/raid1/www/Hosts/bankrupt/TCR_Public/200621.mbx          T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, June 21, 2020, Vol. 24, No. 172

                            Headlines

AGL CLO 5: S&P Rates $24.9MM Class E Notes 'BB- (sf)'
ALLEGRO CLO III: S&P Lowers Class E Notes Rating to B (sf)
ARES XL: Moody's Lowers Class $10MM Class E-R Notes to Caa2
BAIN CAPITAL 2020-2: S&P Assigns BB- (sf) Rating to Class E Notes
BANK 2020-BNK27: Fitch to Rate $5.8MM Class G Certs 'B+sf'

BBCMS MORTGAGE 2020-C7: DBRS Assigns Prov. B Rating on Cl. F Certs
BENCHMARK 2018-B4: Fitch Affirms Class G-RR Debt at B-sf
BRAVO RESIDENTIAL 2020-RPL1: DBRS Gives Prov. B Rating on B-2 Notes
BRAVO RESIDENTIAL 2020-RPL1: Fitch to Rate Class B-2 Debt 'B(EXP)'
CARLYLE GLOBAL 2015-3: Moody's Cuts Rating on E-R Notes to Caa2

CARLYLE GLOBAL 2015-4: Moody's Cuts Rating on Class D-R Notes to B1
CARLYLE US 2016-4: Moody's Cuts Rating on Class D-R Notes to B1
CASCADE FUNDING 2018-RM2: DBRS Gives B(high) Rating on Cl. F Debt
COLT 2020-3: Fitch Rates Class B2 Certs 'B(EXP)sf'
COMINAR REAL: DBRS Assigns RR4 Rating to Sr. Unsecured Debentures

CPS AUTO 2020-B: DBRS Finalizes BB Rating on Class E Notes
CRESTLINE DENALI XVII: Moody's Cuts $26MM Class E Notes to B1
DEEPHAVEN RESIDENTIAL 2020-2: Fitch Rates Class B-2 Certs 'B(EXP)'
DT AUTO 2020-2: DBRS Finalizes BB Rating on $32MM Class E Notes
ELEVATION CLO 2014-2: Moody's Cuts Class F-R Notes to Caa2

GE BUSINESS 2007-1: S&P Affirms BB+ (sf) Rating on Class D Notes
GRAND AVENUE 2020-FL2: DBRS Finalizes B(low) Rating on Cl. F Notes
GS MORTGAGE-BACKED 2020-INV1: Fitch to Rate Class B-5 Certs B(EXP)
HALCYON LOAN 2014-1: Moody's Cuts Rating on Class F Notes to Ca
JP MORGAN 2012-C6: Moody's Cuts Class H Certs to Caa3

JP MORGAN 2016-JP2: Fitch Affirms BB- Rating on Class E Certs
JPMDB COMMERCIAL 2020-COR7: Fitch to Rate Class H-RR Certs 'B-sf'
KEYCORP STUDENT 2006-A: Fitch Affirms CC Rating on Class II-C Debt
KKR CLO 13: Moody's Lowers Rating on Class E-R Notes to 'B1'
KKR CLO 14: Moody's Lowers Rating on Class E-R Notes to 'B1'

MF1 LTD 2020-FL3: DBRS Gives Prov. B(low) Rating on Class G Notes
MORGAN STANLEY 2006-HQ10: Fitch Affirms D Rating on 10 Tranches
MORGAN STANLEY 2012-C6: Fitch Affirms Class H Certs at 'Bsf'
NEW RESIDENTIAL 2020-NQM2: Fitch to Rate Class B-2 Debt 'B(EXP)sf'
NP SPE X 2019-2: S&P Affirms BB (sf) Rating on Class C-1 Notes

OCP CLO 2020-19: S&P Assigns Prelim BB- (sf) Rating to E Notes
REALT 2018-1: Fitch Affirms Bsf Rating on Class G Certs
SEQUOIA MORTGAGE 2020-MC1: Fitch to Rate Class B-2 Debt 'B(EXP)'
SILVER AIRCRAFT: Fitch Affirms BB Rating on Class C Notes
TOWD POINT 2019-MH1: DBRS Assigns B Rating to 5 Tranches

TRINITAS CLO VII: Moody's Cuts Rating on Class E Notes to B1
UNITED AUTO 2020-1: S&P Assigns Prelim B (sf) Rating to F Notes
WAMU COMMERCIAL 2007-SL2: Fitch Hikes Class E Certs to 'BBsf'
WELLS FARGO 2016-LC24: Fitch Affirms BB- Rating on 2 Tranches
WELLS FARGO 2020-2: DBRS Assigns B(low) Rating on Class B-5 Certs

WESTLAKE AUTOMOBILE 2020-2: DBRS Assigns Prov. BB Rating on E Notes
WFRBS COMMERCIAL 2012-C9: Moody's Cuts Class F Certs to Caa2
[*] Moody's Takes Action on $80.1MM of US RMBS Issued 2004-2005
[*] Moody's Takes Action on 45 Tranches From 25 US RMBS Deals
[*] S&P Takes Various Actions on 182 Classes From 121 US RMBS Deals

[*] S&P Takes Various Actions on 184 Classes From 57 US RMBS Deals
[*] S&P Takes Various Actions on 53 Classes From 14 U.S. RMBS Deals
[*] S&P Takes Various Actions on 71 Ratings From 30 Aircraft Deals

                            *********

AGL CLO 5: S&P Rates $24.9MM Class E Notes 'BB- (sf)'
-----------------------------------------------------
S&P Global Ratings assigned its ratings to AGL CLO 5 Ltd.'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 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.

  RATINGS ASSIGNED

  AGL CLO 5 Ltd.

  Class                Rating       Amount (mil. $)
  A-1                  AAA (sf)              355.80
  A-2                  NR                     22.20
  B                    AA (sf)                66.00
  C (deferrable)       A (sf)                 33.00
  D (deferrable)       BBB- (sf)              33.00
  E (deferrable)       BB- (sf)               24.90
  Subordinated notes   NR                     65.10

  NR--Not rated.


ALLEGRO CLO III: S&P Lowers Class E Notes Rating to B (sf)
----------------------------------------------------------
S&P Global Ratings reviewed its ratings on 11 classes of notes from
Allegro CLO I Ltd. and Allegro CLO III Ltd., U.S. CLO transactions
managed by AXA Investment Managers Inc. The review yielded one
rating lowered and remaining on CreditWatch negative and three
ratings affirmed from Allegro CLO I Ltd. and two ratings lowered,
one remaining on CreditWatch negative, and five ratings affirmed
from Allegro CLO III Ltd.

The ratings on the class D notes from Allegro CLO I Ltd. and the
class E and F notes from Allegro CLO III Ltd. 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 2020 trustee reports for both
transactions.

S&P said, "Since our September 2019 under criteria observation
rating actions on Allegro CLO I Ltd., paydowns to the transaction's
class A-1-R and A-2-R notes totaled $65.94 million, which paid the
class A-1-R notes in full. These paydowns resulted in improved
overcollateralization (O/C) ratios for class A-R and B-R O/C ratio
tests. However, the increase in the O/C numerator haircuts (largely
due to excess 'CCC' rated collateral adjustments and defaulted
assets) and par losses contributed to the decrease in the ratios
for the class C and D notes according to the April 21, 2020,
trustee report. Paydowns to the class A-2-R notes on the April 30,
2020, payment date are expected to improve these ratios some
compared to the trustee reported values. The class C and D O/C
ratios are below their trigger levels, so interest proceeds were
diverted to paydown the class A-2-R notes until these tests improve
to passing their respective required thresholds."

The changes to the Allegro CLO I Ltd. O/C ratios include that:

-- The class A O/C ratio improved to 217.01% from 164.04%.
-- The class B O/C ratio improved to 143.23% from 132.99%.
-- The class C O/C ratio declined to 116.65% from 118.02%.
-- The class D O/C ratio declined to 100.11% from 107.27%.

Since S&P's January 2018 rating actions on Allegro CLO III Ltd.,
paydowns to the transaction's class A-R notes totaled $89.58
million; however, due to the increase in the haircuts (largely due
to excess 'CCC' rated collateral adjustments and defaulted assets)
and par losses, the O/C ratios for all classes of notes decreased
according to the April 16, 2020, trustee report. Similarly, the
paydowns to the class A-R notes on the April 27, 2020, payment date
are expected to improve these ratios some compared to the trustee
reported values. The class D and E O/C ratios were below their
trigger levels on the April payment date, so interest proceeds were
diverted to paydown the class A-R notes until these tests pass
their respective required thresholds. On the April payment date,
the class D O/C test failure was cured from the paydowns from
interest proceeds and the class E notes were paid their interest
due. However, the class E O/C test failure diverted interest
proceeds for paydown, and the class F notes deferred their full
interest due for this period.

The changes to the Allegro CLO III Ltd. O/C ratios include that:

-- The class A/B O/C ratio declined to 130.47% from 133.56%.
-- The class C O/C ratio declined to 117.20% from 122.12%.
-- The class D O/C ratio declined to 108.16% from 114.10%.
-- The class E O/C ratio declined to 101.68% from 108.22%.

On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class D notes from Allegro CLO I
Ltd. This portfolio has become significantly concentrated and lost
par and overall credit quality has deteriorated since our last
rating actions in September 2019. S&P said, "Collateral obligations
with ratings in the 'CCC' category have increased, with $24.13
million (19.3% of the collateral principal amount) reported as of
the April 2020 trustee report, compared with $12.35 million (6.2%
of the collateral principal amount) reported as of the July 2019
trustee report used at the time of our last rating actions. Over
the same period, the par amount of defaulted collateral has
increased to $1.31 million from none. We also considered our
largest obligor test, which is passing at 'CCC+', and the degree of
financial stress, the likelihood of default, the current O/C ratio,
and the level of available credit enhancement, which, in our
opinion, is in line with 'CCC' credit risk as it is currently
vulnerable to non-payment and dependent on favorable market
conditions to pay interest and ultimate principal. Therefore, we
lowered the rating on the class D notes to 'CCC+ (sf)', where it
remains on CreditWatch negative to reflect the exposure to 'CCC'
category assets and assets with ratings on CreditWatch negative. On
a standalone basis, the results of the cash flow analysis indicated
a lower rating on the class E and F notes from Allegro CLO III Ltd.
Additionally, the O/C tests for class D and E notes are failing,
and the class F notes are deferring their interest. The collateral
portfolio's credit quality has significantly deteriorated since our
last rating actions in January 2018, and the portfolio has lost
par. Collateral obligations with ratings in the 'CCC' category have
increased, with $65.89 million (21.94% of the collateral principal
amount) reported as of the April 2020 trustee report, compared with
$9.99 million (2.53% of the collateral principal amount) reported
as of the January 2018 trustee report used at the time of our last
rating actions. Over the same period, the par amount of defaulted
collateral has increased to $2.52 million from $1.07 million. This
deterioration in the credit quality has resulted in the decline of
the weighted average rating for the pool to 'B-' from 'B'.
Therefore, we lowered the rating on class E notes to 'B (sf)' and
the rating on class F notes to 'CCC+ (sf)'. The class F notes
rating remains on CreditWatch negative to reflect the exposure to
assets whose underlying ratings are on CreditWatch negative. The
degree of financial stress, the likelihood of default, the current
O/C ratio, and our expectation that this class will continue to
defer interest are in line with our definition of 'CCC' credit risk
as this class is currently vulnerable to non-payment and dependent
on favorable market conditions to pay interest and ultimate
principal."

On a standalone basis, the cash flow analysis indicated higher
ratings for the class B-R and C notes from Allegro CLO I Ltd. and
the class B-1-R, B-2-R, C-R, and D-R notes from Allegro CLO III
Ltd. S&P affirmed the ratings on these classes given the above
outlined respective portfolio deterioration, exposures to assets
that are on CreditWatch negative, and larger exposures to the
software and healthcare sectors. The affirmed ratings reflect the
adequate credit support at the current rating levels, though
further deterioration in the credit support available to any of 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.

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, we may make
qualitative adjustments to our 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 our criteria for
analyzing CLOs. To do this, we review the likelihood of near-term
changes to the portfolio's credit profile by evaluating the
transaction's specific risk factors. For this transaction, we took
into account 'CCC' and 'B-' rated assets, assets on CreditWatch
negative, assets with a negative rating outlook, and assets that
operate in what we view as a higher-risk corporate sector.

"Our 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 our criteria, our 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, our 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.

"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 Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. S&P said,
"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."

  RATING LOWERED AND PLACED ON CREDITWATCH NEGATIVE

  Allegro CLO I Ltd.
                          Rating
  Class         To                    From
  D             CCC+ (sf)/Watch Neg   BB- (sf)/Watch Neg

  Allegro CLO III Ltd.
                          Rating
  Class         To                    From
  F             CCC+ (sf)/Watch Neg   B (sf)/Watch Neg

  RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE

  Allegro CLO III Ltd.

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

  RATINGS AFFIRMED

  Allegro CLO I Ltd.

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

  Allegro CLO III Ltd.

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


ARES XL: Moody's Lowers Class $10MM Class E-R Notes to Caa2
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Ares XL CLO Ltd.:

US$39,900,000 Class C-R Mezzanine 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$35,000,000 Class D-R Mezzanine 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$10,150,000 Class E-R Mezzanine Deferrable Floating Rate Notes
Due 2029 (the "Class E-R Notes"), Downgraded to Caa2 (sf);
previously on April 17, 2020 B3 (sf) Placed Under Review for
Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class C-R, D-R, and E-R notes. The CLO, originally
issued in October 2016 and refinanced in December 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 October 2021.

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 is
currently 3474 compared to 3012 reported in the March 2020 trustee
report [1]. Moody's notes that currently approximately 28.7% and
6.3% 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 19.2%. Furthermore, Moody's
calculated total collateral par balance, including recoveries from
defaulted securities, is at $685.3 million, or $14.7 million less
than the deal's ramp-up target par balance. 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 $681.7 million, defaulted par of
$10.2 million, a weighted average default probability of 28.86%
(implying a WARF of 3474), a weighted average recovery rate upon
default of 48.31%, a diversity score of 74 and a weighted average
spread of 3.35%.

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.

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


BAIN CAPITAL 2020-2: S&P Assigns BB- (sf) Rating to Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Bain Capital Credit CLO
2020-2 Ltd.'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 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 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.

  RATINGS ASSIGNED

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

  Class                  Rating       Amount (mil. $)
  A                      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 2020-BNK27: Fitch to Rate $5.8MM Class G Certs 'B+sf'
----------------------------------------------------------
Fitch Ratings has issued a presale report on BANK 2020-BNK27
commercial mortgage pass-through certificates, series 2020-BNK27.

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

  -- $2,528,000 class A-1 'AAAsf'; Outlook Stable;

  -- $4,339,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $250,000,000ae class A-4 'AAAsf'; Outlook Stable;

  -- $0e class A-4-1 'AAAsf'; Outlook Stable;

  -- $0e class A-4-2 'AAAsf'; Outlook Stable;

  -- $0e class A-4-X1 'AAAsf'; Outlook Stable;

  -- $0e class A-4-X2 'AAAsf'; Outlook Stable;

  -- $154,008,000ae class A-5 'AAAsf'; Outlook Stable;

  -- $0e class A-5-1 'AAAsf'; Outlook Stable;

  -- $0e class A-5-2 'AAAsf'; Outlook Stable;

  -- $0e class A-5-X1 'AAAsf'; Outlook Stable;

  -- $0e class A-5-X2 'AAAsf'; Outlook Stable;

  -- $410,875,000b class X-A 'AAAsf'; Outlook Stable;

  -- $114,458,000b class X-B 'A-sf'; Outlook Stable;

  -- $68,968,000e class A-S 'AAAsf'; Outlook Stable;

  -- $0e class A-S-1 'AAAsf'; Outlook Stable;

  -- $0e class A-S-2 'AAAsf'; Outlook Stable;

  -- $0e class A-S-X1 'AAAsf'; Outlook Stable;

  -- $0e class A-S-X2 'AAAsf'; Outlook Stable;

  -- $24,213,000 class B 'AA-sf'; Outlook Stable;

  -- $21,277,000 class C 'A-sf'; Outlook Stable;

  -- $16,875,000c class D 'BBBsf'; Outlook Stable.

  -- $16,875,000bc class X-D 'BBBsf'; Outlook Stable;

  -- $5,870,000c class E 'BBB-sf'; Outlook Stable;

  -- $10,272,000c class F 'BB+sf'; Outlook Stable;

  -- $5,869,000c class G 'B+sf'; Outlook Stable.

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

  -- $22,745,784 class H;

  -- $30,892,883d RR Interest.

(a) The initial certificate balances of classes A-4 and A-5 are
unknown and expected to be $404,008,000 in aggregate. 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 $250,000,000, and the expected class A-5 balance
range is $154,008,000 to $404,008,000. The balances of classes A-4
and A-5 shown above reflect the hypothetical balances if A-5 were
sized at the minimum of its range.

(b) Notional amount and interest-only.

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

(d) Non-offered Vertical credit-risk retention interest.

(e) Exchangeable Certificates. Class A-4, class A-5, and class A-S
are exchangeable certificates. Each class of exchangeable
certificates may be exchanged for the corresponding classes of
exchangeable certificates, and vice versa. The dollar denomination
of each of the received classes of certificates must be equal to
the dollar denomination of each of the surrendered classes of
certificates. Class A-4 may be surrendered (or received) for the
received (or surrendered) classes A-4-1, A-4-2, A-4-X1 and A-4-X2.
Class A-5 may be surrendered (or received) for the received (or
surrendered) class A-5-1, A-5-2, A-5-X1 and A-5-X2. Class A-S may
be surrendered (or received) for the received (or surrendered)
classes A-S-1, A-S-2, A-S-X1 and A-S-X2. The ratings of the
exchangeable classes would reference the ratings on the associated
referenced or original classes.

The expected ratings are based on information provided by the
issuer as of June 15, 2020.

BANK 2020-BNK27

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

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

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

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

  - Class A-4-X1; LT AAA(EXP)sf Expected Rating

  - Class A-4-X2; LT AAA(EXP)sf Expected Rating

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

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

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

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

  - Class A-5-X2; LT AAA(EXP)sf Expected Rating

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

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

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

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

  - Class A-S-X2; 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 BBB-(EXP)sf Expected Rating

  - Class F; LT BB+(EXP)sf Expected Rating

  - Class G; LT B+(EXP)sf Expected Rating

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

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

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 36 loans secured by 46
commercial properties having an aggregate principal balance of
$617,857,668 as of the cut-off date. The loans were contributed to
the trust by Wells Fargo Bank, National Association, Morgan Stanley
Mortgage Capital Holdings LLC, and Bank of America, National
Association.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 63.4% of the properties
by balance, cash flow analysis of 87.8% and asset summary reviews
on 100.0% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes the COVID-19 disease) 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 not
subject to any forbearance or modification requests.

KEY RATING DRIVERS

Lower Fitch Leverage than Recent Transactions: The pool's Fitch
debt service ratio of 1.45x is better than the YTD 2020 and 2019
averages of 1.31x and 1.26x respectively, for other Fitch-rated
multiborrower transactions. The pool's loan-to-value of 90.0% is
below the YTD 2020 and 2019 averages of 99.0% and 103.0%
respectively. Excluding the credit assessed collateral, the pool
has a Fitch DSCR and LTV of 1.46x and 105.2% respectively.

Investment-Grade Credit Opinion Loans: Five loans, representing
38.0% of the pool, received investment-grade credit opinions. This
is significantly above the YTD 2020 and 2019 averages of 27.8% and
14.2%, respectively. Bellagio Hotel & Casino (9.9% of pool), 55
Hudson Yards (8.7% of pool) and 1633 Broadway (6.5% of pool) each
received a stand-alone credit opinion of 'BBB-sf*'. 525 Market
(8.1% of pool) received a stand-alone credit opinion of 'A-sf*' and
560 Mission Street (4.9% of pool) received a stand-alone credit
opinion of 'AA-sf*'.

Minimal Amortization: Twenty-nine loans (92.4% of pool) are
full-term interest-only loans, and five loans (5.9% of pool) are
partial IO. Based on the scheduled balance at maturity, the pool
will pay down by only 1.2%, which is well below the YTD 2020 and
2019 averages of 4.3% and 5.9% respectively.

Concentrated Pool: The top 10 loans constitute 65.9% of the pool,
which is greater than the YTD 2020 average of 52.7% and the 2019
average of 51.0%. Additionally, the loan concentration index (LCI)
of 531 is greater than the YTD 2020 and 2019 averages of 393 and
379, respectively.

RATING SENSITIVITIES

This section provides insight into the sensitivity of ratings when
one assumption is modified, while holding others equal. For U.S.
CMBS, the sensitivity reflects the impact of changes to property
net cash flow 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 Negative
Rating Action/Downgrade:

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

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

10% NCF Decline: AA-sf / A-sf / BBBsf / BBB-sf/ BB+sf / B+sf /
B+sf

20% NCF Decline: Asf / BBB+sf / BBB-sf / BB-sf/ Bsf / CCCsf /
CCCsf

30% NCF Decline: BBB+sf / BBB-sf / BB-sf / CCCsf/ CCCsf / CCCsf /
CCCsf

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

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 / BBBsf/ BBB-sf / BB+sf /
B+sf

20% NCF Increase: AAAsf / AAAsf / AAsf / Asf / A-sf / BBB+sf /
BBB-sf

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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 Deloitte & Touche 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 our analysis or conclusions. A copy of
the ABS Due Diligence Form 15-E received by Fitch in connection
with this transaction may be obtained via the link at the bottom of
the related rating action commentary.

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.


BBCMS MORTGAGE 2020-C7: DBRS Assigns Prov. B Rating on Cl. F Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-C7 to be
issued by BBCMS Mortgage Trust 2020-C7 (BBCMS 2020-C7):

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (high) (sf)
-- Class E at BB (sf)
-- Class X-F at B (high) (sf)
-- Class F at B (sf)

All trends are Stable. Classes D, X-E, E, X-F, and F will be
privately placed.

The transaction consists of 49 fixed-rates loans secured by 153
commercial and multifamily properties. The transaction is of a
sequential-pay pass-through structure. Six loans, representing
33.5% of the pool, are shadow-rated investment grade by DBRS
Morningstar. The conduit pool was analyzed to determine the
provisional ratings, reflecting the long-term probability of loan
default within the term and its liquidity at maturity. When the
cut-off loan balances were measured against the DBRS Morningstar
Net Cash Flow and their respective actual constants, the initial
DBRS Morningstar Weighted-Average Debt Service Coverage Ratio
(DSCR) of the pool was 2.23 times (x). Five loans, accounting for
9.8% of the pool balance, had a DBRS Morningstar DSCR below 1.32x,
a threshold indicative of a higher likelihood of midterm default.
The pool additionally includes 15 loans, comprising a combined
18.3% of the pool balance, with a DBRS Morningstar Loan-to-Value
Ratio (LTV) in excess of 67.1%, a threshold generally indicative of
above-average default frequency. The WA DBRS Morningstar LTV of the
pool at issuance was 54.5%, and the pool is scheduled to amortize
down to a DBRS Morningstar WA LTV of 50.7% at maturity. These
credit metrics are based on A-note balances.

Eleven loans, representing 34.4% of the pool, are in areas
identified as DBRS Morningstar Market Ranks 7 or 8, which are
generally characterized as highly dense urbanized areas that
benefit from increased liquidity driven by consistently strong
investor demand, even during times of economic stress. Markets
ranked seven and eight benefit from lower default frequencies than
less dense suburban, tertiary, and rural markets. Urban markets
represented in the deal include New York, San Francisco, Seattle,
and Los Angeles. Term default risk is low, as indicated by a strong
DBRS Morningstar DSCR of 2.23x. Even with the exclusion of the
shadow-rated loans, representing 33.5% of the pool, the deal
exhibits a very favorable DBRS Morningstar DSCR of 1.73x.

While the pool demonstrates favorable loan metrics with WA DBRS
Morningstar Issuance and Balloon LTVs of 54.5% and 50.7%,
respectively, it also exhibits heavy leverage barbelling. There are
six loans accounting for 33.5% of the pool with investment-grade
shadow ratings and a WA LTV of 35.7%. The pool also has nine loans,
comprising 13.3% of the pool balance, with an issuance LTV lower
than 59.3%, a threshold historically indicative of relatively
low-leverage financing. There are 15 loans, comprising 18.3% of the
pool balance, with an issuance LTV higher than 67.1%, a threshold
historically indicative of relatively high-leverage financing and
generally associated with above-average default frequency. The WA
expected loss of the pool's investment-grade component was
approximately 0.1%, while the WA expected loss of the pool's
conduit component was substantially higher at over 2.4%, further
illustrating the barbelled nature of the transaction. The WA DBRS
Morningstar expected loss exhibited by the loans that were
identified as representing relatively high-leverage financing was
4.5%. This is considerably higher than the conduit component's WA
expected loss of 2.4%, and the pool's credit enhancement reflects
the higher leverage of this component of 15 loans with an issuance
LTV in excess of 67.1%.

Twenty-five loans, representing a combined 63.9% of the pool by
allocated loan balance, are structured with full-term interest-only
(IO) periods. An additional 12 loans, representing 22.6% of the
pool, have partial IO periods ranging from 12 months to 60 months.
Expected amortization for the pool is only 5.5%, which is less than
recent conduit securitizations. Of the 25 loans structured with
full-term IO periods, 10 loans, representing 31.5% of the pool by
allocated loan balance, are located in areas with a DBRS
Morningstar Market Rank of 6, 7, or 8. These markets benefit from
increased liquidity even during times of economic stress. Six of
the 25 identified loans, representing 33.5% of the total pool
balance, are shadow-rated investment grade by DBRS Morningstar:
Parkmerced, 525 Market Street, The Cove at Tiburon, Acuity
Portfolio, F5 Tower, and 650 Madison Avenue.

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remains highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. DBRS Morningstar continues to monitor the
ongoing coronavirus pandemic and its impacts on both the commercial
real estate sector and the global fixed income markets.
Accordingly, DBRS Morningstar may apply additional short-term
stresses to its rating analysis, for example by front-loading
default expectations and/or assessing the liquidity position of a
structured finance transaction with more stressful operational risk
and/or cash flow timing considerations.

ESG CONSIDERATIONS

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

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


BENCHMARK 2018-B4: Fitch Affirms Class G-RR Debt at B-sf
--------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Benchmark 2018-B4 Mortgage
Trust.

Benchmark 2018-B4

  - Class A-1 08161HAA8; LT AAAsf; Affirmed

  - Class A-2 08161HAB6; LT AAAsf; Affirmed

  - Class A-3 08161HAC4; LT AAAsf; Affirmed

  - Class A-4 08161HAE0; LT AAAsf; Affirmed

  - Class A-5 08161HAF7; LT AAAsf; Affirmed

  - Class A-M 08161HAH3; LT AAAsf; Affirmed

  - Class A-SB 08161HAD2; LT AAAsf; Affirmed

  - Class B 08161HAJ9; LT AA-sf; Affirmed

  - Class C 08161HAK6; LT A-sf; Affirmed

  - Class D 08161HAQ3; LT BBBsf; Affirmed

  - Class E-RR 08161HAS9; LT BBB-sf; Affirmed

  - Class F-RR 08161HAU4; LT BB-sf; Affirmed

  - Class G-RR 08161HAW0; LT B-sf; Affirmed

  - Class X-A 08161HAG5; LT AAAsf; Affirmed

  - Class X-B 08161HAL4; LT AA-sf; Affirmed

  - Class X-D 08161HAN0; LT BBBsf; Affirmed

KEY RATING DRIVERS

Relatively Stable Performance; Increased Loss Expectations: While
loss expectations have increased since issuance due to the
significant economic impact of the coronavirus pandemic, overall
pool performance has remained relatively stable. Fitch has
designated four loans (6.9% of pool) as Fitch Loans of Concern. The
808 Olive Retail & Parking loan (2.3%), which is secured by a
277,502 sf mixed-use property consisting of a seven-story 759-stall
parking facility and 21,052 sf of ground-floor commercial space
located in Los Angeles, CA, recently transferred to special
servicing due to a low debt service coverage ratio attributed to a
decline in parking revenue, increased operating expenses and the
loss of a retail tenant in 2018.

The property provides valet parking and wraps around the Freehand
Hotel, a boutique 226-room hotel. Parking revenue accounted for
approximately 69% of total revenue in 2019, compared with 65% at
issuance. Between YE 2019 and the issuer's underwritten financials,
total operating expenses increased 30.8% due to significant
increases in utilities, general and administrative, repairs and
maintenance and payroll and benefits costs. Additionally, the
largest retail tenant, Coconuts Fish Cafe (14.7% of retail/office
net rentable area), which opened at the subject in May 2018, did
not finalize their lease agreement and is no longer in occupancy;
however, California Chicken Nine executed a lease to backfill the
entire space with rent commencing in October 2019. The
servicer-reported net operating income DSCR was 1.27x in 2019,
compared with 1.17x in 2018.

In addition to the specially-serviced loan, all three loans on the
servicer's watchlist (4.5% of pool), were flagged as FLOCs. The
Crowne Plaza Dallas loan (2.3%), which is secured by a 428-room
hotel located in Addison, TX, was flagged due to the loss of two
corporate accounts, an ongoing performance improvement plan and
coronavirus-related hardships. At issuance, 40% of the property's
revenue came from corporate stays. The borrower reported the loss
of two corporate accounts in June 2019 contributed to significant
revenue declines. The loan is delinquent on the April and May 2020
payments and the servicer-reported NOI was (-0.57x) in 2019,
compared with 0.98x in 2018.

The Kona Coast loan (1.7%), which is secured by a 81,474 sf
grocery-anchored retail property located in Kailua-Kona, HI, is
delinquent on the April and May 2020 payments following the loss of
its second largest tenant, Pier 1 (14.7% of NRA), in February 2020.
Pier 1 filed for Chapter 11 bankruptcy and has announced plans to
close and liquidate all stores. The lease at the subject was
rejected effective Feb. 17, 2020; however, a new medical-tenant
lease for the entire space is currently under review. The grocer,
Sack N Save (34.9% of NRA), contributes 31.6% of total rent at the
property and has a lease expiration in January 2029.

The Riverton Spring Creek loan (0.5%), which is secured by a 17,526
sf office property located in Riverton, UT, experienced occupancy
and cash flow declines following Eco Pharmacy (8% of NRA) vacating
in 2019 prior to the September 2025 lease expiration; however, the
borrower expects to receive a settlement from the former tenant.
Occupancy declined to 81% in 2019 from 89% in 2018 and the
servicer-reported NOI DSCR declined to 1.05x in 2019 from 1.15x in
2018 due to a 6% decline in effective gross income.

Minimal Change to Credit Enhancement: As of the May 2020
distribution date, the pool's aggregate principal balance was paid
down by 0.6% to $1.15 billion at issuance from $1.16 billion at
issuance. Eighteen loans (53.7% of pool) are full-term,
interest-only. An additional 13 loans (25%) remain in their partial
interest-only period. The remaining 13 loans (21.3%) are
amortizing. Based on the scheduled balance at maturity, the pool
will pay down by 5.9%. Schedule loan maturities include six loans
(11.9%) in 2023, one loan (2.6%) in 2024 and 37 loans (85.5%) in
2028.

Coronavirus Exposure: Eight loans (16.4% of pool), which have a
weighted average NOI DSCR of 2.03x, are secured by hotel
properties. Fifteen loans (27%), which have a weighted average NOI
DSCR of 1.76x, are secured by retail properties. The base case
analysis applied additional stresses to all eight hotel loans and
11 retail loans due to their vulnerability to the coronavirus
pandemic. Additionally, the base case analysis includes an
additional stress to the specially-serviced 808 Olive Retail &
Parking loan to reflect recent parking revenue declines. These
additional stresses contributed to the Negative Outlook revision on
class F-RR and maintaining the Negative Outlook on class G-RR.

Investment-Grade Credit Opinion Loans: Five loans, representing 29%
of the pool, had investment-grade credit opinions on a standalone
basis at issuance: Aventura Mall (10% of pool; 'Asf' credit
opinion), 636 11th Avenue (4.3%; 'BBBsf'), 65 Bay Street (3.5%;
'BBBsf'), 181 Fremont Street (6.9%; 'BBB-sf') and AON Center (4.3%;
'BBB-sf').

Pari-Passu Loans: Fifteen loans (60% of pool), including 13 of the
top 15, are pari passu loans.

RATING SENSITIVITIES

The Negative Outlooks on classes F-RR and G-RR reflect the
potential for future downgrades due to performance concerns as a
result of the economic slowdown stemming from the coronavirus
pandemic. The Stable Outlooks on classes A-1 through E-RR reflect
the overall stable pool performance and expected continued
paydowns.

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 pay down and/or
defeasance. Upgrades to the 'Asf' and 'AAsf' categories would
likely occur with significant improvement in credit enhancement
and/or defeasance; however, adverse selection, increased
concentrations and/or 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 credit enhancement to
the classes.

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 '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 'BBBsf'
category would occur if a high proportion of the pool defaults and
expected losses increase significantly. Downgrades to the 'Bsf' and
'BBsf' categories 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. The Rating
Outlook on classes F-RR and G-RR may be revised back to Stable if
pool performance and/or properties vulnerable to the coronavirus
stabilize once the pandemic is over.

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
additional 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 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).


BRAVO RESIDENTIAL 2020-RPL1: DBRS Gives Prov. B Rating on B-2 Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2020-RPL1 (the Notes) to be issued by
BRAVO Residential Funding Trust 2020-RPL1 (BRAVO 2020-RPL1 or the
Trust):

-- $166.8 million Class A-1 at AAA (sf)
-- $21.9 million Class A-2 at AA (sf)
-- $188.6 million Class A-3 at AA (sf)
-- $206.8 million Class A-4 at A (sf)
-- $223.1 million Class A-5 at BBB (sf)
-- $18.2 million Class M-1 at A (sf)
-- $16.3 million Class M-2 at BBB (sf)
-- $13.9 million Class B-1 at BB (sf)
-- $10.1 million Class B-2 at B (sf)

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

The AAA (sf) rating on the Class A-1 Notes reflects 47.75% of
credit enhancement provided by subordinated notes. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 40.90%, 35.20%,
30.10%, 25.75%, and 22.60% of credit enhancement, respectively.

This transaction is a securitization of a portfolio of primarily
seasoned performing first-lien residential mortgages funded by the
issuance of the Notes, which are backed by 1,776 loans with a total
principal balance of $319,165,241 as of the Cut-Off Date (May 31,
2020).

The loans are approximately 168 months seasoned and contain 95.9%
modified loans. The modifications happened more than two years ago
for 66.8% of the modified loans. Within the pool, 1,247 mortgages
have non-interest-bearing deferred amounts, which equate to
approximately 10.6% of the total principal balance.

As of the Cut-Off Date, 67.6% of the pool is current, 24.0% is
under Coronavirus Disease (COVID-19) related deferral plans, and
3.9% is 30 days delinquent under the Mortgage Bankers Association
(MBA) delinquency method. There are 94 loans, 4.5% of the pool, in
bankruptcy. Approximately 37.8% and 68.4% of the mortgage loans
have been zero times 30 days delinquent for the past 24 months and
12 months, respectively, under the MBA delinquency method.

All loans in this pool are exempt from the Consumer Financial
Protection Bureau Ability-to-Repay/Qualified Mortgage rules.

BRAVO III Residential Funding VII Ltd., an affiliate of Loan
Funding Structure LLC (the Sponsor), will acquire the loans and
will contribute them to the Trust. The Sponsor or one of its
majority-owned affiliates will acquire and retain a 5% eligible
vertical interest in the offered Notes, consisting of 5% of each
class to satisfy the credit risk retention requirements.

The mortgage loans will be serviced by Rushmore Loan Management
Services LLC. For this transaction, the aggregate servicing fee
paid from the Trust will be 0.25%.

There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction; however, the Servicer is obligated to make advances in
respect of homeowner association fees, taxes, and insurance as well
as reasonable costs and expenses incurred in the course of
servicing and disposing of properties.

When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-Off Date, the holder of the Trust
certificates may purchase all of the mortgage loans and real estate
owned (REO) properties from the issuer at a price equal to the sum
of principal balance of the mortgage loans; accrued and unpaid
interest thereon; the fair market value of REO properties net of
liquidation expenses; unpaid servicing advances; and any fees,
expenses, or other amounts owed to the transaction parties
(optional termination).

Coronavirus Pandemic and Forbearance

The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. DBRS
Morningstar anticipates that delinquencies may continue to rise in
the coming months for many residential mortgage-backed securities
(RMBS) asset classes, some meaningfully.

Reperforming Loans (RPL) is a traditional RMBS asset class that
consists of securitizations backed by pools of seasoned performing
and reperforming residential home loans. Although borrowers in
these pools may have experienced delinquencies in the past, the
loans have been largely performing for the past six months to 24
months since issuance. Generally, these pools are highly seasoned
and contain sizable concentrations of previously modified loans.

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 "Global Macroeconomic Scenarios: June Update,"
published on June 1, 2020) for the RPL 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 forecast unemployment rates and GDP
growth outlined 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 RPL asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes that loans which were previously
delinquent, recently modified, or have higher updated loan-to-value
ratios (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 back 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.

In addition, for this transaction, as permitted by the Coronavirus
Aid, Relief, and Economic Security Act, signed into law on March
27, approximately 24.0% of the borrowers are on deferral plans
because the borrowers reported financial hardship related to
coronavirus. These deferral plans allow temporary payment holidays,
followed by repayment once the deferral period ends. DBRS
Morningstar understands that the Servicer generally offers the
deferral of the unpaid principal and interest amounts as a main
form of payment relief in place of a repayment plan. The deferral
creates a non-interest-bearing amount that is due and payable at
the maturity of the contract or when the contract is refinanced.
The loans for which the deferrals were granted are reported as
current for the duration of the deferral period, though the actual
payments are not made but deferred. The Servicer may also pursue
other loss mitigation options, as applicable.

For these loans, DBRS Morningstar applied additional assumptions to
evaluate the impact of potential cash flow disruptions on the rated
tranches, stemming from (1) lower principal and interest
collections and (2) no servicing advances on delinquent principal
and interest (P&I). These assumptions include:

(1) Increasing delinquencies to generally two times the forbearance
percentage as of the Report Date for the AAA (sf) and AA (sf)
rating levels for the first 12 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 12 months for
the AAA (sf) and AA (sf) rating levels.

(4) Delaying the receipt of liquidation proceeds during the first
12 months for the AAA (sf) and AA (sf) rating levels.

The ratings reflect transactional strengths that include the
following:

-- Seasoning,
-- Clean payment history,
-- Sequential-pay structure with excess cash flow available to
    pay principal, and
-- Satisfactory third party due diligence review.

The transaction also includes the following challenges:

-- Representations and warranties standard,
-- No servicer advances of delinquent P&I, and
-- Borrowers on deferral plans.

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


BRAVO RESIDENTIAL 2020-RPL1: Fitch to Rate Class B-2 Debt 'B(EXP)'
------------------------------------------------------------------
Fitch Ratings expects to rate BRAVO Residential Funding Trust
2020-RPL1.

BRAVO 2020-RPL1

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

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

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

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

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

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

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

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

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

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

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

  - Class B-4; LT NR(EXP)sf Expected Rating

  - Class B-5; LT NR(EXP)sf Expected Rating

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

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

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

TRANSACTION SUMMARY

The transaction is expected to close on June 19, 2020. The notes
are supported by one collateral group that consists of 1,776
seasoned performing loans and re-performing loans with a total
balance of approximately $319.2 million, which includes $33.8
million, or 10.6%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the
statistical calculation date.

Distributions of principal and interest and loss allocations are
based on a traditional senior-subordinate, sequential structure.
The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicer will not be advancing delinquent monthly
payments of P&I.

KEY RATING DRIVERS

Revised GDP Due to Coronavirus (Negative): Coronavirus 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 coronavirus,
an Economic Risk Factor floor of 2.0 (the ERF is a default variable
in the U.S. RMBS loan loss model) was applied to 'BBBsf' and
below.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage, SPLs and RPLs. Prior to the
adjustment for forbearance and deferrals, 5.2% of the pool was 30
days delinquent as of the statistical calculation date, and 56% of
loans are current but have had recent delinquencies or incomplete
24 month pay strings. 38.8% of the loans have been paying on time
for the past 24 months. Roughly 98% has been modified.

Payment Forbearance and Deferrals (Negative): As of the cutoff
date, approximately 23.8% (by UPB) of the loans in the pool have
received coronavirus forbearance or deferral relief. To account for
potential permanent hardship and default risk, Fitch assumed all
loans with coronavirus-related forbearance or deferrals to be
30-days delinquent. This assumption resulted in an increase to
Fitch's 'AAAsf' expected loss of almost 270bps.

Expected Payment Forbearance and Deferrals Related to Coronavirus
(Negative): The outbreak of coronavirus and widespread containment
efforts in the U.S. will result in increased unemployment and cash
flow disruptions. Mortgage payment forbearance or deferrals will
provide immediate relief to affected borrowers and Fitch expects
servicer to broadly adopt this practice. The missed payments will
result in interest shortfalls that will likely be recovered, the
timing of which will depend on repayment terms; if interest is
added to the underlying balance as a non-interest-bearing amount,
repayment will occur at refinancing, property liquidation, or loan
maturity.

To account for the potential for cash flow disruptions, Fitch
assumed deferred payments on a minimum of 40% of the pool for the
first six months of the transaction at all rating categories with a
reversion to its standard delinquency and liquidation timing curve
by month 10. The 40% assumption is based on observed peak
delinquencies for legacy Alt-A collateral. Under these assumptions,
the 'AAAsf' and 'AAsf' classes did not incur any shortfalls and are
expected to receive timely payments of interest. The cash flow
waterfall providing for principal otherwise distributable to the
lower rated bonds to pay timely interest to the 'AAAsf' and 'AAsf'
bonds and availability of excess spread also mitigate the risk of
interest shortfalls. The 'Asf' through 'Bsf' rated classes incurred
temporary interest shortfalls that were ultimately recovered.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. The loans were acquired by certain
investment vehicles managed by PIMCO, which have a long operating
history of aggregating residential mortgage loans. PIMCO is
assessed as 'Above Average' by Fitch as an aggregator. Rushmore
Loan Management Services (Rushmore) is the named servicer for the
transaction and is rated 'RPS2' by Fitch. Fitch did not apply
adjustments to the 'AAAsf' rating category based on the transaction
parties. Sponsor (or affiliate) retention of at least 5% of the
bonds also helps ensure an alignment of interest between both the
sponsor and investor.

Third-Party Due Diligence (Negative): A third-party due diligence
review was performed on approximately 99.8% of the loans in the
transaction pool. The review was conducted by SitusAMC and Clayton,
assessed as 'Acceptable - Tier 1' by Fitch, as well as Opus, which
is assessed as 'Acceptable - Tier 2'. The due diligence scope was
consistent with Fitch criteria for seasoned and re-performing
loans.

Approximately 41% of loans (735 loans) were graded 'C' or 'D',
which indicate a high concentration of loans with material defects.
However, of 735 loans, 662 with a final grade of 'C' or 'D' reflect
missing final HUD-1 files that are not subject to predatory
lending, missing state disclosures, or missing other documents
related to compliance testing that Fitch deemed as immaterial since
the statute of limitations on these issues have expired. No loss
adjustments were made for these 622 loans. Approximately 4% (73
loans) had missing or estimated final HUD-1 documents, which
prevented effective testing for compliance with predatory lending
regulations. Fitch adjusted its loss expectation at the 'AAAsf'
rating category by 135 bps to account for this added risk.

Representation Framework (Negative): The reps and warranties
framework is generally consistent with Tier 2 quality. The
framework contains an optional breach review for loans that have
been liquidated with a realized loss which is triggered at the
discretion of the controlling holder. However, 25% of the aggregate
bond holders may also initiate a review. Loan level R&Ws also
include knowledge qualifiers without a clawback provision. In
addition to qualifying as Tier 2, the framework is subject to a
one-year sunset from the close of the transaction, at which point
any potential claim would be made whole through a breach reserve
account. The aggregate adjustment resulted in a 218-bps addition to
the expected losses at the 'AAAsf' rating stress.

Limited Life of Rep Provider (Negative): The R&W provider is no
longer obliged to cure material breaches following the R&W Sunset
Date, which is June 2021. At this point, a breach reserve account
may be used to indemnify realized losses determined to be caused by
a material breach.

No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduces
liquidity to the trust. P&I advances made on behalf of loans that
become delinquent and eventually liquidate reduce liquidation
proceeds to the trust. Due to the lack of P&I advancing, the
loan-level loss severity is less for this transaction than for
those where the servicer is obligated to advance P&I. Structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' and 'AAsf' rated classes.

Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
that class in the absence of servicer advancing.

Deferred Amounts (Negative): Non-interest-bearing principal
forbearance or deferral amounts totaling $33.8 million (10.6%) of
the UPB are outstanding on 1,247 loans. Fitch included the deferred
amounts when calculating the borrower's loan-to-value ratio and
sustainable LTV, despite the lower payment and amounts not being
owed during the term of the loan. The inclusion resulted in a
higher probability of default and LS than if there were no
deferrals. Fitch believes that borrower default behavior for these
loans will resemble that of the higher LTVs, as exit strategies
(i.e. sale or refinancing) will be limited relative to those
borrowers with more equity in the property.

RATING SENSITIVITIES

Fitch 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 39.2% 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.

CRITERIA VARIATION

Fitch's analysis incorporated three criteria variations from the
"U.S. RMBS Rating Criteria." The first variation relates to the
tax/title review. The tax/title review was outdated (over six
months ago) on 100% of the reviewed loans by loan count.
Approximately 65% of lien searches were performed within at least
24 months of the transaction closing date, and the remaining 35%
were performed about 28 months from the closing date. The servicer
has a responsibility in line with the transaction documents to
advance these payments to maintain the trust's interest and
position in the loans. The second variation is that a due diligence
compliance and data integrity review was not completed on
approximately 0.2% of the pool by loan count (four loans). Per
criteria, Fitch requires a regulatory compliance review on 100% of
loans in the transaction pool for re-performing loans when the
originators are unknown. Due to not having a compliance review,
these loans were also subject to loss severity adjustments based on
Fitch's standard indeterminate adjustment for the inability to test
for compliance with predatory lending regulations. Three out of
four loans were located in states on Freddie Mac's 'Do Not
Purchase' List and received a loss severity of 100%, while the
remaining loan had a loss severity increase by 5%. These
adjustments are standard in Fitch's due diligence analysis for
regulatory compliance testing. The third variation is that an
updated aggregator review of Pacific Investment Management Company,
LLC (PIMCO) was not conducted within the last 18 months. Per
criteria, Fitch expects to have an outstanding operational
assessment on aggregators acquiring loans for the transaction pool.
While Fitch has reviewed PIMCO in the past, it was performed over
18 months ago which would trigger an updated review to confirm no
material changes to the aggregation platform. Fitch conducted a
review of PIMCO on June 5, 2020 and is currently reviewing material
with an official committee pending. Fitch also has consistently
rated PIMCO transactions including four newly issued
securitizations in 2019. None of these variations had a rating
impact.

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

Third-party due diligence was completed on approximately 99.8% of
the loans in the transaction pool. The due diligence scope included
a regulatory compliance review that tested for applicable federal,
state and local high-cost loan and/or anti-predatory laws, as well
as the Truth in Lending Act and Real Estate Settlement Procedures
Act. The reviews were conducted by Opus, SitusAMC and Clayton, all
of which are reviewed and approved TPR firms. The review scope was
consistent with Fitch criteria for due diligence on seasoned and
re-performing loans.

Fitch requests that due diligence is performed on 100% of the
transaction pool for RMBS backed by RPL collateral. Due to less
than 100% of the pool receiving a compliance review, it is
considered a variation to Fitch criteria. However, this variation
is not expected to affect the overall due diligence analysis since
the non-reviewed portion is small relative to the total loan
population (0.2% of the pool by loan count) and the loans are
subject to adjustments that reflect the inability to test for
compliance with lending regulation.

About 41% of the reviewed loans (735 loans) were assigned a grade
of 'C' or 'D'. The diligence results indicated worse operational
risk compared to other Fitch-reviewed RPL transactions. Fitch
adjusted its loss expectation at the 'AAAsf' rating stress by 135
bps to reflect these additional risks.

Fitch received certifications indicating that due diligence was
conducted in accordance with its published standards for
legal/regulatory compliance. The certifications also stated that
the companies performed their work in accordance with the
independence standards, per Fitch's "U.S. RMBS Rating Criteria."
The due diligence analysts performing the reviews met Fitch's
criteria of minimum years of experience.

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).


CARLYLE GLOBAL 2015-3: Moody's Cuts Rating on E-R Notes to Caa2
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Carlyle Global Market Strategies CLO
2015-3, Ltd.:

US$11,500,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2028, Downgraded to Caa2 (sf); previously on April 17,
2020 B3 (sf) Placed Under Review for Possible Downgrade

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

US$39,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Confirmed Baa3 (sf); previously on April 17, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

US$29,325,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Confirmed Ba3 (sf); previously on April 17, 2020
Ba3 (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 issued by
the CLO. Carlyle Global Market Strategies CLO 2015-3, Ltd., issued
in August 2015 and refinanced in July 2018, is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in July 2020.

RATINGS RATIONALE

The downgrade on the Class E-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,
exposure to Caa-rated assets has increased significantly, and
expected losses on certain notes have increased materially.

Based on Moody's calculation, the weighted average rating factor
was 3539 as of May 2020, or 19% worse compared to a WARF of 2984
reported in the March 2020 trustee report [1]. Moody's calculation
also showed the WARF was failing the test level of 3149 reported in
the May 2020 trustee report [2] by 390 points. Moody's noted that
approximately 31% of the CLO's par was from obligors assigned a
negative outlook and 8% from obligors whose ratings are on review
for possible downgrade. 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 (adjusted for
negative outlook or watchlist for downgrade) was approximately 23%
of the CLO par as of May 2020. Furthermore, Moody's calculated the
total collateral par balance, including recoveries from defaulted
securities, at $561.2 million, or $13.8 million less than the
deal's ramp-up target par balance, and Moody's calculated the
over-collateralization ratios (excluding haircuts) for the Class
C-R, Class D-R, and Class E-R notes as of May 2020 at 112.32%,
106.09%, and 103.84%, respectively. Moody's noted that the Interest
Diversion Test was recently failing, which if it were to occur on
the next payment date would result in a portion of excess interest
collections being diverted towards reinvestment in collateral.

The rating confirmations on the Class C-R notes and Class D-R notes
reflect the benefit of the short period of time remaining before
the end of the deal's reinvestment period in July 2020. In light of
the reinvestment restrictions during the amortization period which
limit the ability of the manager to effect significant changes to
the current collateral pool, Moody's analyzed the deal assuming a
higher likelihood that the collateral pool characteristics will
continue to satisfy certain covenant requirements. Moody's analysis
also considered the positive impact on the rated notes of the
imminent reduction of leverage as notes begin to amortize. As a
result, despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Class C-R and Class D-R 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 ratings on the
Class C-R and Class D-R 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 $557.2 million, defaulted par of $9.8
million, a weighted average default probability of 26.43% (implying
a WARF of 3539), a weighted average recovery rate upon default of
48.42%, a diversity score of 86 and a weighted average spread of
3.45%. Moody's also analyzed the CLO by incorporating an
approximately $7.6 million par haircut in calculating the OC and
interest diversion test ratios. Finally, Moody's also considered in
its analysis impending restrictions on trading resulting from the
end of the reinvestment period and the CLO manager's recent
investment decisions and trading strategies.

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.

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


CARLYLE GLOBAL 2015-4: Moody's Cuts Rating on Class D-R Notes to B1
-------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Carlyle Global Market Strategies CLO
2015-4, Ltd.:

US$30,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Downgraded to Ba1 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$30,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Downgraded to B1 (sf); previously on April 17, 2020
Ba3 (sf) Placed Under Review for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class C-R and Class D-R notes issued by the CLO.
Carlyle Global Market Strategies CLO 2015-4, Ltd., issued in
November 2015 and refinanced in June 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 2024.

RATINGS RATIONALE

The downgrade on the Class C-R and Class D-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, exposure to Caa-rated assets has increased significantly,
and expected losses on certain notes have increased materially.

Based on Moody's calculation, the weighted average rating factor
(WARF) was 3516 as of May 2020, or 19% worse compared to a WARF of
2964 reported in the March 2020 trustee report [1]. Moody's
calculation also showed the WARF was failing the test level of 3000
reported in the May 2020 trustee report [2] by 516 points. Moody's
noted that approximately 29% of the CLO's par was from obligors
assigned a negative outlook and 10% from obligors whose ratings are
on review for possible downgrade. 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 (adjusted for negative outlook or watchlist for downgrade)
was approximately 23% of the CLO par as of May 2020. Furthermore,
Moody's calculated the total collateral par balance, including
recoveries from defaulted securities, at $488.3 million, or $11.7
million less than the deal's ramp-up target par balance, and
Moody's calculated the over-collateralization ratios (excluding
haircuts) for the Class C-R and Class D-R notes as of May 2020 at
113.68% and 106.19%, respectively. Moody's noted that the Interest
Diversion Test was recently failing, which if it were to occur on
the next payment date would result in a portion of excess interest
collections being diverted towards reinvestment in collateral.

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 $483.9 million, defaulted par of $9.2
million, a weighted average default probability of 28.99% (implying
a WARF of 3516), a weighted average recovery rate upon default of
48.15%, a diversity score of 84 and a weighted average spread of
3.47%. Moody's also analyzed the CLO by incorporating an
approximately $6.9 million par haircut in calculating the OC and
interest diversion test ratios. Finally, Moody's also considered in
its analysis the CLO manager's recent investment decisions and
trading strategies.

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.

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


CARLYLE US 2016-4: Moody's Cuts Rating on Class D-R Notes to B1
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Carlyle US CLO 2016-4, Ltd.:

US$27,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2027, Downgraded to Ba1 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$20,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2027, Downgraded to B1 (sf); previously on on April 17,
2020 Ba3 (sf) Placed Under Review for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class C-R and Class D-R notes issued by the CLO.
The CLO, originally issued in December 2016 and refinanced in
October 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in July 2021.

RATINGS RATIONALE

The downgrade on the Class C-R notes and Class D-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, exposure to Caa-rated assets has
increased significantly, and expected losses on certain notes have
increased materially.

Based on Moody's calculation, the weighted average rating factor
was 3537 as of May 2020, or 17% worse compared to a WARF of 3021
reported in the March 2020 trustee report [1]. Moody's calculation
also showed the WARF was failing the test level of 3011 reported in
the May 2020 trustee report [2] by 526 points. Moody's noted that
approximately 30% of the CLO's par was from obligors assigned a
negative outlook and 9% from obligors whose ratings are on review
for possible downgrade. 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 (adjusted for
negative outlook and watchlist for downgrade) was approximately 25%
of the CLO par as of May 2020. Furthermore, Moody's calculated the
total collateral par balance, including recoveries from defaulted
securities, at $487.1 million, or $12.9 million less than the
deal's ramp-up target par balance.

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 $480.4 million, defaulted par of
$13.1 million, a weighted average default probability of 28.74%
(implying a WARF of 3537), a weighted average recovery rate upon
default of 48.15%, a diversity score of 81 and a weighted average
spread of 3.50%. Moody's also analyzed the CLO by incorporating an
approximately $17.3 million par haircut in calculating the OC and
interest diversion test ratios. Finally, Moody's also considered in
its analysis the CLO manager's recent investment decisions and
trading strategies.

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.

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


CASCADE FUNDING 2018-RM2: DBRS Gives B(high) Rating on Cl. F Debt
-----------------------------------------------------------------
DBRS, Inc. assigned ratings to the following four transactions (the
Covered Transactions) issued by Cascade Funding Mortgage Trust
(CFMT):

CFMT 2018-RM2

-- Mortgage-Backed Securities, Series 2018-RM2, Class A at
    AAA (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class B at
    AA (high) (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class C at
    A (high) (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class D at
    BBB (low) (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class E at
    BB (high) (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class F at
    B (high) (sf)

CFMT 2019-RM3

-- Mortgage-Backed Notes, Series 2019-RM3, Class A at AAA (sf)
-- Mortgage-Backed Notes, Series 2019-RM3, Class B at AA (sf)
-- Mortgage-Backed Notes, Series 2019-RM3, Class C at A (sf)
-- Mortgage-Backed Notes, Series 2019-RM3, Class D at BBB (sf)
-- Mortgage-Backed Notes, Series 2019-RM3, Class E at
    BB (high) (sf)
-- Mortgage-Backed Notes, Series 2019-RM3, Class F at
    BB (low) (sf)

CFMT 2019-HB1, LLC

-- Asset-Backed Notes, Series 2019-1, Class A at AAA (sf)
-- Asset-Backed Notes, Series 2019-1, Class M1 at AA (sf)
-- Asset-Backed Notes, Series 2019-1, Class M2 at A (sf)
-- Asset-Backed Notes, Series 2019-1, Class M3 at BBB (sf)
-- Asset-Backed Notes, Series 2019-1, Class M4 at BB (sf)

CFMT 2020-HB2, LLC

-- Asset-Backed Notes, Series 2020-1, Class A at AAA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M1 at AA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M2 at A (sf)
-- Asset-Backed Notes, Series 2020-1, Class M3 at BBB (sf)
-- Asset-Backed Notes, Series 2020-1, Class M4 at BB (sf)

These securities are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these securities Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about June 15, 2020. In accordance
with MCR's engagement letter covering these securities, upon
withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

The Covered Transactions are classified as reverse mortgage
transactions.

As stated in its May 8, 2020, press release, "DBRS and Morningstar
Credit Ratings Confirm U.S. Reverse Mortgage Asset Class Coverage,"
DBRS Morningstar applied MCR's "U.S. Reverse Mortgage
Securitization Ratings Methodology" to assign these ratings.

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

-- DBRS Morningstar reviewed MCR's rating analysis on the Covered
Transactions on or prior to the closing dates, including the
collateral pool, cash flow analysis, legal review, operational risk
review, third-party due diligence, and representations and
warranties (R&W) framework.

-- DBRS Morningstar notes that MCR and/or its external counsel had
performed a legal analysis, which included but was not limited to
legal opinions and various transaction documents as part of its
process of assigning ratings to the Covered Transactions on or
prior to the closing dates. For the purpose of assigning new
ratings to the Covered Transactions, DBRS Morningstar did not
perform additional legal analysis unless otherwise indicated in
this press release.

-- DBRS Morningstar relied on MCR's operational risk assessments
when assigning ratings to the Covered Transactions on or prior to
the closing dates. DBRS Morningstar may have conducted additional
operational risk reviews as applicable.

-- DBRS Morningstar reviewed key transaction performance
indicators, as applicable, since the closing dates as reflected in
bond factors, advance rates or credit enhancements, defaults, and
cumulative losses.

RATING AND CASH FLOW ANALYSIS

DBRS Morningstar reviewed MCR's rating analysis on the Covered
Transactions, which utilized the Morningstar Iterative Reverse
Mortgage Model – Performing Loans to generate loan-level cash
flows for the Covered Transactions. The analytics included
stressing prepayments (mobility, morbidity, and refinance rates),
default rates, mortality rates, home prices, interest rates, draw
rates, payment and foreclosure timelines, and foreclosure costs in
accordance with MCR's "U.S. Reverse Mortgage Securitization Ratings
Methodology."

OPERATIONAL RISK REVIEW

DBRS Morningstar relied on MCR's operational risk assessments when
assigning ratings to the Covered Transactions on or prior to the
closing dates. DBRS Morningstar may have conducted additional
operational risk reviews as applicable.

HISTORICAL PERFORMANCE

DBRS Morningstar reviewed the historical performance of the Covered
Transactions as reflected in bond factors, advance rates or credit
enhancements, defaults, and cumulative losses, and deemed the
transaction performance to be satisfactory.

THIRD-PARTY DUE DILIGENCE

A third-party review firm, AMC Diligence, LLC (the TPR firm),
performed a due diligence review of the Covered Transactions. DBRS
Morningstar conducted a review of the TPR firm and believes that
the company has adequate staffing, infrastructure, and capabilities
to effectively perform residential mortgage due diligence reviews.
The scope of the due diligence review generally included an asset
review and a valuation review. DBRS Morningstar also relied on the
written attestation the TPR firm provided to MCR on or prior to the
closing dates.

R&W FRAMEWORK

DBRS Morningstar conducted a review of the R&W framework for the
Covered Transactions. The review covered key considerations, such
as the R&W provider, controlling holder, enforcement mechanism,
breach reviewer, remedy, and dispute resolution.

CORONAVIRUS DISEASE (COVID-19) ANALYSIS

To reflect the current concerns and conditions surrounding the
coronavirus pandemic, DBRS Morningstar tested the following
additional sensitivities for reverse mortgage transactions to
reflect the moderate macroeconomic scenario outlined in its
commentary, "Global Macroeconomic Scenarios: June Update,"
published on June 1, 2020:

-- Mortality (higher mortality curve assumptions to account for
the increased death rate posed by the coronavirus to the U.S.
population older than 65 years of age);
-- Foreclosure (increased foreclosure timeline); and
-- Home prices (additional property valuation haircut to account
for the potential decline in broader asset markets).

The ratings DBRS Morningstar assigned to the Covered Transactions
were able to withstand the additional coronavirus assumptions with
minimal to no rating volatilities.

SUMMARY

The ratings are a result of DBRS Morningstar's application of MCR's
"U.S. Reverse Mortgage Securitization Ratings Methodology" unless
otherwise indicated in this press release.

DBRS Morningstar's ratings in the highest and second-highest rating
categories address the timely payment of interest and full payment
of principal by the legal final maturity date in accordance with
the terms and conditions of the related securities. For all other
ratings, DBRS Morningstar's ratings address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
securities.

The ratings DBRS Morningstar assigned to certain securities may
differ from the ratings implied by the quantitative model, but no
such difference constitutes a material deviation. When assigning
the ratings, DBRS Morningstar considered the rating analysis
detailed in this press release and may have made qualitative
adjustments for the analytical considerations that are not fully
captured by the quantitative model.


COLT 2020-3: Fitch Rates Class B2 Certs 'B(EXP)sf'
--------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed certificates issued by COLT 2020-3.

COLT 2020-3

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

  - Class A2; LT AA(EXP)sf Expected Rating

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

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

  - Class B1; LT BB(EXP)sf Expected Rating

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

  - Class B3; LT NR(EXP)sf Expected Rating

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

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

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by COLT 2020-3 Mortgage Loan Trust. The certificates
are supported by 527 loans with a total balance of approximately
$255.35 million as of the cutoff date.

The loans in the pool were originated by Caliber Home Loans, Inc.,
HomeXpress Mortgage Corp., Impac Mortgage Corp. and other
third-party originators. Approximately 63% of the pool is
designated as non-qualified mortgages, 11% consists of
higher-priced QM and almost 8% are Safe Harbor QM, while for the
remainder, ability to repay does not apply (18%).

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): The coronavirus 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
the coronavirus, an Economic Risk Factor floor of 2.0 (the ERF is a
default variable in the U.S. RMBS loan loss model) was applied to
'BBBsf' and below.

This significantly affected Fitch's expected loss in the
non-investment-grade stresses. For example, Fitch's 'Bsf' expected
loss nearly doubled compared with the last COLT transaction rated
pre-coronavirus (4.75 versus 2.25).

Payment Forbearance (Mixed): Of the borrowers 7% have requested
coronavirus payment relief plans, this includes the 10 loans (2.9%)
on deferrals. The other forbearance plans are generally granted up
to a three-month period by the servicer and borrowers will be
counted as delinquent; however, the servicer will not be advancing
delinquent principal and interest during the forbearance period. Of
the 7% requesting a forbearance plan, eight loans have continued to
make monthly payments and are current on the mortgage. For the
remaining 14 loans opting in a plan, Fitch treated the loans as
delinquent, which resulted in a probability of default (PD)
assumption over 95% for them.

Nonprime Credit Quality (Mixed): The pool has a weighted average
model credit score of 715 and a WA combined loan to value ratio of
77.4%, and sustainable loan to value ratio of 83.8%. Of the pool,
48% had a debt to income ratio of over 43%. The pool included 131
debt service coverage ratio loans (14.3%), 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.

Nonfull Documentation Loans (Negative): Fitch treated approximately
42% of the pool as less than full documentation. The pool includes
25% 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
nonfull documentation programs.

Modified Sequential Payment Structure (Mixed): Unlike the prior
COLT 2020-2 transaction, but consistent with the pre-coronavirus
COLT transactions, the structure distributes principal pro rata
among the senior certificates, while shutting out the subordinate
bonds from principal until all senior classes have been reduced to
zero. If any of the cumulative loss trigger an event, the
delinquency trigger event or the credit enhancement trigger event
occurs in a given period, principal will be distributed
sequentially to the class A-1, A-2 and A-3 certificates until they
are reduced to zero.

Payment Forbearance Assumptions Due to Coronavirus (Negative): The
outbreak of the coronavirus 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 borrower's forbearance plans, Fitch assumed at least
40% of the pool is delinquent for the first six months of the
transaction at all rating categories with a reversion to its
standard delinquency and liquidation timing curve by month 10.

This assumption is based on observations of legacy Alt-A
delinquencies and past-due payments following Hurricane Maria in
Puerto Rico. Based on the May remittance data of about 13% of
seasoned/closed COLT transactions are 30+ delinquent (DQ), which
support's Fitch's assumptions.

Since these assumptions trip the delinquency triggers starting in
period 1, to adequately test the structure, Fitch also ran
delinquency sensitivities that did not trip the triggers as
quickly. These sensitivities resulted in more principal to be
distributed to the A-2 and A-3 certificates. The structure was able
to protect against Fitch's expected losses in all scenarios,
including its back-loaded default curve.

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 was no interest shortfall to the most senior
classes under this scenario.

Excess Cash flow (Positive): The transaction benefits from a
material amount of excess cash flow that provides benefit to the
rated notes before being paid out to the class X. The excess is
available to pay timely interest and protect against realized
losses resulting in a credit enhancement amount less than Fitch's
loss expectations. Fitch stressed the available excess cash flow
with its payment forbearance assumptions of 40% delinquency 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 mortgage acquisition platform and found it to have
sufficient risk controls, while relying on third parties to review
loans prior to purchase. Approximately 52% of loans in the
transaction pool were originated by Caliber, which has an extensive
operating history and is one of the more established originators of
non-QM loans. Approximately 31% was originated by HomeXpress, which
was reviewed by Fitch in May 2020 and assessed as "Average".
Approximately 13% was originated by Impac, which was reviewed by
Fitch in June 2020 and assessed as "Average".

Primary servicing responsibilities will be performed by Caliber and
Select Portfolio Servicing, rated by Fitch at 'RPS2-' and 'RPS1-',
respectively. Fitch reduced its loss expectations by 105bps 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 for this transaction are
substantively consistent with those listed in Fitch's published
criteria and provide a solid alignment of interest, Fitch added
approximately 185bps to the expected loss at the 'AAAsf' rating
category to reflect 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, and 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.

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).


COMINAR REAL: DBRS Assigns RR4 Rating to Sr. Unsecured Debentures
-----------------------------------------------------------------
DBRS Limited assigned a recovery rating of RR4 to Cominar Real
Estate Investment Trust's Senior Unsecured Debentures, following
the assignment of a BB (high) Issuer Rating to the Trust. Issuer
ratings represent solely the likelihood of default without
consideration of the relative priority of various debt issues'
claims to the company's assets in a default scenario. The recovery
rating determines the degree to which the instrument rating (i.e.,
the rating on Cominar's Senior Unsecured Debentures) is notched (up
or down) relative to the Trust's Issuer Rating as per "DBRS
Criteria: Recovery Ratings for Non-Investment Grade Corporate
Issuers" (the Recovery Criteria) and as detailed in the recovery
rating scale below. To analyze the potential recovery for various
debt classes in the event of default, DBRS Morningstar first
simulates a default scenario, which includes estimating both when
and under what circumstances a default could hypothetically occur.
As part of the analysis, DBRS Morningstar estimates the potential
enterprise value of the company that would be available to satisfy
the various claims of the company's creditors under this scenario.
The recovery rating for a specific debt issue is based on the
anticipated recovery rate for that class of creditor. Default
scenarios and the assumptions on which they are based are, by
definition, hypothetical.

For the default scenario, DBRS Morningstar stressed net operating
earnings to the default point (e.g., Cominar is unable to fully
service outstanding indebtedness). For valuation, DBRS Morningstar
utilized the enterprise valuation approach per the Recovery
Criteria; a range of stressed capitalization rates were applied to
the above-mentioned stressed net operating earnings, which
necessarily implies fairly severe asset impairment. To assess
recovery, DBRS Morningstar incorporated incremental indebtedness
(and associated interest expense) available through the assumed
full drawn down of the Trust's credit facilities. DBRS Morningstar
concluded that, despite the wide divergence in scenarios using the
above-noted assumptions, it was likely that holders of Cominar's
Senior Unsecured Debentures would recover near the middle of the
range between 30% and 60%, representing a recovery rating of RR4.

Notes: All figures are in Canadian dollars unless otherwise noted.


CPS AUTO 2020-B: DBRS Finalizes BB Rating on Class E Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by CPS Auto Receivables Trust 2020-B (the
Issuer):

-- $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)

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

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

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

-- DBRS Morningstar's projected CNL assumption includes an
assessment of how collateral performance could deteriorate because
of macroeconomic stresses related to the Coronavirus Disease
(COVID-19) pandemic.

-- The transaction assumptions include an increase to the expected
loss. This assessment was guided by DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its "Global Macroeconomic Scenarios: June
Update" commentary published on June 1, 2020. DBRS Morningstar
initially published macroeconomic scenarios on April 16, 2020. The
scenarios were updated on June 1, 2020, and are reflective of the
updated scenarios in DBRS Morningstar's rating analysis. DBRS
Morningstar applied transaction stresses in consideration of its
moderate scenarios in addition to observed performance during the
2008–09 financial crisis and the possible impact of the stimulus
from the Coronavirus Aid, Relief, and Economic Security Act as well
as other factors. In the moderate scenario for the United States,
DBRS Morningstar anticipates that containment of the coronavirus
will begin during Q2 2020, resulting in a gradual relaxation of
stay-at-home measures and nonessential business closures and
allowing a gradual economic recovery to begin starting in Q3 2020.

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

The consistent operational history of Consumer Portfolio Services,
Inc. (CPS or the Company) and the strength of the overall Company
and its management team.

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

The capabilities of CPS with regard to originations, underwriting,
and servicing.

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

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

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

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

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

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

The rating on the Class A Notes reflects 58.70% of initial hard
credit enhancement provided by subordinated notes in the pool
(48.65%), the reserve account (1.25%), and OC (8.80%). The ratings
on the Class B, Class C, Class D, and Class E Notes reflect 45.25%,
29.75%, 20.15%, and 10.05% of initial hard credit enhancement,
respectively. Additional credit support may be provided from excess
spread available in the structure.

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


CRESTLINE DENALI XVII: Moody's Cuts $26MM Class E Notes to B1
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Crestline Denali CLO XVII, Ltd.:

US$26,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Downgraded to Ba1 (sf); previously
on April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$17,000,000 Class E Secured Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

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

US$20,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Confirmed at A2 (sf); previously on
June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D and E notes and on June 3, 2020 on the
Class C notes. The CLO, issued in October 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 October 2023.

RATINGS RATIONALE

The downgrades on the Class D and Class E 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 is
currently 3544 compared to 3351 reported in the March 2020 trustee
report [1]. Moody's notes that currently approximately 25.7% and
7.8% 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 currently approximately 22.5%. Furthermore, Moody's
calculated total collateral par balance, including recoveries from
defaulted securities, is at $394.8 million, or $5.2 million less
than the deal's ramp-up target par balance. Finally, Moody's also
considered manager's investment decisions and trading strategies.

The rating confirmation on the Class C notes reflects the level of
credit enhancement, and protection provided by the
over-collateralization tests, and better than expected performance
of the collateral assets. Based on Moody's calculation, the Class C
OC is currently 121.84% and has 6.38% cushion to its trigger level
of 115.46%.

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 $394.6 million, defaulted par of $1.2
million, a weighted average default probability of 29.71% (implying
a WARF of 3544), a weighted average recovery rate upon default of
48.74%, a diversity score of 80 and a weighted average spread of
3.42%.

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.


DEEPHAVEN RESIDENTIAL 2020-2: Fitch Rates Class B-2 Certs 'B(EXP)'
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed certificates issued by Deephaven Residential
Mortgage Trust 2020-2.

Deephaven Residential Mortgage Trust 2020-2  

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

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

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

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

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

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

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

  - Class B-4; LT NR(EXP)sf Expected Rating

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

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

TRANSACTION SUMMARY

The notes are supported by 868 loans with a balance of $351.5
million as of the cutoff date. This will be the first transaction
issued by Deephaven Mortgage LLC that Fitch is expected to rate.

The notes are secured mainly by nonqualified mortgages (Non-QM) as
defined by the Ability to Repay rule. 81% of the pool is designated
as Non-QM and the remaining 19% is not subject to ATR.
Distributions of principal and interest and loss allocations are
based on a traditional senior-subordinate, sequential structure.
The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The transaction has a stop advance feature where the
servicer will advance delinquent P&I up to 180 days.

KEY RATING DRIVERS

Revised GDP Due to Coronavirus: The coronavirus and the resulting
containment efforts have resulted in revisions to Fitch's GDP
estimates for 2020. Fitch's baseline global economic outlook for
U.S. GDP growth is currently a 5.6% decline for 2020, down from
1.7% for 2019. Fitch's downside scenario would see an even larger
decline in output in 2020 and a weaker recovery in 2021. To account
for declining macroeconomic conditions resulting from the
coronavirus, an Economic Risk Factor floor of 2.0 (the ERF is a
default variable in the U.S. RMBS loan loss model) was applied to
'BBBsf' and below.

Payment Forbearance (Mixed): Roughly 24% of the borrowers (160
loans) in the pool are on a coronavirus forbearance plan. These
borrowers were generally granted up to a three-month forbearance
period by the servicer. While a borrower who does not make a
payment while on a forbearance plan, related to coronavirus or not,
will be considered delinquent, the servicer will not be obligated
to advance the missed forborne payments.

Of the 24% (160 loans) requesting a forbearance plan, 56% paid
their mortgage in April and May. Fitch treated the remaining 44%
who opted in a plan and are not making the monthly payments, as
delinquent, which resulted in a 98% 'AAAsf' probability of default
assumption.

Liquidity Stress for Payment Forbearance (Negative): The outbreak
of coronavirus and widespread containment efforts in the U.S. will
result in increased unemployment and cash flow disruptions. To
account for the cash flow disruptions, Fitch assumed forbearance
payments on a minimum of 40% of the pool for the first six months
of the transaction at all rating categories with a reversion to its
standard delinquency and liquidation timing curve by month 10. This
assumption is based on observations of legacy Alt-A delinquencies
and past-due payments following Hurricane Maria in Puerto Rico.

P&I Advancing During Forbearance Period (Mixed): The servicer
Selene Finance LP will not be obligated to advance delinquent
principal and interest for loans on a forbearance plan,
irrespective of whether coronavirus-related or not. At the end of
the three-month forbearance period, the servicer may evaluate
repayment and/or loss mitigation options.

Repayment options are likely to include reinstatement (i.e. lump
sum repayment of the missed payments), repayment plans, deferrals
of the missed payments to the end of the loan term, or
capitalization of the missed payments. Loss mitigation options for
borrowers with permanent hardships could be offered rate and/or
term modifications, principal reduction modifications, short sales
or deed-in-lieu resolution strategies.

If the borrower cannot resume making its monthly payments after the
forbearance period and is no longer on a forbearance plan, the
servicer will advance delinquent P&I until the loan is 180 days
delinquent.

Six-Month Servicer Advances (Mixed): The transaction has a stop
advance feature where the servicer, Selene Finance LP, will advance
delinquent P&I up to 180 days. However, the servicer will not be
obligated to make advance for loans on a forbearance plan. If the
servicer fails to make a required advance, the master servicer,
Nationstar Mortgage LLC, will be obligated to make such advance. If
the master servicer fails to make advances, the paying agent
(Citibank, N.A.) will fund advances.

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. To address
this, Fitch assumed a no advancing scenario in its cash flow
analysis. There were no interest shortfalls to the most senior
classes under this scenario.

Mitigating the risk of interest shortfalls is a waterfall that
allows principal collections to pay timely interest to the 'AAAsf'
and 'AAsf' rated bonds. Additionally, as of the closing date, the
deal benefits from approximately 260 bps of excess spread, which
will be available to cover shortfalls prior to any write-downs.

Expanded Prime Credit Quality (Mixed): The collateral consists of
15-year, 25-year, 30-year and 40-year fixed-rate and
adjustable-rate loans (51% of the loans are adjustable rate); 13%
of the loans are interest-only loans. The pool is seasoned
approximately five months in aggregate. The borrowers in this pool
have moderate credit profiles with a 695 weighted average
Fitch-calculated model FICO and moderate leverage (80.5% sLTV).

1.5% of the loans in the pool were underwritten to foreign national
borrowers and 64% of the loans were underwritten with alternative
documentation. The pool characteristics resemble recent nonprime
collateral and, therefore, the pool was analyzed using Fitch's
nonprime model.

Nonfull Documentation Loans (Negative): Approximately 64% of the
loans used alternative documentation to underwrite the loan. 50% of
the overall pool was underwritten to a bank statement program (26%
to a 24-month bank statement program and 24% to a 12-month bank
statement program), which is not consistent with Appendix Q
standards or Fitch's view of a full documentation program. To
reflect the additional risk, Fitch increases the probability of
default for the loans which underwritten to alternative
documentation.

High Investor Property Concentration (Negative): Approximately 19%
of the pool comprises investment properties. Of the 19%, 7.4% were
underwritten using the borrower's credit profile, and the remaining
11.6% were originated through an investor cash flow program that
targets real estate investors qualified on a debt service coverage
ratio basis. The borrowers of the Non-DSCR investor properties in
the pool have strong credit profiles, with a WA FICO of 714 (as
calculated by Fitch) and an original CLTV of 67.1% and the DSCR
loans have a WA FICO of 732 (as calculated by Fitch) and an
original CLTV of 64.6%. Fitch increased the PD by approximately
2.0x for the cash flow ratio loans (relative to a traditional
income documentation investor loan) to account for the increased
risk.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Finance Protection Bureau's ATR Rule
(the Rule), which reduce the risk of borrower default arising from
lack of affordability, misrepresentation or other operational
quality risks due to the rigor of the Rule's mandates for
underwriting and documenting a borrower's ability to repay.

Sequential Payment Structure (Positive): The transaction's cash
flow is based on a sequential-pay structure whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes.

Moderate Operational Risk (Negative): Operational risk is
adequately controlled for in this transaction. Due to the
coronavirus' impact on the non-QM market, Deephaven Mortgage LLC
(Deephaven) laid off roughly 90% of its workforce in March 2020. As
a result, Fitch's review revolved around the company's risk
management framework, sourcing and acquisition strategy, and
appraisal valuation controls that were in place prior to the
suspension of their aggregation business. Prior to the suspension
of Deephaven's aggregation business, the company employed an
effective acquisition operation with strong management, an
experienced underwriting team and risk management framework.
Fitch's assessment of 'Average' reflects Deephaven's established
processes and infrastructure prior to March 2020 as well as the
uncertainty of company's future operations.

Primary and master servicing functions will be performed by Selene
Finance LP (Selene) and Nationstar Mortgage LLC (Nationstar), rated
'RPS3+' and 'RMS2+', respectively. The sponsor's retention of at
least 5% of the bonds helps ensure an alignment of interest between
issuer and investor.

Alignment of Interests (Positive): The transaction benefits from an
alignment of interest between the issuer and investors. PMCP
Sponsor LLC, as sponsor, will retain a horizontal residual interest
of at least 5% of the aggregate note balance.

R&W Framework (Negative): The R&W framework for this transaction is
classified as a Tier 2 due to the lack of an automatic review for
loans other than those with ATR realized losses. The R&Ws are being
provided by Deephaven Mortgage LLC and Pretium Mortgage Credit
Partners I Loan Acquisition, LP, which do not have a financial
credit opinion or public rating from Fitch. Fitch increased its
loss expectations 235 bps at the 'AAAsf' rating category to account
for the limitations of the Tier 2 framework and the counterparty
risk.

The number of unnecessary R&W breach reviews due to a loan going
delinquent due to coronavirus forbearance should be limited since
the R&W review trigger is based on the loan having a realized loss
and an ATR violation.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction by SitusAMC and
Clayton Services. The due diligence results are in line with
industry averages and 98% received an overall grade of 'A' or 'B'.
Loan exceptions with an overall grade 'B' either had strong
mitigating factors or were accounted for in Fitch's loan loss model
resulting in no additional adjustments. Fitch applied adjustments
for 11 loans with graded 'C' for compliance which had an immaterial
impact to the losses. The model credit for the high percentage of
loan level due diligence combined with the adjustments for loan
exceptions reduced the 'AAAsf' loss expectation by 50 bps.

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 being
assigned ratings of 'AAAsf'.

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30% in addition to the
model-projected 8.3%. The analysis indicates that there is some
potential rating migration with higher MVDs for all rated classes,
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.

Fitch has added a coronavirus sensitivity analysis that includes a
prolonged health crisis resulting in depressed consumer demand and
a protracted period of below-trend economic activity that delays
any meaningful recovery to beyond 2021. Under this severe scenario,
Fitch expects the ratings to be affected by changes in its
sustainable home price model due to updates to the model's
underlying economic data inputs. Any long-term effects arising from
coronavirus-related disruptions on these economic inputs will
likely affect both investment- and speculative-grade ratings.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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

A third-party due diligence review was completed on 100% of the
loans in this transaction by AMC and Clayton. The review scope was
consistent with Fitch's criteria and the overall diligence grades
are in-line with prior non-QM transactions which Fitch has rated.
Sixteen loans have a compliance grade 'C', eleven due to a TRID
violation, 1 loan has a property grade of 'C' due to the secondary
valuation having a greater than -10% variance and 1 loan has a
credit grade of 'C'. Adjustments were applied based on the due
diligence findings which had an immaterial impact to the losses.

Eleven loans had a compliance grade of 'C' for TRID exceptions that
could not be cured. Fitch applied a $15,500 loss severity
adjustment to the loans to account for the increased risk of
statutory damages, which increased the LS by approximately 5bps.
The remaining 5 loans were graded 'C' for compliance due to
disclosure issues that are unable to be cured but do not add
material risk to bondholders.

One loan received a property valuation grade of 'C' due to the
secondary desk review having a negative variance greater than 10%
from the original appraised value. The lower property value was
used to calculate the LTV in Fitch's analysis. One loan was graded
'C' for credit as the index type listed on the final closing
disclosure did not reflect the index type on the note. No
adjustment was applied as the loan tape reflected the correct index
type and the discrepancy does not materially affect the borrower.

Approximately 27% or 238 loans were assigned a final credit grade
of 'B'. The credit exceptions graded 'B' were approved by the
originator or waived by Deephaven due to the presence of
compensating factors.

34% of the loans were graded 'B' for compliance exceptions. The
majority of these exceptions are either TRID related issues that
were corrected with subsequent documentation, timing of when
appraisal was provided and points and fees over the QM thresholds.
No adjustments were applied for the 'B' graded loans.

Form 'ABS Due Diligence 15E' was received from each of the TPR
firms. The 15E forms were reviewed and used as a part of the rating
for this transaction.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


DT AUTO 2020-2: DBRS Finalizes BB Rating on $32MM Class E Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes (the Notes) issued by DT Auto Owner Trust 2020-2
(the Issuer or DTAOT 2020-2):

-- $188,320,000 Class A Notes at AAA (sf)
-- $46,580,000 Class B Notes at AA (low) (sf)
-- $67,500,000 Class C Notes at A (low) (sf)
-- $26,770,000 Class D Notes at BBB (sf)
-- $32,630,000 Class E Notes at BB (sf)

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

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

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

-- DBRS Morningstar's projected CNL assumption includes an
assessment of how collateral performance could deteriorate because
of macroeconomic stresses related to the Coronavirus Disease
(COVID-19) pandemic.

-- The transaction assumptions include an increase to the expected
loss. This assessment was guided by DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its "Global Macroeconomic Scenarios: June
Update" commentary published on June 1, 2020. 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 DBRS Morningstar's 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 CNL 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.

(2) DTAOT 2020-2 provides for Class A, B, C, D, and E coverage
multiples that are slightly below the DBRS Morningstar range of
multiples set forth in the criteria for this asset class. DBRS
Morningstar believes that this is warranted, given the magnitude of
expected loss and structural features of the transaction.

(3) The transaction parties' capabilities with regard to
originations, underwriting, and servicing.

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

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

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

The rating on the Class A Notes reflects 60.15% of initial hard
credit enhancement provided by the subordinated Notes in the pool,
the reserve account (2.00%), and OC (19.60%). The ratings on the
Class B, C, D, and E Notes reflect 49.80%, 34.80%, 28.85%, and
21.60% of initial hard credit enhancement, respectively. Additional
credit support may be provided from excess spread available in the
structure.

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


ELEVATION CLO 2014-2: Moody's Cuts Class F-R Notes to Caa2
----------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Elevation CLO 2014-2, Ltd.

US$23,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2029, Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf)
Placed on Watch for Possible Downgrade

US$9,000,000 Class F-R Secured Deferrable Floating Rate Notes due
2029, Downgraded to Caa2 (sf); previously on April 17, 2020 B3 (sf)
Placed on Watch for Possible Downgrade

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

US$30,000,000 Class D-R Secured Deferrable Floating Rate Notes due
2029, Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3
(sf) Placed on Watch for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D-R, E-R and F-R notes. The CLO, originally
issued in March 2014 and refinanced in October 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 October 2021.

RATINGS RATIONALE

The downgrades on the E-R and F-R notes reflect the credit
deterioration and par loss stemming from the coronavirus outbreak
observed in the underlying CLO portfolio. Based on Moody's
calculation, the weighted average rating factor has deteriorated
and is currently 3180 compared to 2777 reported by the trustee in
March 2020[1]. Moody's notes that currently approximately 29.4 %
and 5.7% 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 17.64%. Furthermore, Moody's
calculated total collateral par balance, including recoveries from
defaulted securities, is at $487.7 million, or $12.3 million less
than the deal's ramp-up target par balance. Finally, Moody's also
considered manager's investment decisions and trading strategies.

The rating confirmation on the Class D-R notes reflects the level
of credit enhancement and better than expected performance of the
collateral assets. Based on Moody's calculation, the Class D OC is
currently 111.61%, and the Class OC after incorporating various
haircuts, including Caa haircut, is 110.37%. Moody's notes that
currently the Class D OC has 1.97% cushion to its trigger level of
108.4%.

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

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and 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 $483.1 million, defaulted par of
$10.6 million, a weighted average default probability of 25.54%
(implying a WARF of 3180), a weighted average recovery rate upon
default of 46.70%, a diversity score of 87 and a weighted average
spread of 3.34%.

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


GE BUSINESS 2007-1: S&P Affirms BB+ (sf) Rating on Class D Notes
----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on all four classes from GE
Business Loan Trust 2007-1.

The transaction is an ABS transaction backed by payments from small
business loans primarily collateralized by first liens on
commercial real estate. The affirmations resulted from a scheduled
surveillance review.

The affirmed ratings reflect the adequate credit support available
at the current rating levels and stable performance. As of the
April 2020 servicer report, this transaction has paid down to
approximately 7.05% of its original outstanding balance. There are
46 loans remaining in the pool. The five largest obligors represent
approximately 39% of the pool, up from 20% in the April 2017
servicer report, and the 10 largest represent approximately 59% of
the pool, up from approximately 34% as of April 2017. The amount of
delinquent or defaulted loans in the pool as of the April 2020
servicer report was approximately 2.8%. The reserve account's
current balance is approximately $15.4 million, which is slightly
below its requisite amount.

The notes pay interest at one-month LIBOR plus a fixed margin. In
2017, the Financial Conduct Authority, which oversees LIBOR
administration, announced that it will not compel banks to continue
providing LIBOR quotes after December 2021. In 2019, the Federal
Reserve's Alternative Reference Rates Committee published
recommended guidelines for fallback language in new
securitizations, and the language in this transaction is generally
consistent with its key principles: trigger events, a list of
alternative rates, and a spread adjustment. S&P will continue to
monitor reference rate reform and review changes specific to this
transaction when appropriate.

In addition to S&P's typical cash flow runs and supplemental tests,
it also tested liquidity by assuming a sharp decline in available
collections for six months as well as no prepays for the next 12
months and determined that the remaining amounts would be
sufficient to pay senior fees and interest on the notes.

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. S&P said,
"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 will continue to monitor whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and will take rating actions as it deems necessary.

  RATINGS AFFIRMED

  GE Business Loan Trust 2007-1

  Class         Rating
  A             A- (sf)
  B             A- (sf)
  C             BBB+ (sf)
  D             BB+ (sf)



GRAND AVENUE 2020-FL2: DBRS Finalizes B(low) Rating on Cl. F Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes (the Notes) issued by Grand Avenue CRE 2020-FL2
Ltd. (the Issuer):

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

All trends are Stable. Classes E and F have been privately placed.

The initial collateral consists of 18 floating-rate mortgages
secured by 27 mostly transitional properties with a cut-off balance
totaling $418.8 million, excluding approximately $39.7 million of
unfunded companion future funding participations, which the Issuer
may acquire for the pool during the participation period.

For the floating-rate loans, the index DBRS Morningstar used
(one-month Libor) was the lower of a DBRS Morningstar Stressed Rate
that corresponded with the remaining fully extended term of the
loans or the strike price of the interest rate cap, with the
respective contractual loan spread added to determine a stressed
interest rate over the loan term. When the cut-off balances were
measured against the DBRS Morningstar As-Is Net Cash Flow, 13
loans, comprising 64.1% of the initial pool, had a DBRS Morningstar
As-Is Debt Service Coverage Ratio (DSCR) below 1.00 times (x), a
threshold indicative of elevated term default risk. Additionally,
the DBRS Morningstar Stabilized DSCR for six loans, comprising
30.3% of the initial pool balance, is below 1.00x, which is
indicative of elevated refinance risk. The majority of the
properties are transitioning with potential upside in cash flow;
however, DBRS Morningstar does not give full credit to the
stabilization if there are no holdbacks or if other loan structural
features in place are insufficient to support such treatment.
Furthermore, even with the structure provided, DBRS Morningstar
generally does not assume the assets to stabilize above market
levels. The transaction will have a sequential-pay structure.

The loans are generally secured by traditional property types
(i.e., retail, multifamily, office). Additionally, only one of the
multifamily loans in the pool, The Tradition, comprising 7.2% of
the initial pool balance, is currently secured by student housing
properties, which often exhibit higher cash flow volatility than
traditional multifamily properties.

Two loans, comprising 17.9% of the pool balance, are secured by
properties that are primarily located in core urban markets with a
DBRS Morningstar Market Rank of 8 and 6. These higher DBRS
Morningstar Market Ranks correspond with zip codes that are more
urbanized in nature.

Four loans in the pool, totaling 45.6% of the DBRS Morningstar
sample by cut-off date pool balance, are backed by a property whose
quality DBRS Morningstar deemed to be Average (+) or Above
Average.

Sixteen loans, representing 82.4% of the initial pool balance,
represent acquisition financing. Acquisition financing generally
requires the respective sponsor(s) to contribute material cash
equity as a source of funding in conjunction with the mortgage
loan, resulting in a higher sponsor cost basis in the underlying
collateral.

The pool consists of mostly transitional assets. Given the nature
of the assets, DBRS Morningstar determined a sample size,
representing 88.1% of the pool cut-off date balance. This is higher
than the typical sample size for traditional conduit commercial
mortgage-backed security (CMBS) transactions. DBRS Morningstar also
performed physical site inspections, including management meetings.
When DBRS Morningstar visits these markets, it may actually visit
properties more than once to follow the progress (or lack thereof)
toward stabilization. The servicer is also in constant contact with
the borrowers to track progress.

Based on the weighted initial pool balances, the overall
weighted-average (WA) DBRS Morningstar As-Is Loan-to-Value (LTV) of
76.5% and WA DBRS Morningstar As-Is DSCR of 0.84x is reflective of
high-leverage financing. The assets are generally well positioned
to stabilize and any realized cash flow growth would help to offset
rising interest rates and also improve the overall debt yield of
the loans. DBRS Morningstar associates its loss given default (LGD)
with the assets' As-Is LTV, which does not assume that the
stabilization plan and cash flow growth will ever materialize.

Additionally, including all future funding in the calculation, the
WA As-Stabilized LTV is low at 67.6%. The WA As-Stabilized LTV
reflects downward stabilized value adjustments that DBRS
Morningstar made to two loans. All loans in the pool have floating
interest rates. Six loans, comprising 40.4% of the pool balance,
are interest only during the original term and have original terms
ranging from 24 months to 48 months, creating interest rate risk.
All loans are short-term loans and, even with extension options,
they have a fully extended maximum loan term of five years.
Additionally, for the floating-rate loans, DBRS Morningstar used
the one-month Libor index, which is based on the lower of a DBRS
Morningstar Stressed Rate that corresponded with the remaining
fully extended term of the loans or the strike price of the
interest rate cap with the respective contractual loan spread added
to determine a stressed interest rate over the loan term.
Additionally, all have extension options and, in order to qualify
for these options, the loans must meet minimum DSCR and LTV
requirements.

DBRS Morningstar analyzed the loans to a stabilized cash flow that
is, in some instances, above the current in-place cash flow. The
sponsors may not execute their business plans as expected and the
higher stabilized cash flow may not materialize during the loan
term. Failure to execute the business plan could result in a term
default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan to be rational and the future funding amounts to be
sufficient to execute such plans. In addition, DBRS Morningstar
analyzes LGD based on the As-Is LTV, assuming that the loan is
fully funded.

The magnitude and extent of performance stress posed by the
Coronavirus Disease (COVID-19) pandemic to global structured
finance transactions remains highly uncertain. This considers the
fiscal and monetary policy measures and statutory law changes that
have already been implemented or will be implemented to soften the
impact of the pandemic on global economies. Some regions,
jurisdictions, and asset classes are, however, experiencing more
immediate effects. DBRS Morningstar continues to monitor the
ongoing coronavirus pandemic and its impacts on both the commercial
real estate sector and the global fixed-income markets.
Accordingly, DBRS Morningstar may apply additional short-term
stresses to its rating analysis (e.g., by front-loading default
expectations and/or assessing the liquidity position of a
structured finance transaction with more stressful operational risk
and/or cash flow timing considerations).

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


GS MORTGAGE-BACKED 2020-INV1: Fitch to Rate Class B-5 Certs B(EXP)
------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by GS Mortgage-Backed Securities Trust
2020-INV1. The transaction is expected to close on June 30, 2020.
The certificates are supported by 1,167 investor occupancy loans
with a total balance of approximately $416 million as of the cutoff
date.

GSMBS 2020-INV1  

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  - Class A-9-X; LT AAA(EXP)sf Expected Rating

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

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

  - Class A-X-1; LT AA+(EXP)sf Expected Rating

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

  - Class A-X-3; LT AA+(EXP)sf Expected Rating

  - Class A-X-4; LT AA+(EXP)sf Expected Rating

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

  - Class A-X-6; LT AA+(EXP)sf Expected Rating

  - Class A-X-7; LT AAA(EXP)sf Expected Rating

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

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

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

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

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

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

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

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

  - Class B-3-X; LT BBB(EXP)sf Expected Rating

  - Class B-3-Y; LT BBB(EXP)sf Expected Rating

  - Class B-3-Z LT BBB(EXP)sf Expected Rating

  - Class B-4; LT BB(EXP)sf Expected Rating

  - Class B-5; LT B(EXP)sf Expected Rating

  - Class B-6-Y; LT NR(EXP)sf Expected Rating

  - Class B-6-Z; LT NR(EXP)sf Expected Rating

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

KEY RATING DRIVERS

Revised GDP Due to the Coronavirus (Negative): The coronavirus and
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 the coronavirus,
an Economic Risk Factor floor of 2.0, the ERF is a default variable
in the U.S. RMBS loan loss model, was applied to 'BBBsf' and
below.

Payment Holidays Related to the Coronavirus (Negative): The
outbreak of the coronavirus and widespread containment efforts in
the U.S. will result in increased unemployment and cash flow
disruptions. To account for the cash flow disruptions, Fitch
assumed delinquent 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 past-due
payments following Hurricane Maria in Puerto Rico.

For many Shellpoint serviced deals, the servicer used one-month
deferrals for the month of May. This significantly affected the
liquidity to the structure as Shellpoint removed their advancing
obligation, as the borrowers remained contractually current.
Numerous Shellpoint serviced deals experienced write downs and
interest shortfalls at the bottom of the capital structure. For
this transaction, Shellpoint modified their loss mitigation
strategy, and will be offering three months of forbearance, which
they will advance P&I on. At the end of those three months, the
servicer will allow the borrower to reinstate, but will have the
opportunity to recoup advances.

As of the cutoff date, the issuer confirmed that no loans were
delinquent, no loans had entered a forbearance program, and the
servicer is not expected to defer scheduled payment dates.

P&I Advancement Recoupment (Mixed): To the extent that borrowers
enter into a coronavirus-related payment forbearance plan, the
servicer will be required to make advances of principal and
interest to the bonds. While the advances will allow for timely
interest payments to the bonds, reimbursement of advances to the
servicer from funds other than those recovered by the borrower may
result in write-downs later in the life of the transaction, when
the loan is deemed modified due to a deferral of the missed
payments or advances are deemed to be nonrecoverable.

If missed payments during the forbearance period are not
capitalized, there could be a mismatch between what is paid on the
loans compared with what is due on the bonds, since the servicer
can fully repay itself from collections. While Fitch views this
risk as remote, given the lack of any borrowers currently on a
forbearance plan, Fitch adjusted its credit enhancement to account
for advance recovery impact.

100% Investor Loans (Negative): 100% of the loans in the pool were
made to investors and over 98% of the loans in the pool are
conforming loans, which were underwritten to Fannie Mae and Freddie
Mac's guidelines and were approved per Desktop Underwriter or Loan
Product Advisor, Fannie Mae and Freddie Mac's automated
underwriting systems, respectively.

The remaining 2% of the loans were underwritten to the underlying
originators' guidelines and were full documentation loans. All
loans were underwritten to the borrower's credit risk, unlike
investor cash flow loans, which are underwritten to the property's
income. Compared with owner occupied homes, Fitch views investor
loans as riskier and increases the PD by 50% and LS by 10% to
reflect the additional risk compared with owner-occupied homes.

High Credit Quality (Positive): The collateral consists of mostly
30-year FRM fully-amortizing loans, seasoned approximately seven
months in aggregate, based on the difference between origination
date and cutoff date. The borrowers in this pool have strong credit
profiles of 768 FICO scores and relatively low leverage of 67.3%
sustainable loan-to-value.

Multi-Family (Negative): 28% of the loans in the pool are
multi-family homes, which Fitch views as riskier than single-family
homes, since the borrower may be relying on the rental income to
pay the mortgage payment on the property. To account for this risk,
Fitch adjusts the PD upwards by 25% from the baseline for
multi-family homes.

Geographic Concentration (Negative): Approximately 48% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(18%) followed by the New York MSA (11%) and the San Francisco MSA
(8%). The top three MSAs account for 37% of the pool. As a result,
there was a 1.02x probability of default adjustment for the
geographic concentration.

Shifting-Interest Deal Structure (Negative): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early in the life of
the transaction, the structure is more vulnerable to defaults
occurring at a later stage compared with a sequential or modified
sequential structure. To help mitigate tail risk, which arises as
the pool seasons and fewer loans are outstanding, a subordination
floor of 1.25% of the original balance will be maintained for the
senior certificates and a subordination floor of 1.05% of the
original balance will be maintained for the subordinate
certificates.

Representation Framework (Negative): The loan-level representation,
warranty and enforcement framework is consistent with Tier 2
quality. Fitch increased its loss expectations by 86bps at the
'AAAsf' rating category as a result of the Tier 2 framework and the
underlying sellers supporting the repurchase obligations of the
RW&E providers. The Tier 2 framework was driven by the inclusion of
knowledge qualifiers without a clawback provision and the narrow
testing construct, which limits the breach reviewers' ability to
identify or respond to issues not fully anticipated at closing.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. Goldman Sachs is assessed by Fitch as an
'Above Average' aggregator for newly originated loans due to the
company's robust sourcing strategy and seller oversight,
experienced senior management and staff, strong risk management
framework and corporate governance controls. Primary and master
servicing responsibilities are performed by Shellpoint Mortgage
Servicing and Nationstar Mortgage, both of which are rated by Fitch
as 'RPS2-' and 'RMS2+', respectively. Fitch did not apply
adjustments for operational risk based on these assessments.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction. Due diligence
was performed by SitusAMC, Opus, and Digital Risk, which are
assessed by Fitch as 'Acceptable - Tier 1', 'Acceptable - Tier 2'
and 'Acceptable - Tier 2', respectively. The scope of the review is
consistent with Fitch criteria for newly originated RMBS and the
results are generally similar to prior prime RMBS transactions.
Credit exceptions were minimal and supported by strong mitigating
factors, and compliance exceptions were primarily cured with
subsequent post-close documentation. While Fitch did not apply
adjustments based on these results of the review, Fitch gave a
credit for the high percentage of loan-level due diligence, which
reduced the 'AAAsf' loss expectation by 42bps.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
The implied rating sensitivities are only an indication of some of
the potential outcomes and do not consider other risk factors that
the transaction may become exposed to or that may be considered in
the surveillance of the transaction. Sensitivity analyses was
conducted at the state and national levels to assess the effect of
higher MVDs for the subject pool as well as lower MVDs, illustrated
by a gain in home prices.

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 4.6% at 'AAA'. The analysis indicates that there is
some potential rating migration with higher MVDs for all rated
classes, compared with the model projection.

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

This defined positive rating sensitivity analysis demonstrates how
the ratings would react to negative MVDs at the national level or,
in other words, positive home price growth with no assumed
overvaluation. The analysis assumes positive home price growth of
10.0%. Excluding the senior classes which are already 'AAAsf', the
analysis indicates there is potential positive rating migration for
all of the rated classes.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modelling process uses the modification
of these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance. For enhanced disclosure of on Fitch's
stresses and sensitivities, please refer to the transaction's
presale report.

Fitch has also added a Coronavirus Sensitivity Analysis that
contemplates a more severe and prolonged economic stress caused by
a re-emergence of infections in the major economies, before a slow
recovery begins in second-quarter 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 effects 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 (Form 15E) as
prepared by Opus, AMCSitus Diligence, LLC. and Digital Risk. The
third-party due diligence described in Form 15E focused on credit,
compliance and valuation. Fitch considered this information in its
analysis and it did not have an effect on Fitch's analysis or
conclusions. Fitch believes the overall results of the review
generally reflected strong underwriting controls.

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).


HALCYON LOAN 2014-1: Moody's Cuts Rating on Class F Notes to Ca
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Halcyon Loan Advisors Funding 2014-1 Ltd.


US$24,500,000 Class D Secured Deferrable Floating Rate Notes Due
April 2026, Downgraded to Baa2 (sf); previously on Apr 17, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

US$18,000,000 Class E Secured Deferrable Floating Rate Notes Due
April 2026, Downgraded to Caa1 (sf); previously on Apr 17, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

US$10,000,000 Class F Secured Deferrable Floating Rate Notes Due
April 2026 (current outstanding balance of $10,182,978), Downgraded
to Ca (sf); previously on Apr 17, 2020 Caa3 (sf) Placed Under
Review for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D, E, and F notes. The CLO, issued in March
2014 and partially refinanced in July 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 ended in April 2018.

RATINGS RATIONALE

The downgrades on the Class D, E, and F 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 is
currently 3863 compared to 3651 reported in the March 2020 trustee
report [1]. Moody's also noted that currently approximately 47% and
7% 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 current 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 26.0%. Furthermore, Moody's calculated total
collateral par balance, including recoveries from defaulted
securities, is at $125.2 million, and Moody's calculated the
over-collateralization ratios (excluding haircuts) for the Class D,
Class E, and Class F notes as of May 2020 at 121.5%, 103.5%, and
95.4%, respectively. In this regard, Moody's notes that according
to the trustee report dated May 4, 2020[2], the OC test for the
Class E notes and the interest diversion test are failing their
respective triggers.

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 $116.5 million, defaulted par of
$27.4 million, a weighted average default probability of 23.05%
(implying a WARF of 3863), a weighted average recovery rate upon
default of 45.61%, a diversity score of 34 and a weighted average
spread of 4.13%. Moody's also analyzed the CLO by incorporating an
approximately $10.3 million par haircut in calculating the OC and
interest diversion test ratios. Finally, Moody's also considered in
its analysis restrictions on the CLO manager's trading resulting
from the end of the reinvestment period as well as the continuing
applicability of a Restricted Trading Period.

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.

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


JP MORGAN 2012-C6: Moody's Cuts Class H Certs to Caa3
-----------------------------------------------------
Moody's Investors Service has affirmed the ratings on seven classes
and downgraded the ratings on five classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2012-C6, Commercial Mortgage
Pass-Through Certificates Series 2012-C6

Cl. A-3, Affirmed Aaa (sf); previously on Jun 26, 2019 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aaa (sf); previously on Jun 26, 2019 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Jun 26, 2019 Affirmed
Aaa (sf)

Cl. B, Affirmed Aa1 (sf); previously on Jun 26, 2019 Upgraded to
Aa1 (sf)

Cl. C, Affirmed A1 (sf); previously on Jun 26, 2019 Affirmed A1
(sf)

Cl. D, Affirmed A3 (sf); previously on Jun 26, 2019 Affirmed A3
(sf)

Cl. E, Downgraded to Ba3 (sf); previously on Apr 17, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Cl. F, Downgraded to B2 (sf); previously on Apr 17, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. G, Downgraded to B2 (sf); previously on Apr 17, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. H, Downgraded to Caa3 (sf); previously on Apr 17, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. X-A*, Affirmed Aaa (sf); previously on Jun 26, 2019 Affirmed
Aaa (sf)

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

* Reflects interest-only classes

RATINGS RATIONALE

The ratings on six 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 four P&I classes were downgraded due to a decline in
pool performance and higher anticipated losses driven primarily by
the decline in performance of the Arbor Place Mall Loan (14.6% of
the pool). In total, the deal has exposure to two Class B regional
malls sponsored by CBL, representing 23% of the pool balance. Both
malls have lease expirations in the next 24 months and may face
significant refinance risk due to the current retail environment.

The rating on one interest-only, Class X-A, was affirmed based on
the credit quality of the referenced classes.

The rating on IO Class X-B was downgraded due to a decline in the
credit quality of its referenced classes. The IO Class X-B
references P&I classes including Class NR, 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 8.0% of the
current pooled balance, compared to 2.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 5.4% of the
original pooled balance, compared to 2.0% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The 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 36.0% to $725.9
million from $1.13 billion at securitization. The certificates are
collateralized by 33 mortgage loans ranging in size from less than
1% to 14.6% of the pool, with the top ten loans (excluding
defeasance) constituting 52.7% of the pool. Four loans,
constituting 19.7% 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 16 at Moody's last review.

As of the May 2020 remittance report, loans representing 84% of the
pool were current or within their grace period on their debt
service payments and 16% were beyond their grace period but less
than 30 days delinquent.

Seven loans, constituting 11.7% 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.

One loan have been liquidated from the pool, resulting in a
realized loss of $2.9 million (for a loss severity of 41%). One
loan, constituting 14.6% of the pool, is currently in special
servicing. The largest specially serviced loan is the Arbor Place
Mall ($105.8 million -- 14.6% of the pool), which is secured by an
approximately 546,000 square feet portion of a 1.16 million SF
super-regional mall located in Douglasville, Georgia. The property
was built in 1999 and is currently anchored by Dillard's, Belk,
Macy's, and J.C. Penney. A former anchor, Sears (133,000 SF),
vacated in February 2020 and the space remains vacant. Furthermore,
the J.C. Penney (collateral anchor) space, was identified as one of
the locations expected to close as a result of the company's
bankruptcy. This would leave the property with two vacant anchors.
As of the March 2020 rent roll, the collateral was 97% occupied
(82% when excluding J.C. Penney) compared to 98% in March 2019. The
property's revenue and net operating income had generally increased
through 2017, however, the revenue and NOI has declined annually
since 2017. The 2019 reported NOI was 7% lower than in 2018. The
loan has amortized 13% since securitization and matures in May
2022. The loan was transferred to special servicing in May 2020 and
is currently past due on its May 2020 payment period. The mall
re-opened in May 2020 after temporary closure from the coronavirus
outbreak. Due to the declining revenue, anchor vacancy and CBL's
ongoing operating challenges, Moody's has assumed a high
probability of default for this loan.

Moody's has also assumed a high default probability for one poorly
performing loan, constituting 1.7% of the pool. The troubled loan
is the One Park Ten Plaza Loan ($12.2 million -- 1.7% of the pool),
which is secured by an approximately 163,000 SF suburban office
building located in Houston, Texas. The loan is on the master
servicer's watchlist for low occupancy and debt service coverage
ratio. Both occupancy and NOI has declined significantly since
securitization.

Moody's received full year 2019 operating results for 92% of the
pool, and partial year 2020 operating results for 8% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 90%, compared to 94% 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 19.9% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.9%.

Moody's actual and stressed conduit DSCRs are 1.61X and 1.26X,
respectively, compared to 1.58X and 1.21X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 19.4% of the pool balance.
The largest loan is the Northwood Mall Loan ($63.2 million -- 8.7%
of the pool), which is secured by an approximately 404,000 SF
portion of a 791,000 SF regional mall located in North Charleston,
South Carolina. The mall is anchored by Dillard's, Belk, and J.C.
Penney. All anchors except for J.C. Penney are owned by their
respective tenant and are not part of the collateral. At
securitization, Sears was included as a non-collateral anchor,
however, they vacated in 2017 and Burlington Coat Factory
subsequently backfilled approximately half of the space. In
mid-2019, it was announced a Round1 Bowling & Amusement of
approximately 46,000 SF was expected to begin construction later in
the year. As of March 2020, the collateral was 96% occupied,
compared to 97% in March 2019. The property's revenue and NOI had
generally increased through 2017, however, the both have declined
annually since 2017. Despite the annual decline over the past two
years, the property's year-end 2019 NOI was 20% above
securitization levels. The sponsor, CBL, reported mall stores sales
of $394 PSF in 2019 compared to $402 in 2018. The loan has
amortized 14% since securitization and matures in April 2022.
Moody's LTV and stressed DSCR are 106% and 1.12X, respectively,
compared to 98% and 1.10X at the last review.

The second largest loan is the Innisfree Hotel Portfolio Loan
($46.9 million -- 6.5% of the pool), which is secured by three
limited-service beachfront hotels with direct access to the Gulf of
Mexico shores. The asset was also encumbered by a mezzanine debt of
$4.0 million at securitization. The 137-room Hilton Garden and
119-room Holiday Inn Express properties are located in Orange
Beach, Georgia, and the 181-room Hampton Inn is located in
Pensacola Beach, Florida. The portfolio's NOI has been on a
decreasing trend since 2016 largely due to an increase in expenses.
The Hilton Garden property underwent renovations that extended
through the summer of 2018 which also had an impact on cash flow.
The portfolio's year-end 2019 NOI was 7% above securitization
levels. As of December 2019, the portfolio occupancy and ADR was
71.4% and $186.99, respectively, resulting in a RevPAR of $134. The
loan has amortized 11% since securitization, is paid current
through its May 2020 payment date and matures in April 2022.
Moody's LTV and stressed DSCR are 111% and 1.16X, respectively,
compared to 92% and 1.29X at the last review.

The third largest loan is The Summit Las Colinas Loan ($30.8
million -- 4.2% of the pool), which is secured by an approximately
374,000 SF, 19-story, Class A office building located within a
master planned mixed-used development in Irving, Texas. The
property also includes a detached building that contains a retail
level and a nine-level parking garage. The largest tenant, Nexstar
Media Group, accounts for 13% of net rentable area and had recently
expanded 6% of additional space with a lease start in November
2019. The second largest tenant, Insperity Support Services,
accounts for 11% of NRA and is expected to expand an additional 2%
of space with a lease start in May 2020. As of March 2020, the
property was 72% occupied, compared to 77% in 2019 and 85% in 2018.
American Athletic Conference (5% of NRA) is expected to relocate
its headquarters to the property with a lease start date in June
2020. The loan has amortized 12% since securitization and matures
in December 2021. Moody's LTV and stressed DSCR are 89% and 1.15X,
respectively, compared to 87% and 1.18X at the last review.


JP MORGAN 2016-JP2: Fitch Affirms BB- Rating on Class E Certs
-------------------------------------------------------------
Fitch Ratings affirms 12 classes and revises the Rating Outlook on
one class of J.P. Morgan Chase Commercial Mortgage Securities Trust
2016-JP2 commercial mortgage pass-through certificates.

JPMCC 2016-JP2

  - Class A-2 46590MAP5; LT AAAsf; Affirmed

  - Class A-3 46590MAQ3; LT AAAsf; Affirmed

  - Class A-4 46590MAR1; LT AAAsf; Affirmed

  - Class A-S 46590MAV2; LT AAAsf; Affirmed

  - Class A-SB 46590MAS9; LT AAAsf; Affirmed

  - Class B 46590MAW0; LT AA-sf; Affirmed

  - Class C 46590MAX8; LT A-sf; Affirmed

  - Class D 46590MAC4; LT BBB-sf; Affirmed

  - Class E 46590MAE0; LT BB-sf; Affirmed

  - Class X-A 46590MAT7; LT AAAsf; Affirmed

  - Class X-B 46590MAU4; LT AA-sf; Affirmed

  - Class X-C 46590MAA8; LT BBB-sf; Affirmed

Class A-1 has paid in full. Fitch does not rate the class F and NR
certificates.

KEY RATING DRIVERS

Relatively Stable Performance/Increased Loss Expectations: Although
overall pool performance remains generally stable; loss
expectations have increased due to 12 loans (21.2%) being
designated as Fitch Loans of Concern. There are currently no
specially serviced loans. Thirteen loans (28.1%) are on the master
servicer's watchlist for occupancy and performance declines,
upcoming rollover, deferred maintenance, delinquency, and/or
requests for COVID-19 relief; 12 (21.2%) of the 13 are considered
FLOCs.

Fitch Loans of Concern: The largest FLOC, Hagerstown Premium
Outlets (3.3% of the pool), is secured by a 84,994 sf outlet center
located in Hagerstown, MD, approximately 70 miles northwest of
Washington D.C. and 72 miles northwest of Baltimore. The largest
tenants include Wolf Furniture (13.8% NRA; expires May 2029) and
Gap Outlet (1.9% NRA; expires July 2021). Property performance and
tenant sales have declined since issuance due to lower revenues
resulting from a significant decline in occupancy as several
retailers have made decisions to decrease their footprint, filed
for bankruptcy, or close stores nationwide. Occupancy has declined
to 68% as of March 2020 from 71% September 2019 and 90% at
issuance. Per the master servicer, Wolf Furniture is closing this
location due to the parent company bankruptcy. Comparable in-line
sales for tenants leasing less than 10,000 sf was $271 psf at YE
2018, $251 psf at YE 2017, $279 psf at YE 2016 and $330 psf for the
TTM ended July 2015. Fitch applied a total 25% NOI decline to YE
2019 NOI in its analysis due to near-term rollover concerns and
expected occupancy decline due to the Wolf Furniture store
closing.

The second largest FLOC, 7083 Hollywood Boulevard (2.4% of the
pool) is secured by a 82,193 sf office property built in 1985 and
renovated in 2012, located in Hollywood, CA. The largest two
tenants are WeWork LA (43.7%), exp 11/30/24 and Live Nation
(34.3%), exp 6/30/20. The property is 96.3% occupied as of March
2020 with average rent of $52.73 per square foot. Per the master
servicer, Live Nation will be vacating their space at lease
expiration. Fitch applied a total 35% NOI decline to YE 2019 NOI in
its analysis due to near-term rollover and WeWork tenancy.

The third largest FLOC, Four Penn Center (2.3% of the pool) is
secured by a 21-story, 522,600 square foot Class A office building
located in the central business district in Philadelphia,
Pennsylvania. Property occupancy declined to 61.8% as of March 2020
down from 84% at issuance, mainly due to the largest tenant, RELX,
downsizing to 15.6% of the NRA (from 25.9%) and Federal Insurance
Company, which formerly occupied 11.3% of the NRA, vacating at its
March 2018 lease expiration. As part of RELX's downsizing, the
tenant also renewed its lease to September 2025 from June 2018.
However, per the master servicer, the lender has approved a major
lease request for 173,000 sf tenant (GSA - Environmental Protection
Agency), which represents approximately 33% of the property's NRA.
The GSA space does include the former Federal Insurance Co. space.
However, the tenant is not expected to take occupancy until 2021
and begin paying rent in 2022.

The fourth largest FLOC, 700 17th Street (2.2%) is secured by a
182,505-sf office property located in Denver, CO. The largest
tenants are Machol & Johannes (13.2%), expiration March 2021 and
Colorado National Bank (6.5%), expiration in January 2025. The
property's occupancy has declined to 78% as of March 2020 down from
93% as of March 2019 and 90% at issuance due to multiple tenants
vacating at YE 2019. The property also has a large energy tenancy
concentration and a significant amount (approximately 30.3%) of
upcoming rollover between 2020-2021. The most recent servicer
reported NOI debt service coverage ratio (DSCR) as of 1.26x as of
September 2019, YE 2018 is 1.30x compared to 1.34x as of September
2018 but down from 1.57x (YE 2016). Fitch applied a total 20% NOI
decline in its analysis to account for the high upcoming rollover
and energy tenancy concentration.

The fifth largest FLOC, Aloft Milwaukee (2.1%) is secured by a
hotel property located in Milwaukee, WI. The loan is on the master
servicer's watchlist due to declining in revenues as the YE 2019
NOI is down 15% compared to YE 2018 and 37% down from issuance due
to decline in F&B, Departmental Revenue, and Other Income. Per the
most recent servicer provided Smith Travel Research report as of
March 2020 the property reported occupancy, average daily rate
(ADR), revenue per available room of 63.5%, $141, $89 compared to
66.5%, $141, $94 for its competitive set. RevPAR Penetration:
95.5%. The loan also failed to meet the coronavirus NOI DSCR
tolerance threshold. Additional stresses were applied to the loan
to account for the expected declines in performance due to the
reduction in travel from the coronavirus pandemic.

The remaining seven FLOCs are either approximately 1.7% of the pool
or below and are considered FLOCs due to occupancy declines,
delinquent payments and/or requests for coronavirus relief.

Improved Credit Enhancement: As of the June 2020 distribution date,
the pool's aggregate balance has been reduced by 4.2% to $899.7
million from $939.2 million at issuance. One loan (previously 2% of
the pool) prepaid with yield maintenance. Three loans (10.9%) are
fully defeased including the 2nd largest loan, Center 21 (8.9% of
the pool). At issuance, based on the scheduled balance at maturity,
the pool will pay down 11.1% of the initial pool balance. Five
full-term interest-only loans comprise 26.7% of the pool, 19 loans
representing 46.4% of the pool are partial interest-only, and 22
loans representing 26.9% of the pool are balloon.

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 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.

Ten loans (16.6% of the pool) are secured by hotel loans, and 10
loans (25.7% of the pool) are secured by retail properties. The
hotel loans have a weighted average debt service coverage ratio of
2.34x. On average, the hotel loans can sustain an average decline
of 53.5% before the NOI DSCR would fall below 1.0x. On average, the
retail loans have a WADSCR of 2.14x and would sustain a 50.8%
decline in NOI before the DSCR would fall below 1.0x. Fitch applied
additional stresses to hotel, retail and multifamily loans to
account for potential cash flow disruptions due to the coronavirus
pandemic. These stresses also contributed to the Outlook revision
to Negative for class E.

Additional Considerations:

Pool Concentrations: Ten loans (25.7%), including three in the top
15, are secured by retail properties, Opry Mills (8.9%), The Shops
at Crystal (5.6%), and Hagerstown Premium Outlets (3.3%). At
issuance, the sixth largest loan, The Shops at Crystal, was given
an investment-grade credit opinion of 'BBB+sf*' on a stand-alone
basis. Hotel loans represent 16.6% of the pool, including three
(9.7%) in the top 15. The largest 10 loans account for 55.9% of the
pool by balance. At issuance, two sponsors, Simon Property Group
and CIM Commercial Trust Corporation, each comprised more than 10%
of the pool with 12% and 11%, respectively.

High Concentration of Pari Passu Loans: Nine loans (48% of pool)
are pari passu, all of which are in the top 15.

RATING SENSITIVITIES

The Negative Outlook on class E reflects performance concerns with
hotel and retail properties due to decline in travel and commerce
as a result of the coronavirus pandemic in addition to concerns
with FLOCs in the top 15 loans. The Stable Outlooks on classes A-2
through D reflect the increasing credit enhancement, defeasance,
continued amortization and overall stable performance of the
majority of the pool.

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 pay down and/or defeasance.
Upgrades to classes B and C, rated 'AA-sf' and 'A-sf', would likely
occur with significant improvement in CE and/or defeasance;
however, adverse selection and increased concentrations, or further
underperformance or default of the FLOCs could cause this trend to
reverse. An upgrade of class D, rated 'BBB-sf', 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 likelihood for
interest shortfalls. An upgrade to class E, rated 'BB-sf', is 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 classes A-2, A-3, A-4, A-SB, A-S, B and C, rated
'AAAsf', 'AA-sf' and 'A-sf', 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 classes
D and E, rated in the 'BBB-sf' and 'BB-sf' categories would occur
should overall pool losses increase and/or one or more large FLOCs
have an outsized loss or should loss expectations increase due to
loans transferring to special servicing and/or properties
vulnerable to the coronavirus fail to return to pre-pandemic
levels. The Rating Outlook on class E 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 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).


JPMDB COMMERCIAL 2020-COR7: Fitch to Rate Class H-RR Certs 'B-sf'
-----------------------------------------------------------------
Fitch Ratings has issued a presale report on JPMDB Commercial
Mortgage Securities Trust 2020-COR7 commercial mortgage
pass-through certificates, series 2020-COR7.

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

  -- $13,360,000 class A-1 'AAAsf'; Outlook Stable;

  -- $83,000,000 class A-2 'AAAsf'; Outlook Stable;

  -- $80,800,000 class A-3 'AAAsf'; Outlook Stable;

  -- $92,500,000a class A-4 'AAAsf'; Outlook Stable;

  -- $339,963,000a class A-5 'AAAsf'; Outlook Stable;

  -- $26,960,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $693,421,000b class X-A 'AAAsf'; Outlook Stable;

  -- $34,103,000b class X-B 'AA-sf'; Outlook Stable;

  -- $56,838,000 class A-S 'AAAsf'; Outlook Stable;

  -- $34,103,000 class B 'AA-sf'; Outlook Stable;

  -- $48,881,000 class C 'A-sf'; Outlook Stable;

  -- $47,061,000bc class X-D 'BBB-sf'; Outlook Stable;

  -- $32,965,000c class D 'BBBsf'; Outlook Stable;

  -- $14,096,000c class E 'BBB-sf'; Outlook Stable;

  -- $13,187,000cd class F-RR 'BBB-sf'; Outlook Stable;

  -- $23,872,000cd class G-RR 'BB-sf'; Outlook Stable;

  -- $9,094,000cd class H-RR 'B-sf'; Outlook Stable.

The following class is not expected to be rated by Fitch:

-- $39,786,614cd class NR-RR.

(a) The initial certificate balances of classes A-4 and A-5 are
unknown and expected to be $432,463,000 in aggregate. 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 $185,000,000, and the expected class A-5 balance
range is $247,463,000 to $432,463,000. The balances of classes A-4
and A-5 reflect the midpoints of the class ranges.

(b) Notional amount and interest-only.

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

(d) Non-offered Horizontal credit-risk retention interest.

The expected ratings are based on information provided by the
issuer as of June 16, 2020.

JPMDB 2020-COR7

  - 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 BBB-(EXP)sf Expected Rating

  - Class F-RR; LT BBB-(EXP)sf Expected Rating

  - Class G-RR; LT BB-(EXP)sf Expected Rating

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

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

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 37 loans secured by 153
commercial properties having an aggregate principal balance of
$909,405,614 as of the cut-off date. The loans were contributed to
the trust by JP Morgan Chase Bank, LoanCore Capital Markets LLC,
German American Capital Corporation and Goldman Sachs Mortgage
Company.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 64.7% of the properties
by balance, cash flow analysis of 96.7% and asset summary reviews
on 100.0% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes the COVID-19 disease) 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; however,
the sponsors for two loans, Hampton Roads Office Portfolio (4.7% of
pool) and Willow Lake Tech Center (0.5% of pool), have negotiated
loan modifications to defer ongoing CapEx and Rollover reserve
account deposits.

KEY RATING DRIVERS

Fitch Leverage Exceeds that of Recent Transactions: The pool has
higher leverage than other, recent, Fitch-rated multiborrower
transactions. The pool's Fitch LTV of 104.3% is higher than the YTD
2020 average of 99.0% and the 2019 average of 103.0%. The pool's
Fitch DSCR of 1.19x is lower than the YTD 2020 average of 1.31x and
the 2019 average of 1.26x.

Significant Office and California Concentrations: Loans secured
primarily by office properties account for 74.8% of the pool, which
is significantly higher than the YTD 2020 and 2019 averages of
35.4% and 34.2%, respectively. However, the pool includes only four
loans (11.9% of pool) secured by retail properties and no loans
secured by hotel properties. Additionally, loans secured by
properties in California account for 41.1% of the pool while loans
secured by properties in New York account for 21.0% of the pool.
Large concentrations by property type and geographic region
increase correlation risk, which increases the frequency of high
loss scenarios in Fitch's multiborrower model.

Investment-Grade Credit Opinion Loans: Six loans, representing
22.3% of the pool, received investment-grade credit opinions. This
is below the YTD 2020 average of 27.7% but greater than the 2019
average of 14.2%. Chase Center Towers I & II (combined 7.4% of the
pool), 1633 Broadway (6.3% of pool), BX Industrial Portfolio (4.1%
of pool), City National Plaza (2.2% of pool) and Moffett Towers
Buildings A, B & C (2.2% of pool) each received a stand-alone
credit opinion of 'BBB-sf*'.

Concentrated Pool: The top 10 loans constitute 58.3% of the pool
(including the crossed loans Chase Center Towers I & II as one
loan), which is greater than the YTD 2020 average of 52.7% and the
2019 average of 51.0%. The loan concentration index of 453 is
greater than the YTD 2020 and 2019 averages of 393 and 379,
respectively. Additionally, the sponsor concentration index of 536
indicates a concentrated pool by sponsor. The pool's largest
sponsor, a partnership between Bayerische Versorgungskammer and
Deutsche Finance America, is the sponsor for the pool's largest
loan, 530 Broadway (8.8% of pool), and the pool's eighth largest
loan, 711 Fifth Avenue (4.4% of pool). Bayerische Versorgungskammer
is Germany's largest public-law pension group and Deutsche Finance
America is a real estate private equity fund for Deutsche Finance
Group.

RATING SENSITIVITIES

This section provides insight into the sensitivity of ratings when
one assumption is modified, while holding others equal. For U.S.
CMBS, the sensitivity reflects the impact of changes to property
net cash flow 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 Negative
Rating Action/Downgrade:

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

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

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

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

30% NCF Decline: BBB+sf / BBB-sf / BB-sf / CCCsf/ CCCsf / CCCsf /
CCCsf

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

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

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

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

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young. 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. A copy of the
ABS Due Diligence Form 15-E received by Fitch in connection with
this transaction may be obtained via the link at the bottom of the
related rating action commentary.

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.


KEYCORP STUDENT 2006-A: Fitch Affirms CC Rating on Class II-C Debt
------------------------------------------------------------------
Fitch Ratings has affirmed the ratings on Keycorp Student Loan
Trust 2004-A (Group II), 2005-A (Group II) and 2006-A (Group II).

KeyCorp Student Loan Trust 2006-A (Group II)

  - II-B 49327HAH8; LT AAsf; Affirmed

  - II-C 49327HAJ4; LT CCsf; Affirmed

KeyCorp Student Loan Trust 2005-A (Group II)

  - II-B 493268CK0; LT AAsf; Affirmed

  - II-C 493268CL8; LT Bsf; Affirmed

KeyCorp Student Loan Trust 2004-A (Group II)

  - II-C 493268CA2; LT AAsf; Affirmed

  - II-D 493268CB0; LT CCsf; Affirmed

TRANSACTION SUMMARY

The transactions are performing as expected and credit metrics did
not change significantly from the last annual review.

KEY RATING DRIVERS

Collateral Performance: The trust is collateralized by private
student loans originated by KeyBank N.A. Fitch assumes a base case
default rate of approximately 11% for all transactions and
increased its assumption of constant default rate to 3.00% from
2.75%. Default multiples of 3.35x were applied at 'AAsf' and Fitch
assumes a base case recovery rate of 12% based on transaction data
provided by the issuer.

Payment Structure: KSLT 2004-A and 2006-A are undercollateralized,
and each trust can receive excess spread from the respective Group
I pool consisting of FFELP loans. For the most recent distribution,
2004-A and 2006-A received excess spread from Group I. Class B and
C notes benefit from subordination of junior notes. Total parity as
of the most recent distribution was approximately 94.3% for 2004-A,
101% for 2005-A and 96.2% for 2006-A. Liquidity support is provided
by reserve accounts of $4.2 million, $3.4 million and approximately
$4.0 million for 2004-A, 2005-A and 2006-A, respectively.

Operational Capabilities: Day-to-day servicing is provided by
KeyBank, NA (master servicer), Pennsylvania Higher Education
Assistance Agency (subservicer) and Nelnet Inc. Fitch believes all
servicers are acceptable servicers of student loans due to their
long servicing history.

Coronavirus Impact

Fitch has made assumptions about the economic impact of the
coronavirus pandemic and 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. Fitch increased its base case CDR assumption to 3.00% from
2.75% to take into account the effects of the pandemic on the
portfolio, assuming a short-term increase of the CDR followed by a
plateau in line with the previous 2.75% assumption. Fitch conducted
rating sensitivities for a more prolonged stress contemplated in
the coronavirus downside scenario.

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 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 positive
rating action/upgrade:

KeyCorp Student Loan Trust 2004-A (Group II)

  -- Decrease base case defaults by 25%: class A 'AAAsf'; class B
'CCCsf'.

  -- Increase base case recoveries by 25%: class A 'AAAsf'; class B
'CCCsf'.

  -- Decrease base case defaults and increase base case recoveries
each by 50%: class A 'AAAsf'; class B 'CCCsf'.

KeyCorp Student Loan Trust 2005-A (Group II)

  -- Decrease base case defaults by 25%: class A 'AAAsf'; class B
'Bsf'.

  -- Increase base case recoveries by 25%: class A 'AAAsf'; class B
'Bsf'.

  -- Decrease base case defaults and increase base case recoveries
each by 50%: class A 'AAAsf'; class B 'Bsf'.

Keycorp Student Loan Trust 2006A Group II

  -- Decrease base case defaults by 25%: class A 'AAAsf'; class B
'CCCsf'.

  -- Increase base case recoveries by 25%: class A 'AAAsf'; class B
'CCCsf'.

  -- Decrease base case defaults and increase base case recoveries
each by 50%: class A 'AAAsf'; class B 'CCCsf'.

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

Fitch's Downside Coronavirus Scenario assumes a prolonged health
crisis prompting extensions and/or renewals of lockdown measures
and preventing a recovery in financial markets. This leads to a
prolonged period of below-trend economic activity, with recovery to
pre-crisis GDP levels delayed until around the middle of the
decade. For additional sensitivity under this scenario, Fitch
assumed the current 'BBsf' default rate of 14.8% for 2004-A and
2005-A, and 15.1% for 2006-A, with no adjustment to the default
multiples, as the new base case default rate. The results indicate
no change to class B ratings for 2004A and 2006A, and 'CCCsf' for
2005A. For class A, indicated ratings are 'AA-sf' for 2004-A,
'AAsf' for 2005A and 'A+sf' for 2006-A.

KeyCorp Student Loan Trust 2004-A (Group II)

  -- Increase base case defaults by 10%: class A 'AAsf'; class B
'CCsf'.

  -- Increase base case defaults by 25%: class A 'AAsf; class B
'CCsf'.

  -- Increase base case defaults by 50%: class A 'A+sf'; class B
'CCsf'.

  -- Reduce base case recoveries by 10%: class A 'AAsf'; class B
'CCsf'.

  -- Reduce base case recoveries by 20%: class A 'AAsf'; class B
'CCsf'.

  -- Reduce base case recoveries by 30%: class A 'AAsf'; class B
'CCsf'.

  -- Increase base case defaults and reduce base case recoveries
each by 10%: class A 'AAsf'; class B 'CCsf'.

  -- Increase base case defaults and reduce base case recoveries
each by 25%: class A 'AA-sf'; class B 'CCsf'.

  -- Increase base case defaults and reduce base case recoveries
each by 50%: class A 'Asf'; class B 'CCsf'.

KeyCorp Student Loan Trust 2005-A (Group II)

  -- Increase base case defaults by 10%: class A 'AAsf'; class B
'CCCsf'.

  -- Increase base case defaults by 25%: class A 'AAsf; class B
'CCCsf'.

  -- Increase base case defaults by 50%: class A 'AA-sf'; class B
'CCCsf'.

  -- Reduce base case recoveries by 10%:class A 'AAsf'; class B
'CCCsf'

  -- Reduce base case recoveries by 20%: class A 'AAsf'; class B
'CCCsf'.

  -- Reduce base case recoveries by 30%: class A 'AAsf'; class B
'CCCsf'.

  -- Increase base case defaults and reduce base case recoveries
each by 10%: class A 'AAsf'; class B 'CCCsf'.

  -- Increase base case defaults and reduce base case recoveries
each by 25%: class A 'AAsf'; class B 'CCCsf'.

  -- Increase base case defaults and reduce base case recoveries
each by 50%: class A 'AA-sf'; class B 'CCCsf'.

Keycorp Student Loan Trust 2006A Group II

  -- Increase base case defaults by 10%: class A 'AAsf'; class B
'CCsf'.

  -- Increase base case defaults by 25%: class A 'AA-sf; class B
'CCsf'.

  -- Increase base case defaults by 50%: class A 'Asf'; class B
'CCsf'.

  -- Reduce base case recoveries by 10%: class A 'AAsf'; class B
'CCsf'.

  -- Reduce base case recoveries by 20%: class A 'AAsf'; class B
'CCsf'.

  -- Reduce base case recoveries by 30%: class A 'AAsf'; class B
'CCsf'.

  -- Increase base case defaults and reduce base case recoveries
each by 10%: class A 'AAsf'; class B 'CCsf'.

  -- Increase base case defaults and reduce base case recoveries
each by 25%: class A 'AA-sf'; class B 'CCsf'.

  -- Increase base case defaults and reduce base case recoveries
each by 50%: class A 'Asf'; class B 'CCsf'.

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).


KKR CLO 13: Moody's Lowers Rating on Class E-R Notes to 'B1'
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by KKR CLO 13 Ltd.:

US$21,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes Due 2028 (the "Class E-R Notes"), Downgraded to B1 (sf);
previously on previously on April 17, 2020, Ba3 (sf) Placed Under
Review for Possible Downgrade

US$7,000,000 Class F-R Senior Secured Deferrable Floating Rate
Notes Due 2028 (the "Class F-R Notes"), Downgraded to B3 (sf);
previously on April 17, 2020, B2 (sf) Placed Under Review for
Possible Downgrade

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

US$24,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due 2028 (the "Class D-R Notes"), Confirmed Baa2 (sf);
previously on 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 Class D-R Notes, Class E-R Notes and Class F-R
Notes. The CLO, originally issued in December 2015 and refinanced
in March 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 ended in January 2020.

RATINGS RATIONALE

The downgrade on the Class E-R and Class F-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, and 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 is
currently 3728 compared to 3007 reported in the February 2020
trustee report [1]. Moody's notes that currently approximately
38.5% and 6.5% of the CLO's par is from obligors assigned a
negative outlook or whose ratings are on review for possible
downgrade, versus approximately 30.0% and 4.7% of the universe of
assets in US BSL CLO portfolios 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 waitlist
for possible downgrade) is currently approximately 29.62%.
Furthermore, Moody's calculated total collateral par balance,
including recoveries from defaulted securities, is at $387.0
million, or $8.0 million less than the deal's ramp-up target par
balance less paydown on the notes, and the over-collateralization
ratios for the Class D-R and Class E-R notes according to the April
2020 trustee report, are at 109.91% and 103.56% respectively and
failing their respective trigger levels of 110.3% and 104.7%[2].
Finally, Moody's also considered manager's investment decisions and
trading strategies.

The rating confirmation on the Class D-R Notes reflects the notes'
priority position in the CLO's capital structure and the level of
credit enhancement available to it either from
over-collateralization or from cash flows that would be diverted as
a result of coverage test failures. Following analysis of the CLO's
latest portfolio, recent trading activity and the full set of
structural features of the transaction, Moody's has confirmed the
rating on the Class D-R 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 $383.0 million, defaulted par of $8.8
million, a weighted average default probability of 27.56% (implying
a WARF of 3728), a weighted average recovery rate upon default of
48.63%, a diversity score of 66 and a weighted average spread of
3.46%. Moody's also analyzed the CLO by incorporating an
approximately $10.7 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.

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


KKR CLO 14: Moody's Lowers Rating on Class E-R Notes to 'B1'
------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by KKR CLO 14 Ltd.:

US$27,700,000 Class E-R Senior Secured Deferrable Floating Rate
Notes Due July 2031 (the "Class E-R Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) and Placed Under Review for
Possible Downgrade

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

US$25,200,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due July 2031 (the "Class C-R Notes"), Confirmed A2 (sf);
previously on June 3, 2020 A2 (sf) Placed Under Review for Possible
Downgrade

US$31,400,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due July 2031 (the "Class D-R Notes"), Confirmed Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) and Placed Under Review for
Possible Downgrade

These actions conclude the review for downgrade initiated on June
3, 2020 on the Class C-R Notes and April 17, 2020 on Class D-R
Notes and E-R Notes. The CLO, originally issued in June 2016 and
refinanced in August 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 on July 2023.

RATINGS RATIONALE

The downgrade on the 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 3624 compared to 2962 reported in the February
2020 trustee report [1]. Moody's notes that currently approximately
38.5% and 5.6% of the CLO's par is from obligors assigned a
negative outlook or whose ratings are on review for possible
downgrade, versus approximately 30.0% and 4.7% of the universe of
assets in US BSL CLO portfolios, 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 watch-list
for possible downgrade) is approximately 26.92% as of May 2020.
Furthermore, Moody's calculated total collateral par balance,
including recoveries from defaulted securities, is at $ 491.6
million, or $8.6 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 130.6%, 122.4%, 113.5%, and
106.7%, respectively. Finally, Moody's also considered manager's
investment decisions and trading strategies.

The rating confirmation on the Class C-R Notes and Class D-R Notes
reflects the notes' priority position in the CLO's capital
structure and the level of credit enhancement available to it
either from over-collateralization or from cash flows that would be
diverted as a result of coverage test failures. Moody's notes that
according to the trustee report dated April 2020, the interest
diversion test is failing its respective trigger level. Following
analysis of the CLO's latest portfolio, recent trading activity and
the full set of structural features of the transaction, Moody's has
confirmed the ratings on the Class C-R Notes and D-R 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 $486.1 million, defaulted par of
$11.2 million, a weighted average default probability of 29.77%
(implying a WARF of 3624), a weighted average recovery rate upon
default of 48.77%, a diversity score of 69 and a weighted average
spread of 3.39%. Moody's also analyzed the CLO by incorporating an
approximately $12.1 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. 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.

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


MF1 LTD 2020-FL3: DBRS Gives Prov. B(low) Rating on Class G Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by MF1 2020-FL3, Ltd. (the Issuer):

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

All trends are Stable. Classes F and G will be privately placed.

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remain highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis. For example,
DBRS Morningstar may front-load default expectations and/or assess
the liquidity position of a structured finance transaction with
more stressful operational risk and/or cash flow timing
considerations.

The Issuer provided coronavirus and business plan updates for all
loans in the pool, confirming that all April and May 2020 debt
service payments were received in full. Furthermore, no loans are
in forbearance or other debt service relief and no loan
modifications were requested, except for Peanut Factory (#23; 1.5%
of the initial pool balance). In early April, the sponsor for the
Peanut Factory submitted a formal request for forbearance, which
the lender denied based on the adequacy of current cash flow. Since
then, the April and May debt service payments for this loan were
made in full and the loan is current.

The initial collateral consists of 26 floating-rate mortgage loans
secured by 51 transitional multifamily properties totaling $803.0
million (70.1% of the total fully funded balance), excluding $113.3
million of remaining future funding commitments and $171.4 million
of pari passu debt. Of the 26 loans, there are two unclosed,
delayed-close loans as of June 10, 2020, representing 5.9% of the
initial pool balance, including Avilla Prairie (#8) and
Pennsylvania Place (#22). Additionally, two loans, SF Multifamily
Portfolio I (#3) and New Orleans Portfolio (#12), have
delayed-close mortgage assets, which are identified in the data
tape and included in the DBRS Morningstar analysis. If a
delayed-close loan or asset is not expected to close or fund prior
to the purchase termination date, then any amounts remaining in the
unused proceeds account up to $5.0 million will be deposited into
the replenishment account. Any funds in excess of $5.0 million will
be transferred to the payment account and applied as principal
proceeds in accordance with the priority of payments. Additionally,
during a 90-day period following the closing date, the Issuer can
bring an estimated $17.0 million of future funding participations
into the pool, resulting in a target deal balance of $820.0
million.

The loans are mostly secured by currently cash flowing assets, many
of which are in a period of transition. The Issuer is planning to
stabilize these assets and improve the asset value. Of these loans,
18 have remaining future funding participations totaling $113.3
million, which the Issuer may acquire in the future. Please see the
chart below for participations that the Issuer will be allowed to
acquire.

Given the floating-rate nature of the loans, the index DBRS
Morningstar used (one-month Libor) was the lower of DBRS
Morningstar's stressed rates that corresponded to the remaining
fully extended term of the loans; the strike price of the interest
rate cap with the respective contractual loan spread added to
determine a stressed interest rate of the loan term. When measuring
the cut-off date balances against the DBRS Morningstar As-Is Net
Cash Flow (NCF), 20 loans, representing 75.1% of the cut-off date
pool balance, had a DBRS Morningstar As-Is Debt Service Coverage
Ratio (DSCR) of 1.00 time (x) or below, a threshold indicative of
default risk. Additionally, the DBRS Morningstar Stabilized DSCR
for 11 loans, comprising 48.9% of the initial pool balance, was
1.00x or below, which indicates elevated refinance risk. The
properties are often transitioning with potential upside in cash
flow; however, DBRS Morningstar does not give full credit to the
stabilization if there are no holdbacks or if the other loan
structural features are insufficient to support such treatment.
Furthermore, even if the structure is acceptable, DBRS Morningstar
generally does not assume the assets will stabilize above market
levels. The transaction will have a sequential-pay structure.

The loans were all sourced by an affiliate of the Issuer, which has
strong origination practices and substantial experience in the
multifamily industry. Classes F and G and the Preferred Shares
(collectively representing 15.0% of the initial pool balance) will
be purchased by a wholly owned subsidiary of MF1 REIT II LLC.

All loans in the pool are secured by multifamily properties located
across 17 states with no state representing more than 12.6% of the
cut-off date pool balance. The pool's Herfindahl score of 23.1 is
favorable for a commercial real estate collateralized loan
obligation and indicates strong diversity. Multifamily properties
benefit from staggered lease rollover and generally low expense
ratios compared with other property types. While revenue is quick
to decline in a downturn because of the short-term nature of the
leases, it is also quick to respond when the market improves.
Additionally, most loans are secured by traditional multifamily
properties, such as garden-style communities or mid-rise/high-rise
buildings, with only one loan secured by an age-restricted facility
(#10, Overture Sugar Land).

Seventeen loans, comprising 64.7% of the initial trust balance,
represent acquisition financing wherein sponsors contributed
significant cash equity as a source of funding in conjunction with
the mortgage loan, resulting in a moderately high sponsor cost
basis in the underlying collateral.

The loans in the transaction benefit from experienced and
financially stable borrowers, many of which are sourced through a
strategic partnership with CBRE, the largest government-sponsored
enterprise lender. Only one loan, representing 5.4% of the cut-off
date pool balance, has a sponsor with negative credit history
and/or limited financial wherewithal that DBRS Morningstar deemed
to be Weak, effectively increasing the probability of default (POD)
for this loan.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
for the loans that are, in some instances, above the in-place cash
flow. It is possible that the sponsors will not successfully
execute their business plans and that the higher stabilized cash
flow will not materialize during the loan term, particularly with
the ongoing coronavirus pandemic and its impact on the overall
economy. A sponsor's failure to execute the business plan could
result in a term default or the inability to refinance the fully
funded loan balance.

Only two loans (14.4% of the pool) are secured by properties in
markets with a DBRS Morningstar Market Rank of 7 or 8 (SF
Multifamily Portfolio I and LA Multifamily Portfolio I), which are
considered dense urban in nature and benefit from increased
liquidity with consistently strong investor demand, even during
times of economic stress. Furthermore, 16 loans, representing 68.0%
of the initial trust balance, are secured by properties in markets
with a DBRS Morningstar Market Rank of 3 or 4, which, although
generally suburban in nature, have historically had higher PODs.
The pool's Weighted-Average DBRS Morningstar Market Rank of 4.02
indicates a high concentration of properties in less densely
populated suburban areas.

The loan collateral was built between 1929 and 2020 with an average
year built of 1983. Given the older vintage of the assets, no loans
are secured by properties that DBRS Morningstar deemed to be Above
Average or Excellent in quality. Three loans, comprising 7.6% of
the initial trust balance, are secured by properties with Average
(-) quality, including New Orleans Portfolio (#12), Grand Oaks
(#16), and Ansley at Harts Road (#20). Lower-quality properties are
less likely to retain existing tenants and may require additional
capital expenditure, resulting in less-than-stable performance.

Because the loans were originated prior to the onset of the
coronavirus pandemic—and, as a result, the appraised values and
cash flows do not reflect the full extent of the impact of the
current environment—DBRS Morningstar believes that the
transaction may be exposed to losses beyond the base case pool loss
captured within the CMBS Insight Model described in the "North
American CMBS Multi-Borrower Rating Methodology." DBRS Morningstar
materially deviated from its "North American CMBS Multi-Borrower
Rating Methodology" when determining the ratings assigned to Class
G, which deviated from the higher ratings implied by the
quantitative results. DBRS Morningstar typically expects a
substantial likelihood that a reasonable investor or other user of
the credit ratings would consider a three-notch or more deviation
from the rating stresses implied by the predictive model to be a
significant factor in DBRS Morningstar ratings.

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


MORGAN STANLEY 2006-HQ10: Fitch Affirms D Rating on 10 Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Morgan Stanley Capital I
Trust 2006-HQ10 commercial mortgage pass-through certificates.

Morgan Stanley Capital I Trust 2006-HQ10

  - Class B 61750HAH9; LT CCsf; Affirmed

  - Class C 61750HAJ5; LT Csf; Affirmed

  - Class D 61750HAK2; LT Csf; Affirmed

  - Class E 61750HAN6; LT Dsf; Affirmed

  - Class F 61750HAP1; LT Dsf; Affirmed

  - Class G 61750HAQ9; LT Dsf; Affirmed

  - Class H 61750HAR7; LT Dsf; Affirmed

  - Class J 61750HAS5; LT Dsf; Affirmed

  - Class K 61750HAT3; LT Dsf; Affirmed

  - Class L 61750HAU0; LT Dsf; Affirmed

  - Class M 61750HAV8; LT Dsf; Affirmed

  - Class N 61750HAW6; LT Dsf; Affirmed

  - Class O 61750HAX4; LT Dsf; Affirmed

KEY RATING DRIVERS

Loss Expectations Remain High: The affirmations reflect a high
certainty of loss due to the concentration of specially serviced
loans/assets comprising 81.6% of the pool.

The largest asset is the Gateway Medical Center (48.1%), which was
originally part of the PPG Portfolio loan, which was initially
secured by seven medical office properties located in Colorado,
Indiana and Arizona; the special servicer has since sold six of the
properties. Gateway Medical Center is a 77,000-sf medical office
located in Phoenix, AZ. As of April 2020, the property was 29%
occupied by two tenants; Phoenix Orthopedic Ambulatory Center (25%
net rentable area (NRA), expires October 2027) and Hand Surgery
Specialists (4% NRA, month-to-month lease). The special servicer
strategy is to stabilize the property and market the vacancies for
lease. The asset is not currently listed for sale.

Fort Roc Portfolio (33.5%) originally consisted of seven
cross-collateralized and cross-defaulted loans secured by seven
retail properties totaling 343,769 sf located in Pennsylvania, New
York, Tennessee and Delaware. Five of the assets have been taken
real estate owned and the remaining two were sold. Two of the
assets are vacant retail properties located in Watertown, NY and
Rotterdam, NY. The remaining three assets consist of a
single-tenant retail store located in Philadelphia, PA that is 100%
leased to Rite Aid through 2030, a retail center that is 2%
occupied located in Ephrata, PA, and a retail center that is 34%
occupied located in Muhlenberg, PA. The Ephrata, PA property
recently lost its Kmart anchor (98% NRA) in February 2020, prior to
its August 2022 lease expiration. The ultimate workout and
disposition timing of these assets remain uncertain at this time.

Minimal Changes in Credit Enhancement: There have been minimal
changes in credit enhancement since Fitch's last rating action due
to the transaction's adverse selection and distressed state. As of
the May 2020 remittance, the pool balance has been reduced by 95.5%
to $70.8 million from $1.5 billion at issuance. Realized losses to
date total $98.4 million or 6% of the deal's original balance. Of
the two non-specially serviced loans, one matures in October 2021
and the other did not pay off at its October 2016 anticipated
repayment date.

Coronavirus Exposure: Given the number of REO assets, Fitch expects
the coronavirus to have limited effect on property level
performance. However, the economic slowdown associated with the
virus may hinder the ability of several properties to re-lease and
may delay any disposition via asset sales. The smallest loan in the
pool, Dicks Sporting Goods - Akron (4.9%), is currently on the
watchlist citing hardships related to the coronavirus shutdown.

RATING SENSITIVITIES

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. Upgrades to classes B, C, and D are
considered unlikely given the pool's concentration of REO assets.
Upgrades would occur if the REO assets are liquidated with
significantly higher than expected recoveries. Upgrades to the
'Dsf' rated classes are not possible; these classes have previously
incurred principal losses.

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.
A downgrade to class B is possible as losses materialize and credit
enhancement becomes eroded. Downgrades to classes C and D will
occur as the bonds incur their first dollar loss.

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).


MORGAN STANLEY 2012-C6: Fitch Affirms Class H Certs at 'Bsf'
------------------------------------------------------------
Fitch Ratings has affirmed 12 classes from Morgan Stanley Capital
I, Inc. MSBAM 2012-C6 commercial mortgage pass-through certificates
and revises Outlooks as follows:

MSBAM 2012-C6

  - Class A-4 61761DAD4; LT AAAsf; Affirmed

  - Class A-S 61761DAE2; LT AAAsf; Affirmed

  - Class B 61761DAF9; LT AAsf; Affirmed

  - Class C 61761DAH5; LT Asf; Affirmed

  - Class D 61761DAQ5; LT BBB+sf; Affirmed

  - Class E 61761DAS1; LT BBB-sf; Affirmed

  - Class F 61761DAU6; LT BBB-sf; Affirmed

  - Class G 61761DAW2; LT BBsf; Affirmed

  - Class H 61761DAY8; LT Bsf; Affirmed

  - Class PST 61761DAG7; LT Asf; Affirmed

  - Class X-A 61761DAJ1; LT AAAsf; Affirmed

  - Class X-B 61761DAL6; LT Asf; Affirmed

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations have increased since
Fitch's prior review driven by the following two regional malls in
the top five loans: Greenwood Mall and Cumberland Mall. Both loans
were assumed to experience a 25% loss in the base case. The pool
has experienced no realized losses to date and there are currently
no specially serviced loans.

Loans of Concern: Ten loans (23.7%) have been designated as Fitch
Loans of Concern including two (15.1%) regional malls. Greenwood
Mall (8.9%), located in Bowling Green, KY, is anchored by JC
Penney, Dillard's and Belk. Sears vacated their anchor space in
early 2019; there are no known replacements at this time. The
property has had a decline in in-line sales compared to issuance;
and NOI has declined since YE 2017, but has improved by 8.7% since
issuance. Collateral occupancy has declined to 79.1% compared to
95% at YE 2018. Cumberland Mall (6.2%), located in Vineland NJ has
had fluctuating NOI. The most recently reported NOI at YE 2019 is
9.4% above issuance, but declined by 7.1% from YE 2018 after
increasing by 4.5% from YE 2017 to YE 2018. Occupancy declined to
87.5% in March 2020 from 93% in December 2018, and there is 17.9%
lease rollover in 2021, including Burlington and Best Buy. Toys R
US vacated the mall in 2018 with no replacement tenant at this
time.

Alternative Loss Considerations: To factor in upcoming refinance
concerns, Fitch performed an additional sensitivity scenario on
Greenwood Mall and Cumberland Mall, which assumed potential
outsized losses of 50% on their respective balloon balances. The
scenario also factored in the expected paydown of the transaction
from fully defeased loans. This scenario contributed to maintaining
the Negative Outlooks on Classes G and H and revising the Outlook
on Class F to Negative. In addition, an ESG relevance score of '4'
for Social Impacts was applied as a result of exposure to sustained
structural shift in secular preferences affecting consumer trends,
occupancy trends, etc., which, in combination with other factors,
impacts the ratings.

Coronavirus Impact: Fitch expects significant economic impact to
certain hotels, retail, and multifamily properties from the
coronavirus pandemic, due to the sudden reductions in travel and
tourism, temporary property closures, and lack of clarity at this
time on the potential duration of the impact. The pandemic has
prompted the closure of several hotel properties in gateway cities
as well as malls, entertainment venues and individual stores.

Loans secured by hotels constitute only 12% of the pool, while
loans secured by retail properties represent 50.3% of the pool,
including two regional malls (15.1%). The pool has no loans secured
by multifamily properties. Fitch applied additional stresses to
hotel, retail and multifamily loans to account for potential cash
flow disruptions due to the coronavirus pandemic. Although these
additional stresses did not contribute to the Negative Outlooks on
classes G and H; both of which were applied due to the concerns
with the two mall FLOCs, performance deterioration due to the
closures and reduction in shopping due to the pandemic. The
additional stresses did contribute to the Negative Outlook on class
F.

Increased Credit Enhancement; Defeasance: As of the May 2020
distribution date, the pool's aggregate balance has been paid down
by 39.9% to $674.9million from $1.12 billion at issuance with 44 of
the original 61 loans remaining. The top loan in the pool (18.2%)
is full time interest only while all other loans are currently
amortizing. Six loans (16.2%) are fully defeased compared to four
loans (13.8%) at Fitch's last rating action. No loans were repaid
since the prior review.

Maturity Concentration: All loans in the pool mature from July
through October 2022.

RATING SENSITIVITIES

The Negative Outlooks on classes F, G and H reflect the potential
for a near-term rating change should the performance of the FLOCs
deteriorate or do not refinance at maturity. It also reflects
concerns with hotel and retail properties due to decline in travel
and commerce as a result of the coronavirus pandemic. The Stable
Outlooks on classes A-4, A-S, B, C, PST, D, E, X-A, and X-B reflect
the overall stable performance of the pool and expected continued
amortization.

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

  -- Stable to improved asset performance coupled with paydown
and/or defeasance. Upgrades of classes B, C, PST, and X-B may occur
with further improvement in credit enhancement or defeasance but
would be limited should the deal be susceptible to a concentration
whereby the underperformance of FLOCs could cause this trend to
reverse. An upgrade to classes D and E would also consider these
factors but would be limited based on sensitivity to concentrations
or the potential for future concentration, especially to the two
malls. Classes would not be upgraded above 'Asf' if there is a
likelihood for interest shortfalls. An upgrade to classes F, G, and
H is not likely until later years in a transaction and only if
performance of the remaining pool is stable and there is sufficient
credit enhancement, which would likely occur when the non-rated
class is not eroded and the senior classes payoff. While
coronavirus-related stresses continue to impact the pool, upgrades
are unlikely.

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

  -- An increase in pool level losses from underperforming or the
transfer of loans to special servicing. Downgrades to the
super-senior class A-4 is not likely due to the position in the
capital structure and the high credit enhancement but could occur
if interest shortfalls occur or if a high proportion of the pool
defaults and expected losses increase significantly. Downgrades to
classes A-S, X-A, B, C, PST, and X-B may occur and be one category
or more should overall pool losses increase or if several large
loans, particularly Greenwood Mall and Cumberland Mall, have an
outsized loss and/or properties vulnerable to the coronavirus fail
to stabilize to pre-pandemic levels. Downgrades to class F, G, and
H with Negative Outlooks would occur should loss expectations
increase due to an increase in specially serviced loans, the
disposition of a specially serviced loan/asset at a high loss, or a
decline in the FLOCs' performance. The Negative Rating Outlooks on
classes F, G and H may be revised back to Stable if performance of
the FLOCs improves and/or properties vulnerable to the coronavirus
stabilize once the pandemic is over, but it is unlikely to occur
unless Greenwood Mall and Cumberland Mall successfully repays at
maturity.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, Fitch expects that a greater
percentage of classes may be assigned a Negative Rating Outlook or
those with Negative Rating Outlooks will be downgraded one or more
categories.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The transaction has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to two regional malls that are underperforming
as a result of changing consumer preferences to shopping. This has
a negative impact on the credit profile and is highly relevant to
the ratings, resulting in the Negative Outlooks on classes F, G and
H.

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(ies),
either due to their nature or the way in which they are being
managed by the entity(ies).


NEW RESIDENTIAL 2020-NQM2: Fitch to Rate Class B-2 Debt 'B(EXP)sf'
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to New Residential
Mortgage Loan Trust 2020-NQM2. The 'AAAsf' rating for NRMLT
2020-NQM2 reflects the satisfactory operational review conducted by
Fitch of the originator, 100% loan-level due diligence review with
no material findings, a Tier 2 representation and warranty
framework and the transaction's structure.

NRMLT 2020-NQM2

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

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

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

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

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

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

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

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

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

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

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

TRANSACTION SUMMARY

The notes are supported by 257 loans with a balance of $159.9
million as of the June 1, 2020 cut-off date. This will be the
eighth Fitch-rated nonqualified mortgages transaction consisting of
loans solely originated by NewRez LLC, which was formerly known as
New Penn Financial, LLC.

The notes are secured mainly by NQMs as defined by the
Ability-to-Repay Rule. Approximately 79% of the loans in the pool
are designated as NQM, and the remaining 21% are investor
properties and, thus, not subject to the ATR Rule.

KEY RATING DRIVERS

Revised GDP due to COVID19 (Negative): Coronavirus 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 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 ratings of 'BBBsf'
and below.

Expanded Prime Credit Quality (Mixed): The collateral consists of
30-year FRM and five-year ARM fully amortizing loans, seasoned
approximately five months in aggregate. Nearly all of the loans
were originated through the originator's retail channels. The
borrowers in this pool have solid credit profiles (738 FICO) and
relatively low leverage (74.8% sLTV).

Payment Forbearance and Deferrals (Negative): A borrower requesting
COVID-19 relief will initially be placed on a three-month
forbearance plan. Following the forbearance plan period (plus any
extensions), the borrower will have an opportunity to make their
next monthly payment; however, if it is not made by the end of the
calendar month, New Rez will process a deferral. At that point, the
borrower's payment due date will be rolled forward one month and
the loan will continue to be marked as current.

As of the cutoff date, 17.90% (by UPB) have received COVID-19
forbearance or deferral relief. Fitch treated all loans not
currently making a mortgage payment as 60-days delinquent (8.6%, or
19 loans). This resulted in a 'AAAsf' probability of default (PD)
of 98.08% for these loans, which increased Fitch's 'AAAsf' expected
loss by 243 bps. Borrowers who continued to make their mortgage
payments and were not deferred (24 loans, or 9.3%) were treated as
current in Fitch's analysis. Fitch believes the increased expected
losses from the delinquency penalties applied to all loans
currently not making a monthly payment, and available day-1 excess
spread of 242 bps, will be sufficient to cover any related losses
to the rated notes.

Limited P&I Advancing: Primary and master servicing functions will
be performed by Shellpoint Mortgage Servicing and Nationstar
Mortgage LLC, rated 'RPS2-' and 'RMS2+', respectively. If
Nationstar is unable to advance, advances will be made by the
transaction's paying agent, U.S. Bank, N.A., rated 'A+'/Stable by
Fitch. The servicer will be responsible for advancing principal and
interest for 180 days of delinquencies. For this reason, Fitch
assumed a 180-day stop-advance scenario in its loss severity
calculation. However, since the servicer will not be advancing for
delinquent P&I payments to the trust for loans receiving COVID-19
deferral relief, Fitch assumed no advancing in its cash flow
analysis.

The servicer will be advancing P&I as well as insurance and taxes
(PITI) for loans on a forbearance plan but will reimburse itself
for the PITI from general principal collections received the
following month. The servicer will not be advancing the missed P&I
payments related to deferrals. All missed payments for either
forbearance or deferral are added to the balance of the loan and a
lump sum payment is due from the borrower when the loan is paid off
or at maturity. The servicer reimbursement of advanced amounts from
principal collections will result in a realized loss. To the extent
excess spread is insufficient to cover recouped advances,
subordinated principal can be used to pay timely interest to the
'AAAsf' and 'AAsf' classes. Fitch addressed this risk by applying
its liquidity stress described below and assumed no-advancing for
all rating categories in its cash flow assumptions while including
full servicer advancing in its loss severity calculation.

Sequential Payment Structure (Positive): The transaction is
expected to have 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
that class in the absence of servicer advancing.

Alternative Income Documentation (Negative): 51% of the pool was to
borrowers underwritten using bank statements to verify income (15%
using 12 months of statements and 36% using 24 months). Roughly 35%
were to borrowers underwritten to full documentation. Fitch views
the use of bank statements as a less reliable method of calculating
income than the traditional method of two years of tax returns.
Fitch applied approximately a 1.5x penalty to its probability of
default for these loans. This adjustment assumes slightly less
relative risk than a pre-crisis "stated income" loan.

Investor Loans (Negative): Approximately 20% of the pool comprises
investment property loans, including 4% underwritten to a cash flow
ratio rather than the borrower's debt-to-income ratio. Investor
property loans exhibit higher PDs and higher loss severities than
owner-occupied homes. The borrowers of the investor properties in
the pool have strong credit profiles, with a WA FICO of 749 and an
original CLTV of 66.3% (loans underwritten to the cash flow ratio
have a WA FICO of 742 and an original CLTV of 62.0%). Fitch
increased the PD by approximately 2.0x for the cash flow ratio
loans (relative to a traditional income documentation investor
loan) to account for the increased risk.

Loan Concentration (Negative): RMBS transactions with a small
number of loans or those dominated by loans with very large
balances carry the risk that portfolio performance may be adversely
affected by a few assets that may underperform relative to the
statistically derived assumptions underlying their ratings. Fitch
applies a loan concentration penalty for pools with Weighted
Average Numbers of less than 300. This pool has a loan count of 257
and a WAN of 159, resulting in a 1.15x adjustment for loan
concentration. This resulted in a 287-bp increase in the expected
loss at the 'AAAsf' level.

Geographic Concentration (Negative): Approximately 41% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in the New York MSA
(27.9%), followed by the Los Angeles MSA (20.3%) and the San
Francisco MSA (6.8%). The top three MSAs account for 55% of the
pool. As a result, there was a 1.11x adjustment for geographic
concentration. This resulted in a 117-bp increase in the expected
loss at the 'AAAsf' level.

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

R&W Framework (Negative): The seller is providing loan-level
representations (reps) and warranties (R&W) with respect to the
loans in the trust. The R&W framework for this transaction is
classified as a Tier 2 due to the lack of an automatic review for
loans other than those with ATR realized losses. While the seller,
NRZ Sponsor XVI LLC, is not rated by Fitch, its parent, NRZ, has an
internal credit opinion from Fitch. Through an agreement, NRZ
ensures that the seller will meet its obligations and remain
financially viable. Fitch increased its loss expectations 72 bps at
the 'AAAsf' rating category to account for the limitations of the
Tier 2 framework and the counterparty risk.

RATING SENSITIVITIES

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

This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 38.8% at 'AAAsf'. The analysis indicates that there
is some potential rating migration with higher MVDs, compared with
the model projection.

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
AMC. The third-party due diligence described in Form 15E focused on
three areas: a compliance review, a credit review, and a valuation
review, and was conducted on 100% of the loans in the pool. Fitch
considered this information in its analysis and believes the
overall results of the review generally reflected strong
underwriting controls.

Fitch received certifications indicating that the loan-level due
diligence was conducted in accordance with its published standards
for reviewing loans and in accordance with the independence
standards outlined in its criteria.

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).


NP SPE X 2019-2: S&P Affirms BB (sf) Rating on Class C-1 Notes
--------------------------------------------------------------
S&P Global Ratings affirmed 13 ratings from NP SPE II LLC's series
2016-1 and 2017-1, NP SPE IX LP's 2019-1 , and NP SPE X LP's
2019-2.

NP SPE II LLC's series 2016-1 and 2017-1, NP SPE IX LP's 2019-1,
and NP SPE X LP's 2019-2 are ABS transactions backed by portfolios
of railcars and the related leases. The railcar fleet is serviced
by Trinity Industries Leasing Company (TILC), which operates,
maintains, leases, and re-leases the railcars in the portfolio.

S&P said, "The affirmations reflect our view of the portfolio's
performance, the servicer's capability, and the transaction's
ability to withstand the retrofitting cost under the tank car
regulations. We received the updated collateral pool as of Dec. 31,
2019, and reviewed the information in the May 2020 manager reports.
Our stress scenario analysis indicated sufficient cash flows to
make required principal and interest payments on the notes. The
portfolios include tank cars providing flammable services, which
are subject to a retrofitting requirement mandated by the tank car
regulations finalized in May 2015. As of May 2020, such cars make
up approximately 5%, 8%, and 6% of the adjusted value of the NP SPE
II, NP SPE IX, and NP SPE X collateral pools. We explicitly
considered the tank car retrofitting cost and timing in our
analysis."

NP SPE II LLC's series 2016-1 and 2017-1 share collateral under the
master trust. Since the closing of series 2017-1 in November 2017,
collateral performance has been largely stable, despite a slight
deterioration to some metrics. As of the May 2020 payment date, the
portfolio saw a two-year decrease in weighted average remaining
term to 2.9 years and 2.5 years increase in weighted average
railcar age to 7.71 years, in line with the time elapsed since
closing. The unit count decreased by 15 to 6,367 railcars. In
addition, the weighted average lease rate decreased by $85 to $823
per month, while utilization remains high at 98%. Overall
leverage--taking into account the adjusted value of the railcars
and the liquidity facility--for both the senior and subordinate
classes decreased by more than 2% to 73% and 75%, respectively,
indicating the transaction is amortizing faster than the rate at
which the reported value of the portfolio is depreciating.

NP SPE IX LP and NP SPE X LP's portfolio characteristics remained
generally unchanged since their closings in 2019. The net unit
count decreased by four and seven to 3,485 and 8,399 railcars,
respectively. Comparing the recent May 2020 reports against NP SPE
IX LP's September 2019 report and NP SPE X LP's November 2019
report, their utilization rates remain at 99% and 94%,
respectively. The weighted average monthly lease rate for NP SPE IX
LP ticked upward to $684 per month from $682, while NP SPE X LP's
weighted average lease rate saw a decrease by 3% to $747. Since
closing, the senior, class B, and class C leverage decreased by
less than 1% for both trusts.

The class A-1, A-2, A-3, and B-1 notes across all four series have
paid down according to schedule. However, class C-1 of NP SPE X did
not receive interest or scheduled principal on the May 2020 payment
date, largely due to an increase in maintenance expenses for that
month; this does not constitute an event of default under the
transaction documents, as payment of both interest and principal
for this class may be deferred up to the legal final maturity date.
In addition, payments due to class C-1 notes are not considered in
the calculation of the debt service coverage ratio, so the deferral
in and of itself would not trigger an early amortization event for
the transaction. A cash flow analysis indicates that all principal
and interest due on the C-1 notes would be paid before their legal
final maturity date under our 'BB' stress scenarios.

Each transaction benefits from a liquidity facility that covers up
to nine months of interest on the class A and B notes. S&P said,
"We considered the counterparty risks related to the current
liquidity facility provider, Landesbank Hessen-Thueringen
Girozentrale (A/Negative/A-1), and the terms of the liquidity
agreement (in the case of NP SPE II, as replacement to DVB Bank SE,
which was the liquidity provider at the time of closing). Our
ratings on this transaction would generally be capped at 'A (sf)'.
We also considered counterparty risks related to Wilmington Trust
Company (A/Stable/A-1) as the bank account provider; under our
criteria, we consider this counterparty risk to be mitigated."

S&P said, "We considered operational risk related to TILC in its
role as servicer for the transactions. On May 22, 2020, we lowered
our issuer credit rating on TILC's parent company, Trinity
Industries Inc., to BB+ from BBB-. We do not expect that rating
action to affect TILC's ability to perform as servicer."

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. S&P said,
"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."

Despite the extensive and immediate disruption in certain sectors,
the impact of the COVID-19 pandemic has been far less severe on the
railcar leasing markets. However, the increased volatility in the
global oil and gas markets could pressure the utilization and lease
rate of the portfolios, especially on flammable service tank cars
used by petroleum-related businesses.

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 it will take further rating actions
as it deems necessary.

  RATINGS AFFIRMED

  NP SPE II LLC

  Series   Class   Rating
  2016-1   A-1     A (sf)
  2016-1   A-2     A (sf)
  2017-1   A-1     A (sf)
  2017-1   A-2     A (sf)
  2017-1   B-1     BBB (sf)

  NP SPE IX LP

  Series   Class   Rating
  2019-1   A-1     A (sf)
  2019-1   A-2     A (sf)
  2019-1   B-1     BBB (sf)

  NP SPE X LP

  Series   Class   Rating
  2019-2   A-1     A (sf)
  2019-2   A-2     A (sf)
  2019-2   A-3     A (sf)
  2019-2   B-1     BBB (sf)
  2019-2   C-1     BB (sf)


OCP CLO 2020-19: S&P Assigns Prelim BB- (sf) Rating to E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OCP CLO
2020-19 Ltd.'s fixed- and floating-rate notes.

The note issuance is a CLO transaction backed by primarily broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of June 12,
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 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.

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. S&P said,
"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."

  PRELIMINARY RATINGS ASSIGNED

  OCP CLO 2020-19 Ltd.

  Class                     Rating       Amount (mil. $)
  A-1                       AAA (sf)              222.00
  A-2                       AAA (sf)               18.00
  B                         AA (sf)                56.00
  C (deferrable)            A (sf)                 24.00
  D (deferrable)            BBB (sf)               24.00
  E (deferrable)            BB- (sf)               16.00
  Subordinated notes        NR                     35.50

  NR--Not rated.


REALT 2018-1: Fitch Affirms Bsf Rating on Class G Certs
-------------------------------------------------------
Fitch Ratings has affirmed nine classes of Real Estate Asset
Liquidity Trust (REALT), commercial mortgage pass-through
certificates, series 2018-1.

REAL-T 2018-1

  - Class A-1 75585RQE8; LT AAAsf; Affirmed

  - Class A-2 75585RQF5; LT AAAsf; Affirmed

  - Class B 75585RQH1; LT AAsf; Affirmed

  - Class C 75585RQJ7; LT Asf; Affirmed

  - Class D-1 75585RQK4; LT BBBsf; Affirmed

  - Class D-2; LT BBBsf; Affirmed

  - Class E; LT BBB-sf; Affirmed

  - Class F; LT BBsf; Affirmed

  - Class G; LT Bsf; Affirmed

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Overall pool performance
and loss expectations remain stable. There are no delinquent or
specially serviced loans. Two loans (9.7% of pool) were designated
a Fitch Loans of Concern, including one (7.4%) that was designated
primarily due to exposure to the coronavirus pandemic in the near
term.

Fitch Loans of Concern: The largest FLOC, Gateway Boulevard Retail
Edmonton, secured by an 161,431-sf anchored retail center in
Edmonton, AB, was designated a FLOC due to the property being
anchored by LA Fitness, which leases 28% NRA through January 2030
and the loan being non-recourse to the borrower. Per servicer
updates, the borrower has requested coronavirus relief. As of March
2020, the property was fully occupied, and as of the TTM ended
March 2020, the servicer-reported NOI DSCR was 1.49x. At issuance,
occupancy was 99%, and the servicer-reported NOI DSCR was 1.46x.

Oromocto MF Portfolio (2.3%), secured by a 217-unit multifamily
portfolio in Oromocto, NB, was designated a FLOC due to a decline
in performance. While occupancy continues to remain above 95%, NOI
DSCR declined to 0.97x as of the TTM ended January 2019 from 1.57x
at issuance. Per servicer updates, UW expenses were understated at
loan contribution. Recent financials remain outstanding; however,
the loan is partial recourse to the borrower.

Increasing Credit Enhancement: As of the May 2020 distribution
date, the pool's aggregate balance has been reduced by 10% to
$316.7 million from $351.8 million at issuance. Eleven loans with a
$17.3 balance at disposition have been paid off since issuance.
Based on the loans' scheduled maturity balances, the pool is
expected to amortize 18.7% during the term. There are no
interest-only or partial interest-only loans.

Canadian Loan Attributes and Historical Performance: The ratings
reflect strong historical Canadian commercial real estate loan
performance, including a low delinquency rate and low historical
losses of less than 0.1%, as well as positive loan attributes, such
as short amortization schedules (no interest-only loans), recourse
to the borrower and additional guarantors on many loans. As of May
2020, approximately 60% of the loans in the pool feature either
full or partial recourse to the borrowers, sponsors or additional
guarantors.

Acquired Season Loans: At issuance, 43 loans or 20.7% of the
original pool by cutoff balance were acquired from a large Canadian
financial institution, which were originated between 1991 and 2018.
For many of these seasoned loans, updated third-party reports
(appraisals, environmental and engineering) were not prepared.
Likewise, Fitch was not provided with updated financials or rent
rolls on some of the seasoned loans.

Pool Concentration; Minimal Energy Sector Exposure: The top 10
loans comprise 58.6% of the pool. Two loans (14.3%) are secured by
properties located in Alberta, which has experienced volatility
from the energy sector. Performance of both these loans continues
to remain stable; however, Gateway Boulevard Retail Edmonton (7.4%)
was designated a FLOC due to exposure to the coronavirus pandemic
in the near-term and the loan being non-recourse to the borrower.
Fitch will continue to monitor any loans with energy sector
exposure and revise ratings and/or outlooks, if necessary.

Exposure to the Coronavirus Pandemic: Two loans (4.5%) are secured
by hotel properties, and 12 loans (33.5%) are secured by retail
properties. Performance of these loans continues to remain
relatively stable and many of these loans feature either full or
partial recourse to the borrower. However, as previously mentioned,
Gateway Boulevard Retail Edmonton (7.4%) was designated a FLOC due
to the property being anchored by LA Fitness, which leases 28% NRA
through January 2030 and the loan being non-recourse to the
borrower. Fitch will continue to monitor loans with coronavirus
exposure and will update ratings and/or Outlooks, if necessary.

RATING SENSITIVITIES

The Stable Outlooks on classes A-1 through G reflect the overall
stable performance of the pool and expected continued
amortization.

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

Factors that lead to upgrades would include stable to improved
asset performance coupled with paydown and/or defeasance. Upgrades
of classes B and C would likely occur with significant improvement
in CE and/or defeasance, but increased concentrations and FLOCs
could cause this trend to reverse. Upgrades of classes D-1, D-2 and
E are considered unlikely and would be limited based on sensitivity
to concentrations or the potential for future concentration.
Classes would not be upgraded above 'Asf' if there is a likelihood
for interest shortfalls. Upgrades of classes F and G are not likely
but could 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-1 through F could occur
if additional loans become FLOCs, but any potential losses could be
mitigated by loan recourse provisions

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).


SEQUOIA MORTGAGE 2020-MC1: Fitch to Rate Class B-2 Debt 'B(EXP)'
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Sequoia Mortgage
Trust 2020-MC1.

Sequoia Mortgage Trust 2020-MC1

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

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

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

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

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

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

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

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

TRANSACTION SUMMARY

The certificates are supported by 368 loans with a total balance of
approximately $274.05 million as of the cutoff date. The pool
consists of a mix of seasoned and newly originated prime fixed and
adjustable-rate mortgages acquired by Redwood Residential
Acquisition Corp. (Redwood) from various mortgage originators.
Distributions of principal and interest and loss allocations are
based on a sequential structure. The transaction also benefits from
excess interest that can be used to repay current and prior
realized losses as well as pay down the bonds sequentially.

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): The coronavirus and the
resulting containment efforts have resulted in revisions to Fitch's
GDP estimates for 2020. Fitch's baseline global economic outlook
for U.S. GDP growth is currently a 5.6% decline for 2020, down from
1.7% for 2019. Fitch's downside scenario would see an even larger
decline in output in 2020 and a weaker recovery in 2021. To account
for declining macroeconomic conditions resulting from the
coronavirus, an Economic Risk Factor floor of 2.0 (the ERF is a
default variable in the U.S. RMBS loan loss model) was applied to
'BBBsf' and below.

Payment Forbearance (Mixed): 18% of the borrowers are currently on
a coronavirus payment relief plan. The plans are generally granted
up to a three-month period by the servicer and borrowers will be
counted as delinquent to the extent they do not make their payment;
the servicer or P&I advancing party will not make a distinction
between borrowers on a forbearance plan and will continue to
advance payments on each loan for up to 120 days. Of the 18%
requesting a forbearance plan, roughly 51% continued to make
monthly payment and are current on the mortgage. For the remaining
49% opting in a plan, Fitch treated the loans as delinquent based
on their current contractual payment status.

Mixed Collateral Composition (Mixed): The pool's composition is
different from the traditional profile normally included in
Redwood's 'Select' and 'Choice' loan programs. The current
transaction has a weaker credit profile with an updated Fitch model
FICO of 731 and a base case sLTV of 79.3. Roughly 19% of the pool
is ARM collateral with just under 7% comprising of Interest-Only
loans. The pool is seasoned less than three years in the aggregate
and consists 18% of Non-Qualified Mortgages loans. More than 10% of
the deal is currently delinquent and 9% of the pool is currently
performing but has experienced a delinquency in the past two
years.

Sequential Pay Structure (Positive): Unlike the prior Sequoia
transactions, SEMT 2020-MC1 uses a straight sequential payment
structure as opposed to a shifting interest waterfall. Also, this
transaction does not reduce the amount of interest contractually
due to the bonds reverse sequentially as seen in Redwood's 'Select'
and 'Choice' programs, and the amount due is based entirely on the
class balance and current interest rate. This is four months of
advancing to help provide liquidity as well as the availability of
principal collections to ensure timely interest to the A-1 and A-2
classes as well as to repay interest shortfalls to the most senior
class outstanding. The deal also benefits from a material amount of
excess interest which can be used to repay prior realized losses
and to pay down the bonds sequentially.

Low Operational Risk (Neutral): The operational risk is well
controlled for in this transaction. Redwood is assessed as an
'Above Average' aggregator. The aggregator has a robust sourcing
strategy, and maintains experienced senior management and staff,
strong risk management and corporate governance controls, and a
robust due diligence process. Primary and master servicing
functions will be performed by entities rated 'RPS2-' and 'RMS2+',
respectively.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 86% of loans in the transaction. The
percentage of reviewed loans is less than 100% due to the
percentage of originators that the issuer instead performs a sample
of diligence on; Redwood generally samples loans from these
originators for due diligence as it is an established lender in the
market and has a strong seller relationship with Redwood. However,
the sampling methodology and due diligence review scope is
consistent with Fitch criteria and the results are in line with
prior RMBS issued by Redwood. Fitch applied a credit for the
percentage of loan level due diligence, which reduced the 'AAAsf'
loss expectation by 20 bps.

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

Payment Forbearance Assumptions Due to Coronavirus (Negative): The
outbreak of the coronavirus 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
40% of the pool is delinquent for the first six months of the
transaction 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 as well as the high
percentage of borrowers currently on a forbearance plan and those
having requested a plan. Despite this assumed minimum delinquency,
the bonds are well protected due to both the limited advancing
framework as well as the material amount of excess interest
available to the bonds.

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
one notch 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 7.5%. 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 could lower all rated classes by at least
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 due diligence was performed on 86% of the loans in the
transaction. These loans are comprised of newly originated loans
and seasoned loans greater than 24 months and received a full due
diligence scope that consists of credit, regulatory compliance and
property valuation. While Redwood generally performs 100% full due
diligence review for each originator, the issuer elects to sample
loans from two originators as both companies are established
originators and have strong seller relationships.

Approximately 99% of loans that were reviewed received a final due
diligence grade of 'A' or 'B'. Loans that received a final
compliance grade of 'B' were primarily driven by regulatory
compliance exceptions related to TRID. These exceptions are not
considered material based on guidance from the SFA, or they were
corrected with subsequent post-closing documentation. The credit
and property exceptions are considered nonmaterial due to the
presence of strong compensating factors.

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).


SILVER AIRCRAFT: Fitch Affirms BB Rating on Class C Notes
---------------------------------------------------------
Fitch Ratings has maintained the Rating Watch Negative on all
series of outstanding notes issued by Shenton Aircraft Investment I
Ltd. and affirmed the outstanding ratings of Silver Aircraft Lease
Investment Limited. The Rating Outlook on each series of notes
issued by Silver remains Negative.

Shenton Aircraft Investment I Ltd.

  - Series 2015-1A 82321UAA1; LT Asf; Rating Watch Maintained

  - Series 2015-1B 82321UAB9; LT BBBsf; Rating Watch Maintained

Silver Aircraft Lease Investment Limited

  - Class A 827304AA4; LT Asf; Affirmed

  - Class B 827304AB2; LT BBBsf; Affirmed

  - Class C 827304AC0; LT BBsf; Affirmed

TRANSACTION SUMMARY

The rating actions reflect ongoing deterioration of all airline
lessee credits backing the leases in each transaction pool,
downward pressure on certain aircraft values, Fitch's updated
assumptions and stresses, and resulting impairments to modeled cash
flows and coverage levels.

Fitch maintained the RWN for each tranche in SAIL given modeled
loss coverage levels, which takes into account upcoming elevated
levels of near-term projected maintenance expenses, the transaction
being currently in a rapid amortization event, and modeled
scenarios all resulting in near-term pressure on ratings. Fitch
maintained the RON for each tranche in Silver reflecting Fitch's
base case expectation for the structure to withstand immediate and
near-term stresses at the updated assumptions and stressed
scenarios, commensurate with their respective ratings.

On March 31, 2020, Fitch placed the series A and B notes of SAIL on
RWN, while all series of notes in Silver were put on RON, as a part
of its aviation ABS portfolio review due to the ongoing impact of
the coronavirus on the global macro and travel/airline sectors.
This unprecedented worldwide pandemic continues to evolve rapidly
and negatively affect airlines across the globe.

To reflect its global recessionary environment and the impact on
airlines backing these pools, Fitch updated rating assumptions for
both rated and non-rated airlines with a vast majority of ratings
moving lower, which was a key driver of the rating actions along
with modeled cash flows.

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

BOC Aviation Limited (BOCA, current Issuer Default Rating of
A-/Outlook Stable), a subsidiary of Bank of China (current IDR of
A/Outlook Stable), and certain affiliates are the sellers of the
assets. BOCA Ireland, a subsidiary of BOCA, acts as servicer for
both transactions. Fitch deems the servicer to be adequate to
service ABS based on its experience as a lessor, overall servicing
capabilities and historical ABS performance to date.

KEY RATING DRIVERS

Deteriorating Airline Lessee Credit

The credit profiles of the airline lessees in the pools have
further deteriorated due to the impact of the coronavirus on all
global airlines in 2020, resulting in lower lessee rating
assumptions utilized for this review. The proportion of airline
lessees in the SAIL pool assumed to be at 'CCC' IDR ratings or
lower increased to 68.8% from 17.7% for this review versus the
prior July 2019 review, and for Silver 'CCC' airline ratings
increased to 69.2% from 54.1% since close in July 2019.

For SAIL, 'CCC'-assumed airlines include Asiana Airlines, Bangkok
Airways Public Company, PT Lion Mentari Airlines, Sichuan Airlines,
Tata SIA Airlines Limited, TUI Airways and Xiamen Airlines. For
Silver, these 'CCC' assumed airlines include Cathay Pacific Airways
Limited, InterGlobe Aviation Limited and Spring Airlines Co.
Credits assumed to immediately default (consistent with 'D' IDR
assumption) in this analysis include Virgin Australia and LATAM
Airlines Group S.A. for SAIL, given both airlines have recently
filed for bankruptcy and their high risk of default in the pool.

All airline assumptions reflect their ongoing deteriorating credit
profiles and fleet in the current operating environment, due to the
impact of the coronavirus on the sector. For airlines in
administration/bankruptcy or assumed to immediately default in
Fitch's modeling, narrow-body aircraft were assumed to remain on
ground for three additional months to account for potential
remarketing challenges in placing these aircraft with new lessees
in the current distressed environment.

Asset Quality and Appraised Pool Value

As of the June servicer report, both pools consist of mostly
liquid, mid-life NB aircraft with weighted-average age of 8.8 years
for SAIL and 7.0 years for Silver.

Silver includes two widebody aircraft on lease to Kenya Airways and
Cathay Pacific totaling 32.5%, while SAIL includes four WBs on
lease to Air Canada, Iberia, Sichuan Airlines and Jordan Aviation
totaling 43.5%. WBs typically incur higher repossession,
transition, reconfiguration and maintenance costs. Due to ongoing
market value (MV) pressures for WBs and worsening supply and demand
dynamics for these aircraft, Fitch utilized market values as
opposed to base values for cash flow modeling for Silver. For SAIL,
Fitch was not provided with MVs and therefore applied a 90% market
adjustment factor to BVs of WB aircraft in the pool.

Excluding the 787-8 in Silver, Fitch applied an additional 5%
haircut to all WB aircraft in each pool for this review. This
aligns the Fitch-modeled value to other comparable WB aircraft of
the same vintage, and to account for value softness observed in
certain WB aircraft.

Fitch utilized the average excluding highest of the three most
current appraisal values provided for both transactions. For the
787-8 in Silver, Fitch utilized the lowest of three appraisal
values without taking any additional haircuts to reflect a degree
of conservatism, and still taking into account the newer technology
and expected MV resiliency compared with other WB aircraft in these
pools. This approach resulted in Fitch-modeled values of $524.8
million for SAIL, and $570.7 million for Silver, which are both
notably lower compared to $576.7 million and $608.6 million as
stated in the June 2020 servicer reports, by 6% and 9% for each
pool, respectively.

IBA Group Ltd. and Morten Beyer & Agnew Inc. (mba) are appraisers
in both transactions. BK Associates Inc. is the third appraiser for
SAIL, and Collateral Verifications, LLC for Silver. Both
transactions were last appraised in December 2019.

Transaction Performance to Date

Lease collections and transaction cash flows have trended down in
the recent quarter. SAIL and Silver each received $2.9 million in
rental payments in the May collection period, down notably $6.2
million each in January.

Cash flow for SAIL was able to make partial payment to series A
expected principal in the May collection period, and Silver was
able to make partial payment to series A scheduled principal. The
debt-service coverage ratios remain above the respective cash trap
and early amortization event triggers for Silver, while the DSCR
for SAIL is currently at 0.50x and remains below the rapid
amortization event trigger.

One A321-200 in Silver is off lease, representing 7.1% of the pool.
The aircraft was previously on lease to Interjet with a lease
maturity of September 2028, but was repossessed by the servicer. In
cash flow modeling, Fitch assumed zero collections for three months
in addition to modeled downtime to account for potential difficulty
to re-lease this aircraft in this current environment.

Nearly all lessees across both transactions have requested some
form of payment relief/deferrals, consistent across peer aircraft
ABS pools due to disruptions related to the coronavirus pandemic.
Fitch assumed a standard deferral across all lessees in each pool,
other than lessees known not have been granted deferrals as
specifically provided for SAIL. For modeling purposes, Fitch
assumed three-months of lease deferrals with contractual lease
payments resuming thereafter, plus additional repayment of deferred
amounts over a six-month period.

Elevated maintenance expenses have been reported for SAIL over the
recent months, and consistently held in months three and four of
the maintenance look-forward at approximately $10 million each. As
reported in the May collection period, these amounts were combined
to approximately $20 million and currently anticipated to be due in
three months.

Fitch Modeling Assumptions

Nearly all servicer-driven Fitch assumptions for BOCA are
consistent with prior rating reviews for each transaction. SAIL
assumptions, including remarketing and repossession costs,
extension lease terms and aircraft useful life, were updated to be
consistent with those utilized for Silver, which recently closed in
July 2019. Refer to each transaction's published presale for
further information on these assumptions and stresses.

The lease for one aircraft is expected to end within the next 12
months for SAIL, and four for Silver. For these near-term
maturities, Fitch assumed these NB aircraft will remain on ground
for three additional months on top of lessor-specific remarketing
downtime assumptions to account for potential remarketing
challenges in placing this aircraft with a new lessee in the
current distressed environment.

With the grounding of global fleets and significant reduction in
air travel, maintenance revenue and costs will be affected and are
expected to decline due to airline lessee credit issues and
grounded aircraft. Maintenance revenues were reduced 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. Maintenance costs over the immediate two and six months
were assumed to be incurred as reported for SAIL and Silver,
respectively. Costs in the following month were reduced by 50% and
assumed to increase straight-line to 100% over a 12-month period.
Any deferred costs were incurred in the following 12 months.

RATING SENSITIVITIES

The RWN and RON on all series of notes issued by SAIL and Silver
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. The SAIL
RWN action also relates to the fact that elevated maintenance
expenses may be due in the near term that could place additional
pressure on the transaction at a time when monthly rental
collections are trending below historical average.

At close, Fitch conducted multiple rating sensitivity analyses to
evaluate the impact of changes to a number of the variables in the
analysis. The performance of aircraft operating lease
securitizations is affected by various factors, which in turn,
could have an impact on the assigned ratings. Due to the
correlation between global economic conditions and the
travel/airline industries, the ratings can be affected by the
strength of the global macro-environment over the remaining term of
this transaction.

In the initial rating analysis, Fitch found the transactions to
exhibit sensitivity to the timing and severity of assumed
recessions. Fitch also found that greater default probability of
the leases has a material impact on the ratings. Furthermore, the
timing and degree of technological advancement in the commercial
aviation space, and the resulting impact on aircraft values, lease
rates and utilization would have a moderate impact on the ratings.

Factors that Could, Individually or Collectively, Lead to a
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 lower 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 transactions could perform
better than expected.

At this point, future upgrades beyond current ratings would not be
considered due to a combination of the sector rating cap, industry
cyclicality, weaker lessee mix present in ABS pools and uncertainty
around future lessee mix, along with the negative impact due to the
coronavirus on the global travel/airline sectors and, ultimately,
ABS transactions.

In this "Up" scenario, RV recoveries at time of sale are assumed to
be 70% of their depreciated MVs, higher than the base case scenario
of 50% for certain aircraft. Net cash flow increases by
approximately $31 million and $32 million at the 'Asf' rating
category for SAIL and Silver. The series A and B notes in both
transactions are able to pay in full under the 'Asf' rating stress
level.

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

Down: Base Assumptions with 10% Weaker WB Values

The pools contain fairly large concentrations of WB aircraft at 43%
and 32% for SAIL and Silver, respectively. Further softening in
these aircraft values beyond current expectation could lead to
further downward rating action. Due to continuing MV pressure on WB
aircraft and worsening supply and demand dynamics, Fitch explored
the potential cash flow decline if WB values were reduced further
by 10% of Fitch's modeled values.

For SAIL, net cash flow declines by approximately $6.6 million at
the 'Asf' rating stress level, the series A and B notes are able to
pass at 'Asf' and 'BBBsf', respectively. For Silver, net cash flow
declines by $13.2 million at the 'Asf' rating stress level, and
series A and B notes are able to pass at 'Asf', while series C
notes are able to pass at 'BBBsf'.

Down: Base Assumptions with 10% Weaker WB Values and Default of
Kenya Airways

For Silver, considering the high concentration of contracted cash
flow coming from the 787-8 aircraft on lease to Kenya Airways,
Fitch ran a sensitivity scenario to assess the impact on the
transaction should the airline default. This is layered on top of
the 10% WB value stress. Under this scenario, the airline was
assumed to default immediately, and an additional six months of
downtime was added.

Net cash flow declines by $32.5 million at the 'Asf' rating
category, and the series A and B notes remain able to pass at 'Asf'
and the series C notes pass at 'BBsf'.

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
SAIL, net cash flow declines by approximately $4.5 million at the
'Asf' rating category, and the series A and B notes are able to
pass at 'Asf' and 'BBBsf', respectively. For Silver, net cash flow
declines by $1.9 million at the 'Asf' rating category. The series A
and B notes are able to pass under the 'Asf' rating stress level,
and the series C notes are able to pass under the 'BBBsf' level.

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).


TOWD POINT 2019-MH1: DBRS Assigns B Rating to 5 Tranches
--------------------------------------------------------
DBRS, Inc. assigned ratings to the following Asset-Backed
Securities, Series 2019-MH1 (the Notes) issued by Towd Point
Mortgage Trust 2019-MH1 (TPMT 2019-MH1):

-- $257.4 million Class A1 at AAA (sf)
-- $32.0 million Class A2 at AA (high) (sf)
-- $29.0 million Class M1 at A (sf)
-- $24.4 million Class M2 at BBB (sf)
-- $26.9 million Class B1 at BB (sf)
-- $15.2 million Class B2 at B (sf)
-- $21.4 million Class B3 at B (low) (sf)
-- $257.4 million Class A1A at AAA (sf)
-- $257.4 million Class A1AX at AAA (sf)
-- $32.0 million Class A2A at AA (high) (sf)
-- $32.0 million Class A2AX at AA (high) (sf)
-- $32.0 million Class A2B at AA (high) (sf)
-- $32.0million Class A2BX at AA (high) (sf)
-- $29.0 million Class M1A at A (sf)
-- $29.0 million Class M1AX at A (sf)
-- $29.0 million Class M1B at A (sf)
-- $29.0 million Class M1BX at A (sf)
-- $33.3 million Class M2A at BBB (sf)
-- $33.3 million Class M2AX at BBB (sf)
-- $33.3 million Class M2B at BBB (sf)
-- $33.3 million Class M2BX at BBB (sf)
-- $26.9 million Class B1A at BB (sf)
-- $26.9 million Class B1AX at BB (sf)
-- $26.9 million Class B1B at BB (sf)
-- $26.9 million Class B1BX at BB (sf)
-- $15.2 million Class B2A at B (sf)
-- $15.2 million Class B2AX at B (sf)
-- $15.2 million Class B2B at B (sf)
-- $15.2 million Class B2BX at B (sf)
-- $21.4 million Class B3A at B (low) (sf)
-- $21.4 million Class B3AX at B (low) (sf)
-- $21.4 million Class B3B at B (low) (sf)
-- $21.4 million Class B3BX at B (low) (sf)
-- $289.4 million Class A3 at AA (high) (sf)
-- $318.4 million Class A4 at A (sf)
-- $342.8 million Class A5 at BBB (sf)

Classes A1AX, A2AX, A2BX, M1AX, M1BX, M2AX, M2BX, B1AX, B1BX, B2AX,
B2BX, B3AX, and B3BX are interest-only notes. The class balances
represent notional amounts.

Classes A3, A4, A5, A1A, A1AX, A2A, A2AX, A2B, A2BX, M1A, M1AX,
M1B, M1BX, M2A, M2AX, M2B, M2BX, B1A, B1AX, B1B, B1BX, B2A, B2AX,
B2B, B2BX, B3A, B3AX, B3B, and B3BX are exchangeable notes. These
classes can be exchanged for combinations of exchange notes as
specified in the offering documents.

The AAA (sf) ratings on the Notes reflect 42.64% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), A (sf), BBB (sf), BB (sf), B (sf), and B (low) (sf) ratings
reflect 35.51%, 29.06%, 23.63%, 17.63%, 14.24%, and 9.48% of credit
enhancement, respectively, as of May 25, 2020.

These securities are currently also rated by DBRS, Inc.'s
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these securities Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about June 26, 2020. In accordance
with MCR's engagement letter covering these securities, upon
withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

The TPMT 2019-MH1 transaction is classified as a seasoned
manufactured housing transaction.

DBRS Morningstar performed the following rating analysis on the
transaction:

-- Loan-level default probability, loss severity, and expected
    loss review;

-- Cash flow analysis to evaluate the form and sufficiency of
    available credit enhancement;

-- Historical performance analysis as reflected in delinquencies,
    cumulative losses, and constant prepayment rates;

-- Third-party due diligence sample size review; and

-- Representations and warranties (R&W) framework review.

POOL EXPECTED LOSSES

DBRS Morningstar used its proprietary RMBS Insight 1.3 model to
derive probabilities of default (PODs), loss severities, and
expected losses for this transaction. DBRS Morningstar recalculated
or remapped certain collateral attributes in its analysis. The
PODs, loss severities, and expected losses for the transaction are
generally stepped up from the raw model results.

CASH FLOW ANALYSIS

DBRS Morningstar performed a structural analysis that encompassed
18 cash flow stress, which focused on prepayment speeds, timing of
losses, and interest rate stresses.

OPERATIONAL RISK REVIEW

Given the significant seasoning of the loans, DBRS Morningstar did
not perform originator reviews to evaluate the TPMT 2019-MH1 pool.
In accordance with its residential mortgage-backed security (RMBS)
rating methodology, for seasoned transactions, DBRS Morningstar
generally does not conduct an originator review as DBRS Morningstar
believes that the performance history of the loans is more
indicative of credit risk than the dated origination and
underwriting practices. Moreover, some of the originators active
from the pre-crisis era may have exited the business and those who
continue to originate may have significantly changed their
practices and controls over time. DBRS Morningstar believes that
origination risks should have manifested in deal performance over
time and are therefore captured through the seasoned
characteristics in its RMBS Insight model.

Southwest Stage Funding, LLC, doing business as Cascade Financial
Services (Cascade or the Company), is the servicer of 100% of the
loans in this transaction. DBRS Morningstar performed a phone
review of Cascade's servicing platform and believes the Company is
an acceptable mortgage loan servicer. The transaction also benefits
from Select Portfolio Servicing, Inc. as the backup servicer.

HISTORICAL PERFORMANCE

DBRS Morningstar reviewed the historical performance of the
transaction as reflected in delinquencies, cumulative losses, and
voluntary prepayments. The transaction's performance has remained
satisfactory as credit enhancement levels have increased for all
rated bonds while voluntary prepayment rates have remained steady,
serious delinquency rates have remained stable, and realized losses
have been contained at about 1.02% of the original balance as of
May 25, 2020.

THIRD-PARTY DUE DILIGENCE

DBRS Morningstar reviewed the sample size for each of the due
diligence review categories, including regulatory compliance, data
capture, payment histories, and title and tax review. The sample
sizes in the transactions met DBRS Morningstar's due diligence
criteria. DBRS Morningstar did not review the loan-level due
diligence findings for the transaction; rather, it relied on the
analysis MCR performed when it initially assigned ratings to the
transactions on or prior to the closing date as well as the
transaction's satisfactory performance to date.

R&W FRAMEWORK

The transaction employs a relatively weak R&W framework that
includes an unrated representation provider (FirstKey Mortgage, LLC
or FirstKey), a trigger review event that may result in the review
of potential breaches of R&Ws at a much later date, certain
knowledge qualifiers, certain carveouts, and fewer mortgage loan
representations relative to DBRS Morningstar criteria for seasoned
pools. Also, the R&W provider is not obligated to cure or
repurchase a loan if the breach notice is provided on or after the
Sunset Date, which is the payment date in October 2020. Mitigating
factors include the following:

-- The portfolio has had significant loan seasoning and relatively
clean performance history in the recent past.

-- Third-party due diligence was performed on a sample of the
portfolio that meets the DBRS Morningstar threshold outlined in its
criteria with respect to regulatory compliance, data capture,
payment histories, and title and tax review.

-- A breach reserve account will be available to satisfy losses
related to potential R&W breaches on or after the R&W Sunset Date,
or if FirstKey becomes insolvent or fails to fulfill its
obligations to remedy a breach prior to the R&W Sunset Date. Such a
reserve account will gradually build up to a target amount using
excess servicing amounts otherwise payable to Class XS2.

-- The transaction includes the loan charge-off provision, which
hastens the loss recognition and might accelerate the occurrence of
the R&W breach reviews by advancing the Threshold Event, which is
the first payment date when, the sum of cumulative realized losses
exceeds the of aggregate note amount of Class B-3, B-4, and B-5
Notes on the closing date.

-- The holders of 50% or more of the Notes can put forth an R&W
breach review prior to a Threshold Event. Disputes are ultimately
subject to a determination made in a related binding arbitration
proceeding.

OTHER REVIEWS

DBRS Morningstar notes that MCR performed legal analysis, which
included but was not limited to legal opinions and various
transaction documents, as part of its process of assigning ratings
to this transaction on or prior to the closing date. For the
purpose of assigning new ratings to the transactions, DBRS
Morningstar did not perform additional document reviews unless
otherwise indicated in this press release.

CORONAVIRUS DISEASE (COVID-19) ANALYSIS

The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. DBRS
Morningstar anticipates that delinquencies may continue to rise in
the coming months for many RMBS asset classes, some meaningfully.

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 "Global Macroeconomic Scenarios: June Update,"
published on June 1, 2020), for this transaction, DBRS Morningstar
applied more severe market value decline (MVD) assumptions across
all rating categories than what it previously used. DBRS
Morningstar derives such MVD assumptions through a fundamental home
price approach based on the forecasted unemployment rates and GDP
growth outlined 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.

SUMMARY

The ratings are a result of DBRS Morningstar's application of the
"RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities
Model and Rating Methodology" published on April 1, 2020, unless
otherwise indicated in this press release.

DBRS Morningstar's ratings in the highest and second-highest rating
categories address the timely payment of interest and full payment
of principal by the legal final maturity date in accordance with
the terms and conditions of the related securities. For all other
ratings, DBRS Morningstar's ratings address the ultimate payment of
interest and full payment of principal by the legal final maturity
date in accordance with the terms and conditions of the related
securities.

The ratings DBRS Morningstar assigned to certain securities may
differ from the ratings implied by the quantitative model, but no
such difference constitutes a material deviation. When assigning
the ratings, DBRS Morningstar takes into account the rating
analysis detailed in this press release and may have made
qualitative adjustments for the analytical considerations that are
not fully captured by the quantitative model.

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


TRINITAS CLO VII: Moody's Cuts Rating on Class E Notes to B1
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Trinitas CLO VII, Ltd.:

US$34,800,000 Class C Deferrable Floating Rate Notes Due January
2031, Downgraded to A3 (sf); previously on December 22, 2017
Assigned to A2 (sf)

US$34,200,000 Class D Deferrable Floating Rate Notes Due January
2031, Downgraded to Ba1 (sf); previously on April 17, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

US$27,000,000 Class E Deferrable Floating Rate Notes Due January
2031, Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D and Class E notes. The CLO, issued in
December 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 on July 2022.

RATINGS RATIONALE

The downgrades on the Class C, D and E 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, and exposure to Caa-rated assets has
increased significantly.

Based on Moody's calculation, the weighted average rating factor
(WARF) is 3446 as of May 2020 compared to 2978 reported in the
March 2020 trustee report [1]. Moody's notes that currently
approximately 28.9% and 6.1% 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 18.7% as of May 2020.
Furthermore, Moody's calculated total collateral par balance,
including recoveries from defaulted securities, is at $586 million,
or $14 million less than the deal's ramp-up target par balance and
based on the trustee's May 2020 report[2], the Interest Diversion
Test level, which is equivalent to the Class E
over-collateralization (OC) ratio, is at 104.13% breaching the
trigger level of 104.60%. Finally, Moody's also considered
manager's investment decisions and trading strategies. Moody's
notes that it also considered the information in the June 2020
trustee report [3] which became available immediately prior to the
release of this announcement.

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 portfolio par of
$577.1 million, defaulted par of $16.0 million, a weighted average
default probability of 28.60% (implying a WARF of 3446), a weighted
average recovery rate upon default of 47.51%, a diversity score of
76 and a weighted average spread of 3.5%. Moody's also analyzed the
CLO by incorporating an approximately 9.7 million par haircuts 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.

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


UNITED AUTO 2020-1: S&P Assigns Prelim B (sf) Rating to F Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to United Auto
Credit Securitization Trust 2020-1's automobile receivables-backed
notes series 2020-1.

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

The preliminary ratings are based on information as of June 17,
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 61.06%, 53.14%, 43.66%,
34.68%, 29.56%, and 27.81% (pre-haircut) credit support for the
class A, B, C, D, E, and F notes, respectively, based on stressed
break-even cash flow scenarios (including excess spread). These
credit support levels provide coverage of approximately 2.65x,
2.25x,1.85x, 1.42x, 1.25x, and 1.10x S&P's expected net loss range
of 22.25%-23.25%for the class A, B, C, D, E, and F notes,
respectively.

-- The likelihood of timely interest and principal payments by the
assumed legal final maturity dates under stressed cash flow
modeling scenarios that are appropriate for the assigned
preliminary ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, our ratings will be within the
limits specified by our credit stability criteria.

-- Credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.

-- The collateral characteristics of the subprime pool being
securitized. It is approximately six months seasoned, with a
weighted-average original term of approximately 47 months and an
average remaining term of about 41 months. As a result, S&P expects
that the pool will pay down more quickly than many other subprime
pools that are usually characterized by longer weighted-average
original and remaining terms.

-- S&P's analysis of nine years of static pool data following the
credit crisis and after United Auto Credit Corp. (UACC) centralized
its operations and shifted toward shorter loan terms.

-- S&P also reviewed the performance of UACC's three outstanding
securitizations as well as its paid off securitizations. UACC's
more than 20-year history of originating, underwriting, and
servicing subprime auto loans.

-- The transaction's payment and legal structures.

  PRELIMINARY RATINGS ASSIGNED
  United Auto Credit Securitization Trust 2020-1  

  Class     Rating(i)       Amount (mil. $)
  A         AAA (sf)                 116.42
  B         AA (sf)                   32.78
  C         A (sf)                    32.78
  D         BBB (sf)                  31.45
  E         BB (sf)                   18.73
  F         B (sf)                     7.36

(i)The rating on each class of securities is preliminary and
subject to change at any time.



WAMU COMMERCIAL 2007-SL2: Fitch Hikes Class E Certs to 'BBsf'
-------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed eight classes of WaMu
Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates, series 2007-SL2.

WaMu Commercial Mortgage Securities Trust 2007-SL2

  - Class C 933632AE1; LT AAAsf; Affirmed

  - Class D 933632AF8; LT AAsf; Upgrade

  - Class E 933632AG6; LT BBsf; Upgrade

  - Class F 933632AH4; LT CCCsf; Affirmed

  - Class G 933632AJ0; LT Dsf; Affirmed

  - Class H 933632AK7; LT Dsf; Affirmed

  - Class J 933632AL5; LT Dsf; Affirmed

  - Class K 933632AM3; LT Dsf; Affirmed

  - Class L 933632AN1; LT Dsf; Affirmed

  - Class M 933632AP6; LT Dsf; Affirmed

KEY RATING DRIVERS

Increased Credit Enhancement: The upgrades to classes D and E
reflect the increased credit enhancement from loans repaying during
their open prepayment period and the expectation that class D will
be in the first pay position within the next year. Given that 100%
of the pool is currently past the lockout period and can prepay
without penalty, additional paydown and increased CE is possible.
Since Fitch's prior rating action, six loans (accounting for 9.5%
of the pool with an aggregate balance at the last rating action of
$5.1 million) have been repaid.

As of the May 2020 distribution date, the pool's aggregate
principal balance has been paid down by 94.6% to $45.5 million from
$842.1 million at issuance. No loans are defeased. One loan (1.2%
of the current pool balance) is in special servicing, and 13 loans
(22.2%) have been designated as Fitch Loans of Concern (FLOCs) due
to performance declines. Interest shortfalls are currently
affecting classes G through N.

Stable Loss Expectations: Loss expectations for the pool remain
stable in comparison to Fitch's prior rating action. The weighted
average Fitch LTV for the pool declined to 105.8% from 111.9% at
the prior rating action, and the total number of loans modeling
losses declined due to improvements in cash flow and occupancy.
Additionally, 59 loans (77.1%) are 100% recourse to the borrower.

Alternative Loss Considerations: Fitch applied a sensitivity
scenario where a 100% loss was modeled on the current balances of
the five largest remaining loans in the pool. The upgrade to
classes D and E reflects this sensitivity scenario.

Pool Concentration: The pool consists entirely of small balance
loans which traditionally have high loss severities. Fitch utilized
conservative cap rate, constant and cash flow scenarios for
performing loans to mitigate concerns regarding the pool's
concentration and collateral quality. Loans secured by multifamily
properties account for 86.1% of the pool and mixed-use properties
with a multifamily component account for the remaining 13.9%. 48.3%
of the remaining pool is collateralized by loans in major
metropolitan areas including New York City (15.6%), Los Angeles
(19.6%), and Chicago (13.1%).

Extended Maturity Profile: 95.7% of the pool does not mature until
2036, which could result in performance issues due to future
economic volatility. However, none of the loans have prepayment
restrictions. All remaining loans in the pool are adjustable rate
mortgages with floating interest rates leaving borrowers exposed to
interest rate volatility in the future. Given the collateral
concentration in primary markets where property values have risen
and continued amortization of the remaining loans, it is likely
that most borrowers have enough equity to be able to refinance.
While the majority of these loans are fully amortizing (76.5%),
scheduled monthly principal is limited due to the loans amortizing
over a 30-year schedule.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus pandemic may have an adverse impact on near-term
revenues, such as bad debt expense, as well as operating expenses,
such as 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
coronavirus pandemic and to what degree fiscal interventions by the
U.S. government are able to mitigate the impact on consumers.

RATING SENSITIVITIES

The Positive Outlooks on classes D and E reflect the high CE, which
has improved year over year due to loan prepayments and
amortization. The Stable Outlooks reflect the overall stable
performance of the pool and expected continued amortization.

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

Factors that lead to upgrades would include stable to improved
asset performance coupled with paydown from unscheduled prepayments
and/or defeasance. The upgrade of classes D may occur with further
improvement in CE or defeasance but would be limited should the
deal be susceptible to refinance issues or increased concentration
whereby the underperformance of FLOCs could cause this trend to
reverse. An upgrade to class E 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 is a likelihood for
interest shortfalls. An upgrade to class F is not likely until the
later years in a transaction and only if the performance of the
remaining pool is stable and/or if there is sufficient credit
enhancement, which would likely occur if class G is not eroded and
the senior classes payoff.

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 or the transfer of loans to
special servicing. Downgrades to classes C and D are not likely due
to the position in the capital structure and the high credit
enhancement but may occur should interest shortfalls occur.
Downgrades to class C are considered to be extremely unlikely as
this class is expected to be paid in full from amortization within
the year. Downgrades to class E would occur should loss
expectations increase due to an increase in specially serviced
loans. Downgrades to class F would occur as losses are realized.

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 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).


WELLS FARGO 2016-LC24: Fitch Affirms BB- Rating on 2 Tranches
-------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Wells Fargo Commercial
Mortgage Trust 2016-LC24 Commercial Mortgage Pass-Through
Certificates.

WFCM 2016-LC24

  - Class A-2 95000HBD3; LT AAAsf; Affirmed

  - Class A-3 95000HBE1; LT AAAsf; Affirmed

  - Class A-4 95000HBF8; LT AAAsf; Affirmed

  - Class A-S 95000HBH4; LT AAAsf; Affirmed

  - Class A-SB 95000HBG6; LT AAAsf; Affirmed

  - Class B 95000HBL5; LT AA-sf; Affirmed

  - Class C 95000HBM3; LT A-sf; Affirmed

  - Class D 95000HAL6; LT BBB-sf; Affirmed

  - Class E 95000HAN2; LT BB+sf; Affirmed

  - Class F 95000HAQ5; LT BB-sf; Affirmed

  - Class X-A 95000HBJ0; LT AAAsf; Affirmed

  - Class X-B 95000HBK7; LT AA-sf; Affirmed

  - Class X-D 95000HAA0; LT BBB-sf; Affirmed

  - Class X-EF 95000HAC6; LT BB-sf; Affirmed

KEY RATING DRIVERS

Slight Increase in Loss Expectations / Fitch Loans of Concern:
While the majority of the pool maintains stable performance, loss
expectations on the pool have increased due to the eight Fitch
Loans of Concern (FLOCs, 11.2% of the pool) and the projected
impact of the coronavirus pandemic on the pool. The affirmations
reflect the class' sufficient credit enhancement, which help offset
Fitch's higher loss expectations.

The largest FLOC is the Central Park Retail loan (6.6% of the
pool), which is secured by a 441,000-sf enclosed anchored retail
center located in Fredericksburg, VA. The property is considered
the dominant retail center in Fredericksburg and the largest
tenants are Hobby Lobby (12% of NRA), Office Depot (7%) and QRC
Technologies (7%). Non collateral anchors include Target, Walmart,
Lowes, and PetSmart. As of YE 2019, the servicer reported NOI DSCR
was 1.44x with an occupancy of 94%. Several non-essential tenants
were temporarily closed during the coronavirus pandemic; Virginia
has begun a phased re-opening. According to servicer updates, the
loan transferred to special servicing in June 2020. The borrower is
currently in negotiations regarding a potential forbearance. Fitch
will continue to monitor the resolution/negotiation.

The next largest FLOC is the One and Two Corporate Plaza loan
(1.9%), which is secured by a 276,000-sf suburban office property
located in Houston, TX. The tenancy is granular with the largest
tenant comprising only 11% of the NRA. The loan has been designated
as a FLOC due to a decline in occupancy. As of the March 2020 rent
roll, the property was 71% occupied compared to 93% at issuance.
The servicer reported NOI DSCR was 1.55x. Per Reis (1Q20), the
submarket had a vacancy rate of 23%.

Three hotel loans have been designated as FLOC due to being 30 days
delinquent (combined 2.1%). The hotels, which are located in
Raleigh, NC, Beufort, SC and Austin, TX, are likely suffering cash
flow issues related to the ongoing pandemic. Fitch will monitor
these loans going forward.

The remaining three FLOCs combine for 0.7% of the pool balance and
are designated as FLOC for reasons including, low DSCRs and
occupancy declines.

Minimal Change to Credit Enhancement: As of the May 2020
distribution date, the pool's aggregate balance has been paid down
by 5.3% to $998 million from $1.05 billion at issuance. Based on
the scheduled balance at maturity, the pool will pay down by 12.9%,
which is above historical averages for similar vintages. Fifteen
loans (16.7%) are full term interest-only, while only three loans
(7.5%) remain in their partial IO periods. There are seven ARD
loans, which comprise 7.5% of the pool balance.

Coronavirus Impact: Fitch expects significant economic impacts to
certain hotels, and retail and multifamily properties from the
coronavirus pandemic due to the recent and sudden reductions in
travel and tourism, temporary property closures and lack of clarity
at this time on the potential duration of the impacts. The pandemic
prompted the closure of several hotel properties in gateway cities,
as well as malls, entertainment venues and individual stores.
Retail and Hotel properties comprise 23.7% and 13.3 of the pool
balance, respectively.

Co-Op Collateral: The pool contains 14 loans (6.2%) secured by
multifamily co-ops. Thirteen of the co-ops in this transaction are
located within the greater New York City metro area, with the
remaining one in Washington, D.C.

RATING SENSITIVITIES

The Stable Outlooks reflect the sufficient class credit enhancement
relative to expected losses.

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

  -- Stable to improved asset performance, coupled with additional
pay-down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf'
rated classes would likely occur with significant improvement in
credit enhancement and/or defeasance; however, adverse selection
and increased concentrations, or the underperformance of the FLOCs,
could cause this trend to reverse.

  -- Upgrades to the 'BBB-sf' and below-rated classes are
considered unlikely and would be limited based on sensitivity to
concentrations or the potential for future concentrations. Classes
would not be upgraded above 'Asf' if there is a likelihood of
interest shortfalls. An upgrade to the 'BBsf' 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 credit enhancement, 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:

  -- An increase in pool level losses due to underperforming or
specially serviced loans.

Downgrades to the senior classes, rated 'AA-sf' through 'AAAsf',
are not likely due to their position in the capital structure and
the high credit enhancement; however, downgrades to these classes
may occur 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.

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).


WELLS FARGO 2020-2: DBRS Assigns B(low) Rating on Class B-5 Certs
-----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2020-2 (the
Certificates) to be issued by Wells Fargo Mortgage Backed
Securities 2020-2 Trust (WFMBS 2020-2):

-- $406.4 million Class A-1 at AAA (sf)
-- $406.4 million Class A-2 at AAA (sf)
-- $304.8 million Class A-3 at AAA (sf)
-- $304.8 million Class A-4 at AAA (sf)
-- $101.6 million Class A-5 at AAA (sf)
-- $101.6 million Class A-6 at AAA (sf)
-- $243.8 million Class A-7 at AAA (sf)
-- $243.8 million Class A-8 at AAA (sf)
-- $162.6 million Class A-9 at AAA (sf)
-- $162.6 million Class A-10 at AAA (sf)
-- $61.0 million Class A-11 at AAA (sf)
-- $61.0 million Class A-12 at AAA (sf)
-- $66.0 million Class A-13 at AAA (sf)
-- $66.0 million Class A-14 at AAA (sf)
-- $35.6 million Class A-15 at AAA (sf)
-- $35.6 million Class A-16 at AAA (sf)
-- $47.8 million Class A-17 at AAA (sf)
-- $47.8 million Class A-18 at AAA (sf)
-- $454.2 million Class A-19 at AAA (sf)
-- $454.2 million Class A-20 at AAA (sf)
-- $454.2 million Class A-IO1 at AAA (sf)
-- $406.4 million Class A-IO2 at AAA (sf)
-- $304.8 million Class A-IO3 at AAA (sf)
-- $101.6 million Class A-IO4 at AAA (sf)
-- $243.8 million Class A-IO5 at AAA (sf)
-- $162.6 million Class A-IO6 at AAA (sf)
-- $61.0 million Class A-IO7 at AAA (sf)
-- $66.0 million Class A-IO8 at AAA (sf)
-- $35.6 million Class A-IO9 at AAA (sf)
-- $47.8 million Class A-IO10 at AAA (sf)
-- $454.2 million Class A-IO11 at AAA (sf)
-- $7.9 million Class B-1 at AA (sf)
-- $9.1 million Class B-2 at A (low) (sf)
-- $2.9 million Class B-3 at BBB (sf)
-- $1.4 million Class B-4 at BB (sf)
-- $717.0 thousand Class B-5 at B (low) (sf)

Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8,
A-IO9, A-IO10, and A-IO11 are interest-only certificates. The class
balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-9, A-10, A-11, A-13,
A-15, A-17, A-19, A-20, A-IO2, A-IO3, A-IO4, A-IO6, and A-IO11 are
exchangeable certificates. These classes can be exchanged for
combinations of initial exchangeable certificates as specified in
the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, and A-16 are super-senior certificates.
These classes benefit from additional protection from senior
support certificates (Classes A-17 and A-18) with respect to loss
allocation.

The AAA (sf) ratings on the Certificates reflect 5.00% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(low) (sf), BBB (sf), BB (sf), and B (low) (sf) ratings reflect
3.35%, 1.45%, 0.85%, 0.55%, and 0.40% of credit enhancement,
respectively.

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

WFMBS 2020-2 is a securitization of a portfolio of first-lien
fixed-rate prime residential mortgages funded by the issuance of
the Certificates. The Certificates are backed by 556 loans with a
total principal balance of $478,122,716 as of the Cut-Off Date
(June 1, 2020).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average (WA) loan age of six months. All of the mortgage
loans were originated by Wells Fargo Bank, N.A. (Wells Fargo; rated
AA/R-1 (high) with Negative trends by DBRS Morningstar) or were
acquired by Wells Fargo from its qualified correspondents. In
addition, Wells Fargo is the Servicer of the mortgage loans, as
well as the Mortgage Loan Seller and Sponsor of the transaction.
Wells Fargo will also act as the Master Servicer, Securities
Administrator, and Custodian.

Wilmington Savings Fund Society, FSB will serve as Trustee. Opus
Capital Markets Consultants, LLC will act as the Representation and
Warranty (R&W) Reviewer.

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

As of the Cut-Off Date, there are no loans that have entered a
Coronavirus Disease (COVID-19)-related forbearance plan with the
Servicer. Any loans that enter into a coronavirus-related
forbearance plan after the Cut-Off Date and prior to or on the
Closing Date will be repurchased within 45 days of the Closing
Date. Loans that enter a coronavirus-related forbearance plan after
the Closing Date will remain in the pool.

CORONAVIRUS PANDEMIC IMPACT

The coronavirus pandemic and the resulting isolation measures have
caused an economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. DBRS
Morningstar anticipates that delinquencies may continue to rise in
the coming months for many residential mortgage-backed security
(RMBS) asset classes, some meaningfully.

The prime mortgage sector is a traditional RMBS asset class that
consists of securitizations backed by pools of residential home
loans originated to borrowers with prime credit. Generally, these
borrowers have decent FICO scores, reasonable equity, and robust
income and liquid reserves.

As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies, 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 "Global Macroeconomic Scenarios: June Update,"
published on June 1, 2020), for the prime 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 outlined 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 prime asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes that this sector should have low
intrinsic credit risk. Within the prime asset class, loans
originated to (1) self-employed borrowers or (2) higher
loan-to-value ratio (LTV) borrowers may be more sensitive to
economic hardships resulting from higher unemployment rates and
lower incomes. Self-employed borrowers are potentially exposed to
more volatile income sources, which could lead to reduced cash
flows generated from their businesses. Higher LTV borrowers, with
lower equity in their properties, generally have fewer refinance
opportunities and therefore slower prepayments. In addition,
certain pools with elevated geographic concentrations in densely
populated urban metropolitan statistical areas may experience
additional stress from extended lockdown periods and the slowdown
of the economy.

The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers, financial
strength of the counterparties, satisfactory third-party
due-diligence review, structural enhancements, and 100% current
loans.

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

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


WESTLAKE AUTOMOBILE 2020-2: DBRS Assigns Prov. BB Rating on E Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Westlake Automobile Receivables Trust 2020-2
(Westlake 2020-2 or the Issuer):

-- $140,000,000 Class A-1 Notes at R-1 (high) (sf)
-- Class A-2-A Notes* at AAA (sf)
-- Class A-2-B Notes* at AAA (sf)
-- $71,740,000 Class B Notes at AA (sf)
-- $89,130,000 Class C Notes at A (sf)
-- $73,900,000 Class D Notes at BBB (sf)
-- $54,330,000 Class E Notes at BB (sf)

* The combination of Classes A-2-A and A-2-B is expected to equal
$370.90 million.

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

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

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

-- DBRS Morningstar's projected CNL assumption includes an
assessment of how collateral performance could deteriorate because
of macroeconomic stresses related to the Coronavirus Disease
(COVID-19) pandemic.

-- The transaction assumptions include an increase to the expected
loss. This assessment was guided by DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its "Global Macroeconomic Scenarios: June
Update" commentary published on June 1, 2020. DBRS Morningstar
applied transaction stresses in consideration of its moderate
scenarios in addition to observed performance during the 2008–09
financial crisis and the possible impact of the stimulus from the
Coronavirus Aid, Relief, and Economic Security Act. In the moderate
scenario for the United States, DBRS Morningstar anticipates that
containment of the coronavirus will begin during Q2 2020, resulting
in a gradual relaxation of stay-at-home measures and nonessential
business closures and allowing a gradual economic recovery to begin
starting in Q3 2020.

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

The consistent operational history of Westlake Services, LLC
(Westlake or the Company) and the strength of the overall Company
and its management team.

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

The capabilities of Westlake with regard to originations,
underwriting, and servicing.

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

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

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

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

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

DISCONTINUATION OF LIBOR

-- The Westlake 2020-2 transaction documents include provisions
based on the recommended contractual fallback language for
U.S.-dollar Libor-denominated securitizations published by the
Federal Reserve's Alternative Reference Rates Committee (ARRC) on
May 31, 2019.

-- In the event that the Libor-denominated Class A-2-B Notes are
issued and Libor is discontinued, the Class A-2-B Notes will be
allowed to transition to the ARRC's recommended alternative
reference rate (which is the Secured Overnight Financing Rate
(SOFR)).

-- DBRS Morningstar assumes that because the sum of the new
benchmark replacement rate and the benchmark replacement adjustment
(as further defined in the transaction documents) is intended to be
a direct replacement for Libor, the contemplation of SOFR as a
benchmark replacement rate is not a material deviation from the
framework provided under the "Interest Rate Stresses for U.S.
Structured Finance Transactions" and related methodologies.

-- Document provisions will provide for prior notification to DBRS
Morningstar of any subsequent change to the benchmark.

The collateral securing the notes consists entirely of a pool of
retail automobile contracts secured by predominantly used vehicles
that typically have high mileage. The loans are primarily made to
obligors who are categorized as subprime, largely because of their
credit history and credit scores.

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

The ratings on the Class A-1, A-2-A, and A-2-B Notes reflect 42.75%
of initial hard credit enhancement provided by subordinated notes
in the pool (33.25%), the reserve account (1.50%), and OC (8.00%).
The ratings on the Class B, Class C, Class D, and Class E Notes
reflect 34.50%, 24.25%, 15.75%, and 9.50% of initial hard credit
enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.

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


WFRBS COMMERCIAL 2012-C9: Moody's Cuts Class F Certs to Caa2
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on two classes in WFRBS Commercial
Mortgage Trust 2012-C9, Commercial Pass-Through Certificates,
Series 2012-C9 as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Jul 1, 2019 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Jul 1, 2019 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aaa (sf); previously on Jul 1, 2019 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa3 (sf); previously on Jul 1, 2019 Affirmed Aa3
(sf)

Cl. C, Affirmed A3 (sf); previously on Jul 1, 2019 Affirmed A3
(sf)

Cl. D, Affirmed Baa3 (sf); previously on Jul 1, 2019 Affirmed Baa3
(sf)

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

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

Cl. X-A*, Affirmed Aaa (sf); previously on Jul 1, 2019 Affirmed Aaa
(sf)

Cl. X-B*, Affirmed A2 (sf); previously on Jul 1, 2019 Affirmed A2
(sf)

* Reflects interest-only classes

RATINGS RATIONALE

The ratings on the 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 were downgraded due to higher
anticipated losses from troubled loans.

The ratings on the IO classes were affirmed based on the 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 6.5% of the
current pooled balance, compared to 3.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.7% of the
original pooled balance, compared to 2.3% 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 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 29% to $751 million from $1.05
billion at securitization. The certificates are collateralized by
64 mortgage loans ranging in size from less than 1% to 13% of the
pool, with the top ten loans (excluding defeasance) constituting
40% of the pool. Sixteen loans, constituting 29% 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 18 at Moody's last review.

As of the May 2020 remittance report, loans representing 94% were
current or within their grace period on their debt service
payments, 3% were beyond their grace period but less than 30 days
delinquent and 3% were between 30 -- 59 days delinquent.

Ten loans, constituting 14% of the pool, are on the master
servicer's watchlist, of which six loans, representing 9% 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 a minimal
loss of $378,996. There are no loans currently in special
servicing.

Moody's has assumed a high default probability for seven poorly
performing loans, constituting 11% of the pool, which are secured
by either office, hotel or retail properties. The troubled loans
have already experienced significant declines in 2019 net operating
income as compared to securitization.

Moody's received full year 2018 operating results for 99% of the
pool, and full or partial year 2019 operating results for 87% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 95%, compared to 94% 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 26% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 10.0%.

Moody's actual and stressed conduit DSCRs are 1.48X and 1.20X,
respectively, compared to 1.50X and 1.21X 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 22% of the pool balance. The
largest loan is the Chesterfield Towne Center Loan ($98 million --
13% of the pool), which is secured by a nearly one million square
foot (SF) regional mall plus an adjacent 72,000 SF retail property
located in North Chesterfield, Virginia, approximately 10 miles
west of the Richmond CBD. The mall's anchors are Macy's, At Home
and JC Penney. One tenant, Sear's (non-collateral), closed its
location in 2020 and the space remains vacant. The J.C. Penney
declared chapter 11 bankruptcy in May 2020, however, this location
is not on their recently announced list of closures. Sears and JC
Penney occupy their spaces on ground leases, while the Macy's and
At Home boxes are owned by the borrower. As of March 2020, the
in-line space was 90% leased and the total mall was 96% leased.
Excluding the dark Sears space, the total mall was 82% leased. The
loan is last paid through its April 2020 payment date and the
borrower has submitted a request relief in relation to the
coronavirus impact on the property. The loan has amortized over11%
since securitization and Moody's LTV and stressed DSCR are 110% and
1.03X, respectively, compared to 110% and 1.01X at the last
review.

The second largest loan is the Greenway Center Loan ($40 million --
5.3% of the pool), which is secured by an approximately 264,600 SF
grocery-anchored retail center located in Greenbelt, Maryland,
approximately 10 miles northeast of the Washington D.C. CBD. The
property was 94% occupied as of March 2020 and has averaged 94%
occupancy since 2003. The property has sustained steady NOI growth
from securitization due to increased revenues. The loan is last
paid through its April 2020 payment date and the borrower has
submitted a request for relief in relation to the coronavirus
impact on the property. The loan has amortized over 13% and Moody's
LTV and stressed DSCR are 78% and 1.25X, respectively, compared to
79% and 1.23X at the last review.

The third largest loan is the 888 Bestgate Road Loan ($26 million
-- 3.5% of the pool), which is secured by an approximately 118,000
SF office building located in Annapolis, Maryland. The property was
67% leased as of March 2020, compared to 72% at year-end 2019.
Several tenants have vacated the property at their respective lease
maturities. Furthermore, there is significant upcoming tenant
rollover over the next three years with approximately 41% of the
net rentable area expiring by the end of 2022. Property performance
has deteriorated and year end 2019 NOI has declined 24% since
securitization. Moody's considers this a troubled loan.


[*] Moody's Takes Action on $80.1MM of US RMBS Issued 2004-2005
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of eleven
tranches, from four RMBS transactions, backed by Subprime and Alt-A
loans.

The complete rating actions are as follows:

Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC7

Cl. A-1, Downgraded to Caa1 (sf); previously on Mar 24, 2011
Downgraded to B2 (sf)

Cl. A-2, Downgraded to Caa1 (sf); previously on Mar 24, 2011
Downgraded to B2 (sf)

Cl. A-3*, Downgraded to Caa1 (sf); previously on Mar 24, 2011
Downgraded to B2 (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC1

Cl. A, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC9

Cl. A-1, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)

Cl. A-2*, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)

Cl. A-3, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)

Cl. A-4, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)

Cl. A-5, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)

Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 30,
2010 Downgraded to Caa2 (sf)

Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)

Issuer: RAMP Series 2004-RS8 Trust

Cl. M-II-2, Downgraded to Caa1 (sf); previously on Mar 23, 2018
Upgraded to B2 (sf)

* Reflects Interest-Only Class

RATINGS RATIONALE

The rating downgrades are primarily due to a deterioration in
collateral performance and decline in credit enhancement available
to the bonds. The rating actions also reflect the recent
performance and Moody's updated loss expectations on the underlying
pools.

Its analysis has considered the effect of the coronavirus outbreak
on the US economy as well as the effects that the announced
government measures, put in place to contain the virus, will have
on the performance of consumer assets. Specifically, for US RMBS,
loan performance will weaken due to the unprecedented spike in the
unemployment rate, which may limit borrowers' income and their
ability to service debt. The softening of the housing market will
reduce recoveries on defaulted loans, also a credit negative.
Furthermore, borrower assistance programs such as forbearance, may
adversely impact scheduled cash flows to bondholders.

The contraction in economic activity in the second quarter will be
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

The principal methodology used in rating all deals except
interest-only classes was "US RMBS Surveillance Methodology"
published in February 2019.

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

Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
There is significant uncertainty around its unemployment forecast
and risks are firmly to an increasing unemployment rate during the
short term. House prices are another key driver of US RMBS
performance. Lower increases than Moody's expects, or decreases
could lead to negative rating actions. Finally, performance of RMBS
continues to remain highly dependent on servicer procedures. Any
change resulting from servicing transfers or other policy or
regulatory change can impact the performance of these transactions.


[*] Moody's Takes Action on 45 Tranches From 25 US RMBS Deals
-------------------------------------------------------------
Moody's Investors Service has confirmed the rating of one bond and
downgraded the ratings of 44 bonds from 25 US residential mortgage
backed transactions, backed by subprime mortgages issued by
multiple issuers. Majority of the bonds were amongst those placed
on review on April 15th due to heightened risk of interest loss.

The complete rating actions are as follows:

Issuer: CWABS Asset-Backed Certificates Trust 2004-15

Cl. MF-1, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Cl. MV-4, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Cl. MV-5, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2004-AB2

Cl. M-2, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2005-11

Cl. MV-3, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba2
(sf) Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2005-13

Cl. MV-1, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2005-14

Cl. M-1, Confirmed at Ba1 (sf); previously on Apr 15, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2005-15

Cl. M-1, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2005-16

Cl. MV-1, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2005-17

Cl. MV-1, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba2
(sf) Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2005-3

Cl. MV-5, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Cl. MV-6, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2005-8

Cl. M-4, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. M-5, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2005-BC5

Cl. M-3, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2006-2

Cl. M-1, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2006-BC1

Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Issuer: CWABS Asset-Backed Certificates Trust 2006-BC2

Cl. M-1, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-5

Cl. MV-1, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. MV-2, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-1

Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Cl. M-3, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-2

Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to Ba2 (sf); previously on Dec 20, 2018
Upgraded to Ba1 (sf)

Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-6

Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Cl. M-3, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Cl. M-4, Downgraded to B2 (sf); previously on Dec 6, 2017 Upgraded
to Ba3 (sf)

Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-BC5

Cl. M-4, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE4

Cl. M-1, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC3

Cl. M-1, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to B1 (sf); previously on Nov 21, 2019 Upgraded
to Ba1 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-NC1

Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. M-3, Downgraded to Ba2 (sf); previously on Apr 15, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R8

Cl. M-2, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Issuer: Long Beach Mortgage Loan Trust 2004-3

Cl. M-1, Downgraded to B1 (sf); previously on Apr 15, 2020
Downgraded to Baa3 (sf) and Placed Under Review for Possible
Downgrade

Cl. M-2, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. M-3, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. M-4, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. M-5, Downgraded to B1 (sf); previously on Jan 13, 2017 Upgraded
to Ba3 (sf)

Cl. M-6, Downgraded to B3 (sf); previously on Jan 13, 2017 Upgraded
to B1 (sf)

Issuer: Long Beach Mortgage Loan Trust 2005-1

Cl. M-3, Downgraded to B1 (sf); previously on Apr 15, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

RATINGS RATIONALE

Its rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating downgrades are primarily due to the assessment of
outstanding and potential interest shortfalls, and also reflect the
subordination of recoupment of unpaid interest, erosion in credit
enhancement or sensitivity of the ratings to an increase in
baseline loss of up to 10%.

The rating action resolves the review action for 40 bonds that were
placed on review on April 15th, 2020 due to the heightened risk of
interest loss. These bonds have weak interest recoupment mechanisms
where missed interest payments will likely result in a permanent
interest loss. In light of the slowdown in US economic activity in
2020, and increased unemployment due to the coronavirus outbreak,
the risk of incurring such interest loss is now significantly
elevated.

In its liquidity analysis, Moody's considered the resiliency of
ratings to interest losses arising from two and four months of
missed interest payments to the bonds, the subordination of the
recoupment of such missed interest in the distribution waterfall
and any outstanding unrecovered interest shortfalls as of May 2020
remittance.

Unpaid interest owed to bonds with weak interest recoupment
mechanisms is reimbursed sequentially based on bond priority, from
excess interest, if available, and often only after the
overcollateralization has built to a pre-specified target amount.
In transactions where overcollateralization has already been
reduced or depleted due to poor performance, any such missed
interest payments to these bonds is unlikely to be repaid.

Because of the advancing mechanism included in most RMBS
transactions, interest shortfalls on bonds are generally related to
recoupment of advances by the servicer. Common triggers for
recoupment of advances are the servicer deeming the advances to be
non-recoverable, modification, liquidation of a delinquent loan, or
transfer of servicing that could lead to a change in advancing
practice. The severe disruption in borrower incomes due to the
coronavirus outbreak has led servicers to offer borrower relief
largely in the form of forbearance of mortgage payments, which the
servicers advance to the trusts. Depending on the strength and
timing of the economic recovery, the loans of many borrowers on
such forbearance plans may eventually need to be modified, with
servicers recouping their advances at the time of modification. The
servicer is entitled to reimbursement from cash collected on the
associated RMBS pool, and the right to reimburse itself is senior
to the claim of the bonds. Recoupment of advances for a large
number of borrowers within a few months could result in a reduction
in interest funds available to the bondholders, causing interest
shortfalls that, in many cases, will be permanent once incurred.
The magnitude of funds advanced, and subsequently recouped, could
be in the range of three to 12 months of monthly payments for each
delinquent borrower and will depend on servicer practices.

Its analysis has considered the effect of the coronavirus outbreak
on the US economy as well as the effects that the announced
government measures, put in place to contain the virus, will have
on the performance of consumer assets. Specifically, for US RMBS,
loan performance will weaken due to the unprecedented spike in the
unemployment rate, which may limit borrowers' income and their
ability to service debt. The softening of the housing market will
reduce recoveries on defaulted loans, also a credit negative.
Furthermore, borrower assistance programs such as forbearance, may
adversely impact scheduled cash flows to bondholders.

The contraction in economic activity in the second quarter will be
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

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

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

Up

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

Down

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

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.


[*] S&P Takes Various Actions on 182 Classes From 121 US RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 182 classes from 121
U.S. RMBS transactions issued between 1998 and 2009. The review
yielded 155 downgrades due to observed principal write-downs, 22
downgrades due to the application of our interest shortfall
criteria, and five withdrawals. S&P subsequently withdrew its
ratings on 52 classes. Of the 52 classes subsequently withdrawn, 28
classes were withheld payments by the trustee, Wells Fargo Bank.
N.A., as described below.

ANALYTICAL CONSIDERATIONS

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. S&P said,
"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. 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. As the situation evolves, we will update our
assumptions and estimates accordingly."

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 or delinquency trends;
-- Available subordination and/or overcollateralization;
-- Payment priority,
-- Loan modifications,
-- Historical interest shortfalls or missed interest payments;
and
-- Small loan count.

RATING ACTIONS

The rating changes reflect S&P's opinion regarding the associated
transaction-specific collateral performance and/or structural
characteristics, and/or reflect the application of specific
criteria applicable to these classes.

According to the October 2019 and November 2019 trustee remittance
reports for the 28 classes, $6.85 million in total payments was
withheld by the trustee, Wells Fargo Bank N.A. Due to these payment
withholdings, reported amounts owed on the affected classes remain
unpaid. As explained in letters to bondholders, in reaction to
clean-up calls on the loans underlying these transactions, Wells
Fargo held back these payments to cover its legal expenses in
potential litigation concerning its performance as trustee. S&P
said, "After review of Wells Fargo's actions on the transactions in
this review, as well as other transactions where they performed
similar actions, we do not believe that Wells Fargo will make the
principal and interest payments owed on these classes. We therefore
determined that these 28 classes were in default and lowered their
ratings to 'D (sf)' and subsequently withdrew them."

S&P said, "In reviewing the classes with observed interest
shortfalls, we applied our interest shortfall criteria as stated in
"Structured Finance Temporary Interest Shortfall Methodology,"
published Dec. 15, 2015, which impose a maximum rating threshold on
classes that have incurred interest shortfalls resulting from
credit or liquidity erosion. In applying the criteria, we looked to
see if the applicable class received additional compensation beyond
the imputed interest due as direct economic compensation for the
delay in interest payment, which these classes did not. Therefore,
in those instances, we used the maximum length of time until full
interest is reimbursed as part of our analysis to assign a rating
to each class. As a result, we lowered 22 ratings.

"We withdrew our ratings on 16 classes from eight transactions due
to the small number of loans remaining in the related group or
underlying group. Once a pool has declined to a de minimis amount,
their future performance becomes more difficult to project. As
such, we believe there is a high degree of credit instability that
is incompatible with any rating level.

"In addition, we withdrew our rating on class A-P from JPMorgan
Mortgage Trust 2006-S3 due to the lack of investor interest. We no
longer believe the market requires a rating for this class because
the related groups have no loans remaining for class principal to
be paid in full, and the class has a very low remaining balance."

A list of Affected Ratings can be viewed at:


            https://bit.ly/3hEsSuy



[*] S&P Takes Various Actions on 184 Classes From 57 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 184 ratings from 57 U.S.
RMBS transactions issued between 1998 and 2007. The review yielded
16 upgrades, 23 downgrades, 143 affirmations and two
discontinuances.

ANALYTICAL CONSIDERATIONS

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. S&P said,
"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. 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. As the situation evolves, we will update our
assumptions and estimates accordingly."

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;
-- Historical interest shortfalls/missed interest payments;
-- Payment priority;
-- Loan modifications;
-- Collateral performance and/or delinquency trends;
-- Available subordination and/or overcollateralization;
-- The erosion of or increases in credit support;
-- Principal write-down; and
-- Expected short duration

RATING ACTIONS

The rating changes reflect S&P's opinion regarding the associated
transaction-specific collateral performance and/or structural
characteristics, and/or reflect the application of specific
criteria applicable to these classes.

The ratings affirmations reflect our opinion that S&P's projected
credit support and collateral performance on these classes has
remained relatively consistent with its prior projections.

S&P raised four ratings from four transactions by at least five
notches due to increases in credit support, detailed below:

-- S&P raised its rating on class A-II from RAMP Series 2001-RS3
Trust to 'BBB (sf)' from 'B+ (sf)' as its credit support increased
to 33.6% in May 2020 from 23.8% during its last review.

-- S&P raised its rating on class M-2 from RASC Series 2005-KS11
Trust to 'BBB+ (sf)' from 'B+ (sf)' as its credit support increased
to 56.4% in May 2020 from 43.1% during its last review.

-- S&P raised its rating on class M-2 from RASC Series 2005-KS12
Trust to 'BBB- (sf)' from 'B- (sf)' as its credit support increased
to 55.8% in May 2020 from 42.2% during its last review.

-- S&P raised its rating on class M-2 from RAMP Series 2006-EFC1
Trust to 'BBB (sf)' from 'B (sf)' as its credit support increased
to 47.9% in May 2020 from 36.6% during its last review.

S&P lowered the following six ratings from five transactions by at
least six notches due to its belief that ultimate interest
repayment to these classes is not likely at higher rating levels.

All of these classes currently have outstanding missed interest
payments and based on S&P's cash flow projections are unlikely to
receive full reimbursement of missed interest at their current
rating levels, detailed below:

-- S&P lowered its ratings on classes M-4 and M-5 from MASTR Asset
Backed Securities Trust 2004-HE1 to 'BBB+ (sf)' and 'BB+ (sf)',
respectively, from 'AAA (sf)'.

-- S&P lowered its ratings on class M-2 from Structured Asset
Securities Corp.'s series 1998-8, class AF-5 from Saxon Asset
Securities Trust 2002-1, and class M-4 from Park Place Securities
Inc.'s series 2004-WWF1 to 'CCC (sf)' from 'BB+ (sf)'.

-- S&P lowered its rating on class M-2 from JPMorgan Mortgage
Acquisition Corp. 2005-WMC1 to 'BB+ (sf)' from 'AA+ (sf)'.

A list of Affected Ratings can be viewed at:

            https://bit.ly/3frDtaw



[*] S&P Takes Various Actions on 53 Classes From 14 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 53 ratings from 14 U.S.
RMBS transactions issued between 1997 and 2007. The transactions
are backed by Alternative-A, closed-end second-lien, and prime
jumbo collateral. The review yielded one upgrade, one downgrade, 27
affirmations, and 24 withdrawals. Additionally, S&P subsequently
withdrew the lowered rating.

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 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. 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. As the situation evolves, we will update our assumptions
and estimates accordingly," 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 the COVID-19 pandemic,
-- Collateral performance or delinquency trends,
-- Historical interest shortfalls or missed interest payments,
-- Available subordination and/or overcollateralization,
-- Erosion of or increases in credit support, and
-- Expected short duration.

RATING ACTIONS

The rating changes reflect S&P's view regarding the associated
transaction-specific collateral performance, structural
characteristics, and/or reflect the application of specific
criteria applicable to these classes.

"The affirmations reflect our view that our projected credit
support and collateral performance on these classes have remained
relatively consistent with our prior projections," S&P said.

"We withdrew our ratings on 18 classes from 10 transactions. All 18
classes have maturity dates in the near future, coupled with
impaired collateral performance as a result of substantial
delinquencies, modified loans resulting in losses, and/or modified
loans with term extensions beyond the respective class maturity
date. As a result, we believe these credit events result in a high
degree of credit instability and significant uncertainty regarding
principal being paid in full by the classes' maturity dates--both
of which are incompatible with any rating level," the rating agency
said.

In addition, S&P withdrew its ratings on six classes from five
transactions due to the lack of investor interest. It no longer
believes the market requires ratings for these classes because the
related groups have no loans remaining for class principal to be
paid in full and all classes have very low remaining balances.

A list of Affected Ratings can be viewed at:

           https://bit.ly/3hqyatI


[*] S&P Takes Various Actions on 71 Ratings From 30 Aircraft Deals
------------------------------------------------------------------
S&P Global Ratings took various actions concerning 71 ratings from
30 aircraft and aircraft engine ABS transactions that were placed
on CreditWatch with negative implications on March 19, 2020 due to
the anticipated impact of the COVID-19 outbreak and the restrictive
policies put in place to slow its spread (one rating with a
dependency on an underlying aircraft certificates rating was not
placed on Watch until April). Of these ratings, 23 were lowered and
eight were affirmed. The other 40 remain on CreditWatch without a
rating change. Twenty of the lowered ratings also remain on Watch
for potential further downgrade.

The downgrades reflect the notes' insufficient credit enhancement
at their previous respective rating levels, based on S&P's
assumptions and considerations, where applicable, of:

-- A high overall loan-to-value (LTV) ratio for certain notes,

-- The declining credit quality of the lessees,

-- A higher exposure to wide-body or older aircraft in certain
portfolios relative to peers,

-- A significant portion of collateral coming off lease in certain
pools in the next six to 12 months,

-- uncertainty among lessors regarding near-term plans for the
securitized fleet,

-- For the aircraft engine ABS deals, a high portion of collateral
either off lease or expiring in the next 12 months, and

-- The ongoing uncertainties surrounding airline operations amid
the coronavirus pandemic.

S&P said, "Our overall analysis considered sensitivity scenarios
that we tested because of the COVID-19-related uncertainties in the
sector. The sensitivity analysis incorporated additional stresses
on aircraft values, time to re-lease, re-leasing rates, and
retirement age, along with a possible second wave of deferral
requests. We also acknowledge the uncertainties around airlines'
future fleet size planning and aircraft maintenance projections,
which are additional variables in our cash flow model.

"We initially placed the 71 ratings from 30 transactions addressed
in this report on CreditWatch with negative implications on March
19, 2020, when lockdowns and social distancing measures were
introduced to combat the spread of COVID-19. Although these
measures are easing up in some places, it will take time for
domestic air travel to fully resume. With several countries
shutting down their borders, international air travel will take a
considerably longer time to fully recommence and for passenger
confidence to be regained. As a result, we believe that wide-body
aircraft have been more adversely affected than narrow-bodies given
the limited long-haul flights we observe."

S&P Global Ratings 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. S&P believes the measures adopted to
contain COVID-19 have pushed the global economy into recession.

S&P's Observations On The Sector

Since the CreditWatch placements, S&P Global Ratings has had
periodic conversations with lessors of rated aircraft ABS
transactions. A common theme among lessors has been an increasing
number of requests for rent deferrals, which have taken different
forms. The typical deferral requests have been for 50% of rent (in
most cases not applicable to utilization rent) for three months,
recovered with interest over the remaining term of the lease. Many
lessors have indicated that it is too soon to assess the ultimate
impact on aircraft values, lease rates, and time to re-lease, among
other things.

According to MBA Aviation LLC, as of the week of May 25, 2020,
average daily flight schedules have dropped by 26%-88% from January
2020 levels in different regions of the world. Although the
majority of the planes are currently parked, there has been an
increase in flight operations over the past few weeks, but, as
expected, they remain well below January 2020 levels.

Many airlines are also reconsidering their fleet composition, and
the general projection is that airlines will cut 20% of their fleet
amid this pandemic. Wide-bodies have taken the biggest hit because
long-haul flights have come to a standstill. S&P said, "We have
observed that many airlines have either already retired or are
contemplating retiring wide-bodies from their fleet (in some cases
irrespective of their age). However, we believe that some types of
wide-body aircraft will likely fare better than others and that a
stronger-credit-quality lessee leasing the aircraft can also make a
difference." Aircraft values and lease rates have also come under
stress. According to Ishka Ltd., market values of 2015 vintage
A320s and B737s declined 9%-14% from the beginning of the year,
while lease rates have gone down by 5%-9% for the same vintage of
aircraft. Market values of 2010 vintage A320s and B737s declined
9%-19%, with a 12%-29% lease rate decline over the same time
period.

Assumptions Used For The Review

It is currently difficult to quantify the full impact of COVID-19
on U.S. aircraft ABS transactions because current servicer and
issuer reports may not reflect the long-term effect of the
pandemic, and the degree and speed of demand for air travel remains
uncertain despite the easing of restrictions. S&P said, "Although
it is too early to measure the long-term impact of COVID-19 on
transaction cash flows, we have identified certain sensitivity
scenarios in the sector that we believe could result from the
pandemic. As we develop better clarity on the size and duration of
reductions in transactions' cash flows, we will evaluate whether
adjustments to our sensitivity assumptions and downside projections
are appropriate. Changes in these projections could have an impact
on our estimates, which, in turn, could affect ratings on the
notes."

Two different scenarios were run for S&P's review: (1) rating runs
based on the criteria assumptions and (2) sensitivity runs to
consider recent changes and challenges and ongoing uncertainties in
the aviation sector. While the rating runs were the guiding runs
for the rating actions noted in this report, S&P considered results
from incremental sensitivity scenarios to test the transactions
under additional stresses.

Default pattern

S&P said, "We applied defaults evenly over a four-year period
during the first recession under our rating runs, but under our
sensitivity, we also tested more front-loaded default patterns
(e.g., 80%/20%), considering that we are already in a recessionary
scenario, which is severely affecting airlines' liquidity and
credit quality."

Rent deferrals

In S&P's sensitivity analysis, it assumed a percentage of the
nondefaulted lessees to be delinquent on their rent payments for
the first few months of cash flow projections (e.g., 50% of lease
collections deferred for six months without any recovery). This is
intended to stress liquidity in line with current events.

Lease rate decline and magnitude

S&P said, "Our sensitivity further tested the transactions by
applying steeper lease rate decline haircuts from the first
recession to account for the fluctuations in the valuation and
lease rates under current circumstances. We also assumed that 100%
of the lease rate decline will be applied in the first year of the
first recession versus 50% under our rating stresses."

Aircraft/engine on ground (AOG) times

S&P said, "Under our rating runs, we do not differentiate the time
to re-lease between narrow-bodies and wide-bodies, which is
typically six to 11 months depending upon the rating stress.
However, given the uncertainties of the re-leasing markets in the
current environment, we assumed longer AOG times in our sensitivity
and also differentiated the downtime between narrow-bodies and
wide-bodies (e.g., eight to 18 months for narrow-bodies and 12 to
30 months for wide-bodies)."

Useful life

While there has been some news about airlines retiring aircraft
older than 20 years, there still seems to be some uncertainty
around how airlines will plan their future fleet. Therefore, under
the sensitivity runs, S&P assumed a 22-year useful life for
aircraft in the portfolio; it also assumed an early retirement
(earlier than 22 years in some cases) for some of the older
aircraft upon the end of their current lease.

These assumptions may vary or S&P may stress additional factors
depending on transaction characteristics and the availability of
more information on these key variables.

CreditWatch

S&P said, "We expect to resolve the CreditWatch placements as we
learn more about the severity and duration of the COVID-19-induced
impact on the sector as a whole, and on each of the respective
issuers and pools more specifically. During this time, we will
continue to review industry data and transaction-level performance
reports, and continue to speak with the originators and servicers
to inform our view of each transaction's future performance."

Environmental, social, and governance (ESG) factors relevant to the
rating action:

-- Health and safety

A list of Affected Ratings can be reached through:

           https://bit.ly/2zHxDCA



                            *********

Monday's edition of the TCR delivers a list of indicative prices
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