high CE; however, downgrades of these classes may
occur should interest shortfalls occur. Downgrades to the classes
rated 'BBB-sf' and below would occur if the performance of the
FLOCs continues to decline or fails to stabilize. A downgrade of
class G to 'CCCsf' is likely if loans that are currently receiving
payment relief fail to abide by the modification terms and default,
or additional loans become FLOCs. The Rating Outlook on classes F
and G 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.

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 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).


COLT 2020-2: Fitch Gives Bsf Rating on Class B2 Certs
-----------------------------------------------------
Fitch Ratings has assigned ratings to the residential
mortgage-backed certificates issued by COLT 2020-2.

COLT 2020-2

  - Class A1; LT AAAsf New Rating

  - Class A2; LT AAsf New Rating

  - Class A3; LT Asf New Rating

  - Class AIOS; LT NRsf New Rating

  - Class B1; LT BBsf New Rating

  - Class B2; LT Bsf New Rating

  - Class B3; LT NRsf New Rating

  - Class M1 LT BBBsf New Rating

  - Class X; LT NRsf New Rating

TRANSACTION SUMMARY

The loans in the pool were originated by Caliber Home Loans, Inc.,
HomeXpress Mortgage Corp. and other third party originators.
Approximately 66% of the pool is designated as Non-QM, 15% consists
of higher priced QM and more than 7% is Safe Harbor QM, while for
the remainder, ATR does not apply (11%). The certificates are
supported by 627 loans with a total balance of approximately $363.2
million as of the cutoff date.

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): The coronavirus pandemic
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' rated issues and below.

This significantly impacted Fitch's expected loss in the
non-investment-grade stresses. For example, Fitch's 'Bsf' expected
loss doubled compared to the prior COLT transaction (5.50 versus.
2.25).

Payment Forbearance (Mixed): 21% of the borrowers have requested
coronavirus payment relief plans. The plans are generally granted
up to a three-month period by the servicer, and borrowers will be
counted as delinquent; however, the servicer (or P&I advancing
party) will not be advancing delinquent principal and interest
(P&I) during the forbearance period. Of the 21% requesting a
forbearance plan, roughly 52% continued to make monthly payment and
are current on the mortgage. For the remaining 48% of the borrowers
opting in a plan, Fitch treated the loans as delinquent, which
resulted in a 98% probability of default assumption for those
loans.

Additionally, 15 loans (1.6%) are currently part of a deferral
plan, which will result in a balloon payment at loan maturity.
Under this approach, the borrowers are still viewed as
contractually current. These loans were purchased by the Sponsor
after the deferrals were put in place; the issuer indicated that
they do not currently intend to use deferrals for any additional
loans in the pool.

Nonprime Credit Quality (Mixed): The pool has a weighted average
model credit score of 717 and a WA combined loan to value ratio of
77.9%, and sLTV of 81.2%. Of the pool, 47% had a debt to income
(DTI) ratio of over 43%. The pool included 81 DSCR loans (6.4%),
which are investment properties underwritten to the rental cash
flow.

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

Non-Full Documentation Loans (Negative): Fitch treated
approximately 29% of the pool as less than full documentation. The
pool includes 19% bank statement loans and a few other programs
that were treated as stated income documentation by Fitch. These
programs are not consistent with Appendix Q standards and Fitch's
view of a full documentation program. These loans were applied a
1.3 multiple as penalty to account for the higher default risk
associated with non-full doc programs.

Sequential Pay Structure (Positive): Unlike prior COLT structures,
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 notes
prior to other principal distributions is highly supportive of
timely interest payments to those classes.

This structure is highly beneficial to the 'AAAsf' rated notes.
Despite the pool exhibiting a significantly higher expected loss
compared to the prior transaction, the initial credit enhancement
is actually similar. The lower credit enhancement is not an
indication of stronger expected collateral performance, but the
more protective structure for the A1 class.

Payment Forbearance Assumptions Due to Coronavirus (Negative): The
coronavirus pandemic and widespread containment efforts in the
U.S., has resulted in higher unemployment and cash flow
disruptions. To account for the cash flow disruptions and lack of
advancing for borrowers forbearance plans, Fitch assumed at least
30% of the pool delinquent for the first six months of the
transaction, and additional 10% for for three months to account for
the deferrals, for a total delinquency stress of 40% 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. Based on the May
remittance data ~13% of seasoned/closed COLT transactions are 30+
delinquent (DQ), which is supportive of Fitch's assumptions

Six-Month Servicer Advances (Mixed): Advances of delinquent P&I
will be made on the mortgage loans for the first 180 days of
delinquency to the extent such advances are deemed recoverable. If
the P&I Advancing Party fails to make a required advance, the
Master Servicer (Wells Fargo) will be obligated to make such
advance.

The servicer 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 servicer will not be obligated to advance during that
time.

As P&I advances are intended to provide liquidity to the rated
notes 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 for the life of the
transaction, and there were no interest shortfalls to the most
senior classes under this scenario.

Excess Cashflow (Positive): The transaction benefits from a
material amount of excess cashflow that provides benefit to the
rated notes before being paid out to class X. The excess is
available to pay timely interest and protect against realized
losses resulting in a CE amount that is less than Fitch's loss
expectations. Fitch stressed the available excess cash flow with
its payment forbearance assumptions of 40% delinquency for three
months and 30% for six months and no advancing scenario. To the
extent that the collateral weighted average coupon and
corresponding excess is reduced through a rate modification, Fitch
would view the impact as credit neutral, as the modification would
reduce the borrower's probability of default, resulting in a lower
loss expectation.

Low Operational Risk (Positive): Operational risk is well
controlled for this transaction. Fitch has reviewed the Hudson
Americas L.P.'s mortgage acquisition platform and found it had
sufficient risk controls, while relying on third parties to review
loans prior to purchase. Approximately 66% of loans in the
transaction pool were originated by Caliber Home Loans, which has
an extensive operating history and is one of the more established
originators of non-QM loans. HomeXpress originated 18%, which Fitch
assessed as "Average" in May 2020.

Primary servicing responsibilities will be performed by Caliber and
Select Portfolio Servicing, rated 'RPS2' and 'RPS1', respectively.
Fitch reduced its loss expectations by 43 bps at the 'AAAsf' rating
category to reflect the strong servicer counterparties. The
Sponsor's, or a majority owned affiliate's, retention of at least
5% of the market value of the bonds helps to ensure an alignment of
interest between the issuer and investors.

R&W Framework (Negative): While the reps and warranties for this
transaction are substantively consistent with those listed in
Fitch's published criteria and provide a solid alignment of
interest, Fitch added approximately 153 bps to the expected loss at
the 'AAAsf' rating category. This reflects the non-investment-grade
counterparty risk of the providers and the lack of an automatic
review of defaulted loans, other than for loans with a realized
loss that have a complaint or counterclaim of a violation of ATR.
The lack of an automatic review is mitigated by the ability of
holders of 25% of the total outstanding aggregate class balance to
initiate a review.

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 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 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.

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 assigned
'AAAsf' ratings.

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

Third-party, loan-level results were reviewed by Fitch for this
transaction. The due diligence companies AMC Diligence, LLC and
Clayton Holdings examined 100% of the loan files in three areas:
compliance review, credit review and valuation review. The due
diligence scope was conducted in accordance with Fitch's existing
criteria.

Approximately 57% of the loans in the securitization pool were
assigned a final grade of 'B'. 46% of loans were graded 'B' for
compliance which were primarily due to exceptions to the TILA-RESPA
Integrated Disclosure rule. These exceptions were considered
immaterial due to being corrected with subsequent documentation
post-close. 29% of loans were graded 'B' for credit. Credit
exceptions were considered immaterial and were either approved by
the originator or waived by the issuer due to the presence of
compensating factors. Loss adjustments were not applied for loans
with a final grade of 'B'.

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).


COMM 2014-CCRE17: Moody's Lowers Class E Certs to 'Ba3'
-------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on three classes in COMM 2014-CCRE17
Mortgage Trust, Commercial Mortgage Pass-Through Certificates as
follows:

Cl. A-4, Affirmed Aaa (sf); previously on Jun 21, 2019 Affirmed Aaa
(sf)

Cl. A-5, Affirmed Aaa (sf); previously on Jun 21, 2019 Affirmed Aaa
(sf)

Cl. A-M, Affirmed Aaa (sf); previously on Jun 21, 2019 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Jun 21, 2019 Affirmed
Aaa (sf)

Cl. B, Affirmed Aa3 (sf); previously on Jun 21, 2019 Affirmed Aa3
(sf)

Cl. C, Affirmed A3 (sf); previously on Jun 21, 2019 Affirmed A3
(sf)

Cl. D, Downgraded to Ba1 (sf); previously on Apr 17, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Cl. E, Downgraded to Ba3 (sf); previously on Apr 17, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. PEZ**, Affirmed A1 (sf); previously on Jun 21, 2019 Affirmed A1
(sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Jun 21, 2019 Affirmed
Aaa (sf)

Cl. X-B*, Downgraded to Baa2 (sf); previously on Apr 17, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

The ratings on the principal and interest 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 two P&I classes were downgraded due to decline in
pool performance and higher anticipated losses primarily due to
declining performance of the Cottonwood Mall Loan (9.8% of the
pool) and the Crown Plaza Houston River Oak Loan (2.5% of the
pool).

The rating on the IO class, Cl. X-A was affirmed based on the
credit quality of its referenced classes.

The rating on the IO class, Cl. X-B was downgraded due to a decline
in the credit quality of its referenced classes.

The rating on the exchangeable class, Cl. PEZ, 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 7.2% of the
current pooled balance, compared to 5.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 5.9% of the
original pooled balance, compared to 4.7% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The methodologies used in rating all classes except the
exchangeable class 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 19.5% to $960.0
million from $1.2 billion at securitization. The certificates are
collateralized by 49 mortgage loans ranging in size from less than
1% to 14.6% of the pool, with the top ten loans (excluding
defeasance) constituting 61.6% of the pool. Eight loans,
constituting 7.8% 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 15 at Moody's last review.

As of the May 2020 remittance report, loans representing 93% were
current or within their grace period on their debt service
payments, 5% were beyond their grace period but less than 30 days
delinquent, and 1% were delinquent at 30 days or more.

Eighteen loans, constituting 39.1% of the pool, are on the master
servicer's watchlist, of which 13 loans, representing 35.3% 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.

One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $1.2 million (for an average loss
severity of 25%). One loan, constituting 1.0% of the pool, is
currently in special servicing. The specially serviced loan is the
Kunkel Portfolio Loan ($9.6 million -- 1.0% of the pool), which is
secured by three office buildings and one mixed use
residential/retail building in downtown Evansville, Indiana. The
loan was transferred to special servicing in June 2017 due to
payment default. Portfolio performance has declined significantly
since securitization as a result of decreasing occupancy and cash
flow. The servicer is working toward completing foreclosure.

Moody's has also assumed a high default probability for three
poorly performing loans, constituting 4.1% of the pool. The largest
troubled loan is the Crowne Plaza Houston River Oaks Loan ($24.0
million -- 2.5% of the pool), which is secured by a 354-room
full-service hotel located in Houston, Texas. The loan has been on
the watchlist since July 2017 due to decreasing occupancy and
revenue. Occupancy decreased to 64% in 2019 from 79% in 2018, and
87% in 2017 and net operating income has decreased to $1.1 million
in 2019 from $1.8 million in 2018, and $2.7 million in 2017.
Borrower relief as a result of the coronavirus outbreak was
requested in May 2020. The remaining two troubled loans consist of
a retail property located in St. Louis, Missouri and a self-storage
property located in San Antonio, Texas. Moody's has estimated an
aggregate loss of $16.4 million (a 33% expected loss on average)
from the specially serviced and troubled loans.

Moody's received full year 2019 operating results for 99% of the
pool, and partial year 2020 operating results for 16% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 108%, compared to 106% 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 18% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.5%.

Moody's actual and stressed conduit DSCRs are 1.48X and 1.00X,
respectively, compared to 1.51X and 1.00X 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 38.0% of the pool balance.
The largest loan is the Bronx Terminal Market Loan ($140.0 million
-- 14.6% of the pool), which represents a pari-passu portion of a
$380.0 million mortgage loan. The loan is secured by a leasehold
interest in a 912,333 square foot anchored retail power center of
located in Bronx, New York. The ground lease with the City of New
York expires in September 2055. The five largest tenants, Target,
BJ's Wholesale Club, Home Depot, Food Bazaar, and Burlington Coat
Factory, account for approximately 65% of the property. Food Bazaar
opened for operations in early 2020 and backfilled a prior anchor
tenant, Toys "R" Us / Babies "R" Us, following its 2018 bankruptcy.
As of December 2019, the property was 99% occupied, unchanged from
2018 and 2017. The loan is interest-only through its entire term
and Moody's LTV and stressed DSCR are 108% and 0.80X, respectively,
the same as at the last review.

The second largest loan is the 25 Broadway Loan ($130.0 million --
13.5% of the pool), which represents a pari-passu portion of a
$250.0 million mortgage loan. The loan is secured by an
approximately 956,500 SF, 22-story, Class B office building located
in the financial district submarket of Manhattan, New York. The
three largest tenants, Lehman Manhattan Preparatory, Teach For
America, and WeWork account approximately 51% of property with the
earliest lease expiration occurring in 2030. As of December 2019,
the property was 95% occupied compared to 91% in 2018 and 90% in
2017. Property performance has trended down with NOI declining
approximately 15% since securitization due to an increase in
expenses. The loan is interest-only through its entire term and
Moody's LTV and stressed DSCR are 125% and 0.76X, respectively,
compared to 119% and 0.80X at the last review.

The third largest loan is the Cottonwood Mall Loan ($94.5 million
-- 9.8% of the pool), which is secured by approximately 410,400 SF
portion of a 1.06 million SF super-regional mall located in western
Albuquerque, New Mexico. The property is one of two regional malls
in the area primarily serving the area west of Interstate 25 and
the Rio Grande River, including the Rio Grande submarket. The
competition, Coronado Mall, is located only 12 miles southwest of
the property and is considered the dominant mall in the market. At
securitization the mall contained six anchors including Dillard's,
Macy's, J.C. Penney, Sears, Conn's HomePlus and a 16-screen Regal
Cinema movie theater, of which only Regal Cinema contributed as
loan collateral. Macy's closed its store in 2017 and sold its space
to the sponsor, Washington Prime Group. After an approximately $21
million redevelopment, the sponsor has backfilled the former Macy's
space with three new tenants: Hobby Lobby, Home Life Furniture, Mor
Furniture For Less (all non-collateral tenants). Sears subsequently
closed its location at the mall in 2018, and the space remains
vacant. As of December 2019, the total property was 87% occupied
and the collateral was 93% occupied. For the trailing twelve-month
period ending December 2019, stores less than 15,000 SF reported
sales of $321 per square foot compared to $306 and $321 for TTM
ending August 2018 and TTM ending August 2017, respectively.
Property performance has trended down with NOI declining
approximately 20% since securitization as a result of a decrease in
occupancy and revenue. The loan has amortized 9.9% since
securitization. Moody's LTV and stressed DSCR are 136% and 0.93X,
respectively, compared to 122% and 0.99X at the last review.


COMM MORTGAGE 2012-LC4: Moody's Cuts Rating on Class F Certs to 'C'
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes,
and downgraded the ratings on five classes in COMM 2012-LC4
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2012-LC4 as follows:

Cl. A-4, Affirmed Aaa (sf); previously on Jan 16, 2019 Affirmed Aaa
(sf)

Cl. A-M, Affirmed Aaa (sf); previously on Jan 16, 2019 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa2 (sf); previously on Jan 16, 2019 Affirmed Aa2
(sf)

Cl. C, Downgraded to Baa3 (sf); previously on Apr 17, 2020 A2 (sf)
Placed Under Review for Possible Downgrade

Cl. D, Downgraded to B2 (sf); previously on Apr 17, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. E, Downgraded to Caa2 (sf); previously on Apr 17, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. F, Downgraded to C (sf); previously on Apr 17, 2020 Caa1 (sf)
Placed Under Review for Possible Downgrade

Cl. X-A*, Affirmed Aaa (sf); previously on Jan 16, 2019 Affirmed
Aaa (sf)

Cl. X-B*, Downgraded to Caa2 (sf); previously on Apr 17, 2020 B2
(sf) Placed Under Review for Possible Downgrade

* Reflects Interest-Only (IO) Classes

RATINGS RATIONALE

The ratings on three 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 were downgraded due to a decline in
pool performance and higher anticipated losses from specially
serviced and troubled loans, as a result of the deteriorating
performance of four retail loans representing 25% of the pool.

The rating on the IO class, Cl. X-A, was affirmed based on the
credit quality of the referenced classes.

The rating on the IO class, Cl. X-B, was downgraded due to a
decline in the credit quality of its referenced 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 9.8% of the
current pooled balance, compared to 5.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 7.0% of the
original pooled balance, compared to 4.2% 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 12, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 28% to $674.5
million from $941.2 million at securitization. The certificates are
collateralized by 32 mortgage loans ranging in size from less than
1% to 12.9% of the pool, with the top ten loans (excluding
defeasance) constituting 58.6% of the pool. One loan, constituting
11.1% of the pool, has an investment-grade structured credit
assessment. Six loans, constituting 19.0% 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 13, compared to a Herf of 15 at last review.

As of the May 2020 remittance report, loans representing 73% were
current on their debt service payments and 20% were beyond their
grace period but less than one-month delinquent. Loans representing
2% were 30 days delinquent and 2% were 90+ days delinquent on their
debt service payments.

Three loans, constituting 4.9% 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 monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

No loans have been liquidated from the pool. Two loans,
constituting 5.7% of the pool, are currently in special servicing.
The largest specially serviced loan is the Susquehanna Valley Mall
loan ($24.7 million -- 3.7% of the pool), which is secured by a
628,063 square feet component of a 745,000 SF regional mall located
in Selinsgrove, Pennsylvania. The property is located in a tertiary
market 50 miles north of Harrisburg, Pennsylvania and 40 miles east
of State College, Pennsylvania. The loan transferred to the special
servicer in March 2018 due to imminent monetary default. A receiver
was appointed in October 2018 and the special servicer is pursuing
a foreclosure action. At securitization, the property was anchored
by a Sears, JCPenney, Bon-Ton, Boscov's and Carmike Cinemas. The
Sears, JCPenney, and Bon-Ton have closed at the property leaving
Boscov's and Carmike Cinemas as the only two remaining anchors. The
property also had an outparcel grocery-anchor, Weis Market, which
closed its doors in October 2018. The former Sears box has been
leased to Family Practice, a medical clinic, through 2049. The mall
has faced competition from a local power center which also offers a
robust mix of national tenants. The mall was 64% leased as of March
2020, compared to 62% as of December 2018, compared to 81% as of
December 2017. The mall re-opened on May 29, 2020 after being
temporarily closed due to the coronavirus.

The second largest specially serviced loan is the Johnstown
Galleria -- Ground Lease Loan ($13.6 million -- 2.0% of the pool),
which is secured by the fee interest in a 46-acre site in
Johnstown, Pennsylvania, improved with a 712,000 SF two-story
regional mall. At securitization, the mall was anchored by a Sears,
JCPenney, Bon-Ton and Boscov's. The Sears and Bon-Ton have both
since closed. Additionally, the mall had been further developed
with other major national tenants including Staples, Dunham's,
Gander Mountain, Toys R' Us and Tractor Supply. Staples, Gander
Mountain and Toys R' Us have since closed at the location as well.
The trust's collateral consisted of a 99-year ground lease
encumbering a 355,000 SF component of the Johnstown Galleria, with
a final maturity date of June 2108. On September 30, 2019 the loan
transferred to special servicing due to imminent payment default.
The lessee under the ground lease had defaulted on its lease
payments and on October 6, 2019 the borrower under the subject loan
had also entered into payment default. A receiver was appointed in
January 2020 and subsequently terminated the ground lease. The
special servicer is pursuing a foreclosure action.

Moody's estimates an aggregate $33.6 million loss for the specially
serviced loans (88% expected loss on average).

Moody's has also assumed a high default probability for two poorly
performing loans, constituting 7.4% of the pool, and has estimated
an aggregate loss of $20.9 million (a 42% expected loss on average)
from these troubled loans. The largest troubled loan is the
Alamance Crossing Loan ($44.3 million -- 6.5% of the pool) which is
secured by a regional mall located in Burlington, North Carolina.
The loan is discussed further in detail below.

Moody's received full year 2018 operating results for 97% of the
pool, and full or partial year 2019 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 93%, compared to 87% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 23% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 10.1%.

Moody's actual and stressed conduit DSCRs are 1.40X and 1.22X,
respectively, compared to 1.52X and 1.28X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The loan with a structured credit assessment is the Union Square
Retail Loan ($75.0 million -- 11.1% of the pool), which is secured
by the leasehold interest in a 236,000 SF, Class A, mixed-use
property located in Union Square in Manhattan, New York. The
property is anchored by a 14-screen United Artists Theatre, Best
Buy, and Nordstrom Rack. In June 2020 the Nordstrom Rack (14% of
the net rentable are) had extended it lease term at the property an
additional 5 years, going out until June 30, 2025. The property was
100% leased as of December 2019, the same as year-end 2018. Moody's
structured credit assessment and stressed DSCR are aa1 (sca.pd) and
2.10X, respectively.

The top three conduit loans represent 27% of the pool balance. The
largest loan is the Square One Mall Loan ($86.8 million -- 12.9% of
the pool), which is secured by the fee interest in a 541,000 SF
component of a 929,000 SF super-regional mall located in Saugus,
Massachusetts, approximately 10 miles northeast of Boston. The
sponsor is Mayflower Realty LLC, a joint-venture between Simon
Properties, TIAA, and the Canada Pension Plan Investment Board. The
property is anchored by a Sears, Macy's, Dick's Sporting Goods,
Best Buy, BD's Furniture, and TJMaxx. Macy's and Sears own their
own boxes and are non-collateral for the loan. The Sears announced
plans to vacate the property but has since signed a lease with Apex
Entertainment for more than 100,000 SF to run a family
entertainment center on the first floor of the building. The total
mall occupancy was 91% as of September 2019. Inline occupancy at
the property as of September 2019 was 75% compared to 77% in
September 2018. Property performance has deteriorated as a result
of decline in base rent. Moody's LTV and stressed DSCR are 99% and
1.14X, respectively, compared to 97% and 1.11X at the last review.

The second largest loan is the Puerto Rico Retail Portfolio Loan
($50.8million -- 7.5% of the pool), which is secured by the fee
interest in a 554,500 SF anchored-retail portfolio spanning four
properties located in Puerto Rico. The collateral consists of Plaza
Los Prados, in Caguas (163,500 SF; 29% of NRA), Juncos Plaza, in
Juncos (208,000 SF; 38%), Manati Centro Plaza, in Manati (118,000
SF; 21%), and University Plaza, in Mayaguez (65,000 SF; 12%). The
portfolio was 93% leased as of December 2019. The Juncos Plaza, and
the Plaza Los Prados properties are both groceries anchored while
the Manati Centro Plaza and University Plaza properties are
anchored by a Marshalls and a National Lumber & Hardware store,
respectively. The property was impacted by Hurricane Maria,
however, only one tenant, Capri Jucos (4.7% of the portfolio NRA),
vacated following the hurricane. The loan has remained current and
the borrower received $5.2 million from the hazard and loss reserve
to repair the properties following Hurricane Maria. Moody's LTV and
stressed DSCR are 85% and 1.27X, respectively, compared to 85% and
1.24X at the last review.

The third largest loan is the Alamance Crossing Loan ($44.1 million
-- 6.5% of the pool), which is secured by the fee interest in a
457,000 SF regional mall/lifestyle center located in Burlington,
North Carolina. The collateral consists of a portion of the
Alamance Crossing East shopping center and the Alamance Crossing
Central shopping center. Alamance Crossing East is a 649,989 SF
open-air lifestyle center anchored by Dillard's, JC Penney, and
Belk, along with a 16-screen Carousel Cinemas theater. Dillard's
(124,683 SF) and JC Penney (102,826 SF) own their own stores and
underlying land and are non-collateral for the loan. Alamance
Crossing Central is a strip retail shopping center located across
an access road and west of Alamance Crossing East. It contains
32,600 SF of NRA, all of which are part of the collateral. As of
December 2019, the property was 93% leased compared to 88% as of
yearend 2018. The sponsor has reported year-end 2019 mall store
sales for tenants below 20,000 SF of $269 PSF and inline occupancy
of 78%. While the property performance had increased from
securitization through 2016, the NOI for 2019 has declined
approximately 10% since 2016 as a result of lower rental revenue.
The loan has amortized 13% since securitization, and matures in
July 2021. The loan remained current as of its May 2020 payment
date, however, due to the decline in performance, Moody's has
identified this as a troubled loan.


COMM MORTGAGE 2013-CCRE11: Fitch Affirms B Rating on Class F Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of COMM 2013-CCRE11 Mortgage
Trust. Fitch has also revised the Rating Outlook to Negative from
Stable on classes E and F.

RATING ACTIONS

COMM 2013-CCRE11

Class A-3 12626LAD4;  LT AAAsf Affirmed;  previously at AAAsf

Class A-4 12626LAE2;  LT AAAsf Affirmed;  previously at AAAsf

Class A-M 12626LBN1;  LT AAAsf Affirmed;  previously at AAAsf

Class A-SB 12626LAC6; LT AAAsf Affirmed;  previously at AAAsf

Class B 12626LBP6;    LT AA-sf Affirmed;  previously at AA-sf

Class C 12626LAW2;    LT A-sf Affirmed;   previously at A-sf

Class D 12626LAY8;    LT BBB-sf Affirmed; previously at BBB-sf

Class E 12626LBA9;    LT BBsf Affirmed;   previously at BBsf

Class F 12626LBC5;    LT Bsf Affirmed;    previously at Bsf

Class X-A 12626LAF9;  LT AAAsf Affirmed;  previously at AAAsf

Class X-B 12626LAL6;  LT AA-sf Affirmed;  previously at AA-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Pool performance and loss
expectations have remained relatively stable since the last rating
action. There are 16 loans on the master servicer's watch list,
most of which are related to coronavirus relief requests. Since
Fitch's last rating action, one previously specially serviced loan
(1.9%) was returned to the master servicer in June 2019. Fitch
identified 13 loans (32%), including four in the top 15 (26.2%), as
Fitch Loans of Concern (FLOCs) due to declining performance or
future performance concerns as a result of the coronavirus
pandemic.

Fitch Loans of Concern: The largest loan of concern, Miracle Mile
Shops (12.7%), is the largest loan in the pool. The loan is secured
by an approximately 450,000 sf mall located on the Las Vegas Strip
adjacent to the Planet Hollywood Resort and Casino. The mall
tenancy is made up of a variety of retail shops, restaurants and
entertainment venues. The largest two tenants are both theaters.
The mall has strong sales performance, with comparable in-line
sales for tenants occupying less than 10,000 sf were $842 as of the
trailing 12-month period ending November 2019 compared with $837
psf the prior year. Approximately 16% NRA is scheduled to expire in
2020, including the second largest tenant Saxe Theater (5% NRA,
expires June 30, 2020). Fitch has requested a leasing status
update. Additionally, the loan is on the watchlist for a
coronavirus relief request. According to news reports, the property
is scheduled to re-open on June 9th.

Oglethorpe Mall (7.8%) is secured by 627,000 sf of a 943,000sf
regional mall located in Savannah, GA. The mall is anchored by a
non-collateral tenant Belk as well as collateral tenants Macy's and
JC Penney. There is also a vacant box, the former Sears space,
which is not a part of the collateral and is owned by Seritage.
Sears closed the store in November 2018. JC Penney recently
announced closure of a number of stores; however, the subject store
was not on the list. Comparable in line sales were $357 psf in
2019, compared with $360 psf in 2018 and $419 psf at the time of
issuance. As of the March 2020 rent roll, the collateral was 96%
occupied and the total mall was 81% occupied. According to the
mall's website, the property is open following a temporary closure
due to the coronavirus.

Orangefair Marketplace (3.6%), the eighth largest loan, is secured
by a 339,000sf retail center located in Fullerton, CA, 25 miles
outside of LA. The property is anchored by Burlington Coat Factory
(22% NRA, expires Sept 2025).

Approximately 18% of the NRA expires in 2021, including the second
largest tenant, Best Buy (11% NRA). As of the March 2020 rent roll,
the property was 95% occupied and the servicer reported NOI DSCR
was 1.56x at YE 2019.

The Landing at Hawks Prairie (2.2%) is secured by a 116,000sf
retail center located in Lacey, WA, approximately 60 miles south of
Seattle. The property is anchored by LA Fitness (39% NRA) who
recently extended their lease from June 2023 to October 2034.
Approximately 16% of the NRA has leases scheduled to expire in
2023; the same year as the loan's maturity. As of the March 2020
rent roll, the property was 99% occupied and the NOI DSCR was 1.55x
as of September 2019. Additionally, the loan is on the watchlist
for a coronavirus relief request.

The remaining nine FLOCs (5.8%) are all outside of the top 15. The
loans were flagged for expected performance declines stemming from
the coronavirus pandemic and/or occupancy declines resulting from
the loss of large tenants. Fitch will continue to monitor all the
FLOCs for prolonged performance declines.

Increase in Credit Enhancement: Credit enhancement continues to
increase with paydown from scheduled amortization. As of the May
2020 remittance report, the pool has paid down nearly 12%, to $1.12
billion from $1.27 billion at issuance. There are 12 loans (24.5%)
totaling $274.3 million that have defeased; six (15.6%) which have
defeased since the last rating action. Six loans (26.6%) are full
term interest only and twelve loans (45%), which were structured
with partial interest only periods that have begun amortizing. All
of the remaining loans in the pool mature between July and October
2023. The transaction has not experienced any principal losses to
date.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail, and multifamily properties is expected from the
coronavirus pandemic due to the recent and sudden reductions in
travel and tourism, temporary property closures and lack of clarity
on the potential duration of the pandemic. The pandemic has
prompted the closure of several hotel properties in gateway cities
as well as malls, entertainment venues and individual stores.
Fitch's base case analysis applied an additional NOI stress to
seven retail loans (21.3%), three hotel loans (2.3%) and one
multifamily loan (0.1%) that did not meet certain performance
thresholds.

Alternative Loss Considerations: Given the loss of non-collateral
anchor Sears, upcoming rollover, mediocre sales performance and
weak anchor tenants, Fitch performed an additional sensitivity
scenario on the Oglethorpe Mall loan, which assumed a potential
outsized loss of 50% on the maturity balance of the loan. This
additional stressed scenario contributed to the Negative Outlook
revisions on classes E and F.

Retail Concentration: Non-defeased retail loans represent 30.5% of
the current pool, including two loans in the top five secured by
regional mall properties, the Miracle Mile Shops loan (12.7%) and
the Oglethorpe Mall loan (7.8%).

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E and F reflect the
potential for a downgrade should performance of the FLOCs continue
to deteriorate. The Stable Rating Outlooks for classes A-SB through
D reflect increasing credit enhancement, continued amortization and
stable performance for a majority of the loans in the pool.
Performance concerns, particularly of hotel and retail properties,
as a result of the economic slowdown stemming from the coronavirus
pandemic have also been factored into Fitch's analysis.

Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade:

Sensitivity Factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Upgrades to classes B and C would likely occur with significant
improvement in credit enhancement and/or defeasance. However,
adverse selection, increased concentrations or the underperformance
of particular loan(s) may limit the potential for future upgrades.
An upgrade to class D is considered unlikely and would be limited
based on the sensitivity to loan concentrations. Classes would not
be upgraded above 'Asf' if there is a likelihood for interest
shortfalls. Upgrades to classes E and F 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 class.

Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade:

Sensitivity Factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades to the senior A-1, A-2, A-SB, A-3, A-4, A-M classes,
along with class B are not expected given the position in the
capital structure, but may occur should interest shortfalls occur.
A downgrade to classes C and D may occur should several loans
transfer to special servicing and/or should pool losses
significantly increase. A downgrade to classes E and F (both with
current Rating Outlook Negative) would occur should the Oglethorpe
Mall not payoff at maturity and performance fail to stabilize in a
prolonged economic slowdown.

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.

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).


CPS AUTO 2020-B: DBRS Confirms BB Rating on $22MM Class E Notes
---------------------------------------------------------------
DBRS, Inc. confirmed its provisional ratings on the following
classes of notes to be issued by CPS Auto Receivables Trust 2020-B
(the Issuer), originally assigned on May 28, 2020. The
confirmations are in conjunction with DBRS Morningstar's "Global
Macroeconomic Scenarios: June Update" published on June 1, 2020:

-- $94,405,000 Class A Notes at AAA (sf)
-- $29,841,000 Class B Notes at AA (sf)
-- $34,389,000 Class C Notes at A (sf)
-- $21,300,000 Class D Notes at BBB (sf)
-- $22,408,000 Class E Notes at BB (sf)

DBRS Morningstar initially published macroeconomic scenarios on
April 16, 2020. The scenarios were updated on June 1, 2020, and the
updated scenarios are reflected in our rating analysis.

Despite the update to the moderate scenario, no changes were made
to DBRS Morningstar's assumptions for the transaction. DBRS
Morningstar maintains its expected cumulative net loss assumption
as it was based on various factors and considerations consistent
with the revised macroeconomic assumptions put forth in the update
to the moderate scenario.

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


CPS AUTO 2020-B: S&P Rates Class E Notes 'BB- (sf)'
----------------------------------------------------
S&P Global Ratings assigned its ratings to CPS Auto Receivables
Trust 2020-B's asset-backed notes.

The note issuance is an ABS transaction backed by subprime auto
loan receivables.

The ratings reflect:

-- The availability of approximately 59.6%, 52.6%, 42.8%, 35.5%,
and 29.7% of credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 2.70x, 2.25x, 1.83x, 1.55x, and 1.22x S&P's
21.5%-22.5% expected cumulative net loss range for the class A, B,
C, D, and E notes, respectively. Additionally, credit enhancement,
including excess spread, for classes A, B, C, D, and E covers
break-even cumulative gross losses of approximately 95%, 84%, 71%,
59%, and 50%, respectively.

-- The expectation that under a moderate ('BBB') stress scenario
(1.55x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are consistent
with the tolerance outlined in its credit stability criteria. The
rated notes' underlying credit enhancement in the form of
subordination, overcollateralization, a reserve account, and excess
spread for the class A through E notes.

-- The timely interest and principal payments made to the rated
notes under S&P's stressed cash flow modeling scenarios, which S&P
believes are appropriate for the assigned ratings.

-- The transaction's payment and credit enhancement structure,
which includes an incurable performance trigger.

S&P acknowledges a high degree of uncertainty about the rate of
spread and peak of the coronavirus outbreak.

"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly," S&P said.

  RATINGS LIST

  CPS Auto Receivables 2020-B

  Class       Rating       Amount (mil. $)

  A           AAA (sf)              94.405
  B           AA (sf)               29.841
  C           A (sf)                34.389
  D           BBB (sf)              21.300
  E           BB- (sf)              22.408


CSAIL COMMERCIAL 2017-C8: Fitch Affirms B- Rating on Class F Certs
------------------------------------------------------------------
Fitch Ratings affirms 16 classes and revises Outlooks on two
classes of CSAIL Commercial Mortgage Trust 2017-C8 commercial
mortgage pass-through certificates.

CSAIL 2017-C8

  - Class A-1 12595BAA9; LT AAAsf; Affirmed

  - Class A-2 12595BAB7; LT AAAsf; Affirmed

  - Class A-3 12595BAC5; LT AAAsf; Affirmed

  - Class A-4 12595BAD3; LT AAAsf; Affirmed

  - Class A-S 12595BBF7; LT AAAsf; Affirmed

  - Class A-SB 12595BAE1; LT AAAsf; Affirmed

  - Class B 12595BAH4; LT AA-sf; Affirmed

  - Class C 12595BAJ0; LT A-sf; Affirmed

  - Class D 12595BAK7; LT BBB-sf; Affirmed

  - Class E 12595BAM3; LT BB-sf; Affirmed

  - Class F 12595BAP6; LT B-sf; Affirmed

  - Class V1-A 12595BBQ3; LT AAAsf; Affirmed

  - Class V1-B 12595BBR1; LT A-sf; Affirmed

  - Class V1-D 12595BBS9; LT BBB-sf; Affirmed

  - Class X-A 12595BAF8 LT AAAsf; Affirmed

  - Class X-B 12595BAG6; LT A-sf; Affirmed

Fitch does not rate the class NR, class V1-E and class V2
certificates. The transaction structure also includes non-pooled,
non-offered, loan-specific certificates entitled to receive
distributions from the 85 Broad Street trust subordinate companion
loan.

VRR Interest - The amount of the VRR Interest represents 4.22% ($34
million) of the pool balance.

KEY RATING DRIVERS

Increased Loss Expectations: Although overall pool performance
remains generally stable, losses have increased due to the larger
Fitch Loans of Concern and current economic conditions and concerns
related to coronavirus. One loan (2.5% of the pool) is currently in
special servicing with minimal expected losses. No loans have paid
off. Two loans (1.6%) are defeased. Ten loans (27% of the pool) are
considered FLOCs, of which five are on the master servicer's watch
list.

The specially serviced loan, Acropolis Gardens (2.5% of the pool)
is secured by a multifamily cooperative property consisting of 16
buildings and 618 units located in Astoria, NY. The loan was
transferred to special servicing in July 2018 for imminent default.
In addition to the payment default, there were multiple lawsuits
against the borrower and property manager alleging fraud,
misapplication of proceeds, failure to remediate life/safety
issues. The lawsuits were filed by shareholders of the coop. Per
the special servicer, the lender and borrower executed a settlement
agreement. The property is 99.8% occupied as of September 2019 rent
roll with average rent of $922 per unit. The special servicer noted
although the loan is current on scheduled mortgage payments at this
time, it did fall behind in April and May and the borrower is not
in compliance with all terms under the forbearance agreement as
owes the receiver unpaid fees. The special servicer is monitoring
the loan.

The largest FLOC, Hotel Eastlund (5.0% of pool) is secured by a
full-service hotel consisting of 168 rooms located in Portland, OR.
The property does not have a franchise backing and is unflagged.
The most recent servicer reported debt-service coverage ratio as of
December 2019 declined to 1.81x down from 2.29x at YE 2018 and
2.25x YE 2017. Additionally, the loan converted from IO to
principal and interest payments in April 2019. Per the December
2019 Smith Travel Research Report, the property's occupancy average
daily rate and revenue per available room were 83.6%; $169; $141
compared to 74.3%; $160; $119 for its competitive set with a RevPAR
penetration rate of 119.1%. The loan is flagged as a FLOC given the
decline in performance, current closure and impact related to
coronavirus. Per the hotel's website, the hotel is currently closed
due to the coronavirus pandemic and is scheduled to open July 6,
2020. Additionally, the loan is on the master servicer's watch list
as the borrower has notified the master servicer of hardships
related to the coronavirus.

The second largest FLOC is the Broadway Portfolio (4.7% of pool)
which is secured by a portfolio of three buildings with frontage
along Broadway between 29th and 30th Streets in Manhattan's Midtown
South neighborhood. The loan is considered a FLOC mainly due to its
significant coworking tenancy, restaurant tenancy and potential
impact due to the coronavirus pandemic. There is approximately
(5.8%) upcoming rollover. Fitch has requested an update on the
lease renewal from the master servicer, but has not received a
response. The portfolio is 100% as of December 2019. Additionally,
per the master servicer, the loan is listed as requested relief due
to a payment issue.

The third largest FLOC is Northridge Plaza (4.0% of the pool) which
is secured by a 209,652 sf, anchored retail shopping center with 25
units including several out parcels, located in Olathe, KS. The
largest tenants are Dick's Sporting Goods, Ross, Aldi, and Famous
Footwear. Since Fitch's last review, occupancy has declined given
closure of Pier One (4.8%) which remains vacant. As of March 2020,
the property is 80.6% occupied down from 86.2% YE 2018 and 98% YE
2017. There is approximately 28.1% upcoming rollover in 2021 which
includes the largest tenant Dick's Sporting Goods (24%).

Minimal Changes in Credit Enhancement: As of the May 2020
remittance, the transaction's pooled aggregate principal balance
has been reduced by 1.1% to $802.3 million from $811 million at
issuance. Based on the scheduled balance at maturity, the pool is
only expected to be reduced by 6.4%. Approximately 12 loans (61.6%
of the pool) are IO. Ten loans (24.3% of the pool) are partial
interest only. There is one anticipated repayment date loan
representing 2.8% of the pool. The remainder of the pool consists
of 11 balloon loans representing 14.1% of the pool.

Coronavirus Exposure: Significant economic impacts to certain
hotels, retail and multifamily properties are expected 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
has already prompted the closure of several hotel properties in
gateway cities, as well as malls, entertainment venues and
individual stores. Loans secured by retail, hotel and multifamily
properties represent 14.3%, 14.5%, and 10.3% of the pool,
respectively. Business disruption due to the pandemic partially
contributes to the Negative Rating Outlooks on class D and V1-D and
classes E and F.

Additional Considerations:

Pool Concentrations: The top 15 loans comprise 77.2% of the pool.
The pool is concentrated in the New York Metro area with 33.1% of
the pool located in New York City and surrounding suburbs in New
York, New Jersey and Connecticut. The largest property types
include office (45.6% of the pool), hotels (14.6%), retail (14.5%)
and multifamily (10.3%).

Investment-Grade Credit Opinion Loans: Four loans, representing
34.7% of the pool, had investment-grade credit opinions at
issuance. 85 Broad Street (11.2% of the pool), 245 Park Avenue
(10.0% of the pool) and Apple Sunnyvale (8.8% of the pool) each
have an investment-grade credit opinion of 'BBB-sf*' on a
stand-alone basis. Urban Union Amazon (4.8%) has an investment
grade credit opinion of 'AAsf' on a stand-alone basis.

RATING SENSITIVITIES

The Negative Outlooks on Class D, V1-D, E and F reflect the
potential for a downgrade should performance of the FLOCs continue
to deteriorate. The Stable Outlooks on Classes A-1 through V1-B
reflect the sufficient CE relative to expected losses.

Factors that could, individually or collectively, lead to a
positive rating action/upgrade:

  -- Stable to improved asset performance, coupled with additional
pay down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf'
rated classes would likely occur with significant improvement in CE
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' 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 'BB-sf' and 'B-sf' rated classes is not likely until
later years of the transaction, and only if the performance of the
remaining pool is stable and/or if there is sufficient CE, which
would likely occur when the non-rated class is not eroded and the
senior classes pay off.

Factors that could, individually or collectively, lead to a
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 CE; however, downgrades to these
classes may occur should interest shortfalls occur.

Downgrades to the classes rated 'BBB-sf' and below would occur 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;
should this scenario play out, Fitch expects that 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.

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).


CSMC TRUST 2017-MOON: Fitch Affirms BB- on 2 Tranches
-----------------------------------------------------
Fitch Ratings has affirmed all classes of CSMC Trust 2017-MOON
commercial mortgage pass-through certificates.

CSMC 2017-MOON

  - Class A 12651XAA2; LT AAAsf; Affirmed

  - Class B 12651XAE4; LT AA-sf; Affirmed

  - Class C 12651XAG9; LT A-sf; Affirmed

  - Class D 12651XAJ3; LT BBB-sf; Affirmed

  - Class E 12651XAL8; LT BB-sf; Affirmed

  - Class HRR 12651XAN4; LT BB-sf; Affirmed

  - Class X 12651XAC8; LT AAAsf; Affirmed

KEY RATING DRIVERS

Stable Performance and Property Cash Flow: The affirmations reflect
the stable performance of the collateral, which consists of the fee
interest in a 605,897 square foot (sf) office building located at
300 E Street SW in Washington, D.C., also known as Two Independence
Square. Occupancy as of the year-end 2019 rent roll was 100%, in
line with issuance. The servicer reported YE 2019 net cash flow has
increased 13% from YE 2018; and the YE 2019 debt service coverage
ratio was reported to be 2.87x.

Loan Structure and Sponsor: The total $225.7 million mortgage
interest-only loan consists of four pari passu A-notes totaling
$164.0 million, of which the $64.0 million Note A-1 is included in
CSMC 2017-MOON, and a $61.7 million B-note, also included in the
trust. The $100 million of companion A-notes will not be part of
the assets of the trust and have been contributed to two conduit
securitizations (WFCM 2017-C39 and CSAIL 2017-CX9).

The loan sponsor is Hana Asset Management, based in Seoul, Korea,
is a private subsidiary of Hana Financial Group, Inc. The firm has
closed and currently manages 60 projects in 15 countries and has
nearly $7 billion in assets under management.

Fitch Leverage: The $125.7 million mortgage loan has a Fitch DSCR
and LTV of 1.04x and 85.1%, respectively, and debt of $373 psf.

Investment-Grade Tenancy: The office portion of the property (98.6%
of NRA) is 100% leased to the Government Services Administration
through August 2028 (six years beyond the loan term with no early
termination or contraction provisions) on behalf of the U.S.
National Aeronautics and Space Administration. The property serves
as the worldwide headquarters for NASA. The remaining space is
leased to three small retail tenants.

Asset Quality: The building was originally constructed in 1992 and
received approximately $86.3 million in upgrades from 2012 to 2014
to the building interior and security features, including NASA
investing approximately $45.4 million in its space. Property
amenities include a 235-seat auditorium, 769-space underground
parking facility and rooftop terrace. Specialized construction for
NASA includes high-tech computer and conference rooms, recording
studios, sound control, separate systems for backup and 24-hour
operation.

Well Located: Two Independence Square is located in the Southwest
Washington, D.C. submarket, just south of the National Mall and
Capitol Building, an area with a concentration of GSA facilities
and the headquarters for 19 federal agencies.

Coronavirus Exposure: Given the experienced sponsor (Hana Asset
Management), and long-term lease to a creditworthy tenant, Fitch
views the coronavirus pandemic as having a more limited impact on
the collateral. According to the servicer as of May 2020, there
have been no coronavirus relief requests from the borrower.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Fitch rates the A class 'AAAsf'; therefore, upgrades are not
possible. While not likely in the near term, upgrades to classes B
through HRR are possible with sustained cash flow improvement. The
Stable Rating Outlooks for all classes reflect the relatively
stable performance since issuance.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

  -- A significant decline in asset occupancy;

  -- A significant deterioration in property cash flow.

However, these factors are not expected to materialize due to the
long-term nature of the lease to a creditworthy tenant.

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).


DENALI CAPITAL XII: Moody's Lowers $15MM Cl. E-R Notes to B1
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Denali Capital CLO XII, Ltd.:

US$21,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2031 (the "Class C-R Notes"), Downgraded to A3 (sf);
previously on June 3, 2020 A2 (sf) Placed on Watch for Possible
Downgrade

US$19,250,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due 2031 (the "Class D-R Notes"), Downgraded to Ba1 (sf);
previously on April 17, 2020 Baa3 (sf) Placed on Watch for Possible
Downgrade

US$15,750,000 Class E-R Secured Deferrable Floating Rate Notes Due
2031 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed on Watch for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D-R and E-R notes and on June 3, 2020 on the
Class C-R notes. The CLO, originally issued in March 2016 and
refinanced in April 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in April 2023.

RATINGS RATIONALE

The downgrades on the Class C-R, Class D-R, and Class E-R notes
reflect the risks posed by credit deterioration and loss of
collateral coverage observed in the underlying CLO portfolio, which
have been primarily prompted by economic shocks stemming from the
coronavirus pandemic. Since the outbreak widened in March, the
decline in corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralizing the CLO. Consequently, the default risk of
the CLO portfolio has increased substantially, the credit
enhancement available to the CLO notes has eroded, and exposure to
Caa-rated assets has increased significantly.

Based on Moody's calculation, the weighted average rating factor
(WARF) is currently 3637 compared to 2960 reported in the March
2020 trustee report [1]. Moody's notes that currently approximately
26.7% and 9.5% of the CLO's par is from obligors assigned a
negative outlook or whose ratings are on review for possible
downgrade, respectively. Additionally, based on Moody's
calculation, the proportion of obligors in the portfolio with
Moody's corporate family or other equivalent ratings of Caa1 or
lower (after any adjustments for negative outlook and watchlist for
possible downgrade) is currently approximately 26.0%. Furthermore,
Moody's calculated total collateral par balance, including
recoveries from defaulted securities, is at $343.2 million, or $6.8
million less than the deal's ramp-up target par balance. Based on
the May 2020 trustee report [2], the over-collateralization (OC)
ratios for the Class E-R notes is reported at 103.42%, and is
currently failing the trigger level of 104.7%. Finally, Moody's
also considered manager's investment decisions and trading
strategies.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $342.1 million, defaulted par of $3.6
million, a weighted average default probability of 30.00% (implying
a WARF of 3637), a weighted average recovery rate upon default of
48.89%, a diversity score of 82 and a weighted average spread of
3.54%. Moody's also analyzed the CLO by incorporating an
approximately $10.1 million par haircut in calculating the OC and
interest diversion test ratios.

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 corporate assets.

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. Fitch 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 of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

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


DT AUTO 2020-2: S&P Rates Class E Notes 'BB- (sf)'
--------------------------------------------------
S&P Global Ratings assigned its ratings to DT Auto Owner Trust
2020-2's asset-backed notes series 2020-2.

The note issuance is an ABS transaction backed by subprime auto
loan receivables.

The ratings reflect S&P's view of:

-- The availability of approximately 64.4%, 59.3%, 49.8%, 45.3%,
and 40.8% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed break-even cash flow scenarios
(including excess spread). These credit support levels provide
approximately 1.92x, 1.75x, 1.44x, 1.30x, and 1.17x coverage of
S&P's expected net loss range of 32.75%-33.75% for the class A, B,
C, D, and E notes, respectively. Credit enhancement also covers
cumulative gross losses of approximately 92.0%, 84.7%, 71.1%,
64.7%, and 58.3%, respectively, assuming a 30% recovery rate.

-- The timely interest and principal payments by the legal final
maturity dates made under stressed cash flow modeling scenarios
that S&P deems appropriate for the assigned ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(1.3x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are consistent
with the tolerance outlined in S&P's credit stability criteria.

-- The collateral characteristics of the subprime pool being
securitized, including a high percentage (approximately 79%) of
obligors with higher payment frequencies (more than once a month),
which S&P expects will result in a somewhat faster paydown on the
pool.

-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.

S&P acknowledges a high degree of uncertainty about the rate of
spread and peak of the coronavirus outbreak.

"Some government authorities estimate the pandemic will peak around
midyear, and we are using this assumption in assessing the economic
and credit implications. In our view, the measures adopted to
contain COVID-19 have pushed the global economy into recession. As
the situation evolves, we will update our assumptions and estimates
accordingly," S&P said.

  RATINGS ASSIGNED
  DT Auto Owner Trust 2020-2

  Class     Rating     Amount (mil. $)
  A         AAA (sf)            188.32
  B         AA (sf)              46.58
  C         A (sf)               67.50
  D         BBB (sf)             26.77
  E         BB- (sf)             32.63


DT AUTO OWNER 2020-2: DBRS Confirms BB Rating on Class E Notes
--------------------------------------------------------------
DBRS, Inc. confirmed its provisional ratings on the following
classes of notes to be issued by DT Auto Owner Trust 2020-2 (the
Issuer), originally assigned on May 28, 2020. The confirmations are
in conjunction with DBRS Morningstar's "Global Macroeconomic
Scenarios: June Update" published on June 1, 2020:

-- $146,470,000 Class A Notes at AAA (sf)
-- $36,230,000 Class B Notes at AA (low) (sf)
-- $52,500,000 Class C Notes at A (low) (sf)
-- $20,820,000 Class D Notes at BBB (sf)
-- $25,380,000 Class E Notes at BB (sf)

DBRS Morningstar initially published macroeconomic scenarios on
April 16, 2020. The scenarios were updated on June 1, 2020, and the
updated scenarios are reflected in our rating analysis.

Despite the update to the moderate scenario, no changes were made
to DBRS Morningstar's assumptions for the transaction. DBRS
Morningstar maintains its expected cumulative net loss assumption
as it was based on various factors and considerations consistent
with the revised macroeconomic assumptions put forth in the update
to the moderate scenario.

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


ELLINGTON FINANCIAL 2020-1: S&P Assigns B (sf) Rating to B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ellington Financial
Mortgage Trust 2020-1's mortgage pass-through certificates.

The certificate issuance is an RMBS transaction backed by U.S.
residential mortgage loans.

The ratings reflect:

-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this transaction;

-- The mortgage aggregator, Ellington Financial Inc.; and
-- The impact that the economic stress brought on by the
coronavirus disease, COVID-19, is likely to have on the performance
of the mortgage borrowers in the pool and liquidity available in
the transaction.

S&P acknowledges a high degree of uncertainty about the rate of
spread and peak of the coronavirus outbreak.

"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly," S&P said.

  RATINGS ASSIGNED

  Ellington Mortgage Finance Trust 2020-1  

  Class            Rating(i)             Amount ($)
  A-1              AAA (sf)             191,603,000
  A-2              AA (sf)               11,278,000
  A-3              A+ (sf)               12,834,000
  M-1              BBB (sf)              17,890,000
  B-1              BB (sf)               10,112,000
  B-2              B (sf)                 8,815,000
  B-3              NR                     6,741,458
  A-IO-S           NR                      Notional(ii)
  X                NR                      Notional(ii)
  P                NR                           100
  R                NR                           N/A

(i)The collateral and structural information in this report
reflects the private placement memorandum dated June 1, 2020. The
ratings address S&P's expectation for the ultimate payment of
interest and principal.
(ii)The notional amount equals the loans' stated principal balance.

NR--Not rated.
N/A--Not applicable.


ETRADE RV 2004-1: S&P Lowers Class D Notes Rating to 'CCC- (sf)'
----------------------------------------------------------------
S&P Global Ratings lowered its rating on E*Trade RV and Marine
Trust 2004-1's class D notes to 'CCC- (sf)' from 'CCC (sf)'. At the
same time, S&P affirmed its 'CC (sf)' rating on the class E notes.

E*Trade RV and Marine Trust 2004-1 is an ABS transaction backed by
recreational vehicle (RV) and marine retail installment contracts.
The rating actions reflect the credit enhancement levels supporting
the notes and S&P's expectation for net losses, which remains at
9.90%-10.10%.

The downgrade reflects S&P's view that the class D notes have
become increasingly vulnerable to nonpayment and are increasingly
dependent on favorable conditions to be paid interest and principal
according to the terms of the transaction.

The affirmation reflects S&P's view that the class E notes remain
virtually certain to default.


EXETER AUTOMOBILE 2020-2: S&P Rates Class E Notes 'BB (sf)'
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Exeter Automobile
Receivables Trust 2020-2's automobile receivables-backed notes.

The note issuance is an ABS transaction backed by subprime auto
loan receivables.

The ratings reflect:

-- The availability of approximately 61.1%, 54.6%, 45.7%, 39.5%,
and 32.8% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). This credit support provides coverage of
approximately 2.50x, 2.20x, 1.80x, 1.50x, and 1.25x S&P's
23.75%-24.75% expected cumulative net loss (CNL) range. These
break-even scenarios withstand cumulative gross losses (CGLs) of
approximately 94.0%, 84.0%, 73.1%, 63.3%, and 52.5% respectively.

-- S&P's expectation for timely interest and principal payments on
the notes, based on stressed cash flow modeling scenarios, which,
in S&P's view, are appropriate for the assigned ratings.

-- The expectations that under a moderate ('BBB') stress scenario
(1.50x its expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are consistent
with the tolerance outlined in S&P's credit stability criteria
"Methodology: Credit Stability Criteria," published May 3, 2010.

-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.

-- The transaction's payment, credit enhancement, and legal
structures.

  RATINGS ASSIGNED

  Exeter Automobile Receivables Trust 2020-2

  Class       Rating          Amount (mil. $)
  A           AAA (sf)                 408.91
  B           AA (sf)                  122.17
  C           A (sf)                   133.82
  D           BBB (sf)                  89.52
  E           BB (sf)                   95.58


GLM LLC 2015-1: Moody's Cuts Rating on Series A Cl. D Notes to Ba2
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by GLM 2015-1 LLC:

US$1,000,000 Series A/Class D Notes due 2029, Downgraded to Ba2
(sf); previously on April 17, 2020 Ba1 (sf) Placed Under Review for
Possible Downgrade

Moody's Investors Service has also confirmed the rating on the
following notes issued by GLM 2015-1 LLC:

US$1,100,000 Series A/Class C Notes due 2029 (the "Series A/Class C
Notes"), Confirmed at Baa2 (sf); previously on April 17, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Series A/Class C Notes and Series A/Class D Notes
issued by the Issuer, and also reflect a correction to the modeling
of the cash-trap mechanism of the transaction. The Series A/Class C
Notes and The Series A/Class D Notes, together with the other notes
issued by the Issuer, are collateralized primarily by 5% of all CLO
tranches issued by 610 Funding CLO 1, Ltd., which was issued in
June 2015 and refinanced in September 2017. The Rated Notes were
previously issued in order to comply with the retention
requirements of the US Risk Retention Rules. Effective as of April
16, 2020, Anchorage Capital Group, L.L.C assumed all of the duties,
liabilities, obligations, and responsibilities as collateral
manager for the Underlying CLO.

RATINGS RATIONALE

The downgrade on the Series A/Class D notes reflects the specific
risks to the notes posed by credit deterioration and loss of
collateral coverage observed in the portfolio of the Underlying
CLO, which have been primarily prompted by economic shocks stemming
from the coronavirus pandemic. Since the outbreak widened in March,
the decline in corporate credit has resulted in a significant
number of downgrades and other negative rating actions on the
assets collateralizing the Underlying CLO. Consequently, the
default risk of the Underlying CLO's portfolio has increased
substantially, exposure to Caa-rated assets has increased
significantly, and the credit enhancement available to the CLO
notes has eroded.

Based on Moody's calculation, the CLO's weighted average rating
factor is 3329 as of May 2020 compared to 2857 reported in the
March 2020 trustee report [1]. Moody's also noted that
approximately 29% and 4% of the portfolio par is from obligors
assigned negative outlooks or whose ratings are on review for
possible downgrade, respectively. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (after any
adjustments for negative outlook and watchlist for possible
downgrade) is approximately 22% as of May 2020. Furthermore,
Moody's calculated total collateral par balance, including
recoveries from defaulted securities, is $393.6 million, or $6.4
million less than the deal's ramp-up target par balance, and
Moody's calculated the over-collateralization ratios (excluding
haircuts) for the Class B-R, Class C-R, Class D-R and Class E-R
notes as of May 2020 at 120.0%,112.5%, 106.4% and 105.1%,
respectively.

The rating confirmation on the Series A/Class C notes reflects the
notes' position in the Issuer's capital structure and the level of
credit enhancement available to it from over-collateralization or
from cash flows that would be diverted as a result of coverage test
failures in the Underlying CLO. Additional credit enhancement is
also available from an interest trapping mechanism following the
occurrence of certain events. Upon a Cash-Trap Event, after payment
of interest on the Rated Notes, all remaining interest proceeds
from the Underlying CLO's notes and the pledged management fee will
be trapped in a cash-trap account. Cash-Trap Events include, but
are not limited to, failure of an OC test, deferral of interest on
certain of the Underlying CLO's notes, and certain collateral
manager-related events. Unless the Cash-Trap Event is cured,
amounts in the cash-trap account will be applied to repay the Rated
Notes at maturity or redemption.

This rating action also reflects a correction to Moody's modeling
of the transaction. In prior rating actions, the cash-trap
mechanism was incorrectly modeled to overfund the cash-trap account
by trapping amounts equal to 5% of any interest deferred on the
Underlying CLO's Class E-R notes, and to underfund the cash-trap
account by failing to trap pledged senior management fees and
instead using the un-trapped amounts to pay interest that should
have been deferred on the Rated Notes. These errors have now been
corrected, and its rating action reflects this change.

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

The key model inputs Moody's used in its analysis, such as the
Underlying CLO's par, weighted average rating factor, diversity
score and the weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. In its base case, Moody's analyzed the collateral pool of
the Underlying CLO as having a performing par and principal
proceeds balance of $393.6 million, defaulted par of $2.4 million,
a weighted average default probability of 26.49% (implying a WARF
of 3329), a weighted average recovery rate upon default of 48.23%,
a diversity score of 67 and a weighted average spread of 3.50%.
Moody's also analyzed the Underlying CLO by incorporating an
approximately $1.6 million par haircut in calculating the OC and
interest diversion test ratios.

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 corporate assets. 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 of the Rated Notes is subject to uncertainty in the
performance of the portfolio of related Underlying CLO, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The
Underlying CLO manager's investment decisions and management of the
transaction will also affect the performance of the rated
securities.

Methodology Underlying the Rating Action:

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


GLS AUTO 2020-2: S&P Rates Class D Notes 'BB- (sf)'
---------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Issuer Trust 2020-2's automobile receivables-backed notes series
2020-2.

The note issuance is an ABS transaction backed by subprime auto
loan receivables.

The ratings reflect S&P's view of:

-- The availability of approximately 50.8%, 41.9%, 35.9%, and
28.4% of credit support for the class A, B, C, and D notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 2.25x, 1.80x, 1.55x, and 1.22x S&P's 21.50%-22.50%
expected cumulative net loss (CNL) for the class A, B, C, and D
notes, respectively.

-- The expectations that under a moderate ('BBB') stress scenario
(1.55x S&P's expected loss level), all else being equal, its  'AA
(sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A,
B, C, and D notes, respectively, are consistent with the tolerance
outlined in its credit stability criteria "Methodology: Credit
Stability Criteria" published May 3, 2010. S&P's analysis of over
six years of origination static pool data and securitization
performance data on Global Lending Services LLC's nine Rule 144A
securitizations."

-- The collateral characteristics of the subprime automobile loans
securitized in this transaction, including the representation in
the transaction documents that all contracts in the pool have made
a least one payment.

-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization, a reserve account, and excess
spread for the class A, B, C, and D notes.

-- The timely interest and principal payments made to the notes
under S&P's stressed cash flow modeling scenarios, which it
believes are appropriate for the assigned ratings.

  RATINGS ASSIGNED

  GLS Auto Receivables Issuer Trust 2020-2

  Class    Rating          Amount (mil. $)
  A        AA (sf)                  163.23
  B        A (sf)                    41.45
  C        BBB (sf)                  24.15
  D        BB- (sf)                  25.30


GS MORTGAGE 2018-GS10: Fitch Affirms Class G-RR Certs at B-sf
-------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of GS Mortgage Securities
Trust 2018-GS10 Commercial Mortgage Pass-Through Certificates.

GSMS 2018-GS10

  - Class A-1 36250SAA7; LT AAAsf; Affirmed

  - Class A-2 36250SAB5; LT AAAsf; Affirmed

  - Class A-3 36250SAC3; LT AAAsf; Affirmed

  - Class A-4 36250SAD1; LT AAAsf; Affirmed

  - Class A-5 36250SAE9; LT AAAsf; Affirmed

  - Class A-AB 36250SAF6; LT AAAsf; Affirmed

  - Class A-S 36250SAJ8; LT AAAsf; Affirmed

  - Class B 36250SAK5; LT AA-sf; Affirmed

  - Class C 36250SAL3; LT A-sf; Affirmed

  - Class D 36250SAM1; LT BBBsf; Affirmed

  - Class E 36250SAR0; LT BBB-sf; Affirmed

  - Class F 36250SAT6; LT BB-sf; Affirmed

  - Class G-RR 36250SAV1; LT B-sf; Affirmed

  - Class X-A 36250SAG4; LT AAAsf; Affirmed

  - Class X-B 36250SAH2; LT AA-sf; Affirmed

  - Class X-D 36250SAP4; LT BBB-sf; Affirmed

KEY RATING DRIVERS

Stable Performance: The affirmations reflect the overall stable
pool performance and loss expectations since issuance. There have
been no delinquent or specially serviced loans since issuance. Two
loans (1.5% of the pool) are on the master servicer's watchlist for
outstanding reimbursements on servicer tax advances and upcoming
lease roll. No loans have been designated Fitch Loans of Concern.

Minimal Change in Credit Enhancement: As of the May 2020
distribution date, the pool's aggregate balance has paid down by
0.4% to $807.2 million from $810.7 million at issuance. No loans
have been paid off or defeased. At issuance, based on the scheduled
balance at maturity, the pool was expected to pay down by 5.2%.
Fourteen loans (60.6% of the pool), including 10 of the top 15
loans, are full-term IO and 10 loans (23.4%) remain in partial IO
periods. Loan maturities are concentrated in 2028 (82.6%), with
9.3% in 2023 and 8.1% in 2025.

Coronavirus Exposure: Two loans (2.5%) are secured by hotel
properties. The weighted average NOI debt service coverage ratio
for the hotel loans is 2.13x; these hotel loans could sustain a
decline in NOI of 53% before DSCR falls below 1.0x. Thirteen loans
(24.1%) are secured by retail properties, including two loans in
the top 15. The WA NOI DSCR for the retail loans is 2.34x; these
retail loans could sustain a decline in NOI of 55% before DSCR
falls below 1.0x. One loan, 3300 East 1st Avenue (3.0%), is secured
by a 97,770-sf mixed-use property located in Denver, CO. The
largest tenant Zone Athletic Clubs (27.2% of NRA) is temporarily
closed due to the ongoing coronavirus pandemic. Additional
coronavirus specific stresses were applied to two hotel loans,
three retail loans and one mixed-use loan; these additional
stresses did not affect the ratings or Outlooks.

Single Tenant Exposure: Four loans (23.2%) in the top 15 are
secured by single tenant properties or portfolios of single tenant
properties. The largest loan, GSK North American HQ (9.3%), is
secured by a 207,779-sf suburban office property located in the
Navy Yards district of Philadelphia, PA, approximately five miles
east of Philadelphia International Airport. The property was built
to suit for British pharmaceutical company GlaxoSmithKline (GSK;
Fitch rated 'A-/Stable') in 2013 at a total cost of $80 million.
GSK leases the entire building on a triple net basis through
September 2028, with two five-year extension options and no
termination options. The property serves as the finance,
communications, IT, HR, sales and marketing headquarters for GSK,
which has invested $70 million in the property since it was built.
The property is the first double LEED Platinum certified property
in Philadelphia and features an extensive amenities package
including a 10,300-sf cafeteria, coffee bar, central pantries,
fitness center and health clinic. The servicer-reported NOI DSCR
was 2.31x as of YE 2019. The loan is full-term IO.

The sixth largest loan, FXI Portfolio (5.3%), is secured by a
portfolio of seven manufacturing properties totaling 2.1 million-sf
and located across six U.S. states and the Mexican city of
Cuautitlán Izcalli. The portfolio is 100% occupied by FXI, an
American foam products manufacturer, through June 2038. The
servicer-reported NOI DSCR was 2.32x as of YE 2019. The seventh
largest loan, U.S. Industrial Portfolio (5.2%), is secured by a
portfolio of 11 single-tenant industrial properties totaling 2.7
million-sf and located across seven U.S. states. The portfolio is
occupied by nine different tenants including Dialog Direct (21.3%
of portfolio NRA; through March 2030), JIT Packaging (16.3%; June
2028) and Rohrer Corporation (13.9%; December 2025). The
servicer-reported NOI DSCR was 2.23x as of YE 2019. The eleventh
largest loan, Marina Heights State Farm (3.4%), is secured by the
leasehold interest in a 2.0 million-sf office property located in
Tempe, AZ that is 96.8% occupied by State Farm through at least
2032. The servicer-reported NOI DSCR was 2.60x as of YE 2019.

Credit Opinion Loan: Two loans, 1000 Wilshire (8.1%) and Aliso
Creek Apartments (7.8%), received investment-grade credit opinions
of 'BBB-sf*' on a stand-alone basis at issuance.

RATING SENSITIVITIES

Near-term rating changes are expected to be limited as indicated by
the sufficient CE, continued amortization and stable performance of
the pool as evidenced by the Stable Rating Outlooks assigned to
classes A-1 through G-RR.

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 pay down and/or defeasance.
Upgrades to the 'Asf' and 'AAsf' categories would likely occur with
significant improvement in CE and/or defeasance; however, adverse
selection, increased concentrations and further underperformance of
the FLOCs or loans expected to be negatively affected by the
coronavirus pandemic could cause this trend to reverse. Upgrades to
the 'BBBsf' category would also take into account 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 were likelihood for interest shortfalls.
Upgrades to the 'Bsf' and 'BBsf' categories are not likely until
the later years in a 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
CE to the classes.

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.
Downgrades to the 'Asf', 'AAsf' and 'AAAsf' categories are not
likely due to the position in the capital structure, but may occur
at the 'AAsf' and 'AAAsf' categories should interest shortfalls
occur. Downgrades to the 'BBsf' and 'BBBsf' categories would occur
should overall pool losses increase and/or one or more large loans
have an outsized loss, which would erode CE. Downgrades to the
'Bsf' category would occur should loss expectations increase due to
an increase in specially serviced loans and/or the loans vulnerable
to the coronavirus pandemic not stabilize. 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.
For more information on Fitch's original rating sensitivity on the
transaction, please refer to the new issuance report.

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).


HOME PARTNERS 2020-1: DBRS Finalizes B(High) Rating on Cl. F Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Single-Family
Rental Pass-Through Certificates (the Certificates) issued by Home
Partners of America 2020-1 Trust (the Issuer) as follows:

-- $108.6 million Class A at AAA (sf)
-- $26.8 million Class B at AA (high) (sf)
-- $13.8 million Class C at A (high) (sf)
-- $18.1 million Class D at A (low) (sf)
-- $18.1 million Class E at BBB (sf)
-- $17.4 million Class F at B (high) (sf)

The AAA (sf) rating on the Certificates reflects 51.88% of credit
enhancement provided by subordinated notes in the pool. The AA
(high) (sf), A (high) (sf), A (low) (sf), BBB (sf), and B (high)
(sf) ratings reflect 40.01%, 33.91%, 25.89%, 17.87%, and 10.18% of
credit enhancement, respectively.

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

The Certificates are supported by the income streams and values
from 941 rental properties. The properties are distributed across
20 states and 47 metropolitan statistical areas (MSAs) in the
United States. DBRS Morningstar maps an MSA based on the ZIP code
provided in the data tape, which may result in different MSA
stratifications than those provided in offering documents. As
measured by broker price opinion (BPO) value, 47.4% of the
portfolio is concentrated in three states: Georgia (17.8%),
Colorado (15.3%), and Texas (14.3%). The average postrenovation
price per property that the securitization asset company paid to
acquire the properties is $304,147, and the average value is
$307,642. The average age of the properties is roughly 26 years.
The majority of the properties have three or more bedrooms. The
Certificates represent a beneficial ownership in an approximately
five-year floating-rate interest-only loan with an initial
aggregate principal balance of approximately $202.6 million.

As in typical single-borrower/single-family rental transactions,
the waterfall has straight sequential payments with
reverse-sequential losses.

DBRS Morningstar's assumed base-case net cash flow (NCF) is
approximately $9.2 million, which is 37.4% lower than the Issuer's
underwritten NCF of about $14.8 million. Stressing the NCF during
the term of the loan and at the maturity date reflects worsening
economic conditions that are consistent with DBRS Morningstar's
rating stresses. The DBRS Morningstar's underwritten NCF as a
percentage of gross income of 42.6% is at the higher end of overall
securitizations from last year. Some of this is attributable to the
lower capital expenditure reserves due to high initial
rehabilitation costs the Issuer invested in the properties. DBRS
Morningstar also underwrote a slightly lower vacancy assumption as
all the properties in the pool will be occupied by June 1, 2020,
based on future lease start dates.

Vacancy data in the single-family rental space is relatively
limited. In general, based on performance data in existing
securitizations as well as information gathered in annual
property-manager reviews, vacancy is considered low in the
single-family rental market. However, because of the lease
expiration profile, DBRS Morningstar applied a base vacancy rate of
9%, an additional base vacancy adjustment related to the impact of
the Coronavirus Disease (COVID-19) pandemic, and a qualitative
adjustment that brought the vacancy rate to 12.3% of gross income,
which is more conservative than the underwritten economic vacancy
rate of 4.1% of the Issuer's gross income.

Additionally, DBRS Morningstar applied a stress to the BPOs
because, in general, a valuation based on a BPO may be less
comprehensive than a valuation based on a full appraisal.
Independent Settlement Services, LLC provided full appraisals for
60 properties in the pool, and DBRS Morningstar adjusted its
valuation stresses to account for full appraisals. In addition to
the BPO stress, DBRS Morningstar recently adjusted that stress
upward due to the impact of the coronavirus pandemic.

The transaction allows for discretionary substitutions of up to
5.0% of the number of properties as of the closing date, as long as
certain restrictions are met.

The Sponsor intends to satisfy its risk retention obligations under
the U.S. Risk Retention Rules by holding the Class G Certificates,
either directly or through a majority-owned affiliate.

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


HUNT COMMERCIAL 2017-FL1: DBRS Confirms B(low) Rating on E Notes
----------------------------------------------------------------
DBRS Limited confirmed the following classes of the secured
floating-rate notes issued by Hunt Commercial Real Estate Notes
2017-FL1, Ltd. as follows:

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the performance of the
transaction, which remains in line with DBRS Morningstar's
expectations at issuance. At issuance, the pool consisted of 23
interest-only floating-rate loans secured by 36 transitional
properties totaling $279.4 million, excluding the $15.5 million of
future funding and additional ramp-up commitment. The transaction
had a Reinvestment Period of 30 months from closing, which is
subject to rating agency conditions by DBRS Morningstar. The
Reinvestment Period has now expired, and the transaction is paying
sequentially. As of the May 2020 remittance, the pool consisted of
28 interest-only floating-rate loans, representing a total
aggregate principal balance of $340.6 million. The loans are
secured by cash flowing assets, most of which are in a period of
transition with plans to stabilize and improve the asset value.

As of the May 2020 remittance, there are no loans on the servicer's
watchlist or in special servicing. The collateral is heavily
weighted toward multifamily properties, with 25 of the 28 loans
secured by traditional multifamily properties. The majority of
these loans' business plans contemplate interior and exterior
renovations to increase rental rates and occupancy. The largest
loan in the pool, CRA SH Portfolio (Prospectus ID#38, 9.9% of the
pool), is secured by a portfolio of four student housing properties
in Texas, Washington, Tennessee, and Georgia. As of March 2020, the
loan's business plan, which entailed $9.3 million of interior and
exterior improvements, was 96.8% completed. The portfolio was 39.2%
preleased for the fall semester at a rental rate of $587 per bed.
The improvements have led to higher rental rates; however, the
portfolio may struggle to increase its occupancy from its YE2019
rate of 77.6% during the Coronavirus Disease (COVID-19) pandemic.

The Linc (Prospectus ID#42, 4.9% of the pool) is the only loan in
the pool secured by a retail property. The subject is a community
retail center in Austin, Texas, which the sponsor originally
acquired in 2013 in a real estate owned sale. The sponsor's vision
was to rebrand the property with an emphasis on restaurants, patio
dining, and entertainment. The loan’s business plan is focused on
leasing up the property to a stabilized occupancy rate of 92.5%
through a total tenant improvement reserve of approximately $23 per
square foot. As of March 2020, the property was 69.0% occupied with
three additional tenants, comprising 4.3% of the net rentable area,
signed to leases with future start dates. The property has
experienced some decline in collections because of the coronavirus;
however, the loan remains current, and Texas has begun to open for
business. For additional information on these loans, please see the
respective loan commentaries on the DBRS Viewpoint platform.

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


JP MORGAN 2011-C5: Moody's Cuts Class G Certs to 'C'
----------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
and downgraded the ratings on five classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2011-C5, Commercial Mortgage
Pass-Through Certificates, Series 2011-C5 as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Mar 4, 2020 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aaa (sf); previously on Mar 4, 2020 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Mar 4, 2020 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa1 (sf); previously on Mar 4, 2020 Affirmed Aa1
(sf)

Cl. C, Affirmed A1 (sf); previously on Mar 4, 2020 Affirmed A1
(sf)

Cl. D, Downgraded to B1 (sf); previously on Apr 17, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. E, Downgraded to Caa1 (sf); previously on Apr 17, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. F, Downgraded to Caa3 (sf); previously on Apr 17, 2020 Caa1
(sf) Placed Under Review for Possible Downgrade

Cl. G, Downgraded to C (sf); previously on Apr 17, 2020 Ca (sf)
Placed Under Review for Possible Downgrade

Cl. X-A*, Affirmed Aaa (sf); previously on Mar 4, 2020 Affirmed Aaa
(sf)

Cl. X-B*, Downgraded to Caa1 (sf); previously on Apr 17, 2020 B3
(sf) Placed Under Review for Possible Downgrade

* Reflects interest-only classes

RATINGS RATIONALE

The ratings on five 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 were downgraded due to the decline
in the performance of the Asheville Mall loan (17% of the pool),
and anticipated losses from specially serviced loans.

The rating on one IO class (Cl. X-A) was affirmed based on the
credit quality of the referenced classes.

The rating on one IO class (Cl. X-B) was downgraded due to a
decline in the credit quality of its referenced 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 11.6% of the
current pooled balance, compared to 8.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.9% of the
original pooled balance, compared to 4.1% 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 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 63% to $377 million
from $1.03 billion at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from less than
1% to 35% 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 five, compared to a Herf of six at Moody's last
review.

As of the May 2020 remittance report, loans representing 92% were
current or within their grace period on their debt service
payments, and 1% were beyond their grace period but less than 30
days delinquent.

Six loans, constituting 60% of the pool, are on the master
servicer's watchlist, of which 3 loans, representing 54% 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.

Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $6.5 million (for an average loss
severity of 26%). One loan, constituting 7% of the pool, is
currently in special servicing. The specially serviced loan is the
LaSalle Select Portfolio ($27.9 million -- 7.4% of the pool), which
was originally secured by a portfolio of four office buildings
located in suburban Atlanta, Georgia. The loan transferred to
special servicing in December 2017 for imminent default and
foreclosed in November 2018. One property was marketed for sale and
sold in August 2019.

Moody's received full year 2018 operating results for 95% of the
pool, and full or partial year 2019 operating results for 77% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 103%, compared to 85% 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 30% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 10%.

Moody's actual and stressed conduit DSCRs are 1.55X and 1.15X,
respectively, compared to 1.75X and 1.30X 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 68% of the pool balance. The
largest loan is the InterContinental Hotel Chicago Loan ($131
million -- 35% of the pool), which is secured by a 792-key
full-service hotel located on North Michigan Avenue in Chicago,
Illinois. The property includes over 25,000 square feet of meeting
space, a steakhouse restaurant, full-service spa, and an indoor
pool. The occupancy dropped to 65% for the trailing twelve months
ending December 2019 compared to 67% for the TTM ending June 2018
and 77% at securitization. Moody's LTV and stressed DSCR are 125%
and 0.91X, respectively, compared to 106% and 1.05X at the last
review.

The second largest loan is the Asheville Mall Loan ($63.0 million
-- 16.7% of the pool), which is secured by a 324,000 SF component
of a larger regional mall located in Asheville, North Carolina. The
mall anchors include Dillard's (non-collateral), JC Penney
(non-collateral), Belk (non-collateral) and a former Sears. The
collateral was 96% leased as of September 2019 compared to 97%
leased as of December 2018. The loan sponsor indicated that, for
tenants with less than 20,000 SF, tenant sales dropped to $363 PSF
in 2019 from $371 PSF in 2018, and in-line occupancy dropped to 87%
in 2019 from 91% in 2018 and 98% in 2016. Sears closed its store at
the mall in summer 2018 and the owner of the former Sears space has
announced plans for a redevelopment of the non-collateral dark
anchor space and adjoining land. Property performance has trended
down with the NOI declining approximately 21% since 2017. The mall
has opened for business after being temporarily closed due to
coronavirus. Moody's LTV and stressed DSCR are 130% and 0.98X,
respectively, compared to 90% and 1.23X at the last review.

The third largest loan is the SunTrust Bank Portfolio Loan ($61.0
million -- 16.2% of the pool), which is secured by 78 bank branch
properties located in several Eastern U.S. states from Maryland to
Florida. The properties are 100% leased to Sun Trust as part of a
master lease agreement which had an initial term ending in December
2017. Following the master lease renewal 43 properties have been
released from the loan collateral with a commensurate principal
curtailment. Moody's LTV and stressed DSCR are 63% and 1.54X,
respectively, the same as at the last review.


LOANCORE 2019-CRE2: DBRS Confirms B(low) Rating on Class G Notes
----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
floating-rate notes issued by LoanCore 2019-CRE2 Issuer Ltd. (the
Issuer):

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. In its analysis of the transaction,
DBRS Morningstar applied probability of default (POD) adjustments
to loans with confirmed issues partially related to the stressed
real estate environment caused by the Coronavirus Disease
(COVID-19) pandemic. Because of the transitional nature of the
underlying collateral, proposed business plans that are necessary
to bring the assets to stabilization may be delayed, and, in some
cases, borrowers have requested relief from the issuer. DBRS
Morningstar has built an additional POD stress into its analysis of
this transaction and, based on currently available information,
expects the rated classes to be insulated from adverse credit
implications at this time, warranting the rating confirmations.

At issuance, the pool consisted of 33 floating-rate mortgages
secured by 49 transitional properties totaling approximately $1,057
million, excluding approximately $120.2 million of future funding
commitments. The transaction is structured with an initial 24-month
Reinvestment Period whereby the Issuer may acquire additional loans
or include additional future funding participations and funded
companion participations, with principal repayment proceeds. As of
the May 2020 remittance, the trust consists of 29 loans with an
aggregate principal balance of $1,050 million and approximately
$99.4 million in unfunded future funding commitments. There are 18
loans, representing 67.9% of the aggregate principal balance, that
are pari passu notes securitized in the LoanCore 2019-CRE3
transaction, also rated by DBRS Morningstar. To date, 22 of the
original 33 loans, representing 77.6% of the current transaction
balance, remain in the pool. There have been seven newly acquired
loans that have been added to the trust since issuance, along with
two loans that have contributed additional companion participations
to the trust.

Per the May 2020 remittance, there are no loans in special
servicing; however, there are two loans (2.8% of the pool) on the
servicer's watchlist. According to the latest reporting, one loan
(1.5% of the pool) is listed as 30 to 59 days delinquent. The loans
on the watchlist, The Cigar Factory (Prospectus ID#26, 1.3% of the
pool) and 955 East Arques (Prospectus ID#28, 1.2% of the pool),
were flagged for upcoming maturity dates in June and July 2020,
respectively. Both loans have 12-month extension options available
to the borrower; however, DBRS Morningstar is awaiting confirmation
from the collateral manager regarding the borrowers' plans. The
delinquent loan, 100 Lincoln Road (Prospectus ID#23, 1.5% of the
pool), is secured by a 15,895-sf retail property in Miami Beach,
Florida, which is 100% vacant. The borrower has requested relief on
payments after Five Guys indicated it would be extending its lease
commencement date by up to nine months, for a 4,020-sf corner space
at the property.

DBRS Morningstar is also monitoring other pivotal loans in the
transaction surrounding potential challenges in the execution of
business plans to achieve stabilization. The largest loan, 183
Madison Avenue (Prospectus ID#2, 8.8% of the pool), is secured by a
266,418-sf office property in Midtown Manhattan. While the property
has experienced an increase in occupancy to 86.9% from 74.1% at
issuance, the collateral manager has indicated that only 65% of
tenants paid rent in April 2020. While specifics on rent
collections have not yet been confirmed, the property has a notable
concentration of fashion-, design-, and decor-related tenants, in
addition to WeWork, Inc. (11.7% of the net rentable area), whose
future remains unclear amid location closures and ongoing issues
with its controlling member, Softbank Group Corp. (Softbank). The
borrower requested full forbearance for May, June, and July 2020
debt service payments.

The Austin Ballpark loan (Prospectus ID#18, 1.9% of the pool) is
secured by a 2,286-bed student-housing portfolio in the East River
Corridor (ERC) of Austin, Texas. The borrower recently received
approval from the city council to increase development on its
portfolio of assets that includes the three properties securing
this loan. The sponsor was planning to convert the existing
portfolio into traditional multifamily assets given the competitive
ERC market conditions for student housing; however, the business
plan remains unclear in the interim. The portfolio experienced a
decline in occupancy to 77.5% in February 2020, while cash flow
declined to $1.2 million, representing a 77.6% variance from the
Issuer's Stabilized NCF of $6.9 million given the increases in
operating expenses and a decline in effective gross income.

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


LOANCORE 2019-CRE3: DBRS Confirms B(low) Rating on Class F Notes
----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
floating-rate notes issued by LoanCore 2019-CRE3 Issuer Ltd. (the
Issuer):

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since issuance. In its analysis of the transaction,
DBRS Morningstar applied probability of default (POD) adjustments
to loans with confirmed issues partially related to the stressed
real estate environment caused by the Coronavirus Disease
(COVID-19) pandemic. Because of the transitional nature of the
underlying collateral, proposed business plans that are necessary
to bring the assets to stabilization may be delayed, and, in some
cases, borrowers may request relief from the issuer. DBRS
Morningstar has built an additional POD stress into its analysis of
this transaction and, based on currently available information,
expects the rated classes to be insulated from adverse credit
implications at this time, warranting the rating confirmations.

At issuance, the pool consisted of 22 floating rate mortgages
secured by 38 mostly transitional properties at a balance of $415.9
million, excluding $60.7 million of future funding commitments and
$52.2 million of funded companion participations. The transaction
is structured with a Funded Companion Acquisition Period, where the
Issuer may acquire funded Future Funding Participations and Funded
Companion Participations with principal repayment proceeds. As of
the May 2020 remittance, the trust consists of 18 loans with an
aggregate principal balance of $410.5 million, with approximately
$40.2 million in unfunded future funding commitments. All loans in
the pool represent pari passu notes securitized in the LoanCore
2019-CRE2 transaction, also rated by DBRS Morningstar.

Per the May 2020 remittance, there are no loans in special
servicing and two loans (5.0% of the pool) on the servicer’s
watchlist. According to the latest reporting, one loan (3.7% of the
pool) is listed as 30 to 59 days delinquent. The loans on the
watchlist, The Cigar Factory (Prospectus ID#17, 2.6% of the pool)
and 955 East Arques (Prospectus ID#18, 2.4% of the pool), were
flagged for upcoming maturity dates in June and July 2020,
respectively. Both loans have 12-month extension options available
to the borrowers; however, DBRS Morningstar is awaiting an update
from the collateral manager. The delinquent loan, 100 Lincoln Road
(Prospectus ID#11, 3.7% of the pool), is secured by a 15,895-sf
retail property in Miami Beach, Florida, which is 100% vacant. The
borrower has requested relief on payments after Five Guys indicated
it would be extending its lease commencement date by up to nine
months, for a 4,020-sf corner space at the property.

Additionally, DBRS Morningstar continues to monitor pivotal loans
in the transaction surrounding potential challenges in the
execution of business plans to achieve stabilization. The
second-largest loan, 183 Madison Avenue (Prospectus ID#2, 14.6% of
the pool), is secured by a 266,418-sf office property in Midtown
Manhattan. While the property has experienced an increase in
occupancy to 86.9% from 74.1% at issuance, the collateral manager
has indicated that only 65% of tenants paid rent in April 2020.
While specifics on rent collections have not yet been confirmed,
the property has a notable concentration of fashion-, design-, and
decor-related tenants, in addition to WeWork, Inc. (11.7% of the
net rentable area), whose future remains unclear amid location
closures and ongoing issues with its controlling member, Softbank
Group Corp. (Softbank). The borrower requested full forbearance for
May, June, and July 2020 debt service payments.

The Austin Ballpark loan (Prospectus ID#12, 4.9% of the pool) is
secured by a 2,286-bed student-housing portfolio in the East River
Corridor (ERC) of Austin, Texas. The sponsor recently received
approval from the city council to increase development on its
portfolio of assets that includes the three properties secured in
this loan. The sponsor is likely to convert the existing portfolio
into traditional multifamily assets given the competitive ERC
market conditions for student housing; however, the business plan
remains unclear in the interim. The portfolio experienced a decline
in occupancy to 77.5% in February 2020, while cash flow has
declined to $1.2 million, representing a 77.6% variance from the
Issuer's Stabilized NCF of $6.94 million, given increases in
operating expenses and a decline in effective gross income.

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


MORGAN STANLEY 2007-TOP27: Fitch Hikes Rating on Class C Certs to B
-------------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 13 classes of
Morgan Stanley Capital I Trust, commercial mortgage pass-through
certificates, series 2007-TOP27.

Morgan Stanley Capital I Trust 2007-TOP27

  - Class A-J 61754JAH1; LT Asf; Upgrade

  - Class AW34 61754JAZ1; LT AAAsf; Affirmed

  - Class B 61754JAK4; LT BBBsf; Affirmed

  - Class C 61754JAL2; LT Bsf; Upgrade

  - Class D 61754JAM0; LT Dsf; Affirmed

  - Class E 61754JAN8; LT Dsf; Affirmed

  - Class F 61754JAP3; LT Dsf; Affirmed

  - Class G 61754JAQ1; LT Dsf; Affirmed

  - Class H 61754JAR9; LT Dsf; Affirmed

  - Class J 61754JAS7; LT Dsf; Affirmed

  - Class K 61754JAT5; LT Dsf; Affirmed

  - Class L 61754JAU2; LT Dsf; Affirmed

  - Class M 61754JAV0; LT Dsf; Affirmed

  - Class N 61754JAW8; LT Dsf; Affirmed

  - Class O 61754JAX6; LT Dsf; Affirmed

KEY RATING DRIVERS

Improved Loss Expectations: The upgrade to class A-J reflects the
conservative recovery of the 360 Park Avenue South loan (98.8% of
current pool balance) required to repay the class in full. The
upgrade to class C reflects improved loss expectations for the pool
since Fitch's last rating action due to better-than-expected
recoveries from the disposition of two specially serviced
loans/assets, Residence Inn - Herndon and 207 Tradewinds Blvd.
(combined, 13.6% of the last rating action pool balance). The
remaining pool consists of two loans, 360 Park Avenue South, and
Broadmoor Mini Storage (1.2%); both of which have exhibited stable
performance.

Classes A-J, B and C are reliant on the recovery of the 360 Park
Avenue South loan, which is secured by a 20-story, 451,800-sf
office property located in Manhattan on the southwest corner of
Park Avenue and East 26th Street. The loan matures in March 2022.
The property is 100% leased to RELX Group (formerly Reed Elsevier;
'BBB+'; Rating Outlook Stable by Fitch) through December 2021. In
2016, the single tenant vacated the property and relocated its
headquarters from the subject property to the Helmsley Building in
Midtown Manhattan. The property is currently fully subleased by 11
tenants, all through December 2021. Per the servicer, there are
currently no prospective tenants at this time. The borrower will be
replacing the roof at a cost of $1.5 million. The servicer-reported
NOI DSCR was 1.77x in 2019, compared with 1.74x in 2018 and 1.81x
in 2017. To fully repay classes A-J, B and C, recoveries on the
loan of $247 psf, $367 psf and $435 psf, respectively, are needed,
which is low relative to recent sales comparable averaging $828 psf
per Reis as of May 2020.

The Broadmoor Mini Storage loan is secured by a 556-unit
self-storage facility located in Meridian, MS. The property was
100% occupied at YE 2019, compared with 94% in 2018 and 90% in
2017. The servicer-reported NOI DSCR was 1.24x in 2019, compared
with 1.23x in 2018 and 1.31x in 2017. The loan matures in June
2022.

Changes in Credit Enhancement: As of the May 2020 distribution
date, the pool's aggregate principal balance has been reduced by
92.3% to $210 million from $2.72 billion at issuance. Realized
losses to date total 6.3% of the original pool balance. Interest
shortfalls currently impact classes E, G through J and M through P.
The three remaining loans mature between March and June 2022. As a
result of continued amortization and the liquidation of two
specially serviced loans/assets, credit enhancement increased for
class A-J and decreased for classes B and C since Fitch's last
rating action.

Concentrated Pool: Due to the concentrated nature of the pool,
Fitch performed a sensitivity analysis that grouped the remaining
loans based on the likelihood of repayment. The ratings reflect
this analysis.

Coronavirus Impact: Fitch will continue to monitor the on-going
stabilization of the 360 Park Avenue South property, where the
single tenant's lease matures in December 2021, and the impact of
the coronavirus pandemic on Manhattan office leasing and sales
activity. This is mitigated by the low loan psf of $459.

AW34 Rake: Class AW34 is reliant on the 330 West 34th Street
non-pooled component. Performance has remained stable since
issuance. The loan is collateralized by a 46,412-sf parcel of land,
which is ground-leased to Vornado Realty Trust ('BBB'; Rating
Outlook Stable) on a triple-net basis until 2149. The parcel is
improved with an 18-story, 636,915-sf office property located in
Manhattan, NY.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Factors that may lead to further upgrades to classes A-J and C
and/or an upgrade to class B, which are all reliant on the largest
loan in the pool, include a full defeasance of the 360 Park Avenue
South loan or significant positive leasing momentum and
stabilization of the property prior to loan maturity, coupled with
further clarity on the impact of the coronavirus pandemic on
Manhattan office leasing and valuation. An upgrade of class D is
not possible as the class has already incurred a principal loss.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Factors that may lead to downgrades include an increase in pool
level losses stemming from significant performance deterioration of
the largest loan in the pool. Downgrades to classes A-J and B are
not considered likely due to the low recoveries needed on the 360
Park Avenue South loan for these classes to repay in full relative
to significantly higher recent comparable sales. A downgrade of
class C may occur with significant occupancy/cash flow decline for
the 360 Park Avenue South property and/or a default of the loan at
or prior to maturity due to a prolonged or lack of property
stabilization.

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.


MORGAN STANLEY 2013-C10: Moody's Lowers Class F Certs to B3
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on nine classes
and downgraded the ratings on five classes in Morgan Stanley Bank
of America Merrill Lynch Trust 2013-C10, Commercial Mortgage
Pass-Through Certificates Series 2013-C10 as follows:

Cl. A-SB, Affirmed Aaa (sf); previously on Aug 27, 2019 Affirmed
Aaa (sf)

Cl. A-3, Affirmed Aaa (sf); previously on Aug 27, 2019 Affirmed Aaa
(sf)

Cl. A-3FL, Affirmed Aaa (sf); previously on Aug 27, 2019 Affirmed
Aaa (sf)

Cl. A-3FX, Affirmed Aaa (sf); previously on Aug 27, 2019 Affirmed
Aaa (sf)

Cl. A-4, Affirmed Aaa (sf); previously on Aug 27, 2019 Affirmed Aaa
(sf)

Cl. A-5, Affirmed Aaa (sf); previously on Aug 27, 2019 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aaa (sf); previously on Aug 27, 2019 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa3 (sf); previously on Aug 27, 2019 Affirmed Aa3
(sf)

Cl. C, Downgraded to Baa1 (sf); previously on Apr 17, 2020 A3 (sf)
Placed Under Review for Possible Downgrade

Cl. D, Downgraded to Ba2 (sf); previously on Apr 17, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Cl. E, Downgraded to B1 (sf); previously on Apr 17, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. F, Downgraded to B3 (sf); previously on Apr 17, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. X-A*, Affirmed Aaa (sf); previously on Aug 27, 2019 Affirmed
Aaa (sf)

Cl. PST**, Downgraded to A1 (sf); previously on Apr 17, 2020 Aa3
(sf) Placed Under Review for Possible Downgrade

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

The ratings on eight P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.

The ratings on four P&I classes were downgraded due to higher
anticipated losses as a result of a decline in pool performance and
the deal's significant exposure to Class B regional malls. Three
regional malls make up 19% of the pooled balance and include
Westfield Citrus Park (10% of the pool); Southdale Center (7.1% of
the pool) and The Mall at Tuttle Crossing (2% of the pool).

The rating on the IO class was affirmed based on the credit quality
of the referenced classes.

The rating on class (PST) was downgraded due to the decline in
credit quality of its 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 7.7% of the
current pooled balance. Moody's base expected loss plus realized
losses is now 6.6% of the original pooled balance.

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 2020 distribution date, the transaction's aggregate
certificate balance has decreased by 14% to $1.28 billion from
$1.49 billion at securitization. The certificates are
collateralized by 68 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans (excluding
defeasance) constituting 54% of the pool. One loan, constituting
0.7% of the pool, is secured by a residential cooperative building
overlooking in Manhattan, NY and has an investment-grade structured
credit assessment of aaa (sca.pd). Seven loans, constituting 14% 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 19, compared to 21 at Moody's last review.

As of the May 2020 remittance report, loans representing 63% were
current or within their grace period on their debt service
payments, 30% were beyond their grace period but less than 30 days
delinquent and 7% were between 30 -- 59 days delinquent.

Twenty-four loans, constituting 46% of the pool, are on the master
servicer's watchlist, of which 17 loans, representing 32% 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 (CREFC) monthly reporting package. As
part of Moody's ongoing monitoring of a transaction, the agency
reviews the watchlist to assess which loans have material issues
that could affect performance.

No loans have been liquidated from the pool and no loans are
currently in special servicing.

Moody's has assumed a high default probability for four poorly
performing loans secured by either retail or hotel properties,
constituting 18% of the pool. All four troubled loans were already
experiencing significant declines in 2019 net operating income
(NOI) as compared to securitization. The loans include two regional
malls, Westfield Citrus Park (10% of the pool) and Mall at Tuttle
Crossing (2% of pool) which are discussed. The other two loans are
the Hotel Oceana Santa Monica (3% of the pool) which was previously
closed for renovations and Summerhill Square (2% of the pool) a
retail center in Middlesex, NJ.

Moody's received full year 2019 operating results for 96% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 107%, compared to 101% 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 20% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.6%.

Moody's actual and stressed conduit DSCRs are 1.68X and 1.03X,
respectively, compared to 1.71X and 1.12X 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 27% of the pool balance. The
largest loan is the Westfield Citrus Park Loan ($127.8 million --
10% of the pool), which is secured by the borrower's 506,914 square
foot (SF) interest in a 1.1 million SF regional mall located in
northwest Tampa, Florida. The mall's current non-collateral anchors
include Dillard's, Macy's and J.C. Penney. One tenant, Sear's
(non-collateral), closed its location in 2019 and the space remains
vacant. J.C. Penney declared chapter 11 bankruptcy in May 2020,
however, this location is not on their recently announced list of
closures. The largest collateral tenants include a 20-screen Regal
Cinemas, 17% of the NRA with a lease expiration in 2024 and Dick's
Sporting Goods, 10% of NRA with a lease expiration in 2023. The
Regal Cinema movie theater has historically performed poorly,
generating sales of less than $300,000 per screen. As of December
2019, the collateral was 81% leased, down from 92% leased the year
prior. Property performance has declined annually since 2015 due to
declining revenues. The 2019 net operating income (NOI) declined
16% as compared to 2018 and is now 31% below the 2013 reported NOI.
Additionally, the property's major competition includes
International Plaza and Westshore Plaza, both located 11 miles from
the property. This loan has amortized over 13% since securitization
and matures in June 2023. The loan is last paid through its April
2020 payment date and due to the declining performance and
competition in the area, Moody's considers this a troubled loan.

The second largest loan is the Milford Plaza Fee Loan ($110 million
-- 8.6% of the pool), which represents a pari passu interest in a
$275 million first mortgage. The loan is secured by the ground
lease on the land beneath the Row NYC Hotel, formerly the Milford
Plaza Hotel -- a 28-story, 1,331 key full-service hotels located in
Midtown Manhattan. The triple net (NNN) ground lease commenced in
2013, expires in 2112 and includes annual CPI rent increases. The
tenant has purchase options at the end of years 10, 20 and 30.
Moody's analysis considered the value of the non-collateral
improvements that the leased fee interest underlies when assessing
the risk of the loan, as the subject loan is senior to any debt on
the improvements. Due to the decline in performance of the
non-collateral improvements, Moody's has removed its investment
grade structured credit assessment on this loan. The loan is last
paid through its April 2020 payment date and is on the watchlist
due to the borrower's request for relief in relation to COVID-19
relief. Moody's LTV for the loan reflecting the value of the land
collateral is 120%.

The third largest loan is the 500 North Capitol Loan ($105 million
-- 8.2% of the pool), which is secured by a 233,000 SF, Class A
office building located in downtown Washington, DC. As of December
2016, the property was 100% leased, compared to 93% in December
2015 and 85% at securitization. The largest tenant at the property,
McDermott Will & Emery LLP, comprises over 80% of the net rentable
area (NRA) and has a lease expiration in September 2027. Due to the
single tenant concentration, Moody's utilized a lit/dark analysis.
This loan is interest-only throughout the loan term and Moody's LTV
and stressed DSCR are 117% and 0.91X, respectively, unchanged from
the prior review.

The deal contains two other notable regional malls including the
Southdale Center Loan ($90.3 million -- 7.1% of the pool), which
represents a pari-passu interest in a $140 million loan. The loan
is secured by a 635,000 square foot component of a 1.23 million
square foot super-regional mall located in Edina, Minnesota,
approximately 9 miles south of Minneapolis. While the property is
located only six miles away from the Mall of America, the property
serves local consumers, while the Mall of America is considered to
be a tourist shopping destination. The mall is currently anchored
by a Macy's (non-collateral) and a 12-screen American Multi-Cinema
movie theater. The property has experienced multiple big box
closures including Herberger's in August 2018, and JC Penney
(non-collateral) and Gordmans (44,087 SF) in 2017. The total mall
was 73% leased as of December 2019. The in-line occupancy was 72%,
compared to 77% in December 2018 and 84% in December 2016. The
property is owned and managed by Simon Property Group. The former
JC Penney space was backfilled by a 200,000 SF LifeTime Fitness &
Life Time Work, which opened in December 2019 and various
restaurants. The property's historical NOI improved significantly
through 2017, however, due to declining revenues, the property NOI
has decline annually in both 2018 and 2019. The loan benefits has
amortized nearly 10% since securitization and Moody's LTV and
stressed DSCR are 123% and 0.86X, respectively, compared to 113%
and 0.94X at Moody's last review.

The other notable regional mall is the Mall at Tuttle Crossing
($27.7 million -- 2.2% of the pool), which represents a pari-passu
portion of a $115 million loan. The loan is secured by a 385,000
square foot (SF) component of an approximately 1.13 million square
foot (SF) super-regional mall located in Dublin, Ohio approximately
17 miles northwest of Columbus. The mall is currently anchored by
JC Penney, Scene 75 and Macy's (all three of which are
non-collateral). Scene 75, an indoor entertainment center,
backfilled the former Macy's Home Store (20% of total mall NRA)
that closed in 2017. The mall currently has one non-collateral
vacant anchor space, a former Sears (149,000 SF), that vacated in
early 2019. The collateral portion was 70% leased per April 2020
rent roll, compared to 76% leased as of June 2019 and 88% in
December 2015. The mall has suffered from declining in-line
occupancy which dropped to 64% in April 2020, compared to 71% in
June 2019 and 82% in December 2017. Several national brands that
vacated over the last two years include Abercrombie & Fitch, The
Limited, Men's Wearhouse, Panera Bread, Starbucks, The Gap, Godiva
Chocolatier, Perfumania, Sleep Number, Teavana, The Body Shop,
bareMinerals and White House/Black Market. Due to declining
revenues, the property's NOI declined significantly annual in both
2019 and 2018 and the 2019 NOI was nearly 26% lower than
underwritten levels. The loan sponsor, Simon Property Group,
recently classified this mall under their "Other Properties." The
loan has amortized 8% since securitization and matures in May 2023.
Due to the continued decline in performance, Moody's has identified
this as a troubled loan.


MORGAN STANLEY 2013-C11: Moody's Cuts Class E Certs to Caa3
-----------------------------------------------------------
Moody's Investors Service has affirmed five classes, downgraded one
class, places one class on review for downgrade and downgrades five
classes that remain under review for downgrade in Morgan Stanley
Bank of America Merrill Lynch Trust 2013-C11, Commercial Mortgage
Pass-Through Certificates as follows:

Cl. A-AB, Affirmed Aaa (sf); previously on September 30, 2019
Affirmed Aaa (sf)

Cl. A-3, Affirmed Aaa (sf); previously on September 30, 2019
Affirmed Aaa (sf)

Cl. A-4, Affirmed Aaa (sf); previously on September 30, 2019
Affirmed Aaa (sf)

Cl. A-S, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on September 30, 2019 Affirmed Aaa (sf)

Cl. B, Downgraded to Baa1 (sf) and Remains On Review for Possible
Downgrade; previously on April 17, 2020 A1 (sf) Placed Under Review
for Possible Downgrade

Cl. C, Downgraded to Ba3 (sf) and Remains On Review for Possible
Downgrade; previously on April 17, 2020 Baa2 (sf) Placed Under
Review for Possible Downgrade

Cl. D, Downgraded to Caa2 (sf) and Remains On Review for Possible
Downgrade; previously on April 17, 2020 B1 (sf) Placed Under Review
for Possible Downgrade

Cl. E, Downgraded to Caa3 (sf) and Remains On Review for Possible
Downgrade; previously on April 17, 2020 Caa1 (sf) Placed Under
Review for Possible Downgrade

Cl. F, Downgraded to C (sf); previously on April 17, 2020 Caa3 (sf)
Placed Under Review for Possible Downgrade

Cl. G, Affirmed C (sf); previously on September 30, 2019 Affirmed C
(sf)

Cl. X-A*, Affirmed Aaa (sf); previously on September 30, 2019
Affirmed Aaa (sf)

Cl. PST**, Downgraded to Baa3 (sf) and Remains On Review for
Possible Downgrade; previously on April 17, 2020 A2 (sf) Placed
Under Review for Possible Downgrade

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

The ratings on three P&I classes, Class A-AB, Class A-3 and Class
A-4, were affirmed because the transaction's key metrics, including
Moody's loan-to-value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the transaction's Herfindahl Index
(Herf), are within acceptable ranges. The rating on Class G was
affirmed because the rating is consistent with Moody's expected
loss plus realized losses. Class G has already experienced a 50%
loss from a previously liquidated loan.

The ratings on five P&I classes, Class B, Class C, Class D, Class E
and Class F, were downgraded due to a decline in pool performance
and higher anticipated losses, driven primarily by the three
largest loans in the pool. The three largest loans represent 40% of
the outstanding pooled balance and are secured by regional malls
that have experienced declining net operating income (NOI). The
loans include Westfield Countryside, The Mall at Tuttle Crossing
and Southdale Center. Furthermore, the credit support of these four
classes has declined due to the significant losses from the
previously liquidated Matrix Corporate Center loan.

The ratings on Cl. A-S was placed on review for possible downgrade,
and the ratings on four P&I classes, Class B, Class C, Class D and
Class E remain on review for possible downgrade due to the
significant exposure and uncertainty around the future performance
of the three largest loans in the pool secured by regional malls.

The rating on the IO class, Class X-A, was affirmed based on the
credit quality of the referenced classes.

The rating on the exchangeable class, Class PST, was downgraded and
remains on review for possible downgrade due to a decline in the
credit quality of the referenced exchangeable classes and those
referenced P&I classes were placed on review for possible
downgrade.

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 8.4% of the
current pooled balance, compared to 2.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 11.0% of the
original pooled balance, compared to 7.1% 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 15, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 32% to $585.8
million from $856.3 million at securitization. The certificates are
collateralized by 30 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans (excluding
defeasance) constituting 72% of the pool. Five loans, constituting
12% 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 11 at Moody's last review.

As of the May 15, 2020 remittance report, loans representing only
46% of the pool, by balance, were current or within their grace
period on debt service payments, 52% were beyond their grace period
but less than 30 days delinquent and 1% were 30-45 days
delinquent.

Six loans, constituting 19% 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, the Matrix Corporate Center loan, has been liquidated
from the pool, resulting in a significant realized loss of $45.5
million (for a loss severity of 78%). The loss has caused a decline
in credit support for several of the P&I classes as compared to
securitization. There are no loans currently in special servicing.

Moody's received full year 2018 operating results for 100% of the
pool, and full or partial year 2019 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 113%, compared to 106% 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 (NOI). Moody's value reflects a
weighted average capitalization rate of 10.2%.

Moody's actual and stressed conduit DSCRs are 1.36X and 1.03X,
respectively, compared to 1.50X and 1.08X 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 are each secured by regional malls and
together represent 40% of the pool balance. As of the May
remittance report, all three of these loans did not yet make their
May debt service payments.

The largest loan is the Westfield Countryside Loan ($96.6 million
-- 16.5% of the pool), which represents a pari-passu portion of a
$149.8 million mortgage loan. The loan is secured by a 465,000
square foot (SF) component of an approximately 1.26 million square
foot (SF) super-regional mall located in Clearwater, Florida
approximately 20 miles west of Tampa. The mall is anchored by
Dillard's, Macy's and JC Penney, all of which are non-collateral.
Sears (non-collateral) initially downsized its location in 2014 and
closed the remainder of its space in 2018. The former Sears space
was partially backfilled by a Whole Food's and Nordstrom Rack. The
largest collateral tenant includes a 12-screen Cobb Theaters (lease
expiration in December 2026). Cobb Theaters' parent company CMX
Cinemas field for chapter 11 bankruptcy in April 2020. The total
mall was 97% leased as of March 2020 rent roll and inline occupancy
was 88%. The property's performance has declined since
securitization and the 2019 NOI was 12% below underwritten levels.
Revenue at the property has continued to decline annually since
2015. The loan sponsor is Westfield. The loan had an initial 5-year
interest only period and has now amortized 3.4% since
securitization. Moody's LTV and stressed DSCR are 145% and 0.77X,
respectively, compared to 135% and 0.82X at Moody's last review.

The second largest loan is the Mall at Tuttle Crossing Loan ($87.6
million -- 15.0% of the pool), which represents a pari-passu
portion of a $115 million loan. The loan is secured by a 385,000
square foot (SF) component of an approximately 1.13 million square
foot (SF) super-regional mall located in Dublin, Ohio approximately
17 miles northwest of Columbus. The mall is currently anchored by
JC Penney, Scene 75 and Macy's (all three of which are
non-collateral). Scene 75, an indoor entertainment center,
backfilled the former Macy's Home Store (20% of total mall NRA)
that closed in 2017. The mall currently has one non-collateral
vacant anchor space, a former Sears (149,000 SF), that vacated in
early 2019. The collateral portion was 70% leased per April 2020
rent roll, compared to 76% leased as of June 2019 and 88% in
December 2015. The mall has suffered from declining in-line
occupancy which dropped to 64% in April 2020, compared to 71% in
June 2019 and 82% in December 2017. Several national brands that
vacated over the last two years include Abercrombie & Fitch, The
Limited, Men's Wearhouse, Panera Bread, Starbucks, The Gap, Godiva
Chocolatier, Perfumania, Sleep Number, Teavana, The Body Shop,
bareMinerals and White House/Black Market. Due to declining
revenues, the property's NOI declined significantly in both 2019
and 2018. The 2019 reported NOI was nearly 26% lower than
underwritten levels. The loan sponsor, Simon Property Group,
recently classified this mall under their "Other Properties." The
loan has amortized 8% since securitization and matures in May 2023.
Due to the continued decline in performance, Moody's has identified
this as a troubled loan.

The third largest loan is the Southdale Center Loan ($49.7 million
-- 8.5% of the pool), which represents a pari-passu interest of a
$140.1 million loan. The loan is secured by a 635,000 square foot
component of a 1.23 million square foot super-regional mall located
in Edina, Minnesota, approximately 9 miles south of Minneapolis.
While the property is located only six miles away from the Mall of
America, the property serves local consumers, while the Mall of
America is considered to be a tourist shopping destination. The
mall is currently anchored by a Macy's (non-collateral) and a
12-screen American Multi-Cinema movie theater. The property has
experienced multiple big box closures including Herberger's in
August 2018, and JC Penney (non-collateral) and Gordmans (44,087
SF) in 2017. The total mall was 73% leased as of December 2019. The
in-line occupancy was 72%, compared to 77% in December 2018 and 84%
in December 2016. The property is owned and managed by Simon
Property Group. The former JC Penney space was backfilled by a
200,000 SF LifeTime Fitness & Life Time Work, which opened in
December 2019 and various restaurants. The property's historical
NOI improved significantly through 2017, however, due to declining
revenues, the property NOI has decline annually in both 2018 and
2019. The loan has amortized nearly 10% since securitization and
Moody's LTV and stressed DSCR are 123% and 0.86X, respectively,
compared to 113% and 0.94X at Moody's last review.

One other notable loan with declining performance is the Marriott
Chicago River North Hotel ($46.6 million -- 8.0% of the pool) which
is secured by a full-service hotel property in downtown Chicago,
IL. The Hotel is dual flagged under Marriott's Residence Inn and
Springhill Suites brands and operates subject to Franchise
agreements that are scheduled to expire in 2033. The loan is on the
master servicer's watchlist due a decline the properties cash flow
and the DSCR for the trailing twelve-month period ending September
2019 falling below 1.20X. The property's NOI was stable through
2018 as a result of increase in both revenue and operating
expenses. However, in 2019 room revenue declined and operating
expenses, particularly advertising & marketing, continued to
increase which caused over a 10% year over year drop in the
property's NOI. The loan is last paid through its April 2020
payment date.


MORGAN STANLEY 2013-C12: Moody's Cuts Rating on Class F Certs to B3
-------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on three classes in Morgan Stanley Bank
of America Merrill Lynch Trust 2013-C12, Commercial Mortgage
Pass-Through Certificates as follows:

Cl. A-SB, Affirmed Aaa (sf); previously on October 29, 2019
Affirmed Aaa (sf)

Cl. A-3, Affirmed Aaa (sf); previously on October 29, 2019 Affirmed
Aaa (sf)

Cl. A-4, Affirmed Aaa (sf); previously on October 29, 2019 Affirmed
Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on October 29, 2019 Affirmed
Aaa (sf)

Cl. B, Affirmed Aa3 (sf); previously on October 29, 2019 Affirmed
Aa3 (sf)

Cl. C, Affirmed A3 (sf); previously on October 29, 2019 Affirmed A3
(sf)

Cl. D, Downgraded to Ba2 (sf); previously on April 17, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. E, Downgraded to B1 (sf); previously on April 17, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. F, Downgraded to B3 (sf); previously on April 17, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. X-A*, Affirmed Aaa (sf); previously on October 29, 2019
Affirmed Aaa (sf)

Cl. PST**, Affirmed A1 (sf); previously on October 29, 2019
Affirmed A1 (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 (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.

The ratings on three P&I classes, Class D, Class E and Class F,
were downgraded due to a decline in pool performance and higher
anticipated losses as a result of the exposure to specially
serviced and troubled loans and two notable loans with declining
performance, Westfield Countryside (5.7% of the pool) and Marriott
Chicago River North Hotel (6.0% of the pool).

The rating on the IO class was affirmed based on the credit quality
of their referenced classes.

The rating on class PST 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 6.6% of the
current pooled balance, compared to 4.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.8% of the
original pooled balance, compared to 3.3% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The 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 15, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 28% to $925.4
million from $1.28 billion at securitization. The certificates are
collateralized by 56 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans (excluding
defeasance) constituting 58% of the pool. Eight loans, constituting
10% 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 17, compared to 19 at Moody's last review.

As of the May 15, 2020 remittance report, loans representing 71% of
the pool, by balance, were current or within their grace period on
debt service payments, 24% were beyond their grace period but less
than 30 days delinquent, 1% were between 30 -- 59 days delinquent
and 3% were greater than 90 days delinquent.

Eleven loans, constituting 23% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

No loans have been liquidated from the pool. One loan, constituting
3% of the pool, is currently in special servicing. The specially
serviced loan is the Deer Springs Town Center ($27.1 million --
2.9% of the pool), which is secured by a 185,000 square foot (SF)
anchored retail center located in North Las Vegas, Nevada. The loan
became delinquent and transferred to special servicing in October
2018 following the closure of their former largest tenant, Toys R
Us (65,705 SF, 34% of the NRA). A Receiver was appointed in July
2019 and is working with the property manager to renew upcoming
lease expirations and fill the vacant spaces. The special servicer
indicated that renewals for PetSmart, Staples and Ross Dress for
Less have been executed and an LOI was received from 24 Hour
Fitness expressing interest in approximately 40,000 SF of the
vacant Toys R Us space. As of January 2020, rent roll, the property
was 64% leased, compared to 63% in December 2018 and down from 91%
at securitization.

Moody's has also assumed a high default probability for three
poorly performing loans, constituting 3.1% of the pool, that have
all experienced declines in performance based on their 2019
financial reporting. Two of the loans are secured by student
housing properties located in Grand Forks, ND serving the student
population at the University of North Dakota and the other is a
hotel property in Katy, TX.

Moody's received full year 2018 operating results for 100% of the
pool, and full or partial year 2019 operating results for 93% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 102%, compared to 93% 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 24% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.5%.

Moody's actual and stressed conduit DSCRs are 1.41X and 1.05X,
respectively, compared to 1.54X 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 conduit loans represent 29% of the pool balance. The
largest loan is the Merrimack Premium Outlets Loan ($118.0 million
-- 12.8% of the pool), which is secured by a 409,000 SF outlet
center located in Merrimack, NH, approximately ten miles north of
the Massachusetts/ New Hampshire border. The property was developed
in 2012 by Simon Property Group. As of March 2020, the property was
93% leased, down slightly from 96% in September 2019 and 100% at
securitization. The property benefits from limited competition and
considered to be the dominant shopping center in its trade area.
The loan also benefits from amortization and has paid down 9% since
securitization. Moody's LTV and stressed DSCR are 96% and 1.04X,
respectively.

The second largest loan is the 15 MetroTech Center Loan ($76.9
million -- 8.3% of the pool), which represents a pari-passu portion
of a $145.2 million mortgage loan. The loan is secured the
borrower's leasehold interest in a 21-story, Class A office
building in Brooklyn, NY. The property is situated within
Brookfield's MetroTech Center, a multi-block office campus which
totals approximately 5.5 million SF. The loan is on the watchlist
due to the upcoming June 2020 lease expiration of WellPoint Inc.,
representing 60% of the NRA and 61% of the 2018 base rent. At
securitization, WellPoint (392,514 SF) subleased 92% of their space
to seven subtenants and the loan was structured with cash sweeps
(capped at $4.4 million per year) to re-tenant the space. WellPoint
has confirmed they will not be renewing their lease and the loan's
tenant improvement reserve totaled $32.2 million as of September
2019. Three leases were signed to take over approximately 40% of
the current WellPoint Inc. leased space and were generally signed
at higher rents. The tenants include Magellan Health (37,017 SF),
Slate Media (22,860 SF) and NY State Department of Taxation and
Financing (96,289 SF). The property has benefited from a tax PILOT
incentive that began burning off in the 2018/2019 tax year and will
be reduced by 10% per year until the PILOT amount is equal to the
real property taxes assessed. While the property's performance has
improved significantly since securitization, Moody's analysis took
into account the lease rollover and tax PILOT incentive. Moody's
LTV and stressed DSCR are 90% and 1.08X, respectively, compared to
85% and 1.14X at the last review.

The third largest loan is the City Creek Center Loan ($74.6 million
-- 8.1% of the pool), which is secured by a 348,537 SF portion of a
628,934 SF regional mall located in Salt Lake City, Utah. City
Creek Center opened in March 2012 and is part of a $1.5 billion
mixed-used redevelopment of downtown Salt Lake City. In addition to
the subject property, the development contains 2.1 million SF of
office space, 800 multi-family units and a 4,000-space subterranean
garage (not part of the collateral). The property's non-collateral
anchors include Macy's and Nordstrom. The borrower owns a leasehold
interest in the majority of the collateral and a fee interest in
three restaurants. The ground-lease is with the Church of
Latter-day Saints with an initial term of 30 years through March
21, 2042 and four additional 10-year options. As of December 2019,
the property was 100% leased, compared to 97% in June 2019 and 97%
at securitization. As part of its bankruptcy filing in September
2019, Forever 21 (38,225 SF, 11% of the NRA, 9.1% of 2018 base
rent), included this location as one of its underperforming stores
will close. The loan has amortized 12% since securitization. The
property's net operating income (NOI) has declined in recent years
primarily due to higher operating expenses. Moody's LTV and
stressed DSCR are 96% and 0.99X, respectively, compared to 86% and
1.10X at the last review.

The pool contains two additional notable loans that have experience
declines in operating performance. The largest being the Marriott
Chicago River North Hotel ($55.1 million -- 6.0% of the pool) which
is secured by a full-service hotel property in downtown Chicago,
IL. The Hotel is dual flagged under Marriott's Residence Inn and
Springhill Suites brands and operates subject to Franchise
agreements that are scheduled to expire in 2033. The loan is on the
master servicer's watchlist due a decline the properties cash flow
and the DSCR for the trailing twelve-month period ending September
2019 falling below 1.20X. The property's NOI was stable through
2018 as a result of increase in both revenue and operating
expenses. However, in 2019 room revenue declined and operating
expenses, particularly advertising & marketing, continued to
increase which caused over a 10% year over year drop in the
property's NOI. The loan is last paid through its April 2020
payment date.

The other notable loan is the Westfield Countryside Loan ($53.1
million -- 5.7% of the pool), which represents a pari-passu portion
of a $149.8 million mortgage loan secured by a regional mall in
Clearwater, Florida approximately 20 miles west of Tampa. The
collateral represents a 465,000 square foot (SF) component of an
approximately 1.26 million square foot (SF) property. The mall is
anchored by Dillard's, Macy's and JC Penney, all of which are
non-collateral. Sears (non-collateral) initially downsized its
location in 2014 and closed the remainder of its space in 2018. The
former Sears space was partially backfilled by a Whole Food's and
Nordstrom Rack. The largest collateral tenant include is a
12-screen Cobb Theaters (lease expiration in December 2026). Cobb
Theaters' parent company CMX Cinemas field for chapter 11
bankruptcy in April 2020. The total mall was 97% leased as of the
March 2020 rent roll. Inline occupancy per March 2020 rent roll was
88%. The property's performance has declined since securitization
and the 2019 NOI was 12% below underwritten levels. Revenue at the
property has continued to decline annually since 2015. The loan
sponsor is Westfield. The loan had an initial 5-year interest only
period and has now amortized 3.4% since securitization. Moody's LTV
and stressed DSCR are 145% and 0.77X, respectively, compared to
135% and 0.82X at Moody's last review.


NATIONAL COLLEGIATE 2003-1: Fitch Affirms C Ratings on 2 Tranches
-----------------------------------------------------------------
Fitch Ratings has affirmed 37 notes and maintained the Rating Watch
Negative on nine notes from 12 National Collegiate Student Loan
Trusts.

National Collegiate Student Loan Trust 2003-1

  - Class A-7 63543PAG1; LT BBsf; Rating Watch Maintained

  - Class B-1 63543PAJ5; LT Csf; Affirmed

  - Class B-2 63543PAK2; LT Csf; Affirmed

National Collegiate Student Loan Trust 2004-1

  - Class A-3 63543PAN6; LT BBsf; Rating Watch Maintained

  - Class A-4 63543PAP1; LT CCsf; Affirmed

  - Class B-1 63543PAS5; LT Csf; Affirmed

  - Class B-2 63543PAT3; LT Csf; Affirmed

National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust
2004-2

  - Class A-5 1 63543PAY2; LT BBsf; Rating Watch Maintained

  - Class A-5 2 63543PBC9; LT BBsf; Rating Watch Maintained

  - Class B 63543PBA3; LT CCsf; Affirmed

  - Class C 63543PBB1; LT Csf; Affirmed

National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust
2005-1

  - Class A-5 1 63543PBM7; LT BBsf; Rating Watch Maintained

  - Class A-5 2 63543PBN5; LT BBsf; Rating Watch Maintained

  - Class B 63543PBK1; LT CCsf; Affirmed

  - Class C 63543PBL9; LT Dsf; Affirmed

National Collegiate Student Loan Trust 2005-2/NCF Grantor Trust
2005-2

  - Class A-5-1 63543PBU9; LT CCCsf; Affirmed

  - Class A-5-2 63543PBY1; LT CCCsf; Affirmed

  - Class B 63543PBW5; LT Csf; Affirmed

  - Class C 63543PBX3; LT Csf; Affirmed

National Collegiate Student Loan Trust 2005-3/NCF Grantor Trust
2005-3

  - Class A-5-1 63543TAE8; LT Bsf; Rating Watch Maintained

  - Class A-5-2 63543TAF5; LT Bsf; Rating Watch Maintained

  - Class B 63543TAJ7; LT Csf; Affirmed

  - Class C 63543TAK4; LT Csf; Affirmed

National Collegiate Student Loan Trust 2006-1

  - Class A-5 63543PCD6; LT Csf; Affirmed

  - Class B 63543PCF1; LT Csf; Affirmed

  - Class C 63543PCG9; LT Csf; Affirmed

National Collegiate Student Loan Trust 2006-2

  - Class A-4 63543MAD5; LT Csf; Affirmed

  - Class B 63543MAF0; LT Csf; Affirmed

  - Class C 63543MAG8; LT Csf; Affirmed

National Collegiate Student Loan Trust 2006-3

  - Class A-5 63543VAE3; LT CCsf; Affirmed

  - Class B 63543VAG8; LT Csf; Affirmed

  - Class C 63543VAH6; LT Csf; Affirmed

  - Class D 63543VAJ2; LT Csf; Affirmed

National Collegiate Student Loan Trust 2006-4

  - Class A-4 63543WAD3; LT Csf; Affirmed

  - Class B 63543WAF8; LT Csf; Affirmed

  - Class C 63543WAG6; LT Csf; Affirmed

  - Class D 63543WAH4; LT Csf; Affirmed

National Collegiate Student Loan Trust 2007-1

  - Class A-3 63543XAC3 LT BBBsf; Rating Watch Maintained

  - Class A-4 63543XAD1; LT Csf; Affirmed

  - Class B 63543XAF6; LT Csf; Affirmed

  - Class C 63543XAG4; LT Csf; Affirmed

  - Class D 63543XAH2; LT Csf; Affirmed

National Collegiate Student Loan Trust 2007-2

  - Class A-4 63543LAD7; LT Csf; Affirmed

  - Class B 63543LAF2; LT Csf; Affirmed

  - Class C 63543LAG0; LT Csf; Affirmed

  - Class D 63543LAH8 LT Csf; Affirmed

TRANSACTION SUMMARY

On May 31, 2020, Judge Maryellen Norieka, U.S. District Judge for
the District of Delaware, in an action entitled "Consumer Financial
Protection Bureau vs. The National Collegiate Master Student Trust
et. al." declined to approve a consent judgment proposed by the
CFPB and purportedly agreed to by the NCSLTs. The judgment was
intended to address alleged violations by the NCSLTs of the
Consumer Financial Protection Act of 2010. The CFPB has until June
19, 2020 to respond to a motion to dismiss filed by Transworld
Systems, Inc., the subservicer and debt collector for the
transactions. Considering that the action remains outstanding,
Fitch maintains the 'BBBsf' rating cap for these transactions and
the Rating Watch Negative on all notes with ratings of 'Bsf' or
above. Fitch will monitor developments on the case and comment
further as needed.

The affirmations reflect that performance was stable and credit
enhancement levels moved in line with expectations since last
review.

KEY RATING DRIVERS

CFPB Proposed Judgment:

On Sept. 14, 2017, the CFPB filed an action against the NCSLTs for
illegal student loan debt collection. According to the CFPB,
consumers were sued for private student loan debt that the
companies couldn't prove was owed or which were too old to sue
over. On Sept. 18, 2017, a proposed consent judgment was filed with
the court to settle all matters in the dispute. Amongst other
things, the proposed judgment requires an independent audit of all
student loans in the NCSLTs' portfolios. Collections on any student
loans identified by the audit to lack proper documentation or for
which the statute of limitations has expired on the debt collection
would have to cease.

If the proposed judgment is confirmed, it may result, pending the
outcome of a portfolio audit, in the NCSLTs making an aggregate
payment of at least USD 19.1 million. The proposed consent judgment
specifies that the payment is due within 10 days of the effective
date of the judgment. Should this result in a lump sum, one-time
senior liability, it may impair the ability of some of the trusts,
depending on the number of trusts affected, to pay senior interest
in a timely fashion, resulting in an event of default for the
notes. If instead the payment is in some way distributed over time,
for example by being advanced through an agent, by a reserving
mechanism or other means, it will reduce the cash available to
repay noteholders and thereby reduce the available protection. In
addition, the outcome of the independent loan audit and the
possible effect on the enforceability of underlying loan contracts
is uncertain at this stage. As a result of all these factors, all
the NCSLT trusts' notes with a non-distressed rating were placed on
Rating Watch Negative.

Fitch expects to resolve the Rating Watch Negative when additional
clarity is available.

Collateral Performance:

The NCSLT trusts are collateralized by private student loans
originated by First Marblehead Corporation. At deal inception, all
loans were guaranteed by The Education Resources Institute;
however, no credit is given to the guaranty since TERI filed for
bankruptcy on April 7, 2008. Fitch has increased its assumption of
constant default rate to 4.00% from 3.50% for NCSLT 2003-1, 2004-1,
2004-2 and 2005-3 as described below under coronavirus Impact.
Recovery rate was assumed to be 0% in light of recent lawsuit
uncertainty between the trusts and defaulted borrowers.

Payment Structure:

All trusts are under-collateralized as total parity is less than
100%. Senior reported parity as of April 30, 2020 is 170.30%,
96.66%, 208.07%, 163.30%, 110.34%, 126.32%, 104.94%,
81.57%,119.77%, 107.74%, 101.32% and 97.08% for NCSLT 2003-1,
2004-1, 2004-2, 2005-1, 2005-2, 2005-3, 2006-1, 2006-2, 2006-3,
2006-4, 2007-1 and 2007-2. Senior notes benefit from subordination
provided by the junior notes.

Operational Capabilities:

Pennsylvania Higher Education Assistance Agency services roughly
98% of the trusts, with Nelnet servicing the rest. US Bank N.A.
acts as special servicer for the trusts. Fitch believes all
servicers are acceptable servicers of private student loans.

Nevertheless, Fitch understands that a lawsuit to call a servicer
default under the transaction documents against PHEAA was initiated
by some of the holders of the beneficial interest in the NCSLT
trusts. Despite the uncertainty on the outcome of pending
litigations between transaction parties, including PHEAA, Fitch
believes such risk is addressed by the rating cap at 'BBBsf' and
Fitch's conservative assumptions on defaults and recoveries.

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, followed by a recovery that begins
in 3Q20 as the health crisis subsides. Fitch increased its base
case CDR assumption to 4.00% from 3.50% for NCSLT 2003-1, 2004-1,
2004-2 and 2005-3 to take into account the effects of the pandemic
on the portfolio, assuming a short-term peak of CDR followed by a
plateau in line with previous 3.50% assumption.

RATING SENSITIVITIES

Rating sensitivities provide greater insight into the model-implied
sensitivities the transaction faces when one or two risk factors
are stressed while holding others equal. The results should only be
considered as one potential outcome, as the transactions are
exposed to multiple risk factors that are all dynamic variables.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Positive rating actions are not likely until there is resolution of
the outstanding CFPB judgement. Fitch's base case default and
recovery assumptions are derived primarily from historical
collateral performance. Actual performance that is materially
better than these assumptions will increase CE and remaining loss
coverage levels available to the notes, which may result in
positive rating action.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Fitch expects to resolve the Rating Watch Negative on the
non-distressed notes as soon as additional information is available
on the effects (if any) of the proposed CFPB judgement on the
affected NCSLT trusts. Allocation of the settlement payment (if
confirmed and applicable) to one or a few NCSLTs trusts in a short
period of time may result in multi-category downgrades on the
affected trusts. Allocation of the payment across all trusts over a
longer horizon may result in less pronounced negative rating
action.

Base case default rates were increased by 10%, 25% and 50%, in
accordance with Fitch's U.S. Private Student Loan ABS Rating
Criteria, and there was no change to expected ratings due to the
rating cap on the trusts following the CFPB proposed judgment.

Under Fitch's Coronavirus Downside Scenario, Fitch considers a more
severe and prolonged period of stress with a halting recovery
beginning in 2Q21. To reflect this greater stress, Fitch ran
sensitivities in which the base case default assumption was
increased to 'BBsf' and 'BBBsf' stressed default rate assumptions
of approximately 35% and 85%, respectively. Under this scenario,
due to the rating cap on the trusts following the CFPB proposed
judgment, there would be no expected rating change for the 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

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

NCSLT 2003-1, 2004-1, 2004-2, 2005-1, 2005-2, 2005-3, 2006-1,
2006-2, 2006-3, 2006-4, 2007-1 and 2007-2 have an ESG Relevance
Score of 5 for Customer Welfare - Fair Messaging, Privacy & Data
Security. This is due to compliance with consumer protection
related regulatory requirements, such as fair/transparent lending,
data security, and safety standards, which has a negative impact on
the credit profile and is highly relevant to the rating, resulting
in capping the ratings at 'BBBsf' as well as placing the
non-distressed notes on Rating Watch Negative.


NATIONAL COLLEGIATE 2007-A: Fitch Affirms B Rating on Class C Debt
------------------------------------------------------------------
Fitch Ratings has affirmed National Collegiate Trust 2006-A, NCT
2007-A, NCT 2005-GATE and NCT 2005-GATE Re-Packaging notes.

National Collegiate Trust 2005-GATE

  - Class B 63544AAQ1; LT BBBsf; Affirmed

NC Trust 2005-GATE Re-Packaging Trust

  - Class A5 62889QAE8; LT BBBsf; Affirmed

  - Class EC-1 62889QAH1; LT BBBsf; Affirmed

  - Class EC-2 62889QAJ7; LT BBBsf; Affirmed

  - Class EC-3 62889QAK4; LT BBBsf; Affirmed

  - Class EC-4 62889QAL2; LT BBBsf; Affirmed

The National Collegiate Trust 2006-A

  - Class A-2 63544JAB5; LT AAAsf; Affirmed

  - Class B 63544JAC3; LT BBBsf; Affirmed

The National Collegiate Trust 2007-A

  - Class A 63543YAA5 LT AAsf; Affirmed

  - Class B 63543YAB3; LT BBBsf; Affirmed

  - Class C 63543YAC1; LT Bsf; Affirmed

KEY RATING DRIVERS

Collateral Performance:

NCT 2006-A, 2007-A and 2005-GATE trusts are collateralized by
private student loans originated by Bank of America
(AA-/F1+/RO:Sta) under First Marblehead Corp's GATE Program. NCT
2006-A and 2007-A also include originations by CHELA Funding II,
LLC.

Fitch increased its assumption of constant default rate to 3.50%
from 3.00% as described below under Coronavirus Impact. A base-case
recovery rate of 30% was assumed for National Collegiate Trust
2006-A and 2007-A, and 14% for National Collegiate Trust 2005-GATE,
which was determined to be appropriate based on data previously
provided by the issuer and reflects the guarantee provided by Bank
of America on loans originated pursuant to the GATE Program.

Payment Structure:

Credit enhancement is provided by overcollateralization (OC; the
excess of the trust's asset balance over the bond balance) and
excess spread. For NCT 2006-A, cash may be released from the trust
at the greater of (i) 104% total parity, and (ii) the percentage
equivalent of (outstanding notes + $5.3 million)/ (outstanding
notes), currently at 132%. No cash is currently being released from
NCT 2006-A or 2005-GATE. For NCT 2007-A, cash is currently being
released from the trusts as the 104% parity level required is
currently met.

Liquidity support is provided to NCT 2006-A, NCT 2007-A and NCT
2005-GATE by a reserve account sized at about USD1 million. In
Fitch's view, the available reserve accounts are able to cover for
at least one quarter of senior costs and interest payments.

Operational Capabilities:

Pennsylvania Higher Education Assistance Agency services 100% of
NCT 2005-GATE and NCT 2007-A, and 88% of NCT 2006-A. FirstMark
services the remaining 12% of NCT 2006-A. Fitch believes all
servicers are acceptable servicers of private student loans.

Repackaging Trust:

The rating on the certificates of NCT 2005-GATE Repackaging Trust
are linked with the rating on the underlying bond. The repack trust
is structured as a simple pass-through. Amount of interest payable
is equal to interest payments received on the underlying bond net
of trust expenses, which are capped at interest payments received
for any related distribution date. The total parity of repackaging
trust will be constant at 100%. All of the class A and EC-1 to EC-4
certificates mature on the same date, which is two business days
after the maturity date of the underlying bond. As such, the risk
exposure of the repack certificates in terms of timely payment of
interest and ultimately payment of principal is not more than that
of the underlying bond.

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, followed by a recovery that begins
in 3Q20 as the health crisis subsides. Fitch increased its base
case CDR assumption to 3.50% from 3.00% to take into account the
effects of the pandemic on the portfolio, assuming a short-term
peak of CDR followed by a plateau in line with previous 3.00%
assumption.

RATING SENSITIVITIES

Under Fitch's Coronavirus Downside Scenario, Fitch considers a more
severe and prolonged period of stress with a halting recovery
beginning in 2Q21. To reflect this greater stress, Fitch increased
base-case default rates by 1.35x; this did not result in any rating
changes for the senior and subordinate notes of NCT 2006-A, 2007-A
and 2005-GATE transactions.

Rating sensitivities provide greater insight into the model-implied
sensitivities the transaction faces when one or two risk factors
are stressed while holding others equal. The modeling process first
uses the estimation and stress of base-case default and recovery
assumptions to reflect asset performance in a stressed environment.
Second, structural protection was analyzed with Fitch's GALA Model.
The results should only be considered as one potential outcome, as
the transaction is exposed to multiple risk factors that are all
dynamic variables.

Factors that could, individually or collectively, lead to a
positive rating action/upgrade:

NCT 2006-A

Current Ratings: 'AAAsf'/'BBBsf'

  -- Decrease base case defaults by 50%: 'AAAsf'/'AAAsf';

  -- Increase base case recoveries by 30%: 'AAAsf'/'AAAsf';

  -- Decrease base case defaults and increase base case recoveries
each by 50%: 'AAAsf'/'AAAsf'.

NCT 2007-A

Current Ratings: 'AAsf'/'BBBsf'/'Bsf'

  -- Decrease base case defaults by 50%: 'AAAsf'/'BBB+sf'/'Bsf';

  -- Increase base case recoveries by 30%: 'AAAsf'/'A-sf'/'B+sf';

  -- Decrease base case defaults and increase base case recoveries
each by 50%: 'AAAsf'/'A-sf'/'B+sf'.

NCT 2005-GATE

Current Ratings: 'BBBsf'

  -- Decrease base case defaults by 50%: 'AAAsf';

  -- Increase base case recoveries by 30%: 'Asf';

  -- Decrease base case defaults and increase base case recoveries
each by 50%: 'AAAsf'.

NCT 2005-GATE Re-Packaging Trust

Current Ratings: 'BBBsf'

The ratings on the underlying bonds may be sensitive to actual
default performance that is better than expected performance, which
would result in lower loss levels than base case default
expectations. This will result in an increase in available CE and
the remaining loss coverage levels available to the notes.
Therefore, underlying note ratings may be susceptible to potential
positive rating actions depending on the extent of the increase in
the coverage.

Factors that could, individually or collectively, lead to a
negative rating action/downgrade:

NCT 2006-A

Current Ratings: 'AAAsf'/'BBBsf'

Expected impact on the note rating of increased defaults (class
A-2/B):

  -- Increase base case defaults by 10%: 'AAAsf'/'AAAsf';

  -- Increase base case defaults by 25%: 'AAAsf'/'AAsf';

  -- Increase base case defaults by 50%: 'AAAsf'/'A+sf'.

Expected impact on the note rating of reduced recoveries (class
A-2/B):

  -- Reduce base case recoveries by 10%: 'AAAsf'/'AAAsf';

  -- Reduce base case recoveries by 20%: 'AAAsf'/'AAAsf';

  -- Reduce base case recoveries by 30%: 'AAAsf'/'AAAsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2/B):

  -- Increase base case defaults and reduce base case recoveries
each by 10%: 'AAAsf'/'AA+sf';

  -- Increase base case defaults and reduce base case recoveries
each by 25%: 'AAAsf'/'AAsf';

  -- Increase base case defaults and reduce base case recoveries
each by 50%: 'AAAsf'/'Asf'.

NCT 2007-A

Current Ratings: 'AAsf'/'BBBsf'/'Bsf'

Expected impact on the note rating of increased defaults (class
A/B/C):

  -- Increase base case defaults by 10%: 'AAAsf'/'BBBsf'/'CCCsf';

  -- Increase base case defaults by 25%: 'AA+sf'/'BBB-sf'/'CCCsf';

  -- Increase base case defaults by 50%: 'AA-sf'/'BBsf'/'CCCsf'.

Expected impact on the note rating of reduced recoveries (class
A/B/C):

  -- Reduce base case recoveries by 10%: 'AAAsf'/'BBB+sf'/'B-sf';

  -- Reduce base case recoveries by 20%: 'AAAsf'/'BBBsf'/'CCCsf';

  -- Reduce base case recoveries by 30%: 'AAAsf'/'BBBsf'/'CCCsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A/B/C):

  -- Increase base case defaults and reduce base case recoveries
each by 10%: 'AAAsf'/'BBBsf'/'CCCsf';

  -- Increase base case defaults and reduce base case recoveries
each by 25%: 'AA+sf'/'BB+sf'/'CCCsf';

  -- Increase base case defaults and reduce base case recoveries
each by 50%: 'A+sf'/'B+sf'/'CCCsf'.

NCT 2005-GATE

Current Ratings: 'BBBsf'

Expected impact on the note rating of increased defaults (class
B):

  -- Increase base case defaults by 10%: 'A-sf';

  -- Increase base case defaults by 25%: 'BBBsf';

  -- Increase base case defaults by 50%: 'BBB-sf'.

Expected impact on the note rating of reduced recoveries (class
B):

  -- Reduce base case recoveries by 10%: 'A-sf';

  -- Reduce base case recoveries by 20%: 'A-sf';

  -- Reduce base case recoveries by 30%: 'A-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class B):

  -- Increase base case defaults and reduce base case recoveries
each by 10%: 'BBB+sf';

  -- Increase base case defaults and reduce base case recoveries
each by 25%: 'BBBsf';

  -- Increase base case defaults and reduce base case recoveries
each by 50%: 'BB+sf'.

NCT 2005-GATE Re-Packaging Trust

Current Ratings: 'BBBsf'

The ratings on the underlying bonds may be sensitive to actual
default performance that is worse than expected performance, which
would result in higher loss levels than base case default
expectations. This will result in a decrease in available CE and
the remaining loss coverage levels available to the notes.
Therefore, underlying note ratings may be susceptible to potential
negative rating actions depending on the extent of the decrease in
the coverage.

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

For this surveillance review, the rating assigned to NCSLT 2006-A's
class B notes is eight notches below the model-implied rating,
constituting a variation to the 'U.S. Private Student Loan ABS
Rating Criteria'. The rating action below the model-implied rating
takes into account the subordinated position of the Class B notes
in the priority of payments as well as the uncertainty in portfolio
performance under the coronavirus pandemic, as shown by the
increase of loans in forbearance to 7.5% in the recent months.
Stabilization of forbearance levels following the coronavirus
pandemic together with continued pro rata amortization between the
class A and B bonds, which increases relative credit protection to
the B notes, could result in additional upgrades, as reflected by
the Positive Outlook on the B notes. If Fitch were to not apply
this variation to its criteria, the class B notes could have been
upgraded to 'AAAsf'.

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).


NEUBERGER BERMAN 37: S&P Assigns Prelim BB- (sf) Rating to E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Neuberger
Berman Loan Advisers CLO 37 Ltd.'s floating-rate notes.

The note issuance is a CLO transaction backed by broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests. The notes are
managed by Neuberger Berman Loan Advisers II LLC.

The preliminary ratings are based on information as of June 11,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool.

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

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

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

  PRELIMINARY RATINGS ASSIGNED

  Neuberger Berman Loan Advisers CLO 37 Ltd./
  Neuberger Berman Loan Advisers CLO 37 LLC

  Class                  Rating       Amount (mil. $)
  A-1                    AAA (sf)              240.00
  A-2                    AAA (sf)                8.00
  B                      AA (sf)                52.00
  C (deferrable)         A (sf)                 24.00
  D (deferrable)         BBB- (sf)              22.00
  E (deferrable)         BB- (sf)               14.00
  Subordinated notes     NR                     38.40

  NR--Not rated.


SLC STUDENT 2004-1: Fitch Affirms B- Rating on 2 Tranches
---------------------------------------------------------
Fitch Ratings has affirmed the ratings on SLC Student Loan Trust
2004-1, 2005-1, 2005-3, and 2006-2. The Rating Outlook remains
Stable for all classes.

SLC Student Loan Trust 2004-1

  - Class A-7 784423AG0; LT B-sf; Affirmed

  - Class B 784423AH8; LT B-sf; Affirmed

SLC Student Loan Trust 2005-3

  - Class A-3 784420AP6; LT AAAsf; Affirmed

  - Class A-4 784420AQ4; LT AAAsf; Affirmed

  - Class B 784420AR2; LT Asf; Affirmed

SLC Student Loan Trust 2005-1

  - Class A-4 784420AD3; LT AAAsf; Affirmed

  - Class B-1 784420AE1; LT Asf; Affirmed

SLC Student Loan Trust; 2006-2

  - Class A-5 784428AE4; LT AAAsf; Affirmed

  - Class A-6 784428AF1; LT AAAsf; Affirmed

  - Class B 784428AG9; LT Asf; Affirmed

TRANSACTION SUMMARY

SLC Student Loan Trust 2004-1: The class A-7 notes miss their legal
final maturity date under Fitch's credit and maturity base cases.
This technical default would result in interest payments being
diverted away from class B, which would cause that note to default
as well. In affirming the rating at 'B-sf' rather than 'CCCsf' or
below, Fitch has considered qualitative factors such as Navient's
ability to call the notes upon reaching 10% pool factor, the long
time horizon until the A-7 and B maturity dates, and the eventual
full payment of principal in modeling. Since there is no revolving
credit facility in place from Navient for SLC 2004-1, Fitch has
affirmed the class A-7 and B notes at 'B-sf'.

SLC Student Loan Trust 2005-1: Cash flow modeling for the class A-4
notes supports 'AAAsf' ratings under Fitch's credit and maturity
stresses. Although the class B notes have a model-implied rating of
'AAAsf', Fitch has affirmed the notes at 'Asf' due to their low
level of credit enhancement, which does not meet the 101% threshold
for 'AAsf' ratings.

SLC Student Loan Trust 2005-3: Cash flow modeling for the class A-3
and A-4 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 101% required for 'AAsf' ratings per Fitch's
criteria.

SLC Student Loan Trust 2006-2: 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 101% required for 'AAsf' ratings per Fitch's
criteria.

KEY RATING DRIVERS

U.S. Sovereign Risk:

For all trusts, 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:

SLC 2004-1: The trailing twelve-month levels of deferment,
forbearance and income-based repayment are 2.92%, 9.07%, and 14.47%
respectively. No cash flow modeling was conducted for this
transaction due to the current ratings assigned and performance
since the last review. Fitch maintained the sustainable constant
default rate and sustainable constant prepayment rate (voluntary
and involuntary, sCPR) at 1.5% and 8.0%.

SLC 2005-1: Fitch assumed a base case default rate of 11.56% and
27.75% under the 'AAA' credit stress scenario and a sCDR of 1.5%.
Fitch applied the standard default timing curve in its credit
stress cash flow analysis. The claim reject rate was assumed to be
0.50% in the base case and 2.0% in the 'AAA' case. The TTM levels
of deferment, forbearance and income-based repayment are 3.06%,
8.67%, and 12.36% respectively, and are used as the starting point
in cash flow modeling. The sCPR was assumed to be 6.30%. Subsequent
declines or increases are modelled as per criteria. The borrower
benefit was assumed to be approximately 0.28%, based on information
provided by the sponsor. Fitch maintained the sCDR and sCPR at
1.50% and 6.30%.

SLC 2005-3: Fitch assumed a base case default rate of 15.63% and
37.50% under the 'AAA' credit stress scenario and a sCDR of 2.0%.
Fitch applied the standard default timing curve in its credit
stress cash flow analysis. The claim reject rate was assumed to be
0.50% in the base case and 2.0% in the 'AAA' case. The TTM levels
of deferment, forbearance and income-based repayment are 3.69%,
8.19%, and 17.91% respectively, and are used as the starting point
in cash flow modeling. The sCPR was assumed to be 7.0%. Subsequent
declines or increases are modelled as per criteria. The borrower
benefit was assumed to be approximately 0.19%, based on information
provided by the sponsor. Fitch adjusted the sCDR to 2.0% from 1.7%,
to reflect transaction-specific performance and Fitch's assessment
of performance under the baseline coronavirus scenario. Fitch
maintained the sCPR at 7.0%.

SLC 2006-2: Fitch assumed a base case default rate of 16.25% and
39.00% under the 'AAA' credit stress scenario and sCDR of 2.0%.
Fitch applied the standard default timing curve in its credit
stress cash flow analysis. The claim reject rate was assumed to be
0.50% in the base case and 2.0% in the 'AAA' case. The TTM levels
of deferment, forbearance and income-based repayment are 4.04%,
8.53%, and 15.09% respectively, and are used as the starting point
in cash flow modeling. The sCPR was assumed to be 8.0%. Subsequent
declines or increases are modelled as per criteria. The borrower
benefit was assumed to be approximately 0.18%, based on information
provided by the sponsor. Fitch adjusted the sCDR to 2.0% from 1.8%
and the sCPR to 8.0% from 8.4%, to reflect transaction-specific
performance and Fitch's assessment of performance under the
baseline coronavirus scenario.

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. Over 99.6% of the loans are
indexed to one-month LIBOR with the rest indexed to 91 Day T-bill.
All notes are indexed to three-month LIBOR plus a spread. Fitch
applied its standard basis and interest rate stresses as per
criteria.

Payment Structure:

SLC 2004-1: CE is provided by excess spread and, for the class A
notes, subordination. As of May 2020, total and senior effective
parity ratios (including the reserve) are 100.74% (0.76% CE) and
105.76% (5.51% CE). Liquidity support is provided by a reserve
sized at 0.25% of the pool balance (with a floor of $2,250,000),
currently equal to $2,250,000. The transaction will continue to
release cash as long as the target total parity threshold of 100.0%
is maintained.

SLC 2005-1: CE is provided by excess spread and, for the class A
notes, subordination. As of August 2017, total and senior effective
parity ratios (including the reserve) are 100.55% (0.56% CE) and
105.23% (5.01% CE). Liquidity support is provided by a reserve
sized at 0.25% of the pool balance (with a floor of $3,056,269),
currently equal to $3,056,269. The transaction will continue to
release cash as long as the target total parity threshold of 100%
is maintained.

SLC 2005-3: CE is provided by excess spread and, for the class A
notes, subordination. As of August 2017, total and senior effective
parity ratios (including the reserve) are 100.52% (0.52% CE) and
105.12% (4.90% CE). Liquidity support is provided by a reserve
sized at 0.25% of the pool balance (with a floor of $1,828,029),
currently equal to $1,828,029. The transaction will continue to
release cash as long as the target total parity threshold of 100.0%
is maintained.

SLC 2006-2: CE is provided by excess spread, overcollateralization,
and for the Class A notes, subordination. As of September 2017,
total and senior effective parity ratio (including the reserve)
are, respectively, 100.49% (0.49% CE) and 105.54% (5.27% CE).
Liquidity support is provided by a reserve sized at 0.25% of the
pool balance (with a floor of $3,778,125), currently equal to its
floor of $3,778,125. Excess cash will continue to be released as
long as the total parity release level of 100% is maintained.

Operational Capabilities:

SLC Trusts are the securitizations of The Student Loan Corporation,
now a subsidiary of Discover Bank. Navient purchased the SLC Trust
certificates and assumed servicing responsibilities in December
2010. Discover Bank serves as master servicer, while day-to-day
servicing is provided by Navient Solutions, LLC (formerly known as
Sallie Mae, Inc.). Fitch believes Navient to be an acceptable
servicer due to its extensive track record as the largest servicer
of FFELP loans. Fitch confirmed with the servicer the availability
of a business continuity plan to minimize disruptions in the
collection process during the coronavirus pandemic.

Coronavirus Impact:

Fitch has made assumptions about the spread of coronavirus and the
economic impact of the related containment measures. Under the
baseline coronavirus scenario, Fitch assumes a global recession in
1H20 driven by sharp economic contractions in major economies with
a rapid spike in unemployment. A recovery begins in 3Q20, but
personal incomes remain depressed through 2022. Under this
scenario, Fitch revised the sCDR and sCPR assumptions for some
transactions, as noted above, reflecting a decline in payment rates
and increase in defaults to previous recessionary levels for two
years and return to recent performance for the remainder of the
life of the transaction.

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) scenario, results provided in the
Rating Sensitivity section below, Fitch assumed a 50% increase in
defaults for the credit stress and 50% increase in IBR and
remaining term for the maturity stress.

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 transactions are exposed to multiple
dynamic risk factors and should not be used as an indicator of
possible future performance.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

SLC 2004-1: Cashflow analysis was not performed; however, the
current ratings are most sensitive to Fitch's maturity risk
scenario. Key factors that may lead to positive rating action are
increased payment rate and a material reduction in weighted average
remaining loan term. A material increases of CE from lower defaults
and positive excess spread, given favorable basis spread
conditions, is a secondary factor that may lead higher loss
coverage multiples.

SLC 2005-1: An upside scenario was not run because improved
performance on the underlying collateral would not result in an
upgrade due to the notes being at their highest achievable rating
of 'Asf'. However, should parity increase over the criteria
threshold the class B notes may be considered for an upgrade.

SLC 2005-3: An upside scenario was not run because improved
performance on the underlying collateral would not result in an
upgrade due to the notes being at their highest achievable rating
of 'Asf'. However, should parity increase over the criteria
threshold the class B notes may be considered for an upgrade.

SLC 2006-2: An upside scenario was not run because improved
performance on the underlying collateral would not result in an
upgrade due to the notes being at their highest achievable rating
of 'Asf'. However, should parity increase over the criteria
threshold the class B notes may be considered for an upgrade.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

SLC 2004-1:

As described, the current rating of 'B-sf' reflects qualitative
factors such as the long time to maturity of the notes. If
performance does not improve materially, specifically factors
affecting maturity risk such as prepayments, remaining loan term
and IBR usage, the transaction may be downgraded closer to note
maturity.

SLC 2005-1:

Credit Stress Rating Sensitivity

  -- Default increase 25%: class A 'AAAsf'; 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 0.5%: 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'.

SLC 2005-3:

Credit Stress Rating Sensitivity

  -- Default increase 25%: class A 'AAAsf'; class B 'AAsf';

  -- Default increase 50%: class A 'AAAsf'; class B 'Asf';

  -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'Asf';

  -- Basis Spread increase 0.5%: 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 'Bsf'; class B 'AAAsf'.

SLC 2006-2:

Credit Stress Rating Sensitivity

  -- Default increase 25%: class A 'AAAsf'; 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 0.5%: 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 'AAsf'; class B 'Asf';

  -- 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).


SOUND POINT CLO XIV: Moody's Cuts Rating on Class E Notes to 'B1'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Sound Point CLO XIV, Ltd.:

US$35,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Downgraded to B1 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

Moody's has also confirmed the rating on the following notes:

U.S.$35,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D Notes and Class E Notes. The CLO, issued in
November 2016 and partially refinanced in August 2019 is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in January 2021.

RATINGS RATIONALE

The downgrade on the Class E Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased
and the credit enhancement available to the CLO notes has eroded.

Based on Moody's calculation, the weighted average rating factor
(WARF) is 3168 as of May 2020 compared to 2650 reported in the
March 2020 trustee report [1]. Moody's notes that approximately
23.7% and 8.9% of the assets are obligors assigned negative outlook
or whose ratings are on review for possible downgrade,
respectively. Furthermore, Moody's calculated total collateral par
balance, including recoveries from defaulted securities, is at
$687.5 million, or $12.5 million less than the deal's ramp-up
target par balance. Based on Moody's calculation, the proportion of
obligors in the portfolio with Moody's corporate family or other
equivalent ratings of Caa1 or lower (after any adjustments for
negative outlook and watchlist for possible downgrade) is
approximately 15.95% as of May 2020. Finally, Moody's also
considered manager's investment decisions and trading strategies.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Class D Notes continue to be consistent with the current rating
after taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralization (OC)
levels. Consequently, Moody's has confirmed the rating on the Class
D Notes.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $685.6 million, defaulted par of $4.0
million, a weighted average default probability of 23.54% (implying
a WARF of 3168), a weighted average recovery rate upon default of
47.30%, a diversity score of 80 and a weighted average spread of
3.53%. Moody's also analyzed the CLO by incorporating an
approximately $1.1 million of par haircut in calculating the
overcollateralization and interest diversion test ratios.

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 corporate assets.

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 of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

Methodology Underlying the Rating Action:

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


STARWOOD MORTGAGE 2020-2: DBRS Finalizes B(low) on 11 Tranches
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on and assigned new
ratings to the following Mortgage Pass-Through Certificates, Series
2020-2 (the Certificates) issued by Starwood Mortgage Residential
Trust 2020-2 (STAR 2020-2 or the Trust):

-- $381.0 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)
-- $37.6 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)
-- $37.6 million Class M-1-A at BBB (low) (sf)
-- $37.6 million Class M-1-AX at BBB (low) (sf)
-- $37.6 million Class M-1-B at BBB (low) (sf)
-- $37.6 million Class M-1-BX at BBB (low) (sf)
-- $37.6 million Class M-1-C at BBB (low) (sf)
-- $37.6 million Class M-1-CX at BBB (low) (sf)
-- $37.6 million Class M-1-D at BBB (low) (sf)
-- $37.6 million Class M-1-DX at BBB (low) (sf)
-- $37.6 million Class M-1-E at BBB (low) (sf)
-- $37.6 million Class M-1-EX at BBB (low) (sf)
-- $30.3 million Class B-1-A at BB (low) (sf)
-- $30.3 million Class B-1-AX at BB (low) (sf)
-- $30.3 million Class B-1-B at BB (low) (sf)
-- $30.3 million Class B-1-BX at BB (low) (sf)
-- $30.3 million Class B-1-C at BB (low) (sf)
-- $30.3 million Class B-1-CX at BB (low) (sf)
-- $30.3 million Class B-1-D at BB (low) (sf)
-- $30.3 million Class B-1-DX at BB (low) (sf)
-- $30.3 million Class B-1-E at BB (low) (sf)
-- $30.3 million Class B-1-EX at BB (low) (sf)
-- $24.2 million Class B-2-A at B (low) (sf)
-- $24.2 million Class B-2-AX at B (low) (sf)
-- $24.2 million Class B-2-B at B (low) (sf)
-- $24.2 million Class B-2-BX at B (low) (sf)
-- $24.2 million Class B-2-C at B (low) (sf)
-- $24.2 million Class B-2-CX at B (low) (sf)
-- $24.2 million Class B-2-D at B (low) (sf)
-- $24.2 million Class B-2-DX at B (low) (sf)
-- $24.2 million Class B-2-E at B (low) (sf)
-- $24.2 million Class B-2-EX 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 34.70%
of credit enhancement provided by subordinate certificates. The AA
(sf), A (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf)
ratings reflect 29.15%, 21.95%, 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).

After DBRS Morningstar assigned provisional ratings to STAR 2020-2
on May 21, 2020, in a commentary titled "Global Macroeconomic
Scenarios: June Update" published on June 1, 2020, DBRS Morningstar
provided an update on how its scenarios and views regarding the
Coronavirus Disease (COVID-19) shock are evolving from its original
commentary dated April 16, 2020. Its moderate scenario now reflects
recent economic data releases and assumes a full recovery takes
somewhat longer. This implies lower GDP growth for 2020, higher GDP
growth for 2021 (as a larger proportion of lost output is made up
in 2021 instead of Q3/Q4 2020), and higher unemployment in 2020
carrying through to 2021. As a result, DBRS Morningstar has updated
its analytical assumptions in this transaction to reflect the new
moderate scenario (detailed in the Coronavirus Impact section of
the rating report). The updated assumptions did not result in any
changes in the provisional ratings assigned by DBRS Morningstar.

The originators for the mortgage pool are HomeBridge Financial
Services, Inc. (40.6%); Luxury Mortgage Corp. (27.0%); Impac
Mortgage Corp. (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 (SNAL) 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 Negative 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-3-1, B-3-2, and 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 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 continue to rise 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 or higher debt-to-income 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, loans on forbearance plans, 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 the "Global Macroeconomic Scenarios: June Update,"
published on June 1, 2020), for the non-QM asset class DBRS
Morningstar applies more severe market value decline (MVD)
assumptions across all rating categories than what it previously
used. Such MVD assumptions are derived through a fundamental home
price approach based on the forecasted unemployment rates and GDP
growth outlines in the aforementioned moderate scenario. 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, 2020, 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 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
P&I 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 P&I collections and (2) no
servicing advances on delinquent P&I. These assumptions include:
(1) 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; (2) 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; (3) Assuming no voluntary prepayments for the first 18
months for the AAA (sf) and AA (sf) rating levels; and (4) Delaying
the receipt of liquidation proceeds during the first 18 months for
the AAA (sf) and AA (sf) rating levels.

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


STUDENT LOAN 2007-2: Moody's Cuts Class IO Certs Rating to Caa1
---------------------------------------------------------------
Moody's Investors Service downgraded the rating of one class of
certificate in Student Loan ABS Repackaging Trust, Series 2007-2.
Deutsche Bank Trust Company Americas is the administrator and
indenture trustee for the transaction.

Complete rating action is as follows:

Issuer: Student Loan ABS Repackaging Trust, Series 2007-2

Cl. IO, Downgraded to Caa1 (sf); previously on Jan 12, 2018
Upgraded to B3 (sf)

RATINGS RATIONALE

The rating action on Student Loan ABS Repackaging Trust 2007-2,
Class IO was prompted by the payoff of Aaa rated Class 2-A-IO
certificate in the repackaging trust, and increase in proportion of
underlying securities rated lower than certificate. The assets of
the trust consist primarily of the Class 3-A-IO, Class 4-A-IO,
Class 5-A-IO, Class 6-A-IO and Class 7-A-IO Certificates issued by
the Student Loan ABS Repackaging Trust, Series 2007-1. Class
1-A-IO, Class 2-A-IO have paid off.

Methodology Underlying the Rating Action:

The principal methodology used in this rating was "Moody's Approach
to Rating Repackaged Securities" published in March 2019.

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

Up

The rating of the certificate could be upgraded if the underlying
security referenced in the trust is upgraded or if the proportion
of underlying securities rated higher than certificate increases.

Down

The rating of the certificate could be downgraded if the underlying
security referenced in the trust is downgraded if the proportion of
underlying securities rated lower than certificate increases.


VERUS SECURITIZATION 2020-INV1: S&P Rates Class B-2 Certs 'B (sf)'
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2020-INV1's mortgage pass-through certificates.

The certificate issuance is an RMBS transaction backed by U.S.
residential mortgage loans. The pool has 992 loans, which are
primarily nonqualified mortgage loans.

The ratings reflect:

-- The pool's collateral composition;

-- The credit enhancement provided for this transaction;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework for this
transaction;

-- The mortgage aggregator, Invictus Capital Partners; and

-- The impact that the economic stress brought on by COVID-19 is
likely to have on the performance of the mortgage borrowers in the
pool and liquidity available in the transaction.

S&P acknowledges a high degree of uncertainty about the rate of
spread and peak of the coronavirus outbreak.

"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly," S&P said.

  RATINGS ASSIGNED

  Verus Securitization Trust 2020-INV1

  Class    Rating(i)      Amount ($)
  A-1      AAA (sf)      181,453,000
  A-2      AA (sf)        24,213,000
  A-3      A (sf)         33,663,000
  M-1      BBB- (sf)      16,093,000  
  B-1      BB (sf)        10,335,000
  B-2      B (sf)         11,516,000
  B-3      NR             18,013,308
  A-IO-S   NR               Notional(ii)
  XS       NR               Notional(ii)
  P        NR                    100
  R        NR                    N/A

(i)The collateral and structural information in this report reflect
the private placement memorandum dated June 4, 2020; the ratings
assigned to the classes address the ultimate payment of interest
and principal.
(ii)The notional amount equals the loans' stated principal balance.

NR--Not rated.
N/A--Not applicable.



WELLS FARGO 2010-C1: Fitch Affirms CCC Rating on Class F Debt
-------------------------------------------------------------
Fitch Ratings has affirmed seven classes of Wells Fargo Bank N.A.'s
commercial mortgage pass-through certificates series 2010-C1. Fitch
has also revised the Rating Outlook to Positive from Stable on
classes B and C and to Stable from Negative on classes D and E.

RATING ACTIONS

Wells Fargo Commercial Mortgage Trust 2010-C1

Class A-2 94987MAB7; LT AAAsf Affirmed; previously at AAAsf

Class B 94987MAE1;   LT AAsf Affirmed;  previously at AAsf

Class C 94987MAF8;   LT Asf Affirmed;   previously at Asf

Class D 94987MAG6;   LT BBBsf Affirmed; previously at BBBsf

Class E 94987MAH4;   LT BBsf Affirmed;  previously at BBsf

Class F 94987MAJ0;   LT CCCsf Affirmed; previously at CCCsf

Class X-A 94987MAC5; LT AAAsf Affirmed; previously at AAAsf

KEY RATING DRIVERS

Improved Overall Performance and Loss Projections: The overall pool
performance and Fitch's base case losses have improved since the
last rating action, primarily due to the full payoff of two
regional malls: Salmon Run Mall and Polaris Towne Center. There are
currently no delinquent loans. Sugarhouse Center (4.5%) is
considered a Fitch Loan of Concern (FLOC) as occupancy declined to
75% at YE 2019 compared to 100% the prior year due to the loss of
two tenants. Additionally, approximately 15% NRA expires in 2020
and 2021.

Increased Credit Enhancement: As of the May 2020 distribution date,
the pool's aggregate balance has been reduced by 64.5% to $261
million, from $735.9 million at issuance. Since the last rating
action, nine loans ($316 million) repaid in full, including the
second largest loan in the pool and the largest FLOC. Recoveries
were higher than expected on the Salmon Run Mall loan, which
contributed to the outlook revisions. All loans are amortizing.
Eight loans (34.2% of the pool) are defeased.

Alternative Loss Considerations: Fitch's base case analysis
included stresses to the probability of defaults, cap rates and NOI
haircuts applied to the loans within the pool. Fitch's analysis
also included an additional sensitivity scenarioto further support
the Positive Outlooks on classes B and C; and outlook revision for
classes D and E. Fitch applied potential outsized losses of 75% on
the maturity balance of the FLOC (Sugarhouse Center) given the
decline in occupancy, upcoming rollover risk and the upcoming loan
maturity. An outsized loss of 25% was also applied to the Radisson
Reagan National Airport hotel given the expected negative impact on
performance and refinanciability due to the coronavirus pandemic.
The scenario also factored in the paydown from defeased
collateral.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail, and multifamily properties is expected from the
coronavirus pandemic due to the recent and sudden reductions in
travel and tourism, temporary property closures and lack of clarity
on the potential duration of the pandemic. The pandemic has already
prompted the closure of several hotel properties in gateway cities
as well as malls, entertainment venues and individual stores.
Fitch's base case analysis assumed a higher cap rate and NOI
scenario.

Concentration: 25 assets remain in the pool. 29.5% of the pool is
collateralized by retail properties; Five loans (28% ) are within
the top 15. All loans mature in 2020: $46.4 million in August,
$44.4 million in September, $122.7 million in October and $47.8
million in November.

RATING SENSITIVITIES

The Positive Rating Outlooks to classes B and C, and Stable Rating
Outlooks for classes D and E is due to higher than expected
recoveries on Salmon Run Mall and recent significant paydown. Six
loans ($212 .5 million) paid off between April and May 2020.
Performance concerns, particularly of hotel and retail properties,
as a result of the economic slowdown stemming from the coronavirus
pandemic have also been factored into Fitch's analysis.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Sensitivity Factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Upgrades to class B to 'AAAsf' and to class C to 'AAsf' or 'AAAsf'
would likely occur if loans continue to perform during 2020 and
maturing loans are able to secure financing. However, adverse
selection, increased concentrations or the underperformance of
particular loans may limit the potential for future upgrades.
Upgrades to classes D, E and F are considered unlikely and would be
limited based on the sensitivity to concentrations or the potential
for future concentrations.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Sensitivity Factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades to classes B and C are not expected given the position
in the capital structure, but may occur should interest shortfalls
occur or a significant number of loans default at maturity. A
downgrade to classes D, E and F are considered unlikely, but are
possible should there be any significant performance declines or
loans fail to pay off at their respective maturities and considered
unlikely to resolve in the near term.

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 classes may be placed on Negative
Rating Outlook and/or be downgraded a category or more should the
loans not recover to pre-pandemic levels.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3 - ESG issues are credit neutral or have only a minimal credit
impact on the entity(ies), either due to their nature or the way in
which they are being managed by the entity(ies).


WELLS FARGO 2020-2: Fitch to Rate Class B-5 Debt 'B+(EXP)sf'
------------------------------------------------------------
Fitch Ratings expects to rate Wells Fargo Mortgage Backed
Securities 2020-2 Trust.

WFMBS 2020-2      

  - Class A-1 95002QAA8; LT AAA(EXP)sf Expected Rating   

  - Class A-10 95002QAK6; LT AAA(EXP)sf Expected Rating   

  - Class A-11 95002QAL4; LT AAA(EXP)sf Expected Rating   

  - Class A-12 95002QAM2; LT AAA(EXP)sf Expected Rating   

  - Class A-13 95002QAN0; LT AAA(EXP)sf Expected Rating   

  - Class A-14 95002QAP5; LT AAA(EXP)sf Expected Rating   

  - Class A-15 95002QAQ3; LT AAA(EXP)sf Expected Rating   

  - Class A-16 95002QAR1; LT AAA(EXP)sf Expected Rating   

  - Class A-17 95002QAS9; LT AAA(EXP)sf Expected Rating   

  - Class A-18 95002QAT7; LT AAA(EXP)sf Expected Rating   

  - Class A-19 95002QAU4; LT AAA(EXP)sf Expected Rating   

  - Class A-2 95002QAB6; LT AAA(EXP)sf Expected Rating   

  - Class A-20 95002QAV2; LT AAA(EXP)sf Expected Rating   

  - Class A-3 95002QAC4; LT AAA(EXP)sf Expected Rating   

  - Class A-4 95002QAD2; LT AAA(EXP)sf Expected Rating   

  - Class A-5 95002QAE0; LT AAA(EXP)sf Expected Rating   

  - Class A-6 95002QAF7; LT AAA(EXP)sf Expected Rating   

  - Class A-7 95002QAG5; LT AAA(EXP)sf Expected Rating   

  - Class A-8 95002QAH3; LT AAA(EXP)sf Expected Rating   

  - Class A-9 95002QAJ9; LT AAA(EXP)sf Expected Rating   

  - Class A-IO1 95002QAW0; LT AAA(EXP)sf Expected Rating   

  - Class A-IO10 95002QBF6; LT AAA(EXP)sf Expected Rating   

  - Class A-IO11 95002QBG4; LT AAA(EXP)sf Expected Rating   

  - Class A-IO2 95002QAX8; LT AAA(EXP)sf Expected Rating   

  - Class A-IO3 95002QAY6; LT AAA(EXP)sf Expected Rating   

  - Class A-IO4 95002QAZ3; LT AAA(EXP)sf Expected Rating   

  - Class A-IO5 95002QBA7; LT AAA(EXP)sf Expected Rating   

  - Class A-IO6 95002QBB5; LT AAA(EXP)sf Expected Rating   

  - Class A-IO7 95002QBC3; LT AAA(EXP)sf Expected Rating   

  - Class A-IO8 95002QBD1; LT AAA(EXP)sf Expected Rating   

  - Class A-IO9 95002QBE9; LT AAA(EXP)sf Expected Rating   

  - Class B-1 95002QBH2; LT AA(EXP)sf Expected Rating   

  - Class B-2 95002QBJ8; LT A(EXP)sf Expected Rating   

  - Class B-3 95002QBK5; LT BBB(EXP)sf Expected Rating   

  - Class B-4 95002QBL3; LT BB(EXP)sf Expected Rating   

  - Class B-5 95002QBM1 LT B+(EXP)sf Expected Rating   

  - Class B-6 95002QBN9; LT NR(EXP)sf Expected Rating   

TRANSACTION SUMMARY

The certificates are supported by 556 prime fixed-rate mortgage
loans with a total balance of approximately $478 million as of the
cutoff date. All of the loans were originated by Wells Fargo Bank,
N.A or were acquired from its correspondents. This is the seventh
post-crisis issuance from Wells Fargo.

KEY RATING DRIVERS

Revised GDP Due to COVID-19 (Negative): COVID-19 and the resulting
containment efforts have resulted in revisions to Fitch's GDP
estimates for 2020. Its 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 COVID-19, 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 COVID-19 (Negative): The
outbreak of COVID-19 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 25% 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 delinquencies and
past-due payments following Hurricane Maria in Puerto Rico.

Payment Forbearance (Mixed): As of the cutoff date, none of the
borrowers in the pool are on a COVID-19 forbearance plan.
Additionally, any loan that enters a COVID-19 forbearance plan
between the cutoff date and prior to or on the closing date will be
removed from the pool (at par) within 45 days of closing. For
borrowers who enter a COVID-19 forbearance plan post-closing, the
P&I advancing party will advance delinquent P&I during the
forbearance period. If at the end of the forbearance period the
borrower begins making payments, the advancing party will be
reimbursed from any catch-up payment amount. If the borrower
doesn't resume making payments, the loan will likely become
modified and the advancing party will be reimbursed from available
funds.

Full Servicer Advancing (Neutral): The pool benefits from advances
of delinquent principal and interest until the servicer, Wells
Fargo, the primary servicer of the pool, deems them
non-recoverable. Fitch's loss severities reflect reimbursement of
amounts advanced by the servicer from liquidation proceeds based on
its liquidation timelines assumed at each rating stress. In
addition, the credit enhancement for the rated classes has some
cushion for recovery of servicer advances for loans that are
modified following a payment forbearance.

Very High-Quality Mortgage Pool (Positive): The collateral
attributes are among the strongest of post-crisis RMBS rated by
Fitch. The pool consists primarily of 30-year fixed-rate fully
amortizing loans to borrowers with strong credit profiles, low
leverage and large liquid reserves. All loans are Safe Harbor
Qualified Mortgages. The loans are seasoned an average of 7.6
months.

The pool has a weighted average original FICO score of 774, which
is indicative of very high credit-quality borrowers. Approximately
83% has original FICO scores at or above 750. In addition, the
original WA CLTV ratio of 72.3% represents substantial borrower
equity in the property. The pool's attributes, together with Wells
Fargo's sound origination practices, support Fitch's very low
default risk expectations.

High Geographic Concentration (Negative): Approximately 50% of the
pool is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in San Francisco
MSA (19.9%) followed by the Los Angeles MSA (11.4%) and the San
Jose MSA (8.2%). The top three MSAs account for 39.5% of the pool.
As a result, there was an additional penalty of approximately 3%
was applied to the pool's lifetime default expectations.

Low Operational Risk (Positive): Operational risk is very well
controlled for in this transaction. Wells Fargo has an extensive
operating history in residential mortgage originations and is
assessed as an 'Above Average' originator by Fitch. The entity has
a diversified sourcing strategy and utilizes an effective
proprietary underwriting system for its retail originations. Wells
Fargo will perform primary and master servicing for this
transaction; these functions are rated 'RPS1-' and 'RMS1-',
respectively, by Fitch. Each of these servicers were moved from
Outlook Stable to Outlook Negative due to the changing

Tier 2 R&W Framework (Neutral): While the loan-level
representations and warranties for this transaction are
substantially in conformity with Fitch criteria, the framework has
been assessed as a Tier 2 due to the narrow testing construct which
limits the breach reviewers ability to identify or respond to
issues not fully anticipated at closing. The Tier 2 assessment and
the strong financial condition of Wells Fargo as R&W provider
resulted in a neutral impact to the credit enhancement. In response
to COVID-19, and in an effort to focus breach reviews on loans that
are more likely to contain origination defects that let to or
contributed to the delinquency of the loan, Wells Fargo added
additional carve-out language relating to the delinquency review
trigger for certain Disaster Mortgage Loans that are modified or
delinquent due to disaster related loss mitigation (including
COVID-19).

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction pool. The review
was performed by Clayton, which is assessed by Fitch as an
'Acceptable - Tier 1' TPR firm. 100% of the loans received a final
grade of 'A' or 'B' which reflects strong origination practices.
Loans with a final grade of 'B' were supported with sufficient
compensating factors or were already accounted for in Fitch's loan
loss model. Loans with due diligence receive a credit in the loss
model; the aggregate adjustment reduced the 'AAAsf' expected losses
by 13 bps.

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

To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 1.00% of the
original balance will be maintained for the senior certificates.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts, reviewer fees and
costs of arbitration, to be paid by the net WA coupon of the loans,
which does not affect the contractual interest due on the
certificates. Furthermore, the expenses to be paid from the trust
are capped at $350,000 per annum, with the exception of independent
reviewer breach review fee, which can be carried over each year,
subject to the cap until paid in full.

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 36.7% at 'AAA'. 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.

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%. 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'.

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 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 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.

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
Clayton Services LLC. The third-party due diligence described in
Form 15E focused on a compliance review, credit review and
valuation review. The due diligence company performed a review on
100% of the loans. Fitch believes the overall results of the review
generally reflected strong underwriting control.

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

WFMBS 2020-2: Transaction Parties & Operational Risk: 4

WFMBS 2020-2 has an ESG Relevance Score of 4 for Transaction
Parties & Operational Risk: Operational risk is well controlled for
in WFMBS 2020-2 including strong R&W and transaction due diligence
as well as a strong originator and servicer which resulted in a
reduction in expected losses.

Except for the matters discussed, the highest level of ESG credit
relevance, if present, is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the entity, either
due to their nature or the way in which they are being managed by
the entity.


WELLS FARGO 2020-2: Moody's Gives (P)B1 Rating on Class B-5 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 25
classes of residential mortgage-backed securities issued by Wells
Fargo Mortgage Backed Securities 2020-2 Trust. The ratings range
from (P)Aaa (sf) to (P)B1 (sf).

WFMBS 2020-2 is the second prime issuance by Wells Fargo Bank, N.A.
(Wells Fargo Bank, the sponsor and mortgage loan seller) in 2020,
consisting of 556 primarily 30-year, fixed rate, prime residential
mortgage loans with an unpaid principal balance of $478,122,716.
The pool has strong credit quality and consists of borrowers with
high FICO scores, significant equity in their properties and liquid
cash reserves. The pool has clean pay history and weighted average
seasoning of approximately 5.54 months. The mortgage loans for this
transaction are originated by Wells Fargo Bank, through its retail
and correspondent channels, in accordance with its underwriting
guidelines. In this transaction, all 556 loans are designated as
qualified mortgages under the QM safe harbor rules. Wells Fargo
Bank will service all the loans and will also be the master
servicer for this transaction.

The securitization has a shifting interest structure with a
five-year lockout period that benefits from a senior floor and a
subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: Wells Fargo Mortgage Backed Securities 2020-2 Trust

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. B-5, Assigned (P)B1 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Its analysis has considered the effect of the COVID-19 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 mortgage loans. 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
expected loss for this pool in a baseline scenario-mean is 0.25%,
in a baseline scenario-median is 0.11%, and reaches 2.99% at a
stress level consistent with its Aaa ratings. These losses
incorporate an additional stress of 9.37%, 15% and 5%,
respectively, to account for the increased likelihood of
deterioration in the performance of the underlying mortgage loans
as a result of a slowdown in US economic activity in 2020 due to
the coronavirus outbreak.

Moody's regards the COVID-19 outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Moody's bases its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence and the
R&W framework of the transaction.

Collateral Description

The WFMBS 2020-2 transaction is a securitization of 556 first lien
residential mortgage loans with an unpaid principal balance of
$478,122,716. The loans in this transaction have strong borrower
characteristics with a weighted average original FICO score of
781.3 and a weighted-average original loan-to-value ratio (LTV) of
72.1%. In addition, 5.9% of the borrowers are self-employed and
rate-and-term refinance and cash-out loans comprise approximately
43% of the aggregate pool (inclusive of construction to permanent
loans). Of note, 10.6% (by loan balance) of the pool comprised of
construction to permanent loans. The construction to permanent is a
two-part loan where the first part is for the construction and then
it becomes a permanent mortgage once the property is complete. For
all the loans in the pool, the construction was complete and
because the borrower cannot receive cash from the permanent loan
proceeds or anything above the construction cost, Moody's treated
these loans as a rate term refinance rather than a cash out
refinance loan. The pool has a high geographic concentration with
49.6% of the aggregate pool located in California and 8.1% located
in the New York-Newark-Jersey City MSA. The characteristics of the
loans underlying the pool are slightly stronger than recent prime
RMBS transactions backed by 30-year mortgage loans that Moody's has
rated.

Origination Quality

Wells Fargo Bank (long term debt Aa2) is an indirect, wholly-owned
subsidiary of Wells Fargo & Company (long term debt A2). Wells
Fargo & Company is a U.S. bank holding company with approximately
$1.98 trillion in assets and approximately 263,000 employees as of
March 31, 2020, which provides banking, insurance, trust, mortgage
and consumer finance services throughout the United States and
internationally.

Wells Fargo Bank has sponsored or has been engaged in the
securitization of residential mortgage loans since 1988. Wells
Fargo Home Lending is a key part of Wells Fargo & Company's
diversified business model. The mortgage loans for this transaction
are originated by WFHL, through its retail and correspondent
channels, generally in accordance with its underwriting guidelines.
The company uses a solid loan origination system which include
embedded features such as a proprietary risk scoring model,
role-based business rules and data edits that ensure the quality of
loan production. After considering the company's origination
practices, Moody's made no additional adjustments to its base case
and Aaa loss expectations for origination.

Third Party Review (TPR)

One independent third-party review firm, Clayton Services LLC, was
engaged to conduct due diligence for the credit, regulatory
compliance, property valuation, and data accuracy for all 556 loans
in the initial population of this transaction (100% of the mortgage
pool). The overall TPR results were in line with its expectations
considering the clear underwriting guidelines and overall processes
and procedures that Wells Fargo Bank has in place. Many of the
grade B loans were underwritten using underwriter discretion. The
due diligence firm noted that these exceptions are minor and/or
provided an explanation of compensating factors. As a result,
Moody's did not make any adjustment to its losses for TPR.

Representation & Warranties

Wells Fargo Bank, as the originator, makes the loan-level
representation and warranties for the mortgage loans. The
loan-level R&Ws are strong and, in general, either meet or exceed
the baseline set of credit-neutral R&Ws Moody's has identified for
US RMBS. Further, R&W breaches are evaluated by an independent
third party using a set of objective criteria to determine whether
any R&Ws were breached when loans become 120 days delinquent, the
property is liquidated at a loss above a certain threshold, or the
loan is modified by the servicer. Similar to J.P. Morgan Mortgage
Trust (JPMMT) transactions, the transaction contains a
"prescriptive" R&W framework. These reviews are prescriptive in
that the transaction documents set forth detailed tests for each
R&W that the independent reviewer will perform.

It should be noted that exceptions exist for certain excluded
disaster mortgage loans that trip the delinquency trigger. These
excluded disaster loans include COVID-19 forbearance loans or any
other loan with respect to which (a) the related mortgaged property
is located in an area that is subject to a major disaster
declaration by either the federal or state government and (b) has
either been modified or is being reported delinquent by the
servicer as a result of a forbearance, deferral or other loss
mitigation activity relating to the subject disaster. As excluded
disaster mortgage loans may be subject to a review in future
periods if certain conditions are satisfied.

Overall, Moody's believes that Wells Fargo Bank's robust processes
for verifying and reviewing the reasonableness of the information
used in loan origination along with effectively no knowledge
qualifiers mitigates any risks involved. Wells Fargo Bank has an
anti-fraud software tools that are integrated with the loan
origination system and utilized pre-closing for each loan. In
addition, Wells Fargo Bank has a dedicated credit risk, compliance
and legal teams oversee fraud risk in addition to compliance and
operational risks. Moody's did not make any additional adjustment
to its base case and Aaa loss expectations for R&Ws.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.00% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 1.00% of the closing pool
balance.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor of 1.00% and subordinate floor of 1.00% are
consistent with the credit neutral floors for the assigned
ratings.

Transaction Structure

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

All certificates in this transaction are subject to a net WAC cap.
Realized losses are allocated reverse sequentially among the
subordinate and senior support certificates and on a pro-rata basis
among the super senior certificates.

Servicing Arrangement

In WFMBS 2020-2, unlike other prime jumbo transactions, Wells Fargo
Bank as servicer, master servicer, securities administrator and
custodian of all of the mortgage loans for the deal. The servicer
will be primarily responsible for funding certain servicing
advances and delinquent scheduled interest and principal payments
for the mortgage loans, unless the servicer determines that such
amounts would not be recoverable. The master servicer and servicer
will be entitled to be reimbursed for any such monthly advances
from future payments and collections (including insurance and
liquidation proceeds) with respect to those mortgage loans (see
also COVID-19 impacted borrowers' section for additional
information).

In the case of the termination of the servicer, the master servicer
must consent to the trustee's selection of a successor servicer,
and the successor servicer must have a net worth of at least $15
million and be Fannie or Freddie approved. The master servicer
shall fund any advances that would otherwise be required to be made
by the terminated servicer (to the extent the terminated servicer
has failed to fund such advances) until such time as a successor
servicer is appointed. Additionally, in the case of the termination
of the master servicer, the trustee will be required to select a
successor master servicer in consultation with the depositor. The
termination of the master servicer will not become effective until
either the trustee or successor master servicer has assumed the
responsibilities and obligations of the master servicer which also
includes the advancing obligation.

After considering Wells Fargo Bank's servicing practices, Moody's
did not make any additional adjustment to its losses.

COVID-19 Impacted Borrowers

As of the cut-off date, no borrower under any mortgage loan has
entered into a COVID-19 related forbearance plan with the servicer.
The mortgage loan seller will covenant in the mortgage loan
purchase agreement to repurchase at the repurchase price within 45
days of the closing date any mortgage loan with respect to which
the related borrower requests or enters into a COVID-19 related
forbearance plan after the cut-off date but on or prior to the
closing date. In the event that after the closing date a borrower
enters into or requests a COVID-19 related forbearance plan, such
mortgage loan (and the risks associated with it) will remain in the
mortgage pool.

In the event the servicer enters into a forbearance plan with a
COVID-19 impacted borrower of a mortgage loan, the servicer will
report such mortgage loan as delinquent (to the extent payments are
not actually received from the borrower) and the servicer will be
required to make advances in respect of delinquent interest and
principal (as well as servicing advances) on such loan during the
forbearance period (unless the servicer determines any such
advances would be a nonrecoverable advance). At the end of the
forbearance period, if the borrower is able to make the current
payment on such mortgage loan but is unable to make the previously
forborne payments as a lump sum payment or as part of a repayment
plan, the servicer anticipates it will modify such mortgage loan
and any forborne amounts will be deferred as a non-interest bearing
balloon payment that is due upon the maturity of such mortgage
loan.

At the end of the forbearance period, if the borrower repays the
forborne payments via a lump sum or repayment plan, advances will
be recovered via the borrower payment(s). In an event of
modification, Wells Fargo Bank will recover advances made during
the period of Covid-19 related forbearance from pool level
collections.

Any principal forbearance amount created in connection with any
modification (whether as a result of a COVID-19 forbearance or
otherwise) will result in the allocation of a realized loss and to
the extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.

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

Down

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

Up

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

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.


WESTLAKE 2020-2: S&P Assigns Prelim BB (sf) Rating to Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Westlake
Automobile Receivables Trust 2020-2's automobile receivables-backed
notes series 2020-2.

The note issuance is an ABS securitization backed by subprime auto
loan receivables.

The preliminary ratings are based on information as of June 11,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The availability of approximately 48.51%, 42.11%, 33.84%,
27.10%, and 22.94% credit support for the class A-1, A-2-A/A-2-B
(collectively, class A), B, C, D, and E notes, respectively, based
on stressed cash flow scenarios (including excess spread). These
provide approximately 3.10x, 2.65x, 2.05x, 1.67x, and 1.45x,
respectively, of S&P's 14.75%-15.25% expected cumulative net loss
range.

-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned preliminary ratings.

-- The expectations that under a moderate ('BBB') stress scenario
(1.67x S&P's expected loss level), all else being equal, its
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
are consistent with the tolerance outlined in S&P's credit
stability criteria.

-- The collateral characteristics of the securitized pool of
subprime automobile loans.

-- The originator/servicer's long history in the
subprime/specialty auto finance business.

-- S&P's analysis of approximately 15 years (2006-2020) of static
pool data on the company's lending programs.

-- The transaction's payment, credit enhancement, and legal
structures.

S&P acknowledges a high degree of uncertainty about the rate of
spread and peak of the coronavirus outbreak.

"Some government authorities estimate the pandemic will peak around
midyear, and we are using this assumption in assessing the economic
and credit implications. In our view, the measures adopted to
contain COVID-19 have pushed the global economy into recession. As
the situation evolves, we will update our assumptions and estimates
accordingly," S&P said.

  PRELIMINARY RATINGS ASSIGNED

  Westlake Automobile Receivables Trust 2020-2

  Class         Rating             Amount
                               (mil. $)
  A-1           A-1+ (sf)          140.00
  A-2-A/A-2-B   AAA (sf)           370.90
  B             AA (sf)             71.74
  C             A (sf)              89.13
  D             BBB (sf)            73.90
  E             BB (sf)             54.33


WFRBS COMMERCIAL 2011-C2: Mood's Cuts Class F Certs to 'Caa2'
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings on three classes in WFRBS Commercial
Mortgage Trust 2011-C2, Commercial Mortgage Pass-Through
Certificates, Series 2011-C2, as follows:

Class A-4, Affirmed Aaa (sf); previously on October 1, 2019
Affirmed Aaa (sf)

Class B, Affirmed Aaa (sf); previously on October 1, 2019 Affirmed
Aaa (sf)

Class C, Affirmed Aa2 (sf); previously on October 1, 2019 Affirmed
Aa2 (sf)

Class D, Affirmed Baa1 (sf); previously on October 1, 2019 Affirmed
Baa1 (sf)

Class E, Downgraded to Ba3 (sf); previously on April 17, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Class F, Downgraded to Caa2 (sf); previously on April 17, 2020 B2
(sf) Placed Under Review for Possible Downgrade

Class X-A*, Affirmed Aaa (sf); previously on October 1, 2019
Affirmed Aaa (sf)

Class X-B*, Downgraded to B2 (sf); previously on April 17, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

* Reflects interest-only classes

RATINGS RATIONALE

The ratings on four 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 two P&I classes, Cl. E and Cl. F, were downgraded
due to a decline in pool performance and higher anticipated losses
from specially serviced (8.3% of the pool) and troubled loans.

The rating on the IO class, Class X-A was affirmed based on the
credit quality of the referenced classes.

The rating on the IO class, Class X-B was downgraded due to the
decline in credit quality of the referenced 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 5.9% of the
current pooled balance, compared to 2.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.9% of the
original pooled balance, compared to 1.2% 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 51% to $641.3
million from $1.3 billion at securitization. The certificates are
collateralized by 37 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans (excluding
defeasance) constituting 50% of the pool. Eighteen loans,
constituting 43% of the pool, have defeased and are secured by US
government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 9, compared to 11 at Moody's last review.

As of the May 15, 2020 remittance report, loans representing 92% of
the pool, by balance, were current or within their grace period on
debt service payments and 8% were beyond their grace period but
less than 30 days delinquent.

Four loans, constituting 6% 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 monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

No loans have been liquidated from the pool. Two loans,
constituting 8% of the pool, are currently in special servicing.
The largest specially serviced loan is the Port Charlotte Town
Center Loan ($33.6 million -- 5.2% of the pool), which is secured
by which is secured by an approximately 490,000 square feet (SF)
portion of a 774,000 SF super regional mall in Port Charlotte,
Florida. The mall is anchored by JC Penney and a 16-screen Regal
Cinemas, which are part of the collateral. Additionally, Dillard's,
Macy's and Bealls are anchors at the property but not part of the
collateral. The property is located along Tamiami Trail (US 141).
As of February 2020, the property was 84% leased, compared 85% as
of June 2019 and 95% in December 2017. The property is also
encumbered by a $7.5 million B-note. The loan transferred to
special servicing in January 2020 after the borrower requested a
maturity extension. The special servicer is reviewing a lease
consent request for a new tenant for approximately 88,022 SF.

The second largest specially serviced loan is the Aviation Mall
Loan ($19.8 million -- 3.1% of the pool), which is secured by an
anchored retail property located in Queensbury, New York,
approximately 50 miles north of Albany. Some of the larger tenants
are J.C. Penney, Dick's Sporting Goods, Ollies Bargain Outlet and
Regal Aviation Mall 7. As of December 2019, the inline occupancy
was 45% while total mall occupancy was 72%; after anchor space for
Sears and Bon-Ton went dark. Ollies Bargain Outlet leased
approximately 30,000 SF of the vacant 67,754 SF BonTon space and
opened for business in August 2019. The loan transferred to special
servicing in May 2020 due to imminent monetary default at
borrower's request of the coronavirus pandemic.

Moody's received full year 2018 operating results, and full or
partial year 2019 operating results for 100% of the pool (excluding
specially serviced and defeased loans). Moody's weighted average
conduit LTV is 83%, compared to 82% at Moody's last review. Moody's
conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow reflects a weighted average
haircut of 21% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
8.9%.

Moody's actual and stressed conduit DSCRs are 1.37X and 1.22X,
respectively, compared to 1.57X and 1.34X 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 27% of the pool balance. The
largest loan is The Arboretum Loan ($78.1 million -- 12.2% of the
pool), which is secured by a Wal-Mart anchored retail center
totaling 563,000 SF located in Charlotte, North Carolina. The
property consists of 12 one-story buildings, five pad sites and a
16-screen movie theater. Additional tenants at the property are
Harris Teeter, Regal Cinemas, Bed Bath and Beyond and Barnes and
Noble. As of March 2020, the property was 98% leased, compared to
99% as of June 2019. The property is also encumbered by $15.0
million mezzanine debt. The loan benefits from amortization and has
paid down 14% since securitization. Moody's LTV and stressed DSCR
are 88% and 1.10X, respectively, compared to 80% and 1.22X at the
last review.

The second largest loan is the Borgata Ground Leases Loan ($53.0
million -- 8.3% of the pool), which is secured by five parcels of
land underlying portions of the Borgata Hotel Casino & Spa Complex
in Atlantic City, New Jersey. The property is leased pursuant to
four separate ground leases, all of which expire in December 2070.
The loan benefits from amortization and has paid down 12% since
securitization. Moody's LTV and stressed DSCR are 58% and 1.22X,
respectively, compared to 52% and 1.26X at the last review.

The third largest loan is the Patton Creek Loan ($38.8 million --
6.0% of the pool), which is secured by a 484,706 SF power shopping
located in Hoover, Alabama. The shopping center contains a mix of
retail anchor and in-line shop tenants. The largest tenants are
Dick's Sporting Goods, Carmike Cinemas and Buy Buy Baby. The
property features a 15-screen, stadium style seating movie theater.
As of March 2020, the property was 85% leased, compared to 78% as
of June 2019 and 90% as of December 2017. The decrease in occupancy
is mainly due to the Christmas Tree Shops space (7.2% of the NRA)
which is now vacant as a result of their departure ahead of January
2022 lease expiration. The loan benefits from amortization and has
paid down 15% since securitization. Moody's LTV and stressed DSCR
are 123% and 0.90X, respectively, compared to 101% and 1.07X at the
last review.


WFRBS COMMERCIAL 2011-C3: Moody's Cuts Class E Certs to 'C'
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings on three classes in WFRBS Commercial
Mortgage Trust 2011-C3, Commercial Mortgage Pass-Through
Certificates, Series 2011-C3 as follows:

Cl. A-4, Affirmed Aaa (sf); previously on Jan 30, 2020 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa1 (sf); previously on Jan 30, 2020 Affirmed Aa1
(sf)

Cl. C, Affirmed A1 (sf); previously on Jan 30, 2020 Affirmed A1
(sf)

Cl. D, Downgraded to Caa1 (sf); previously on Apr 17, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. E, Downgraded to C (sf); previously on Apr 17, 2020 Caa3 (sf)
Placed Under Review for Possible Downgrade

Cl. F, Affirmed C (sf); previously on Jan 30, 2020 Downgraded to C
(sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Jan 30, 2020 Affirmed
Aaa (sf)

Cl. X-B*, Downgraded to Caa3 (sf); previously on Apr 17, 2020 Caa2
(sf) Placed Under Review for Possible Downgrade

* Reflects interest-only classes

RATINGS RATIONALE

The ratings on three P&I classes were affirmed due to the share of
defeasance and the transactions key metrics, including Moody's
loan-to-value ratio, Moody's stressed debt service coverage ratio
and the transaction's Herfindahl Index, being within acceptable
ranges. The rating on Cl. F was affirmed because the ratings are
consistent with Moody's expected loss.

The ratings on two P&I classes, Cl. D and Cl E., were downgraded
primarily due to higher anticipated losses as a result of the
continued decline in performance of the two specially servicing
loans secured by regional malls; Park Plaza (9.9% of the pool) and
Oakdale Mall (6.2% of the pool).

The rating on one IO class, Class X-A, was affirmed based on the
credit quality of the referenced classes.

The rating on one IO Class, Class X-B, was downgraded due to a
decline in the credit quality of its referenced classes. The IO
Class references six P&I classes including Class G, which 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 14.5% of the
current pooled balance, compared to 11.1% at Moody's last review.

Moody's base expected loss plus realized losses is now 7.9% of the
original pooled balance, compared to 6.1% 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 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 46% to $780 million
from $1.45 billion at securitization. The certificates are
collateralized by 46 mortgage loans ranging in size from less than
1% to just under 10% of the pool, with the top ten loans (excluding
defeasance) constituting 33% of the pool. Twenty-three loans,
constituting approximately 60% 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 nine, the same as at Moody's last review.

As of the May 2020 remittance report, loans representing 79% were
current or within their grace period on their debt service
payments, 4% were beyond their grace period but less than 30 days
delinquent and 11% were between 30 -- 59 days delinquent.

Five loans, constituting 6.8% 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 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.

Three loans have been liquidated from the pool, resulting in a
minimal aggregate realized loss of $527,405. Three loans,
constituting 18.7% of the pool, are currently in special servicing.
Only one of the specially serviced loans, representing 2.6% of the
pool, transferred to special servicing since March 2020.

The largest specially serviced loan is the Park Plaza Loan ($77.1
million -- 9.9% of the pool), which is secured by a three-story,
283,000 square foot, enclosed regional mall located in Little Rock,
Arkansas. Dillard's anchors the mall, occupying two boxes on the
east and west wings of the property, and is not included as part of
the collateral. The largest collateral tenants include H&M (10.4%
of the net rentable area; lease expiration in 2028) and Forever 21
(8.8% of the NRA; lease expiration in 2023). As of September 2019,
the collateral was 98% leased, compared to 94% in December 2018.
The loan transferred to special servicing in June 2019 for imminent
monetary default. The property's net operating income (NOI) has
declined since 2012 and the year-end 2019 NOI was approximately 28%
lower than in 2012. The decline in NOI is due to lower rental
revenue driven by tenant departures, including Aeropostale, The
Limited, Wet Seal, Payless Shoe Store, Abercrombie & Fitch, Foot
Locker, and Lane Bryant. Additionally, Gap stores and Banana
Republic, representing an aggregate 9% of the collateral NRA,
recently vacated in January 2020. Furthermore 2019 mall store
sales, as reported by the Sponsor, declined to $314 per square foot
(PSF) from $319 in 2018 and $330 in 2017. The loan matures in April
2021 and the Sponsor, CBL & Associates Limited Partnership,
recently disclosed they have discontinued potential modification
discussions and anticipate cooperating with the lender in
foreclosure. The loan is last paid through its March 2020 payment
date. The loan has amortized 22% since securitization, however, due
to the property's continued decline in performance, Moody's
anticipates a significant loss on this loan.

The second largest specially serviced loan is the Oakdale Mall Loan
($48.6 million -- 6.2% of the pool), which is secured by a 709,000
SF enclosed regional mall located in Johnson City, New York. The
mall is anchored by a JC Penney (13% of NRA; lease expiration July
2025) and Burlington Coat Factory (12% of NRA; lease expiration
August 2023). Three anchor tenants have vacated since
securitization; non-collateral Sears (vacated in September 2017), a
ground leased Macy's (April 2018) and Bon Ton (Summer 2018) and all
three spaces remain vacant As of August 2019, the property was only
43% leased, compared to 76% leased in December 2018, 85% leased in
December 2017 and 93% leased at securitization. Furthermore the
2019 comparable inline sales were less than $300 per square foot.
The loan was transferred to special servicing in July 2018 due to
imminent monetary default and the servicer has recognized an
appraisal reduction of over $40 million. The special servicer
indicated a foreclosure complaint has been filed and settlement
discussions are ongoing. Moody's anticipates a significant loss on
this loan.

The third largest specially serviced loan is the Hampshire Mall
Loan ($20.0 million -- 2.6% of the pool), which is secured by an
approximately 342,500 SF portion of a 462,000 SF regional mall
located in Hadley, MA, three miles south of the UMASS-Amherst
campus. Major tenants at the property include J.C. Penney, Cinemark
Theaters, Dick's Sporting Goods, Trader Joe's, PetSmart, JoAnn
Fabrics, Autobahn Indoor Speedway, PiNZ, and Target (which is not a
part of the collateral). The site was developed with two single
story buildings, the main mall building constructed in 1978, and a
freestanding pad (10,000 SF) constructed for Trader Joe's in 2003.
The Target parcel (126,000 SF), which is attached to the mall was
also constructed in 2003. The collateral was 85% leased as of March
2020, compared to 80% in December 2017 and 72% in December 2016.
The property was between 72% and 80% leased from 2012-2016. In
addition to the long-standing movie theater and rollerskating rink,
the property has attracted more entertainment tenants since 2016
including a a go-kart track, bowling alley and axe throwing tenant.
The loan is sponsored by Pyramid Management Group. While the
property's performance has improved in recent years with the NOI up
over 30% since 2016, the loan recently transferred for monetary
default at the borrower's request as a result of the coronavirus
pandemic. The loan has amortized 20% since securitization and
matures in April 2021. The loan is last paid through its April 2020
payment date.

Moody's has also assumed a high default probability for one loan,
the White Flint Plaza, constituting 4% of the pool. The loan is
further described below.

Moody's received full year 2018 operating results for 100% of the
pool, and full or partial year 2019 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 78%, compared to 76% 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 17% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.8%.

Moody's actual and stressed conduit DSCRs are 1.57X and 1.47X,
respectively, compared to 1.56X and 1.46X 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 10.2% of the pool balance.
The largest loan is the White Flint Plaza Loan ($31.3 million --
4.0% of the pool), which is secured by a grocery-anchored retail
center located in Kensington, Maryland, approximately 12 miles
northwest of the Washington, DC central-business district. The
property was anchored by Shoppers Foodwarehouse (31% of the NRA)
until February 2020 when United Natural Foods, the parent company
of Shoppers, closed twelve stores across Maryland, including this
location. As of March 2020, the property was 68% leased to 25
tenants. Furthermore, the property faces significant near-term
rollover risk with the next four largest tenants totaling 38% of
the NRA having lease expiration dates prior to April 2021.These
tenants include HomeGoods, PetSmart and Advance Auto Parts The loan
has a scheduled maturity date in June 2021. Due to the grocery
anchor departure and upcoming rollover risk, Moody's has identified
this as a troubled loan.

The second largest loan is the Bridgewater Promenade Loan ($27.4
million -- 3.5% of the pool), which is secured by a retail power
center in Bridgewater, New Jersey. The property is shadow anchored
by Target, Costco and Home Depot. Major national collateral tenants
at the property include Marshall's, Bed Bath & Beyond, PetSmart,
Bob's Discount Furniture and Michaels. Bed Bath & Beyond,
Marshall's, and Michael's have all recently renewed their
respective leases for an additional five years. As of March 2020,
the property was 100% leased, compared to 80% leased in December
2018. The loan has amortized 14.2% since securitization and matures
in June 2021. The property's NOI has improved since securitization
and Moody's LTV and stressed DSCR are 73% and 1.42X, respectively,
compared to 69% and 1.40X at the last review.

The third largest loan is the Meadowbrook Commons Loan ($20.5
million -- 2.6% of the pool), which is secured by is a community
shopping center located in Freeport, New York. The property is
anchored by Target and features junior anchors Modell's, Marshalls,
and Bob's Furniture. As of March 2020, the property is 95% leased
to ten tenants, however, these figures include the now closed
Dressbarn (5% of the NRA) and Pier 1 (5.5% of NA), which recently
announced its plan to liquidate and close all stores. The loan has
amortized 14.4% since securitization and matures in June 2021. The
property's NOI has improved significantly since securitization and
Moody's LTV and stressed DSCR are 61% and 1.68X, respectively,
compared to 54% and 1.81X at the last review.


[*] DBRS Places 60 U.S. RMBS Securities Under Review Negative
-------------------------------------------------------------
DBRS, Inc. placed various classes of securities issued in the
Non-Qualified Mortgage (Non-QM), Government-Sponsored Enterprise
Credit Risk Transfer (GSE CRT), Mortgage Insurance-Linked Notes
(MILNs), and Re-Performing Loan (RPL) asset classes Under Review
with Negative Implications as a result of the negative impact of
the Coronavirus Disease (COVID-19).

The Affected Ratings Are Available at https://bit.ly/3h91yVe

On April 13, 2020, and May 13, 2020, DBRS Morningstar published
commentaries on the U.S. residential mortgage-backed security
(RMBS) sector titled "Coronavirus Disease Fallout and the Credit
Risk Exposure Mapping of U.S. RMBS Sectors" and "Coronavirus
Disease Implications for Government-Sponsored Enterprise Credit
Risk Transfer Deals" respectively. In a commentary titled "Global
Macroeconomic Scenarios: June Update" published on June 1, 2020,
DBRS Morningstar provided an update on how its scenarios and views
on the coronavirus have evolved since its original commentary dated
April 16, 2020. DBRS Morningstar's moderate scenario now reflects
recent economic data and assumes that a full recovery takes
somewhat longer. This implies lower GDP growth for 2020, higher GDP
growth for 2021 (as a larger proportion of lost output is made up
in 2021 instead of Q3 and Q4 2020), and higher unemployment in 2020
carrying through to 2021.

DBRS Morningstar's rating actions are based on the following
analytical considerations:

-- Key performance measures as reflected in month-over-month
changes in delinquency (including forbearance) percentages, credit
enhancement (CE) increases since deal inception, and the CE levels
relative to the 30+-day delinquencies.

-- Offset of mortgage relief initiatives via direct-to-consumer
economic aid, mortgage payment assistance, and foreclosure
suspension directives.

-- Higher unemployment rates and more conservative home price
assumptions.

NON-QM

In the Non-QM asset class, DBRS Morningstar generally believes that
loans originated to (1) borrowers with recent credit events, (2)
self-employed borrowers, or (3) higher loan-to-value (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.

GSE CRT AND MILNs

In the GSE CRT and MILNs asset classes, DBRS Morningstar generally
believes that loans with layered risk (low FICO score with high
LTV/high debt-to-income ratio) may be more sensitive to economic
hardships resulting from higher unemployment rates and lower
incomes. Additionally, higher delinquencies might cause a longer
lockout period or a redirection of principal allocation away from
outstanding rated classes because of the failure of performance
triggers.

RPL

In the RPL asset class, DBRS Morningstar generally believes that
loans which were previously delinquent, recently modified, or have
higher updated LTVs may be more sensitive to economic hardships
resulting from higher unemployment rates and lower incomes.
Borrowers with previous delinquencies or recent modifications have
exhibited difficulty in fulfilling payment obligations in the past
and may revert to spotty payment patterns in the near term. Higher
LTV borrowers with lower equity in their properties generally have
fewer refinance opportunities and, therefore, slower prepayments.

The rating actions are a result of DBRS Morningstar's application
of the "U.S. RMBS Surveillance Methodology" published on February
21, 2020.

When DBRS Morningstar places a rating Under Review with Negative
Implications, DBRS Morningstar seeks to complete its assessment and
remove the rating from this 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 methodologies are the U.S. RMBS Surveillance
Methodology (February 21, 2020) and RMBS Insight 1.3: U.S.
Residential Mortgage-Backed Securities Model and Rating Methodology
(April 1, 2020), which can be found on dbrsmorningstar.com under
Methodologies & Criteria.


[*] S&P Takes Various Actions on 81 Classes From 19 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 81 ratings from 19 U.S.
RMBS transactions issued between 2000 and 2007. All of these
transactions are backed by subprime collateral. The review yielded
four upgrades, nine downgrades, 65 affirmations, and three
discontinuances.

ANALYTICAL CONSIDERATIONS

S&P acknowledges a high degree of uncertainty about the rate of
spread and peak of the coronavirus outbreak. Some government
authorities estimate the pandemic will peak around midyear, and S&P
is using this assumption in assessing the economic and credit
implications. It believes the measures adopted to contain COVID-19
have pushed the global economy into recession. As the situation
evolves, S&P will update its assumptions and estimates accordingly.


"Our views also consider that the loans supporting the RMBS in the
rating actions are significantly seasoned and are to borrowers that
have weathered the Great Recession; a period of significant
economic stress," S&P said.

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations may include:

-- Factors related to COVID-19;
-- Collateral performance/delinquency trends;
-- Available subordination/overcollateralization;
-- Increases in/erosion of credit support;
-- Payment priority;
-- Historical missed interest payments; and
-- Expected short duration.

RATING ACTIONS

"The rating changes reflect our opinion regarding the associated
transaction-specific collateral performance or structural
characteristics, and/or reflect the application of specific
criteria applicable to these classes. Please see the ratings list
below for the specific rationales associated with each of the
classes with rating transitions," S&P said.

"The ratings affirmations reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections," the
rating agency said.

A list of Affected Ratings can be viewed at:

            https://bit.ly/3d2rChG


                            *********

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