/raid1/www/Hosts/bankrupt/TCR_Public/200726.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, July 26, 2020, Vol. 24, No. 207

                            Headlines

AMERICREDIT AUTOMOBILE 2020-2: Fitch Rates Class E Debt 'BBsf'
ANGEL OAK 2020-4: DBRS Assigns Prov. BB Rating on Class B-2 Certs
APIDOS CLO XXXIII: S&P Assigns BB- (sf) Rating to Class E Notes
ARES XLII: Moody's Lowers Rating on Class E Notes to B1
ASPEN FUNDING I: Moody's Hikes Rating on Class A-3L Notes to Caa3

BELLEMEADE RE 2019-4: Fitch Affirms B+ Rating on Class M1C Debt
BENCHMARK 2020-B18: Fitch Gives 'B-(EXP)' Rating to 2 Tranches
BROOKSIDE MILL: Moody's Lowers Rating on Class F Notes to B1
CANTOR COMMERCIAL 2011-C2: Fitch Affirms B Rating on Cl. G Certs
CARLYLE US 2017-2: Moody's Cuts Rating on Class D Notes to B1

CHASE MORTGAGE 2020-CL1: Fitch Gives B(EXP) Rating on M-5 Notes
CIM TRUST 2020-J1: Moody's Gives (P)B1 Rating on Class B-5 Debt
CITIGROUP COMMERCIAL 2020-WSS: S&P Rates Class F Certs 'B(sf)'
COMM 2012-LTRT: S&P Cuts Ratings on Five Classes From US CMBS Deals
COMM 2019-521F: DBRS Assigns B Rating on Class F Certs

CPS AUTO 2018-1: DBRS Puts BB Rating on 3 Classes Under Review Neg.
CPS AUTO 2018-1: DBRS Puts BB(low) Rating on A Notes Under Review
ELMWOOD CLO V: S&P Assigns BB- (sf) Rating to Class E Notes
FINANCE OF AMERICA 2020-HB2: DBRS Gives Prov. BB Rating on M4 Notes
FLAGSHIP CREDIT 2020-3: S&P Assigns Prelim 'BB-' Rating to E Notes

FREDDIE MAC 2020-2: DBRS Finalizes B(low) Rating on Class M Debt
FREED ABS 2020-3FP: DBRS Assigns Prov. BB(low) Rating on C Notes
GCAT 2020-NQM2: S&P Assigns Prelim B (sf) Rating to Class B-2 Certs
HOMEWARD OPPORTUNITIES 2020-2: DBRS Finalizes B Rating on B-2 Certs
HUDSON'S BAY 2015-HBS: S&P Cuts Ratings on Four Classes to 'B+(sf)'

INDEPENDENCE PLAZA 2018-INDP: DBRS Confirms B Rating on HRR Certs
INMAN SQUARE I: Moody's Withdraws 'C' Rating on Class B Notes
JFIN CLO 2015: Moody's Lowers Rating on Class F Notes to Caa3
JP MORGAN 2012-C6: Fitch Cuts Rating on Class H Certs to CCCsf
JP MORGAN 2015-FL7: S&P Cuts Ratings on 8 Classes of Certs to 'CCC'

JP MORGAN 2016-JP3: Fitch Affirms B- Rating on Class F Certs
JP MORGAN 2020-5: DBRS Assigns Prov. B Rating on 2 Tranches
JP MORGAN 2020-ATR1: Fitch Gives 'B(EXP)' Rating on 2 Tranches
KAYNE CLO 8: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
LITTLE FEET: Seeks to Hire Alexander Van Loon as Accountant

LUNAR AIRCRAFT 2020-1: Fitch Puts Class C Notes on Watch Negative
MARATHON CLO XI: Moody's Lowers Rating on Class D Notes to B1
MCF CLO VIII: S&P Affirms BB- (sf) Rating on Class E Notes
MORGAN STANLEY 2001-TOP3: Fitch Affirms D Rating on 7 Tranches
MORGAN STANLEY 2005-TOP19: Fitch Hikes Class K Debt Rating to Bsf

MORGAN STANLEY 2017-ASHF: S&P Cuts Rating on Class E Certs to B(sf)
MORGAN STANLEY 2018-BOP: BRS Confirms BB Rating on Class F Certs
MORGAN STANLEY 2019-AGLN: DBRS Confirms B(low) Rating on G Certs
MORGAN STANLEY 2020-HR8: Fitch to Rate Class K-RR Certs 'B-(EXP)'
MSSG TRUST 2017-237P: S&P Affirms BB- (sf) Rating on Class E Certs

MVW 2020-1: Fitch Gives BBsf Rating on Class D Debt
MVW 2020-1: S&P Assigns 'BB (sf)' Rating to Class D Notes
NEW ORLEANS 2019-HNLA: S&P Cuts Rating on Class E Notes to 'B+(sf)'
RADHA KRISHN: Seeks to Hire Martin Seidler as Legal Counsel
SALEM FIELDS: Moody's Lowers Rating on 2 Tranches to B1

SDART 2020-2: Moody's Rates Class E Notes 'B1'
SKOPOS AUTO 2019-1: DBRS Puts B Rating on Class E Notes on Review
SLM STUDENT 2007-2: Fitch Affirms Bsf Rating on 2 Debt Tranches
START III LTD: Fitch Cuts Series C Secured Notes to B-sf
TCW CLO 2018-1: S&P Assigns Prelim BB-(sf) Rating to Class E Notes

TOWD POINT 2020-3: DBRS Finalizes B Rating on Class B2 Notes
TOWD POINT 2020-3: Fitch Assigns Bsf Rating on Class B2 Notes
VERUS SECURITIZATION 2020-4: S&P Rates Class B-2 Certs 'B+ (sf)'
WILLIS ENGINE V: Fitch Affirms BB Rating on Series C Notes
WIND RIVER 2014-1: Moody's Lowers Rating on Class F Notes to Caa2

[*] S&P Takes Various Actions on 59 Classes From 17 US RMBS Deals
[*] S&P Takes Various Actions on 90 Classes From 17 US RMBS Deals

                            *********

AMERICREDIT AUTOMOBILE 2020-2: Fitch Rates Class E Debt 'BBsf'
--------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the notes
issued by AmeriCredit Automobile Receivables Trust 2020-2.

The social and market disruptions resulting from the coronavirus
pandemic and related containment measures have negatively affected
the U.S. economy. To account for the potential impact on AMCAR
2020-2, Fitch's base case cumulative net loss proxy was derived by
taking into account General Motors Financial Company, Inc.'s
2006-2008 recessionary static-managed portfolio performance
resulting from an elevated unemployment environment, along with
more recent GMF-managed vintage performance.

AmeriCredit Automobile Receivables Trust 2020-2

  - Class A-1; ST F1+sf New Rating

  - Class A-2-A; LT AAAsf New Rating

  - Class A-2-B; LT AAAsf New Rating

  - Class A-3; LT AAAsf New Rating

  - Class B; LT AAsf New Rating

  - Class C; LT Asf New Rating

  - Class D; LT BBBsf New Rating

  - Class E; LT BBsf New Rating

KEY RATING DRIVERS

Collateral and Concentration Risks - Consistent Credit Quality: The
pool has consistent credit quality versus recent pools based on
internal credit scores and its weighted average Fair Isaac Corp.
score of 581. Obligors with FICO scores of 600 and greater total
39.3%, up from 38.4% in 2020-1 and higher versus the 2019
transactions. Extended-term (61-plus month) contracts total 94.3%,
which is nominally higher than 93.1% in 2020-1. The 73- to 75-month
contracts total 13.0%, which is lower than the share of the prior
four transactions. However, 2020-2 also includes 76- to 84-month
contracts (totaling 3.8%) for the first time on the AMCAR
platform.

Forward-Looking Approach to Derive Base Case Loss Proxy: Fitch
considers economic conditions and future expectations by assessing
key macroeconomic and wholesale market conditions in deriving the
series loss proxy. Losses on GMF's managed portfolio and
securitizations have been normalizing in recent years, with
2015-2017 vintages tracking higher than the strong 2010-2014
vintages. However, overall performance continues to be within
Fitch's expectations. Fitch accounted for the weaker performance by
focusing on the 2006-2008 and 2015-2016 vintages to arrive at a
forward-looking CNL proxy of 11.25%.

Payment Structure - Sufficient Credit Enhancement: The initial hard
credit enhancement is slightly lower than that of 2019 and 2018
transactions for classes A, B and C, and higher for classes D and
E. The CE totals 34.35%, 27.10%, 18.10%, 11.25% and 8.40% for
classes A, B, C, D and E, respectively. Excess spread is expected
to be 8.60% per annum. Loss coverage for each class of notes is
sufficient to cover the respective multiples of Fitch's base case
CNL proxy.

Seller/Servicer Operational Review - Consistent
Origination/Underwriting/Servicing: Fitch downgraded General Motors
Company and GMF to 'BBB-'/'F3' from 'BBB'/'F2' in May 2020 with a
Stable Outlook. GMF demonstrates adequate abilities as an
originator, underwriter and servicer, as evidenced by historical
portfolio and securitization performance. Fitch deems GMF capable
of adequately servicing this transaction.

Coronavirus Pandemic-Related Economic Shock: Fitch made assumptions
about the spread of the coronavirus and the economic impact of the
related containment measures. As a base case scenario, Fitch
assumes a global recession in 1H20 driven by sharp economic
contractions in major economies coupled with a rapid spike in
unemployment, followed by a recovery that begins in 3Q20 as the
health crisis subsides. Under this scenario, Fitch's initial base
case CNL proxy was derived using a 2006-2008 recessionary
static-managed portfolio and 2015-2016 vintages that have
experienced slightly weaker performance, and it also took into
consideration asset-backed securities (ABS) performance.

As a downside (sensitivity) scenario provided in the Rating
Sensitivities section, Fitch considers a more severe and prolonged
period of stress with an inability to begin meaningful recovery
until after 2021. Under the downside case, Fitch completed a rating
sensitivity by doubling the initial base case loss proxy. Under
this scenario, the notes could be downgraded by upwards of three
categories.

RATING SENSITIVITIES

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

Unanticipated increases in the frequency of defaults could produce
CNL levels that are higher than the base case and would likely
result in declines of CE and remaining net loss coverage levels
available to the notes. Additionally, unanticipated declines in
recoveries could also result in a decline in net loss coverage.
Decreased net loss coverage may make certain note ratings
susceptible to potential negative rating actions depending on the
extent of the decline in coverage.

Fitch therefore conducts sensitivity analyses by stressing both a
transaction's initial base case CNL and recovery rate assumptions
and examining the rating implications on all classes of issued
notes. The CNL sensitivity stresses the CNL proxy to the level
necessary to reduce each rating by one full category, to
non-investment grade (BBsf) and to 'CCCsf' based on the break-even
loss coverage provided by the CE structure.

Additionally, Fitch conducts increases of 1.5x and 2.0x to the CNL
proxy, representing moderate and severe stresses, respectively.
Fitch also evaluates the impact of stressed recovery rates on an
automobile loan ABS structure and the rating impact with a 50%
haircut. These analyses are intended to provide an indication of
the rating sensitivity of the notes to unexpected deterioration of
a trust's performance. A more prolonged disruption from the
pandemic is accounted for in the severe downside stress of 2.0x and
could result in downgrades of up to two rating categories.

Due to the coronavirus pandemic, the U.S. and the broader global
economy remain under stress, with surging unemployment and pressure
on businesses stemming from government-led social distancing
guidelines. Unemployment pressure on the consumer base may result
in increases in delinquencies. In addition, an inability to
repossess and recover on vehicles from charged off contracts might
delay recovery cash flow available to the notes. For sensitivity
purposes, Fitch assumes a 2.0x increase in delinquency stress. The
results indicate no adverse rating impact to the notes. Fitch
acknowledges that lower prepayments and longer recovery lag times
due to a delayed ability to repossess and recover on vehicles may
result from the pandemic. However, changes in these assumptions,
with all else equal, would not have an adverse impact on modeled
loss coverage, and Fitch has maintained its stressed assumptions.

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

Stable or improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CNL is 20% less than the projected
proxy, the expected ratings would be maintained for the class A
notes at stronger rating multiples.

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.

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).


ANGEL OAK 2020-4: DBRS Assigns Prov. BB Rating on Class B-2 Certs
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Certificates, Series 2020-4 (the Certificates) to
be issued by Angel Oak Mortgage Trust 2020-4 (the Trust):

-- $207.0 million Class A-1 at AAA (sf)
-- $21.3 million Class A-2 at AA (sf)
-- $20.0 million Class A-3 at A (high) (sf)
-- $16.5 million Class M-1 at BBB (high) (sf)
-- $6.6 million Class B-1 at BBB (low) (sf)
-- $6.6 million Class B-2 at BB (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects 31.10%
of credit enhancement provided by subordinated Certificates. The AA
(sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), and BB (sf)
ratings reflect 24.00%, 17.35%, 11.85%, 9.65%, and 7.45% of credit
enhancement, respectively.

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

This securitization is a portfolio of primarily first-lien fixed-
and adjustable-rate nonprime and expanded prime residential
mortgages funded by the issuance of the Certificates. The
Certificates are backed by 734 loans with a total principal balance
of $300,385,023 as of the Cut-Off Date (July 1, 2020).

Angel Oak Mortgage Solutions LLC (95.2%), Angel Oak Home Loans LLC
(AOHL; 4.6%), and Angel Oak Prime Bridge, LLC (0.2%) (collectively,
Angel Oak) originated 100% of the pool. Angel Oak generally
originates first-lien mortgages primarily under the following nine
programs: Bank Statement, Platinum, Portfolio Select, Investor Cash
Flow, Non-Prime General, Non-Prime Recent Housing, Non-Prime
Foreign National, Non-Prime Investment Property, and Asset
Qualifier. For more information regarding these programs, see the
related presale report.

In addition, the pool contains one second-lien mortgage loan in the
pool (


APIDOS CLO XXXIII: S&P Assigns BB- (sf) Rating to Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Apidos CLO XXXIII/Apidos
CLO XXXIII LLC'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 S&P's view of:

-- The diversification of the collateral pool;

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

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

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

  RATINGS ASSIGNED
  Apidos CLO XXXIII/Apidos CLO XXXIII LLC

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

  NR--Not rated.


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

US$21,600,000 Class D Mezzanine Deferrable Floating Rate Notes due
2028 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$18,400,000 Class E Mezzanine Deferrable Floating Rate Notes due
2028 (the "Class E Notes"), 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 March
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 Class D notes 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, 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 3477 as of July 2020, or 13.3% worse compared to 3070 reported
in the March 2020 trustee report [1]. Moody's calculation also
showed the WARF was failing the test level of 2973 reported in the
June 2020 trustee report [2] by 504 points. Moody's noted that
approximately 30.1% of the CLO's par was from obligors assigned a
negative outlook and 2.3% 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
17.3% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $389.8 million, or $10.2 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 $387.7 million, defaulted par of $5.8
million, a weighted average default probability of 26.94% (implying
a WARF of 3477), a weighted average recovery rate upon default of
48.25%, a diversity score of 73 and a weighted average spread of
3.43%. Moody's also analyzed the CLO by incorporating an
approximately $3.0 million par haircut in calculating the OC and
interest diversion test ratios.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in the US economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. 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.


ASPEN FUNDING I: Moody's Hikes Rating on Class A-3L Notes to Caa3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on notes issued
by Aspen Funding I, Ltd.:

US$10,000,000 Class A-3L Floating Rate Notes Due July 2037,
Upgraded to Caa3 (sf); previously on Sep 22, 2009 Downgraded to Ca
(sf)

Aspen Funding I, Ltd., issued in May 2002, is a collateralized debt
obligation backed primarily by a portfolio of ABS and RMBS
originated in 2002.

RATINGS RATIONALE

The rating action is due primarily to the deleveraging of the
senior notes and an increase in the transaction's Class A-2
over-collateralization ratio. The Class A-3L notes have been paid
down by approximately 64%, or $2.2 million since July 2019. Based
on Moody's calculation, the OC ratio for the Class A-3L notes is
currently 205% and the notes are primarily backed by performing
assets rated Caa3.

Methodology Underlying the Rating Action

The principal methodology used in this rating was "Moody's Approach
to Rating SF CDOs" published in July 2020.

Factors That Would Lead to an Upgrade or Downgrade of the Rating:

This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:

1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any deterioration in either consumer
or commercial credit conditions and in the residential real estate
property markets. The residential real estate property market's
uncertainties include housing prices; the pace of residential
mortgage foreclosures, loan modifications and refinancing; the
unemployment rate; and interest rates.

2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from principal proceeds, recoveries from
defaulted assets, and excess interest proceeds will continue and at
what pace. Faster than expected deleveraging could have a
significantly positive impact on the notes' ratings.

3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming limited recoveries, and therefore,
realization of any recoveries exceeding Moody's expectation in the
future would positively impact the notes' ratings.


BELLEMEADE RE 2019-4: Fitch Affirms B+ Rating on Class M1C Debt
---------------------------------------------------------------
Fitch Ratings has taken various rating actions on nine classes from
three private label Mortgage Insurance Credit Risk Transfer
transactions issued in 2018 and 2019. The three transactions
reviewed are Bellemeade 2018-2, Bellemeade 2019-3, and Bellemeade
2019-4, all of which are issued by Arch Capital. Bellemeade 2018-2
was last reviewed in July 2019, Bellemeade 2019-3 was reviewed for
the first time since deal close in August 2019, and Bellemeade
2019-4 was last reviewed in April 2020 during which two bonds were
placed on Rating Watch Negative.

Rating Action Summary:

  -- Five classes affirmed;

  -- One class upgraded;

  -- Two classes maintained with Rating Watch Negative;

  -- One class marked paid in full.

Additionally, three classes have a Positive Outlook and three
classes have a Stable Outlook.

Bellemeade Re 2019-4 Ltd.

  - Class M1A 07876LAA7; LT BB+sf; Affirmed

  - Class M1B 07876LAB5; LT BBsf; Rating Watch Maintained

  - Class M1C 07876LAC3; LT B+sf; Rating Watch Maintained

Bellemeade Re 2019-3 Ltd.

  - Class M-1A 07877GAA7; LT A-sf; Affirmed

  - Class M-1B 07877GAB5; LT BBB-sf; Affirmed

Bellemeade Re 2018-2 Ltd.

  - Class B-1 07877DAD8; LT BBBsf; Affirmed

  - Class M-1A 07877DAA4; LT PIFsf; Paid In Full

  - Class M-1B 07877DAB2; LT A+sf; Upgrade

  - Class M-1C 07877DAC0; LT BBBsf; Affirmed

KEY RATING DRIVERS

The rating actions were driven by changes in the relationship
between bond credit enhancement and expected pool losses since the
prior review. 30+ day delinquency for these transactions has
increased substantially over the past three months, with an average
of 0.5% in April to over 3.0% in June. The more recent transactions
have generally performed worse than the older transactions in terms
of delinquency trends. Consequently, the expected loss levels for
the Bellemeade transactions have increased since their last review,
particularly in the Non-Investment Grade Stresses. Helping offset
the negative pressure from higher loss levels is the increased CPRs
over the last three months for these transactions, leading to
faster deleveraging speeds for the senior outstanding bonds in each
transaction. As an example, the M1-A bond for Bellemeade 2019-4 has
had its bond factor decrease from 100% in February 2020 to under
25% in June 2020.

RATING SENSITIVITIES

Fitch's analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are increasingly
more stressful and less likely to occur. Given the current economic
environment, Fitch applied adjustments to its Economic Risk Factor
variable in its loss model as well as minimum delinquency
assumptions. These adjustments are the main rating drivers in the
context of this review.

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 a worsening economic environment above
what Fitch is currently assuming. Assuming a higher ERF value above
the current floor would result in additional downgrades at the
non-investment grade ratings as well as potential downgrades to
'BBBsf' rated classes if the floor was raised to 2.5 and potential
downgrades to 'Asf' rated classes if the floor was raised to 3.0.
Further, a higher percentage of forbearance would lead to more
downgrades to 'AAAsf' and 'AAsf' rated classes due to a higher risk
of temporary interest shortfalls.

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 a more benign economic environment than
what is currently assumed. If the ERF floor was lowered to 1.5, the
'BBsf' classes currently impacted would likely be unaffected and if
the floor was lowered to 1.0 the 'Bsf' floors would likely be
unaffected as well. A decline in the percentage of borrowers with
principal forbearance would result in less negative pressure among
'AAAsf' and 'AAsf' rated classes as the chance of temporary
disruptions would be reduced.

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.

Additionally, the Bellemeade transactions are also subject to
counterparty dependency as the ratings on those notes are
ultimately limited by the Issuer Default Rating of the banks in
which the cash collateral accounts are held.

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

This review includes a criteria variation that relates to the "U.S.
RMBS Rating Criteria" for the Bellemeade deals. The cash flow
analysis described in Fitch's "U.S. RMBS Rating Criteria" was not
applied to these transactions, which is a criteria variation as the
"U.S. RMBS Rating Criteria" requires a cash flow analysis for all
deals except CRT transactions issued by one of the GSEs. The cash
flow analysis described in the criteria does not influence the
rating decision for this type of structure since principal payments
to the rated bonds are made in a sequential priority for the life
of the transaction. In addition, for these transactions, interest
is paid by the issuer through premium coverage amounts from the
ceding insurer.

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

No third-party due diligence was provided or reviewed in relation
to these rating actions.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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


BENCHMARK 2020-B18: Fitch Gives 'B-(EXP)' Rating to 2 Tranches
--------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Benchmark 2020-B18 Mortgage Trust commercial mortgage
pass-through certificates series 2020-B18:

BMARK 2020-B18

  -- 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-M; LT AAA(EXP)sf Expected Rating   

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  -- $7,467,000 class A-1 'AAAsf'; Outlook Stable;

  -- $164,258,000d class A-2 'AAAsf'; Outlook Stable;

  -- $67,056,000 class A-3 'AAAsf'; Outlook Stable;

  -- $8,738,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $97,000,000a class A-4 'AAAsf'; Outlook Stable;

  -- $282,095,000a class A-5 'AAAsf'; Outlook Stable;

  -- $106,300,000 class A-M 'AAAsf'; Outlook Stable;

  -- $33,569,000 class B 'AA-sf'; Outlook Stable;

  -- $34,687,000 class C 'A-sf'; Outlook Stable;

  -- $23,499,000d class D 'BBBsf'; Outlook Stable;

  -- $16,784,000d class E 'BBB-sf'; Outlook Stable;

  -- $15,665,000cd class F 'BB-sf'; Outlook Stable;

  -- $8,952,000cdf class G-RR 'B-sf'; Outlook Stable;

  -- $732,914,000b class X-A 'AAAsf'; Outlook Stable.

  -- $33,569,000bd class X-B 'AA-sf'; Outlook Stable;

  -- $40,283,000bd class X-D 'BBB-sf'; Outlook Stable;

  -- $15,665,000bcd class X-F 'BB-sf'; Outlook Stable;

  -- $121,775,000bdg class AGN-X 'B-sf'; Outlook Stable;

  -- $27,900,000dg class AGN-D 'BBB-sf'; Outlook Stable;

  -- $42,875,000dg class AGN-E 'BB-sf'; Outlook Stable;

  -- $51,000,000dg class AGN-F 'B-sf'; Outlook Stable;

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

  -- $29,093,108cdf class H-RR;

  -- $29,723,796e class RR Certificates;

  -- $9,576,204e class RR Interest;

  -- $41,625,000dg class AGN-G;

  -- $8,600,000deg class AGN-VRR Interest

a) The exact certificate balances of the class A-4 and class A-5
certificates are unknown and will be determined based on the final
pricing of those classes of certificates. The aggregate initial
certificate balance of the class A-4 and class A-5 certificates is
expected to be approximately $379,095,000, subject to a variance of
plus or minus 5%. Fitch's certificate balances for classes A-4 and
A-5 are assumed at the midpoint of the range for each class.

b) Notional amount and interest only.

c) The initial certificate balance of class F, class G-RR and class
H-RR certificates, and the notional amount of the class X-F
certificates, is subject to change based on final pricing of all
pooled principal balance certificates.

d) Privately placed and pursuant to Rule 144A.

e) Vertical credit-risk retention interest.

f) Horizontal credit-risk retention.

g) The transaction includes six classes of non-offered,
loan-specific certificates (non-pooled rake classes) related to the
companion loan of the Agellan Portfolio.

The expected ratings are based on information provided by the
issuer as of July 20, 2020.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 37 loans secured by 154
commercial properties having an aggregate principal balance of
$934,463,108 as of the cut-off date. The loans were contributed to
the trust by German American Capital Corporation, JPMorgan Chase
Bank, National Association, Goldman Sachs Mortgage Company, and
Citi Real Estate Funding Inc.

KEY RATING DRIVERS

Fitch Leverage Lower than Recent Transactions: The pool has lower
leverage than other recent Fitch-rated multiborrower transactions.
The pool's Fitch LTV of 89.9% is well below the 2019 and YTD
averages of 103.0% and 98.5%, respectively. The pool's Fitch DSCR
of 1.31x is above the 2019 average of 1.26x and in line with the
YTD 2020 average of 1.31x.

Credit Opinion Loans: The pool includes 10 loans, representing
46.8% of the deal that received investment-grade credit opinions.
This is a significantly higher concentration than the YTD 2020 and
2019 averages of 28.5% and 14.2%, respectively. Agellan Portfolio
(8.0% of pool) received a stand-alone credit opinion of 'A-sf*',
Moffett Towers Buildings A, B & C (8.0% of pool), BX Industrial
Portfolio (7.5% of pool), 1633 Broadway (6.7% of pool), Bellagio
Hotel and Casino (2.3% of pool), Chase Center Tower I (1.9% of
pool), Chase Center Tower II (1.7% of pool), and Kings Plaza (1.5%
of pool ) all received a stand-alone credit opinion of 'BBB-sf*',
MGM Grand & Mandalay Bay (7.0% of pool) received a stand-alone
credit opinion of 'BBB+sf*', and Southcenter Mall (2.1% of pool)
received a stand-alone credit opinion of 'AAAsf*'.

Concentrated Pool: The top 10 loans comprise 62.2% of the pool,
which is greater than the YTD 2020 average of 54.4% and the 2019
average of 51.0%. The loan concentration index of 493 is greater
than the YTD 2020 and 2019 averages of 409 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 positive
rating action/upgrade:

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'.

20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AAsf' / 'A+sf' /
'BBB+sf' / 'BBB+sf'.

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

Similarly, improvement in cash flow increases property value and
capacity to meet its debt service obligations. The table 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'.

10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /'
BB-sf' / 'B-sf'.

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

30% NCF Decline: 'Asf' / 'BBB+sf' / 'BB+sf' / 'B+sf'/ 'CCCsf' /
'CCCsf' / 'CCCsf'.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


BROOKSIDE MILL: Moody's Lowers Rating on Class F Notes to B1
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Brookside Mill CLO Ltd.:

US$23,100,000 Class E-R Deferrable Mezzanine Floating Rate Notes
Due January 2028, Downgraded to B1 (sf); April 17, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

US$3,150,000 (not including $66,844.23 of deferred interest) Class
F Deferrable Mezzanine Floating Rate Notes Due January 2028,
Downgraded to Caa1 (sf); April 17, 2020 B3 (sf) Placed Under Review
for Possible Downgrade

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

US$26,460,000 Class D-R Deferrable Mezzanine Floating Rate Notes
Due January 2028, Confirmed at Baa3 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D-R, the Class E-R and the Class F notes. The
CLO, issued in May 2013 and refinanced in February 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 rating actions on the Class E-R and Class 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, exposure to
Caa-rated assets has increased and expected losses on certain notes
have increased materially.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the 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 over-collateralization
levels. Moody's analysis also considered the positive impact on the
notes of the reduction of leverage as the deal continues to
amortize. Consequently, Moody's has confirmed the rating on the
Classes D-R notes.

Based on Moody's calculation, the weighted average rating factor is
3399 as of June 2020, or 9.7% worse compared to 3099 reported in
the March 2020 trustee report [1]. Moody's calculation also showed
the WARF was failing the test level of 3123 reported in the June
2020 trustee report [2] by 276 points. Moody's noted that
approximately 32.1% of the CLO's par was from obligors assigned a
negative outlook and 1.8% 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
20.2% as of June 2020. Furthermore, Moody's calculated the
over-collateralization ratios (excluding haircuts) for the Class E
and Class F notes as of June 2020 at 104.7% and 103.8%
respectively. Moody's noted that the OC test for the Class E notes
was recently reported in June 2020 trustee report [3] as failing
its trigger level, and as a result, interest payments were
subsequently deferred on the Class F notes, and collections were
applied to repay the senior notes. If this failure was to occur on
the next payment date it could result in the repayment of senior
notes, and deferral of current interest payments on the junior
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 portfolio par of
$383 million, defaulted par of $11.1 million, a weighted average
default probability of 24.46% (implying a WARF of 3399), a weighted
average recovery rate upon default of 48.17%, a diversity score of
76 and a weighted average spread of 3.29%. 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 restrictions on trading
resulting from the end of the reinvestment period and the CLO
manager's recent investment decisions.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in the US economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. 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. Although
the CLO manager's latitude for investment decisions and management
of the transaction has become more limited after the end of the
reinvestment period, any such activities will nonetheless 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.


CANTOR COMMERCIAL 2011-C2: Fitch Affirms B Rating on Cl. G Certs
----------------------------------------------------------------
Fitch Ratings has affirmed nine classes of Cantor Commercial Real
Estate Commercial Mortgage Trust 2011-C2 commercial mortgage
pass-through certificates.

CFCRE 2011-C2

  - Class A-4 12527DAR1; LT AAAsf; Affirmed

  - Class A-J 12527DAC4; LT AAAsf; Affirmed

  - Class B 12527DAD2; LT AAsf; Affirmed

  - Class C 12527DAE0; LT Asf; Affirmed

  - Class D 12527DAF7; LT BBB+sf; Affirmed

  - Class E 12527DAG5; LT BBB-sf; Affirmed

  - Class F 12527DAH3; LT BBsf; Affirmed

  - Class G 12527DAJ9; LT Bsf; Affirmed

  - Class X-A 12527DAA8; LT AAAsf; Affirmed

KEY RATING DRIVERS

Increased Loss Projections: Although the Hanford Mall loan (6.9%)
has defeased, overall loss expectations have increased. The Hanford
Mall loan was previously the largest contributor to loss
expectations. There are five Fitch Loans of Concern (36.5%); the
loans were flagged for significant upcoming tenant rollover risk,
deteriorating performance or requesting forbearance due to the
impact of the coronavirus pandemic.

FLOC: RiverTown Crossings Mall (26.2%) is secured by a 1.3
million-sf (635,769-sf collateral space) regional mall located in
Grandville, MI. The largest collateral tenant, Dick's Sporting
Goods (14.4% net rentable area), has a lease that expires on Jan.
31, 2025. Additionally, the four remaining non-collateral anchors
(Macy's, Sears, JC Penney and Kohl's) have leases that expire on
Dec. 31, 2049. Non-collateral anchor tenant Younkers vacated in
2018, and the space remains vacant. Fitch's base case loss
expectations have increased reflecting concerns with tenant
rollover, exposure to weaker anchor tenants and the upcoming
maturity in 2021. If performance does not recover to near
pre-pandemic levels, the loan may default at maturity or receive a
loan extension.

Marketplace at Santee (6%) is secured by a 68,662-sf retail center
located in Santee, CA. The property is anchored by Sprouts Farmers
Market grocery store (40%; lease expires 2024). A forbearance
request is under review as a result of the negative impact on
performance due to the coronavirus pandemic.

DC Mixed Use Portfolio B (2%) is secured by three mixed use
properties totaling 22,758 sf. Occupancy declined to 68% at YE 2019
from 96% at YE 2018. Rent rolls were requested and remain
outstanding.

The two remaining FLOCs (2.3%) are outside of the top 15 and have a
received a forbearance request due to the negative impact on
performance caused by the coronavirus pandemic.

Increased Credit Enhancement: As of the June 2020 distribution
date, the pool's aggregate balance has been reduced by 57.8% to
$326.9 million from $774.1 million at issuance. A total of 14 loans
(46.3%) are defeased, compared to seven loans (23.6%) at the last
rating action. All loans are amortizing. However, the increased CE
and high defeasance did not result in upgrades due to the increased
deal concentrations and FLOCs. Only 28 of the original 51 loans
remain, and the top 10 and top 15 loans represent 73.1% and 83.3%,
respectively.

Alternative Loss Considerations: Fitch applied an outsized loss of
45% to the RiverTown Crossings Mall in addition to its increased
base case loss of 25%, due to its exposure to weak anchor tenants,
declining sales or lack of updated sales and upcoming tenant
rollover concerns. The Negative Rating Outlooks on classes E, F and
G reflect this analysis as well as the lack of upgrades to more
senior classes.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail, and multifamily properties is expected from the
coronavirus pandemic due to the recent and sudden reductions in
travel and tourism, temporary property closures and lack of clarity
on the potential duration of the pandemic. The pandemic has
resulted in temporary closures of several hotel properties, malls,
entertainment venues and individual stores.

Retail Concentration: 65.1% of the pool is collateralized by retail
properties. Regional mall exposure consists of the RiverTown
Crossings Mall, the largest loan in the pool.

Maturity Schedule: All loans mature in 2021.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E, F and G are due to
increased loss expectations with respect to Rivertown Crossings
Mall. Downgrades of one category or more are possible. Performance
concerns, particularly of hotel and retail properties, as a result
of the economic slowdown stemming from the coronavirus pandemic
have also been factored into Fitch's analysis. The Stable Rating
Outlooks on classes A-4 through D reflect increasing CE, continued
amortization and stable performance for a majority of the loans in
the pool.

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

Sensitivity Factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Upgrades to class B to 'AAAsf' and to class C to 'AAsf' or 'AAAsf'
would likely occur if loans continue to perform through 2021 and
maturing loans are able to secure financing. However, adverse
selection, increased concentrations or the underperformance of
particular loans, especially those impacted by the coronavirus
pandemic may limit the potential for future upgrades. An upgrade to
classes D, E, F and G are considered unlikely and would be limited
based on the sensitivity to concentrations including the largest
loan in the pool or the potential for future concentrations.

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

Sensitivity Factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades to classes B and C are not expected given the position
in the capital structure, but may occur should interest shortfalls
occur or a significant number of loans default at maturity. A
downgrade to class D is considered unlikely, but is possible should
there be any significant performance declines or loans fail to pay
off at their respective maturities and are considered unlikely to
resolve in the near term. Downgrades to classes E, F and G are
possible if performance at the Rivertown Crossings Mall declines or
the loan defaults or transfers to special servicing.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the coronavirus pandemic 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

CFCRE 2011-C2: Exposure to Social Impacts: 3

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).


CARLYLE US 2017-2: Moody's Cuts Rating on Class D Notes to B1
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Carlyle US CLO 2017-2, Ltd.:

US$38,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 Downgraded to Ba1 (sf); previously on April 17, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 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$32,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2031, 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 C and Class D notes and on June 3, 2020 on
the Class B notes issued by the CLO. Carlyle US CLO 2017-2, Ltd.,
issued in June 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 July 2023.

RATINGS RATIONALE

The downgrade on the Class C and Class D 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 3414 as of June 2020, or 18% worse compared to a WARF of 2891
reported in the March 2020 trustee report [1]. Moody's calculation
also showed the WARF was failing the test level of 2879 reported in
the June 2020 trustee report [2] by 535 points. Moody's noted that
approximately 36% of the CLO's par was from obligors assigned a
negative outlook and 1% 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 20%
of the CLO par as of June 2020. Furthermore, Moody's calculated the
total collateral par balance, including recoveries from defaulted
securities, at $587.8 million, or $12.2 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
and Class D notes as of June 2020 at 111.32% and 106.48%,
respectively.

The rating confirmation on the Class B notes reflects the notes'
priority position in the CLO's capital structure and the level of
credit enhancement available to it from over-collateralization and
cash flows that would be diverted as a result of coverage test
failures. Based on Moody's calculation, the OC ratio (excluding
haircuts) for the Class B notes is currently 119.96%, compared to
its trigger level of 114.40%. Moody's also noted that according to
the trustee's June 2020 report [2], the interest diversion test is
failing its trigger. If this failure was to occur on the next
payment date it would result in a proportion 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 $582.7 million, defaulted par of
$10.2 million, a weighted average default probability of 28.26%
(implying a WARF of 3414), a weighted average recovery rate upon
default of 47.95%, a diversity score of 89 and a weighted average
spread of 3.45%. Moody's also analyzed the CLO by incorporating an
approximately $9.1 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.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in the US economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. 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.


CHASE MORTGAGE 2020-CL1: Fitch Gives B(EXP) Rating on M-5 Notes
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Chase Mortgage
Reference Notes 2020-CL1.

Chase 2020-CL1

  - Class A-R1; LT NR(EXP)sf Expected Rating   

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

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

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

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

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

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

TRANSACTION SUMMARY

Fitch Ratings expects to rate the class M notes for JPMorgan Chase
Bank, N.A.'s second credit-linked note transaction, Chase Mortgage
Reference Notes 2020-CL1. The notes are general unsecured debt
obligations of JPMCB (AA/F1+/Negative), and, therefore, the ratings
are directly linked to those of JPMCB.

The objective of the transaction is to transfer credit risk to
noteholders via the incorporation of tranched credit default swap
documentation. Principal payments on the notes are based on the
actual payments received and performance of a reference pool
consisting of 8,683 prime-quality residential mortgage loans with a
total balance of $2,002,451,786 as of the cut-off date.

A substantial majority, and possibly all of the loans were
originally negative amortization loans originated by Washington
Mutual through either its retail channel or correspondent channel
or acquired by Washington Mutual via bulk purchases between 1986
and 2008. All the loans were preemptively modified by a prior
servicer or the servicer (JP Morgan Chase) at least once. All the
negative amortization loans were modified into fixed rate loans.
The loans were modified between 2007 and 2013 and now have
maturities that range from approximately 15 to 50 years. All of the
loans have been current for 36 months. Due to the seasoning of the
loans, the loans were not underwritten to the Ability to Repay or
Appendix Q.

The notes are uncapped LIBOR (London Inter-bank Offered Rate)
floaters, and JPMCB will be solely responsible for the payment of
principal and interest to class M and B noteholders. Given the
structure and dependence on JPMCB, Fitch's ratings on the class M
notes are capped at the lower of 1) the quality of the mortgage
loan reference pool and credit enhancement available through
subordination, and 2) Fitch's Issuer Default Rating of JPMCB.

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): The coronavirus pandemic
and resulting government-led containment efforts have resulted in
revisions to Fitch's GDP estimates for 2020. The agency's current
Baseline Outlook for U.S. GDP growth is -5.6% for 2020, down from
1.7% for 2019. To account for declining macroeconomic conditions,
Economic Risk Factor default variables for the 'Bsf' and 'BBsf'
rating categories were increased from floors of 1.0 and 1.5,
respectively, to 2.0. The ERF floor of 2.0 best approximates its
baseline GDP for 2020 and a recovery of 4.3% in 2021. If conditions
deteriorate further and the recovery is longer or less than current
projections, the ERF floors may be further revised upward.

Expected Payment Deferrals Related to Coronavirus Pandemic
(Negative): The coronavirus pandemic and widespread containment
efforts in the U.S. will result in increased unemployment and
cashflow disruptions. To account for the cashflow disruptions,
Fitch assumes deferred payments on a minimum of 25% of the pool for
the first six months of the transaction at all rating categories,
with a reversion to its standard delinquency and liquidation timing
curve by month 10. This assumption is based on observations of
legacy Alt-A delinquencies and past due payments following 2017's
Hurricane Maria in Puerto Rico.

Payment Forbearance (Neutral): There are no loans in the pool that
are currently on or have requested a coronavirus forbearance or
deferral plan as of the cut-off date. If a borrower seeks
pandemic-related relief after the cut-off date but prior to the
closing date, the loan will be removed from the reference pool and
the unpaid balance of the loan will be treated as a prepayment in
full. If a borrower seeks pandemic-related relief after the closing
date, it is up to the servicer, JPMCB, to determine what type of
coronavirus relief plan will work best for the borrower.

The forbearance plans generally offered are three months of
forbearance (which can be extended up to 12 months) with the
following repayment options: repayment in full at four months or
after the term of the forbearance plan ends, repayment plan,
deferral (similar to CAS/STACR [Connecticut Avenue
Securities/Structured Agency Credit Risk]) where missed payments
are added to the unpaid principal balance and are
non-interest-bearing) or other loss mitigation options.

Loans on pandemic relief plans will be counted as delinquent. JPMCB
will still be obligated to pay on the outstanding UPB until there
is a realized loss on the reference obligation (similar to
CAS/STACR). Since this is a synthetic transaction and JPMCB is
responsible for making the payments, this transaction is not
reliant on the servicer advancing.

High Credit Quality (Positive): The referenced collateral consists
of fixed-rate loans with maturities of approximately 15 to 50 years
that are seasoned approximately 175 months and are mostly fully
amortizing loans. A substantial majority, and possibly all of the
loans were originally negative amortization loans originated by
Washington Mutual through either its retail channel or
correspondent channel or acquired by Washington Mutual via bulk
purchases between 1986 and 2008. All the loans were preemptively
modified by a prior servicer or the servicer (JP Morgan Chase) at
least once. All the negative amortization loans were modified into
fixed rate loans. The loans were modified between 2007 and 2013 and
now have maturities that range from approximately 15 to 50 years.
All loans have been current for 36 months. The borrowers in this
pool have strong credit profiles (742 FICO as calculated by Fitch)
and relatively low leverage (a 57.7% sustainable loan-to-value
ratio). Ninety-one loans are over $1 million, and the largest loan
is $4.45 million

Geographic Concentration (Negative): Approximately 59% of the pool
is concentrated in California, with relatively low MSA
concentration. The largest MSA concentration is in the Los Angeles
MSA (20.0%), followed by the San Francisco (11.9%) and San Diego
(5.5%) MSAs. The top three MSAs account for 37.4% of the pool. As a
result, there was a 1.03x adjustment for geographic concentration.

26% Investor Loans (Negative): These loans were underwritten to the
borrower's credit risk, unlike investor cashflow loans, which are
underwritten to the property's income. The investor loans have a
slightly stronger borrower credit profile when compared to the
entire pool, with a weighted average updated FICO score of 747
versus a weighted average updated FICO score of 742 (as calculated
by Fitch) for the entire pool, as well as a weighted average
original LTV of 71.1% versus a weighted average original LTV of
73.3% for the entire pool.

Counterparty Risk (Negative): Ratings on the notes are directly
linked to the IDR of the counterparty, JPMCB (AA/F1+/Negative).
There is no transfer or sale of assets, and the referenced
collateral will remain on balance sheet as unencumbered assets of
the bank. Interest and principal payments on the notes are
unsecured debt obligations of JPMCB.

Prior to the monthly payment date, funds deposited by JPMCB that
are awaiting distribution will be held at Wells Fargo Bank, N.A.
(AA-/F1+) in a segregated trust account for the benefit of the
notes. Funds in this account can be invested in eligible
investments that are consistent with Fitch's criteria and will
mature prior to the payment date of the notes. Funds in the
distribution account are held for two business days.

Minimal Operational Risk (Positive): JPMCB has a long operating
history of originating and securitizing residential mortgage loans
and is assessed as 'Above Average' by Fitch. JPMCB is also the
servicer of this transaction and is rated 'RPS1-' by Fitch. Loan
origination and servicer quality have an impact on performance, and
Fitch lowers its loss expectations for highly rated originators and
servicers (rated 1- or higher) due to their strong practices and
higher expected recoveries. Fitch reduced its 'AAsf' loss
expectations by 44 basis points (bps) to account for the low
operational risk associated with this pool.

Third-Party Due Diligence (Neutral): Third-party due diligence was
performed by a Fitch-assessed 'Acceptable-Tier 1' due diligence
review firm on a representative diligence sample of 2,331 loans, of
which 1,833 (21%) of the loans are in the transaction. The loans
are seasoned 175 months and all have clean pay histories. The due
diligence results are in line with similar pools, with 87% graded
'A' or 'B'. While there were findings based on the due diligence
review, loan-level adjustments were not applied. Fitch viewed the
eligibility criteria and JPMCB's IDR as mitigants. As a result, the
expected losses were not impacted by the due diligence results.

Property Value Variances (Negative): While the third-party review
firm reviewed the original appraisal quality and found no material
differences, updated property valuations were obtained for 100% of
the pool due to the reference pool's seasoning. Of the updated
valuations obtained, roughly 92% (based on unpaid balance) received
a value determined by the Clear Capital Automated Valuation Model,
CoreLogic AVM products or House Canary AVM products, approximately
3% (by unpaid balance) received broker price opinions, and the
remaining 5% (by unpaid balance) Fitch indexed the original
property value.

Eligibility Criteria Framework (Positive): JPMCB has outlined
loan-level eligibility criteria with respect to the reference pool.
The construct is viewed by Fitch as a Tier 2 framework due to 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. The representations and warranties are being provided by
JPMCB, rated 'AA'/'F1+'/Negative by Fitch. The framework, together
with JPMCB's financial strength as an Eligibility Criteria
provider, results in no adjustment to Fitch's expected loss.

Loans identified by the reviewer as having a material test failure
with respect to the eligibility criteria and which the reviewer
determined to not be eligible loans, with such determination by the
reviewer not subject to arbitration, not eligible to be subject to
arbitration and which have not been overturned in an arbitration,
will be deemed "ineligible reference obligations" and will be
removed from the pool at par. For any liquidated reference
obligation that incurred a realized loss and is deemed to be an
ineligible reference obligation, the removal price will be the
lessor of the amount of the related realized loss and the sum of
amounts as outlined in the "Removal Price Limitation" column of the
Eligibility Criteria.

Arbitration expenses will be paid out of interest payable on the
notes if JPMCB prevails in arbitration proceedings; otherwise,
JPMCB will be responsible for all expenses.

Pro-Rata Pay Structure (Negative): The mortgage cashflows are
allocated based on a pro-rata pay structure. Scheduled and
unscheduled principal is allocated pro rata based on the respective
senior (class A-R1) and subordinate (classes M and B) percentages.
Distributions to the subordinated M and B classes are subject to
certain performance and CE tests; if the tests are not satisfied,
the senior class A-R1 certificate is allocated 100% of all
principal.

In addition, lower-rated subordinated classes will be locked out of
principal entirely if the current CE for such class is less than
the sum of the original CE plus 25% of the balance of loans that
are deemed nonperforming (i.e. 90-plus days past due, in
foreclosure or bankruptcy or REO).The lockout feature helps
maintain subordination for a longer period should losses occur
later in the life of the deal. This feature redirects subordinate
principal to classes of higher seniority if specified CE levels are
not maintained. Losses are allocated reverse sequentially, with the
unrated B class absorbing losses first.

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordinate CE
floor of 0.40% ($8,009,807) will be maintained for the subordinate
notes. There will not be a senior CE floor for this transaction.
Not having a senior CE floor benefits the class M notes by allowing
them to receive principal sooner than if a senior CE floor was in
place.

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 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.

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

The defined stress sensitivity analysis above 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 6.1%. As shown in the preceding table, the analysis
indicates 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. 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 2Q21. Under this severe scenario, Fitch expects
the ratings to be impacted by changes in its sustainable home price
model due to updates to the model's underlying economic data
inputs. Any long-term impact arising from coronavirus disruptions
on these economic inputs will likely affect both investment and
speculative grade ratings.

BEST/WORST CASE RATING SCENARIO

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

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

The third-party due diligence focused on three areas: a compliance
review, a credit review, and a valuation review, and was conducted
on 21% 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.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on a representative sample. The third-party due diligence
was generally consistent with Fitch's "U.S. RMBS Rating Criteria."
AMC was engaged to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades and
assigned initial grades for each subcategory. Minimal exceptions
and waivers were noted in the due diligence reports.

Fitch also utilized data files made available by the issuer on its
SEC Rule 17g-5-designated website. Fitch received loan-level
information based on the ASF data layout format, and the data are
considered comprehensive. The ASF data tape layout was established
with input from various industry participants, including rating
agencies, issuers, originators, investors and others, to produce an
industry standard for the pool-level data in support of the U.S.
RMBS securitization market. The data contained in the ASF layout
data tape were reviewed by the due diligence companies, and no
material discrepancies were noted.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

There is credit linkage to JP Morgan Chase Bank N.A. currently
rated 'AA'/Negative. JPMCB will be solely responsible for the
payment of principal and interest to class M and B noteholders.
Given the structure and dependence on JPMCB, Fitch's ratings on the
class M notes are capped at the lower of 1) the quality of the
mortgage loan reference pool and credit enhancement available
through subordination and 2) Fitch's Issuer Default Rating of
JPMCB.

ESG CONSIDERATIONS

Chase Mortgage Reference Notes 2019-CL1 has an ESG Relevance Score
of +4 for Transaction & Collateral Structure due to the operational
risk that is well controlled for including strong R&W framework,
transaction due diligence results, 'Above Average' originator and
'Above Average' servicer, which resulted in a reduction in the
expected loss, and is relevant to the rating.

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).


CIM TRUST 2020-J1: Moody's Gives (P)B1 Rating on Class B-5 Debt
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 34
classes of residential mortgage-backed securities issued by CIM
Trust 2020-J1. The ratings range from (P)Aaa (sf) to (P)B1 (sf).

CIM Trust 2020-J1 is a securitization of 30-year prime residential
mortgages. This transaction represents the first non-investor prime
jumbo issuance by Chimera Investment Corporation in 2020. The
transaction includes 494 fixed rate, first lien-mortgages. There
are 198 GSE-eligible high balance (31.90% by balance) and 296 prime
jumbos (68.10% by loan balance) mortgage loans in the pool. The
mortgage loans for this transaction have been acquired by the
affiliate of the sponsor, Fifth Avenue Trust from Bank of America,
National Association.

All of the loans are designated as qualified mortgages either under
the QM safe harbor or the GSE temporary exemption under the
Ability-to-Repay rules. Shellpoint Mortgage Servicing will service
the loans and Wells Fargo Bank, N.A. (Aa2, long term debt) will be
the master servicer. SMS will be the servicer and responsible for
advancing principal and interest and servicing advances, with the
master servicer backing up SMS' advancing obligations if SMS cannot
fulfill them.

Four third-party review firms verified the accuracy of the loan
level information that Moody's received from the Sponsor. These
firms conducted detailed credit, property valuation, data accuracy
and compliance reviews on 100% of the mortgage loans in the
collateral pool. The TPR results indicate that there are no
material compliance, credit, or data issues and no appraisal
defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis model. It also compared the collateral
pool to other prime jumbo securitizations. In addition, it adjusted
its expected losses based on qualitative attributes, including the
financial strength of the representation and warranties provider
and TPR results.

CIM 2020-J1 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
its analysis of tail risk, it considered the increased risk from
borrowers with more than one mortgage in the pool.

The complete rating actions are as follows:

Issuer: CIM Trust 2020-J1

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-13, Assigned (P)Aa1 (sf)

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

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

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

Cl. A-IO1*, Assigned (P)Aaa (sf)

Cl. A-IO2*, Assigned (P)Aaa (sf)

Cl. A-IO3*, Assigned (P)Aaa (sf)

Cl. A-IO4*, Assigned (P)Aaa (sf)

Cl. A-IO5*, Assigned (P)Aaa (sf)

Cl. A-IO6*, Assigned (P)Aaa (sf)

Cl. A-IO7*, Assigned (P)Aaa (sf)

Cl. A-IO8*, Assigned (P)Aa1 (sf)

Cl. A-IO9*, Assigned (P)Aaa (sf)

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

Cl. B-IO1*, Assigned (P)Aa3 (sf)

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

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

Cl. B-IO2*, Assigned (P)A2 (sf)

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

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

Cl. B-4, Assigned (P)Ba1 (sf)

Cl. B-5, Assigned (P)B1 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.32%
at the mean and 0.15% at the median, and reaches 4.32% at a stress
level consistent with its Aaa ratings.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of US RMBS from the collapse in the
US economic activity in the second quarter and a gradual recovery
in the second half of the year. However, that outcome depends on
whether governments can reopen their economies while also
safeguarding public health and avoiding a further surge in
infections.

The contraction in economic activity in the second quarter was
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
increased its model-derived median expected losses by 15%
(approximately 10% for the mean) and its Aaa losses by 5% to
reflect the likely performance deterioration resulting from of a
slowdown in US economic activity in 2020 due to the COVID-19
outbreak.

Moody's regards the COVID-19 outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Moody's based its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence and the
R&W framework of the transaction.

Collateral Description

Moody's assessed the collateral pool as of the cut-off date of July
1, 2020. CIM 2020-J1 is a securitization of 494 mortgage loans with
an aggregate principal balance of $361,766,033.93. This transaction
consists of fixed-rate fully amortizing loans, which will not
expose the borrowers to any interest rate shock for the life of the
loan or to refinance risk. All of the mortgage loans are secured by
first liens on one- to four- family residential properties,
condominiums, and planned unit developments. The loans have a
weighted average seasoning of approximately six months.

Overall, the credit quality of the mortgage loans backing this
transaction is in line with recently issued prime jumbo
transactions. The WA FICO of the aggregate pool is 771.67 (770 in
CIM 2019-J2 and CIM 2019-J1) with a WA LTV of 66.6% (70.3% in CIM
2019-J2 and 65.9% in CIM 2019-J1) and WA CLTV of 66.9%. (70.3% in
CIM 2019-J2 and CIM 66.1% in 2019-J1) Approximately 29.9% (by loan
balance) of the pool has a LTV ratio greater than 75% compared to
42.8% in CIM 2019-J2 and 31.5% in CIM 2019-J1.

Origination

There are 17 originators in the transaction, some of which may have
limited history of securitizing prime jumbo mortgages. The largest
originators in the pool with more than 5% by balance are
loanDepot.com, LLC (25.0%), Home Point Financial Corporation
(15.8%), AmeriHome Mortgage Company LLC (10.9%), United Shore
Financial Services, LLC (9.6%), Guaranteed Rate, Inc. (7.1%),
NewRez, LLC (6.1%) and JMAC Lending Inc. (5.1%).

Underwriting guidelines

Approximately 68.20% of the loans by loan balance are prime jumbo
loans, of which 50.7% were underwritten to Chimera's underwriting
guidelines and 17.38% of the loans were underwritten to respective
originator guidelines. 31.9% of the loans are conforming loans and
were originated in conformance to GSE guidelines with no overlays.
The GSE-eligible loans also do not include loans originated under
the GSEs' affordability programs such as HomeReady and
HomePossible. None of the GSE-eligible loans were originated under
streamlined documentation programs such as DU Refi Plus. All of the
loans are designated as qualified mortgages either under the QM
safe harbor or the GSE temporary exemption under the
Ability-to-Repay rules.

Moody's increased its base case and Aaa loss expectations for all
loans underwritten to Chimera's underwriting guidelines, as it
considered the underwriting guidelines to be slightly weaker. For
loans that were not acquired under Chimera's guidelines, it made
adjustments based on the origination quality of such loans. While
it was neutral on all GSE-eligible loans, of note, regardless of
the underwriting channel, Moody's increased its base case and Aaa
loss expectations for conforming loans originated by HomePoint
(3.71% of aggregate collateral balance).

Of note, for 14 loans, the file was missing an appraisal because
such loan was approved via a property inspection/appraisal waiver
program. An appraisal waiver loan is a loan for which a traditional
appraisal has been waived. Since the product was only introduced
relatively recently, in a positive macro-economic environment,
sufficient time has not passed to determine whether the loan level
valuation risk related to a GSE loan with an appraisal waiver is
the same as a GSE loan with a traditional appraisal due to lack of
significant data. Thus, to account for the risk associated with
this product, Moody's increased its base case and Aaa loss
expectations for all such loans.

Third Party Review

Four third-party review firms, Clayton Services LLC, Digital Risk,
LLC, Consolidated Analytics, Inc, and Opus Capital Markets
Consultants, LLC, verified the accuracy of the loan level
information that the sponsor gave us. These firms conducted
detailed credit, property valuation, data accuracy and compliance
reviews on 100% of the mortgage loans in the collateral pool. The
TPR results indicate that the majority of reviewed loans were in
compliance with respective originators' underwriting guidelines, no
material compliance or data issues, and no appraisal defects.

The overall property valuation review for this transaction is in
line with most prime jumbo transactions Moody's has rated, which
typically had third-party valuation products, such as collateral
desk appraisal, field review and automated valuation model or a
Collateral Underwriter risk score. However, in some circumstances,
the deal is utilizing exclusively AVMs as a comparison to verify
the original appraisals for some loans, which is weaker than if
they had done so using CDAs for such loans and/or the entire pool.
Moody's took this framework into consideration and did not apply an
adjustment to the loss for such loans since the statistically
significant sample size and valuation results of the loans that
were reviewed using a third-party valuation product such as a CDA,
field review, and a CU risk score of equal to or less than 2.5 (in
the case of GSE-eligible loans) were sufficient.

Of note, for property valuation, of the 527 loans reviewed, 1 loan
was graded level C and all other loans had level A and B property
valuation grades. For the loan graded C, the appraised value from
appraisal in file ($1,115,000) was not supported by a desk review
(-10.31% variance percent). Similarly, to the desk review, the
field review also supported the value of $1,000,000.00, therefore,
this value was ultimately utilized when calculating the LTV/CLTV.
Therefore, Moody's did not make any additional adjustment to its
base case and Aaa loss expectations for TPR.

Reps & Warranties (R&W)

All loans were aggregated by Bank of America National Association
through its whole loan aggregation program. Each originator will
provide comprehensive loan level reps and warranties for their
respective loans. BANA will assign each originator's R&W to the
seller, who will in turn assign to the depositor, which will assign
to the trust. To mitigate the potential concerns regarding the
originators' ability to meet their respective R&W obligations, the
R&W provider will backstop the R&Ws for all originator's loans. The
R&W provider's obligation to backstop third party R&Ws will
terminate five years after the closing date, subject to certain
performance conditions. The R&W provider will also provide the gap
reps.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give confidence that the
loans do not systemically breach the R&Ws the originators have made
and that the originators are unlikely to face material repurchase
requests in the future. The loan-level R&Ws are strong and, in
general, either meet or exceed the baseline set of credit-neutral
R&Ws Moody's identified for US RMBS. Among other considerations,
the R&Ws address property valuation, underwriting, fraud, data
accuracy, regulatory compliance, the presence of title and hazard
insurance, the absence of material property damage, and the
enforceability of mortgage.

In a continued effort to focus breach reviews on loans that are
more likely to contain origination defects that led to or
contributed to the delinquency of the loan, an additional carve out
has been in recent transactions Moody's has rated from other
issuers relating to the delinquency review trigger. Similarly, in
this transaction, exceptions exist for certain excluded disaster
mortgage loans that trip the delinquency trigger. These excluded
disaster loans include COVID-19 forbearance loans.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.10% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 0.60% of the closing pool
balance.

Other Considerations

In CIM 2020-J1, the controlling holder has the option to hire at
its own expense the independent reviewer upon the occurrence of a
review event. If there is no controlling holder (no single entity
holds a majority of the Class Principal Amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at the cost
of the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals is borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter. Moody's considers this credit
neutral because a) the appraiser is chosen by the servicer from the
approved list of appraisers, b) the fair value of the property is
decided by the servicer, based on third party appraisals, and c)
the controlling holder will pay the fair price and accrued
interest.

Servicing Arrangement / COVID-19 Impacted Borrowers

As of July 20, 2020, no borrower under any mortgage loan has
entered into a Covid-19 related forbearance plan with the servicer.
In the event that after the July 20, 2020 date a borrower enters
into or requests a Covid-19 related forbearance plan, such mortgage
loan will remain in the mortgage pool and the servicer will be
required to make advances in respect of delinquent interest and
principal (as well as servicing advances) on such mortgage loan
during the forbearance period (to the extent such advances are
deemed recoverable). Forbearances are being offered in accordance
with applicable state and federal regulatory guidelines and the
homeowner's individual circumstances. At the end of the forbearance
period, as with any other modification, to the extent the related
borrower is not able to make a lump sum payment of the forborne
amount, the servicer may, subject to the servicing matrix, offer
the borrower a repayment plan, enter into a modification with the
borrower (including a modification to defer the forborne amounts)
or utilize any other loss mitigation option permitted under the
pooling and servicing agreement.

As with any other modification, it is anticipated that the servicer
will reimburse itself at the end of the forbearance period for any
advances made by it with respect to such mortgage loan, whether
that be from any lump sum payments made by the related borrower,
from any increased payments received with respect to any repayment
plan entered into by the borrower, or, if modified and capitalized
in connection therewith, at the time of such modification as a
reimbursement of such capitalized advances from principal
collections on all of the mortgage loans. The servicer also has the
right to reimburse itself for any advance from all collections on
the mortgage loans it at any time it deems such advance to be
non-recoverable. With respect to a mortgage loan that was the
subject of a servicing modification, the amount of principal of the
mortgage loan, if any, that has been deferred and that does not
accrue interest will be treated as a realized loss and to the
extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


CITIGROUP COMMERCIAL 2020-WSS: S&P Rates Class F Certs 'B(sf)'
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Citigroup Commercial
Mortgage Trust 2020-WSS' commercial mortgage pass-through
certificates.

The certificate issuance is a CMBS transaction backed by a
commercial mortgage loan secured by the borrowers' fee simple
interests and the operating lessee's leasehold interest in 74
extended-stay WoodSpring Suites hotels across 26 U.S. states.

The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.

  RATINGS ASSIGNED
  Citigroup Commercial Mortgage Trust 2020-WSS

  Class          Rating          Amount ($)
  A              AAA (sf)       148,646,000
  B              AA- (sf)        46,526,000
  C              A- (sf)         42,313,000
  D              BBB- (sf)       51,221,000
  E              BB- (sf)        80,852,000
  F              B (sf)          43,692,000
  VRR interest   NR              21,750,000

  NR--Not rated.


COMM 2012-LTRT: S&P Cuts Ratings on Five Classes From US CMBS Deals
-------------------------------------------------------------------
S&P Global Ratings lowered its ratings on five classes of
commercial mortgage pass-through certificates from COMM 2012-LTRT,
a U.S. CMBS transaction. In addition, S&P affirmed its 'AAA (sf)'
ratings on three other classes from the same transaction. The
ratings on the eight classes were removed from CreditWatch where
they were placed with negative implications on May 6, 2020.

S&P placed its ratings on classes A-1, A-2, B, C, D, E, X-A, and
X-B on CreditWatch negative because of its view of COVID-19's
impact on the performance of the two retail malls and retail mall
sector and the related uncertainty about the duration of the demand
disruption.  

The downgrades and CreditWatch resolutions on classes B, C, D, and
E reflect S&P's reevaluation of the two regional malls securing the
two uncrossed loans in the transaction. S&P's expected-case
valuation, in aggregate, has declined 13.7% since its last review,
driven largely by the application of higher S&P's capitalization
rates on the two loans that the rating agency believes better
captures the challenges now facing the malls and the mall sector as
well as a lower S&P's sustainable net cash flow (NCF) for the Oaks
Mall loan ($101.8 million, 45.7% of the pool trust balance; down
8.3% from last review), to account for the steeper decline in
servicer-reported year-end 2019 net operating income (NOI) than the
rating agency anticipated in its recent March 2020 review. S&P
expects a further decline in performance that the rating agency
believes will continue due to the COVID-19 pandemic. In addition,
S&P considered that both loans, which have reported current payment
statuses, mature in October 2022, and are on the master servicer's
watchlist due to the borrowers' COVID-19 forbearance relief
requests. According to the master servicer, KeyBank Real Estate
Capital (KeyBank), the forbearance requests are in process,
awaiting formal requests, and the loans are not expected to
transfer to special servicing at this time. In addition, the Oaks
Mall loan is on KeyBank's watchlist due to a low reported debt
service coverage (DSC), which was 1.19x on the total debt balance
as of year-end 2019. .

S&P affirmed its ratings on classes A-1 and A-2 even though the
model-indicated ratings were lower than the classes' current rating
levels. This is because S&P weighted qualitative considerations
such as the classes' position in the waterfall, amortized balances
at maturity, the significant market value decline that would be
needed before these classes experience losses, and liquidity
support provided in the form of servicer advancing. S&P also
considered that both malls are open.

S&P affirmed its rating on the class X-A interest-only (IO)
certificates and lowered its rating on the class X-B IO
certificates based on its criteria for rating IO securities, in
which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. The ratings on both IO
classes were removed from CreditWatch negative. Class X-A's
notional balance references classes A-1 and A-2, and class X-B
references classes B, C, D, and E."

S&P acknowledges a high degree of uncertainty about the evolution
of the coronavirus pandemic. The consensus among health experts is
that the pandemic may now be at, or near, its peak in some regions
but will remain a threat until a vaccine or effective treatment is
widely available, which may not occur until the second half of
2021. S&P is using this assumption in assessing the economic and
credit implications associated with the pandemic. As the situation
evolves, the rating agency will update its assumptions and
estimates accordingly.

This is a large loan transaction backed by two uncrossed fixed-rate
amortizing balloon mortgage loans. According to the July 7, 2020,
trustee remittance report, the trust had an aggregated trust
balance of $222.9 million, down from $259.0 million at issuance.
The trust has not incurred any principal losses to date.

Details on the two loans are as follows:

The Westroads Mall loan, the larger of the two loans, has a $121.1
million trust balance (54.3% of the trust balance) down from $140.7
million at issuance and is secured by the borrower's fee interest
in 540,304 sq. ft. of a 1.07 million-sq.-ft. regional mall in
Omaha, Neb. The amortizing loan (based on an amortization schedule)
pays an annual fixed interest rate of 4.30% and matures on Oct. 1,
2022. In addition, there is $15.6 million in mezzanine debt. The
noncollateral components include vacant Macy's (173,065 sq. ft.;
'B+/Negative'), JC Penney (177,223 sq. ft.; not rated), and Von
Maur (179,114 sq. ft.; not rated).

S&P's analysis considered the relatively flat servicer-reported NOI
from 2014 to 2018 and the slight decline in 2019 (down 5.1%). The
rating agency attributed the decline primarily to lower gross rent
due to a drop in reported occupancy (89.1% in 2019 compared to
97.8% in 2018) and higher operating expenses. The in-line sales
figure was relatively flat ($460 per sq. ft., as calculated by S&P)
and occupancy cost was about 16.0% using the December 2019 tenant
sales report, as calculated by S&P. The rating agency derived its
sustainable NCF of $15.1 million (unchanged from the last review
and 3.7% lower than the 2019 servicer-reported NCF). Using an S&P's
capitalization rate of 9.00% (up from 7.75% in the last review;
details below), the rating agency arrived at its expected-case
value of $167.1 million, down 13.9% from the last review. Its
expected case value yielded an S&P's loan-to-value (LTV) ratio of
72.5% and an S&P's DSC of 1.81x on the trust balance.

S&P increased its capitalization rate by 125 basis points from the
last review to account for cash flow volatility due to declining or
weakening trends within the retail mall sector, the overall
perceived increase in the market risk premium for this property
type, vacant and weak anchor and major tenants at the property, and
S&P's calculated in-line sales per sq. ft.

KeyBank reported a DSC of 1.89x for the year ended Dec. 31, 2019,
and occupancy was 85.3% (after assuming Forever 21's 30,796 sq. ft.
space is vacant), according to the March 31, 2020, rent roll. The
five largest tenants comprised 40.0% of the collateral's net
rentable area (NRA). In addition, the NRA include leases that
expire in 2020 (7.7%), 2021 (5.6%), 2022 (5.4%), and 2023 (23.5%).
The majority of the 2023 expiry is from major tenants, AMC
Westroads (73,252 sq. ft.) and DSW (14,704 sq. ft.).

The Oaks Mall loan, the smallest loan in the pool, has a $101.8
million trust balance, down from $118.3 million at issuance, and is
secured by the borrower's fee interest in 581,849 sq. ft. of a
906,349-sq.-ft. regional mall in Gainesville, Fla. The amortizing
loan (based on an amortization schedule) pays an annual fixed
interest rate of 4.12% and matures on Oct. 1, 2022. In addition,
there is $20.7 million in mezzanine debt. The noncollateral and
ground leased components include a vacant Sears (136,000 sq. ft.;
not rated), Macy's (103,500 sq. ft.; 'B+/Negative'), and Dillard's
(85,000 sq. ft.; 'BB-/Negative'). S&P visited the mall on Feb. 6,
2020, and noted that the former Sears space is now occupied by
University of Florida Health. During the property visit, S&P noted
that there are a few lifestyle centers around the property and they
presented better in comparison to this mall.

S&P's analysis considered the declining servicer-reported NOI:
negative 17.5% in 2019 and negative 6.7% in 2018 due primarily to
lower gross rent and other income revenue. The in-line sales figure
was relatively flat ($321 per sq. ft., as calculated by S&P) and
occupancy cost was about 16.2% using the December 2019 tenant sales
report, as calculated by S&P. The rating agency derived its
sustainable NCF of $10.4 million, down 8.3% from the last review
and relatively flat from the servicer-reported 2019 NCF. Using an
S&P's capitalization rate of 9.00% (up from 8.50% in the last
review; details below), the rating agency arrived at its
expected-case value of $115.7 million, down 13.4% from the last
review. Its expected case value yielded an S&P LTV ratio of 87.9%
and an S&P's DSC of 1.51x on the trust balance.

S&P increased its capitalization rate by 50 basis points from the
last review to account for cash flow volatility due to declining or
weakening trends within the retail mall sector, the overall
perceived increase in the market risk premium for this property
type, vacant and weak anchor and major tenants at the property, and
S&P's calculated in-line sales per sq. ft."

KeyBank reported a DSC of 1.49x on the trust balance and 1.19x on
the total debt balance for year-end 2019, and occupancy was 63.9%
(after assuming the JC Penney [133,561 sq. ft.] and the Forever 21
[28,195 sq. ft.] spaces are vacant), according to the March 31,
2020, rent roll. The five largest tenants comprised 50.6% of the
collateral NRA. In addition, the NRA include leases that expire in
2020 (1.4%), 2021 (7.5%), 2022 (6.9%), and 2023 (21.4%). The leases
rolling in 2023 are primarily from JC Penney (January 2023 lease
expiration) and Belk (99,806 sq. ft. February 2023).

Environmental, social, and governance (ESG) factors relevant to the
rating action:

-- Health and safety.
                                            
     
  RATINGS LOWERED AND REMOVED FROM CREDITWATCH WITH NEGATIVE
  IMPLICATIONS
  COMM 2012-LTRT
  Commercial mortgage pass-through certificates     
                 Rating
  Class     To           From     
  B         A- (sf)      AA (sf)/Watch Neg     
  C         BBB- (sf)    A- (sf)/Watch Neg     
  D         BB (sf)      BBB- (sf)/Watch Neg     
  E         B+ (sf)      BB (sf)/Watch Neg     
  X-B       B+ (sf)      BB (sf)/Watch Neg
    
  RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH WITH NEGATIVE   
  IMPLICATIONS     
  COMM 2012-LTRT
  Commercial mortgage pass-through certificates     
                   Rating
  Class    To                  From      
  A-1      AAA (sf)            AAA (sf)/Watch Neg   
  A-2      AAA (sf)            AAA (sf)/Watch Neg     
  X-A      AAA (sf)            AAA (sf)/Watch Neg


COMM 2019-521F: DBRS Assigns B Rating on Class F Certs
------------------------------------------------------
DBRS, Inc. assigned ratings to the COMM 2019-521F Mortgage Trust,
Commercial Mortgage Pass-Through Certificates issued by COMM
2019-521F Mortgage Trust (the Issuer) as follows:

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

All trends are Stable.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about July 31, 2020. In accordance
with MCR's engagement letter covering these certificates, upon
withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions.

The subject rating actions are the result of the application of the
NA SASB Methodology in conjunction with the "North American CMBS
Surveillance Methodology," as applicable. Qualitative adjustments
were made to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis.

The collateral for the COMM 2019-521F Mortgage Trust is a $242.0
million first-lien mortgage loan secured by a 39-story Class A
office building in New York that was built in 1929. The sponsor,
Savanna Capital Partners (Savanna), acquired the property on May
22, 2019, for $381.0 million. The 495,636-square foot (sf) building
has three underground levels and multilevel retail space. The 521
Fifth Avenue building sits at the northeast corner of East 43rd
Street, which is within the Grand Central office submarket per
Reis. The property is a short distance from Grand Central Terminal,
Bryant Park, and the New York City Public Library.

The building offers efficient and flexible floor plates with
outdoor terraces that appeal to both large and boutique tenants.
Tenants can enter the office space using the main office lobby
along 43rd Street, which provides additional access to the two
side-street retail tenants within the property. The office floor
plates range in size from 3,000 sf to 22,500 sf. The property also
has eight setback outdoor terraces on the fifth, 14th, 16th, 19th,
22nd, 24th, and 37th floors. Urban Outfitters occupies the prime
Fifth Avenue retail space on the ground floor. Equinox and
Cazzolina Restaurant occupy the side-street retail suites. Equinox
is on the ground floor, lower level, and sub-lower level. Its space
includes internal staircases and an elevator. Starting March 22,
2020, at 8 p.m., an executive order went in effect, shutting down
all nonessential services in New York because of the Coronavirus
Disease (COVID-19) pandemic which affected the subject's retail
tenancy, including Urban Outfitters and Equinox. Although Urban
Outfitters was closed for a period of time, it reopened in June
2020 with limited capacity. Equinox was still closed as of June
2020; however, DBRS Morningstar believes they will reopen once
allowed to by local government officials. As of June 2020, DBRS
Morningstar did not receive any updates on the status of the
Cazzolina Restaurant.

At origination, Savanna planned to invest $16.1 million for
improvements that will include renovations to the lobby, bathroom,
common corridor, outdoor terrace, and storefront, as well as
upgrades to the canopy and property signage. Savanna also intends
to apply for the Industrial & Commercial Abatement Program in
connection with the renovation. DBRS Morningstar's analysis does
not include any future tax abatement benefit.

The subject's largest tenant by rent is the clothing retailer Urban
Outfitters, which occupies 9,644 sf on the ground level and 12,525
sf on the second level. The Urban Outfitters lease commenced on
August 1, 2010, and expires on February 28, 2026, plus two
five-year extension options. The largest tenant by square footage
is Equinox, which occupies 26,914 sf of primarily below-ground
level retail space. Retail tenancy combined represents
approximately 17.4% of the DBRS Morningstar gross potential rent.
No other tenant represents more than 5.0% of the net rentable
area.

Per Reis, the collateral is in the Grand Central submarket, which
is part of the greater New York Metro office market. Reis reported
a submarket vacancy rate of 7.7% and asking rental rate of $80.51
per sf (psf) for Q1 2020, but forecast the submarket vacancy rate
to increase to 10.5% and the asking rent to decrease to $72.45 psf
by 2024. The Class A office properties within the submarket for Q1
2020 exhibited a vacancy rate of 7.0% and asking rate of $91.80
psf, which compares favorably with the general office submarket.
The property benefits from its location in a strong office market
and proximity to restaurants, retail development, schools, and
community facilities. The subject has strong accessibility and is
well served by an extensive network of streets, thoroughfares, and
New York City's public transportation system.

The DBRS Morningstar net cash flow (NCF) derived at issuance was
re-analyzed for the subject rating action to confirm its
consistency with the "DBRS Morningstar North American Commercial
Real Estate Property Analysis Criteria." The resulting NCF figure
was $17.1 million and a cap rate of 6.5% was applied, resulting in
a DBRS Morningstar Value of $262.3 million, a variance of -33.6%
from the appraised value at issuance of $395.0 million. The DBRS
Morningstar Value implies an LTV of 92.3%, as compared with the LTV
on the issuance appraised value of 61.3%. The NCF figure applied as
part of the analysis represents a -12.3% variance from the Issuer's
NCF, primarily driven by leasing costs and vacancy.

The cap rate applied is at the lower end of the range of DBRS
Morningstar Cap Rate Ranges for Office properties, reflective of
the location, market position, and quality. In addition, the 6.5%
cap rate applied is above the implied cap rate of 4.92% based on
the Issuer's underwritten NCF and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 4.5%
to account for cash flow volatility, property quality, and market
fundamentals.

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


CPS AUTO 2018-1: DBRS Puts BB Rating on 3 Classes Under Review Neg.
-------------------------------------------------------------------
DBRS, Inc. placed the following four classes of securities issued
by CPS Auto Receivables Trust 2016-A, CPS Auto Receivables Trust
2016-D, CPS Auto Receivables Trust 2017-A, CPS Auto Receivables
Trust 2018-C, and CPS Auto Securitization Trust 2018-1 Under Review
with Negative Implications:

-- CPS Auto Receivables Trust 2016-A, Series 2016-A, Class F
     rated BB (low) (sf)

-- CPS Auto Receivables Trust 2016-D, Series 2016-D, Class E
     rated BB (sf)

-- CPS Auto Receivables Trust 2017-A, Series 2017-A, Class E
    rated BB (sf)

-- CPS Auto Receivables Trust 2018-C, Class E Notes rated BB (sf)

-- CPS Auto Securitization Trust 2018-1, Class A Notes rated BB
     (low) (sf)

These rating actions are based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: June Update," published on June 1, 2020.
DBRS Morningstar initially published macroeconomic scenarios on
April 16, 2020. The scenarios were updated on June 1, 2020, and are
reflected in DBRS Morningstar's rating analysis. The assumptions
consider the moderate macroeconomic scenario outlined in the
commentary (the moderate scenario serving as the primary anchor for
current ratings) in addition to observed performance during the
2008–09 financial crisis and the possible impact of stimulus from
the Coronavirus Aid, Relief, and Economic Security Act (the CARES
Act). The moderate scenario assumes some success in containment of
the coronavirus within Q2 2020 and a gradual relaxation of
restrictions, enabling most economies to begin a gradual economic
recovery in Q3 2020.

-- The DBRS Morningstar adjusted expected loss assumption, taking
into consideration deal performance to date as well as the impact
of the coronavirus pandemic which increases the likelihood of
increased delinquent or nonperforming loans that may result in
increased losses.

-- The transactions' current form and sufficiency of available
credit enhancement benefitting the notes. The level of credit
enhancement in the form of overcollateralization, amounts held in
reserve and subordination has grown for senior classes as the
transactions have amortized due to the sequential pay nature of the
transactions. However, the credit enhancement has not grown at the
same rate for the most subordinated class of Notes in these
transactions. The available credit enhancement including excess
spread may be insufficient to support the DBRS Morningstar
projected remaining cumulative net loss (including an adjustment
for the moderate scenario) assumption at a multiple of coverage
commensurate with the current rating on the Class F from series
16-A and Class E Notes from series 16-D, 17-A and 18-C.

-- The CPS Auto Securitization Trust 2018-1 transaction is secured
by the assets of the Issuer including subordinated residual
interests from several CPS Auto Receivables Trusts. The performance
of this transaction is dependent on the performance of the
underlying trusts' ability to generate excess spread. The
underlying trusts include the series 16-A, 16-D and 17-A. Given the
placement of the ratings of the subordinated class from these
series on Under Review with Negative Implications, DBRS Morningstar
also placed the rating on the class A from CPS Auto Securitization
Trust 2018-1 on Under Review with Negative Implications.

When placing a rating Under Review with Negative Implications, DBRS
Morningstar seeks to complete its assessment and remove the rating
from this status as soon as appropriate. Upon the resolution of the
Under Review status, DBRS Morningstar may confirm or downgrade the
ratings on the affected classes.


CPS AUTO 2018-1: DBRS Puts BB(low) Rating on A Notes Under Review
-----------------------------------------------------------------
DBRS, Inc. placed the following four classes of securities issued
by CPS Auto Receivables Trust 2016-A, CPS Auto Receivables Trust
2016-D, CPS Auto Receivables Trust 2017-A, CPS Auto Receivables
Trust 2018-C, and CPS Auto Securitization Trust 2018-1 Under Review
with Negative Implications:

-- CPS Auto Receivables Trust 2016-A, Series 2016-A, Class F
     rated BB (low) (sf)

-- CPS Auto Receivables Trust 2016-D, Series 2016-D, Class E
     rated BB (sf)

-- CPS Auto Receivables Trust 2017-A, Series 2017-A, Class E
     rated BB (sf)

-- CPS Auto Receivables Trust 2018-C, Class E Notes rated BB (sf)

-- CPS Auto Securitization Trust 2018-1, Class A Notes rated
    BB (low) (sf)

These rating actions are based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: June Update," published on June 1, 2020.
DBRS Morningstar initially published macroeconomic scenarios on
April 16, 2020. The scenarios were updated on June 1, 2020, and are
reflected in DBRS Morningstar's rating analysis. The assumptions
consider the moderate macroeconomic scenario outlined in the
commentary (the moderate scenario serving as the primary anchor for
current ratings) in addition to observed performance during the
2008–09 financial crisis and the possible impact of stimulus from
the Coronavirus Aid, Relief, and Economic Security Act (the CARES
Act). The moderate scenario assumes some success in containment of
the coronavirus within Q2 2020 and a gradual relaxation of
restrictions, enabling most economies to begin a gradual economic
recovery in Q3 2020.

-- The DBRS Morningstar adjusted expected loss assumption, taking
into consideration deal performance to date as well as the impact
of the coronavirus pandemic which increases the likelihood of
increased delinquent or nonperforming loans that may result in
increased losses.

-- The transactions' current form and sufficiency of available
credit enhancement benefitting the notes. The level of credit
enhancement in the form of overcollateralization, amounts held in
reserve and subordination has grown for senior classes as the
transactions have amortized due to the sequential pay nature of the
transactions. However, the credit enhancement has not grown at the
same rate for the most subordinated class of Notes in these
transactions. The available credit enhancement including excess
spread may be insufficient to support the DBRS Morningstar
projected remaining cumulative net loss (including an adjustment
for the moderate scenario) assumption at a multiple of coverage
commensurate with the current rating on the Class F from series
16-A and Class E Notes from series 16-D, 17-A and 18-C.

-- The CPS Auto Securitization Trust 2018-1 transaction is secured
by the assets of the Issuer including subordinated residual
interests from several CPS Auto Receivables Trusts. The performance
of this transaction is dependent on the performance of the
underlying trusts' ability to generate excess spread. The
underlying trusts include the series 16-A, 16-D and 17-A. Given the
placement of the ratings of the subordinated class from these
series on Under Review with Negative Implications, DBRS Morningstar
also placed the rating on the class A from CPS Auto Securitization
Trust 2018-1 on Under Review with Negative Implications.

When placing a rating Under Review with Negative Implications, DBRS
Morningstar seeks to complete its assessment and remove the rating
from this status as soon as appropriate. Upon the resolution of the
Under Review status, DBRS Morningstar may confirm or downgrade the
ratings on the affected classes.


ELMWOOD CLO V: S&P Assigns BB- (sf) Rating to Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Elmwood CLO V
Ltd./Elmwood CLO V LLC's fixed- and floating-rate notes.

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

The ratings reflect S&P's view of:

-- The diversification of the collateral pool;

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

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

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

S&P acknowledges a high degree of uncertainty about the evolution
of the coronavirus pandemic. The consensus among health experts is
that the pandemic may now be at, or near, its peak in some regions
but will remain a threat until a vaccine or effective treatment is
widely available, which may not occur until the second half of
2021.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates accordingly,"
S&P said.

  RATINGS ASSIGNED
  Elmwood CLO V Ltd./Elmwood CLO V LLC

  Class                  Rating       Amount
                                    (mil. $)
  A-1                    AAA (sf)    239.500
  A-2                    AAA (sf)     12.500
  B                      AA (sf)      49.000
  C (deferrable)         A (sf)       28.000
  D (deferrable)         BBB- (sf)    20.000
  E (deferrable)         BB- (sf)     13.000
  Subordinated notes     NR           30.400

  NR--Not rated.


FINANCE OF AMERICA 2020-HB2: DBRS Gives Prov. BB Rating on M4 Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Asset-Backed Notes to be issued by Finance of America HECM Buyout
2020-HB2:

-- $495.9 million Class A at AAA (sf)
-- $31.9 million Class M1 at AA (sf)
-- $28.0 million Class M2 at A (sf)
-- $19.6 million Class M3 at BBB (sf)
-- $16.1 million Class M4 at BB (sf)
-- $2.7 million Class M5 at BB (low) (sf)

The AAA (sf) rating reflects 16.54% of credit enhancement. The AA
(sf), A (sf), BBB (sf), BB (sf), and BB (low) (sf) ratings reflect
11.17%, 6.46%, 3.30%, 0.47%, and 0.00% of credit enhancement,
respectively.

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

Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over a period of time until
a maturity event occurs. Loan repayment is required (1) if the
borrower dies, (2) if the borrower sells the related residence, (3)
if the borrower no longer occupies the related residence for a
period (usually a year), (4) if it is no longer the borrower's
primary residence, (5) if a tax or insurance default occurs, or (6)
if the borrower fails to properly maintain the related residence.
In addition, borrowers must be current on any homeowners
association dues if applicable. Reverse mortgages are typically
nonrecourse; borrowers don't have to provide additional assets in
cases where the outstanding loan amount exceeds the property's
value (the crossover point). As a result, liquidation proceeds will
fall below the loan amount in cases where the outstanding balance
reaches the crossover point, contributing to higher loss severities
for these loans.

As of the May 31, 2020, cut-off date, the collateral has
approximately $594.2 million in unpaid principal balance (UPB) from
2,614 performing and nonperforming home equity conversion mortgage
(HECM) reverse mortgage loans secured by first liens typically on
single-family residential properties, condominiums, multifamily
(two- to four-family) properties, manufactured homes, and planned
unit developments. The loans were originated between May 2005 and
December 2019. Of the total loans, 1,949 have a fixed interest rate
(77.1% of the balance), with a 4.97% weighted-average coupon (WAC).
The remaining 665 loans have floating-rate interest (22.9% of the
balance) with a 3.95 % WAC, bringing the entire collateral pool to
a 4.74% WAC.

As of the cut-off date, the loans in this transaction are both
performing and nonperforming (i.e., inactive) loans. There are
1,131 performing loans comprising 49.26% of the total UPB. As for
the nonperforming loans, there are 574 loans that are referred for
foreclosure (20.67% of the balance), 105 are in bankruptcy status
(3.83%), 231 are called due following recent maturity (8.91%), 178
are real estate owned (5.59%), one is referred (0.02%), and the
remaining 394 (11.72%) are in default. However, all these loans are
insured by the United States Department of Housing and Urban
Development (HUD), which mitigates losses vis-a-vis uninsured
loans. Because the insurance supplements the home value, the
industry metric for this collateral is not the loan-to-value ratio
(LTV) but rather the WA effective LTV adjusted for HUD insurance,
which is 53.65% for the loans in this pool. To calculate the WA
LTV, DBRS Morningstar divides the UPB by the maximum claim amount
and the asset value.

The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (Class
A notes) have been reduced to zero. This structure provides credit
enhancement in the form of subordinate classes and reduces the
effect of realized losses. These features increase the likelihood
that holders of the most senior class of notes will receive regular
distributions of interest and/or principal. All note classes have
available funds caps.

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


FLAGSHIP CREDIT 2020-3: S&P Assigns Prelim 'BB-' Rating to E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Flagship
Credit Auto Trust 2020-3's automobile receivables-backed notes.

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

The preliminary ratings are based on information as of July 23,
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 44.98%, 39.32%, 30.62%,
25.75%, and 21.58% credit support (including excess spread) for the
class A, B, C, D, and E notes, respectively, based on stressed cash
flow scenarios. These credit support levels provide coverage of
approximately 3.10x, 2.65x, 2.05x, 1.70x, and 1.40x S&P's
14.00%-14.50% expected cumulative net loss (CNL) range for the
class A, B, C, D, and E notes, respectively. These break-even
scenarios cover total cumulative gross defaults (using a recovery
assumption of 40.00%) of approximately 74.97%, 65.54%, 51.03%,
42.92%, and 35.96%, respectively.

-- The hard credit enhancement in the form of subordination,
overcollateralization, and a reserve account in addition to excess
spread. The expectation that under a moderate ('BBB') stress
scenario (1.7x S&P's expected loss level), all else being equal,
S&P's preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and
'BB- (sf)' ratings on the class A, B, C, D, and E notes,
respectively, are consistent with the tolerance outlined in its
credit stability criteria.

-- The timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate to the assigned
ratings.

-- The characteristics of the collateral pool being securitized.

-- The transaction's payment and legal structures.

  PRELIMINARY RATINGS ASSIGNED

  Flagship Credit Auto Trust 2020-3

  Class     Rating     Amount (mil. $)
  A         AAA (sf)            146.47
  B         AA (sf)              19.01
  C         A (sf)               26.44
  D         BBB (sf)             11.70
  E         BB- (sf)             10.12


FREDDIE MAC 2020-2: DBRS Finalizes B(low) Rating on Class M Debt
----------------------------------------------------------------
DBRS, Inc. finalized its provisional rating on the following
Mortgage-Backed Security, Series 2020-2 issued by Freddie Mac
Seasoned Credit Risk Transfer Trust, Series 2020-2 (the Trust):

-- $84.1 million Class M at B (low) (sf)

This transaction is a securitization of a portfolio of seasoned,
reperforming first-lien residential mortgages funded by the
issuance of the certificates, which are backed by 9,702 loans with
a total principal balance of $1,572,659,156 as of the Cut-Off
Date.

The mortgage loans were either purchased by Freddie Mac from
securitized Freddie Mac Participation Certificates or retained by
Freddie Mac in whole-loan form since their acquisition. The loans
are currently held in Freddie Mac's retained portfolio and will be
deposited into the Trust on the Closing Date.

The loans are approximately 157 months seasoned and most loans have
been modified (97.5%). Each modified mortgage loan was modified
under either government-sponsored enterprise (GSE) Home Affordable
Modification Program (HAMP) or GSE non-HAMP modification programs.
Within the pool, 3,018 mortgages have forborne principal amounts as
a result of modification, which equates to 10.7% of the total
unpaid principal balance as of the Cut-Off Date. For 80.2% of the
modified loans, the modifications happened more than two years
ago.

The loans are all current as of the Cut-Off Date. Furthermore,
84.7% and 33.8% of the mortgage loans have been zero times 30 days
delinquent for at least the past 12 months and 24 months,
respectively, under the Mortgage Bankers Association delinquency
methods. DBRS Morningstar assumed that all loans within the pool
are exempt from the Qualified Mortgage rules because of their
eligibility to be purchased by Freddie Mac.

The mortgage loans will be serviced by Select Portfolio Servicing,
Inc (the Servicer). The Servicer will not be advancing any
delinquent principal or interest on any mortgages; however, the
Servicer is obligated to advance to third parties any amounts
necessary for the preservation of mortgaged properties or real
estate owned properties that the Trust acquires through foreclosure
or a loss mitigation process.

Freddie Mac will serve as the Sponsor, Seller, and Trustee of the
transaction as well as Guarantor of the senior certificates (Class
A-IO, Class HAU, Class HA, Class HA-IO, Class HBU, Class HB, Class
HB-IO, Class HTU, Class HT, Class HT-IO, Class HV, Class HZ, Class
MAU, Class MA, Class MA-IO, Class MBU, Class MB, Class MB-IO, Class
MTU, Class MT, Class MT-IO, Class MV, Class MZ, Class M55D, Class
M55E, Class M55G, Class M55H, and Class M55I; collectively, the
Guaranteed Certificates). Wilmington Trust National Association
(Wilmington Trust; rated AA (low) with a Stable trend by DBRS
Morningstar) will serve as Trust Agent. Wells Fargo Bank, N.A.
(rated AA with a Negative trend by DBRS Morningstar) will serve as
the Custodian for the Trust. U.S. Bank National Association (rated
AA (high) with a Negative trend by DBRS Morningstar) will serve as
the Securities Administrator for the Trust and will also act as
Paying Agent, Registrar, Transfer Agent, and Authenticating Agent.

Freddie Mac, as the Seller, will make certain representations and
warranties (R&W) with respect to the mortgage loans. Freddie Mac
will be the only party from which the Trust may seek
indemnification (or, in certain cases, a repurchase) as a result of
a breach of R&Ws. If a breach review trigger occurs during the
warranty period, the Trust Agent, Wilmington Trust, will be
responsible for the enforcement of R&Ws. The warranty period will
only be effective through July 13, 2023 (approximately three years
from the Closing Date), for substantially all R&Ws other than the
real estate mortgage
investment conduit R&W, which will not expire.

The mortgage loans will be divided into three loan groups: Group H,
Group M, and Group M55. The Group H loans (5.7% of the pool) were
subject to step-rate modifications and had not yet reached their
final step rate as of April 30, 2020. As of the Cut-Off Date, the
borrower, while still current, has not made any payments accrued at
such final step rate. Group M loans (83.8% of the pool) and Group
M55 loans (10.5% of the pool) include loans never modified, and
loans that were subject to either fixed-rate modifications or
step-rate modifications that have reached their final step rates
and, as of the Cut-Off Date, the borrowers have made at least one
payment after such mortgage loans reached their respective final
step rates. Each Group M loan has a mortgage interest rate less
than or equal to 5.5% and has no forbearance amount or may have
forbearance amount and any mortgage interest rate. Each Group M55
loan has a mortgage interest rate greater than 5.5% and no
forbearance amount. All groups have loans in forbearance related to
the Coronavirus Disease (COVID-19) pandemic, but are all current as
of the Cut-off-Date.

Principal and interest (P&I) on the Guaranteed Certificates will be
guaranteed by Freddie Mac. The Guaranteed Certificates will be
primarily backed by collateral from each group, respectively. The
remaining Certificates, including the subordinate, nonguaranteed,
interest-only mortgage insurance and residual Certificates, will be
cross-collateralized among the three groups.

The transaction employs a pro rata pay cash flow structure among
the senior group certificates with a sequential-pay feature among
the subordinate certificates. Certain principal proceeds can be
used to cover interest shortfalls on the rated Class M
Certificates. Senior classes benefit from P&I payments that are
guaranteed by the Guarantor, Freddie Mac; however, such guaranteed
amounts, if paid, will be reimbursed to Freddie Mac from the P&I
collections prior to any allocation to the subordinate
certificates. The senior principal distribution amounts vary
subject to the satisfaction of a step-down test. Realized losses
are allocated in reverse sequential order.

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.

Seasoned 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 modification. Generally, these pools are
highly seasoned and contain sizable concentrations of previously
modified loans.

As a result of the coronavirus pandemic, 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 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 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 with previous
delinquencies, recent modifications, or higher updated
loan-to-value (LTV) ratios may be more sensitive to economic
hardships resulting from higher unemployment rates and lower
incomes. Borrowers with previous delinquencies or recent
modifications have exhibited difficulty in fulfilling payment
obligations in the past and may revert to spotty payment patterns
in the near term. Higher LTV borrowers with lower equity in their
properties generally have fewer refinance opportunities and,
therefore, slower prepayments.

In addition, for this transaction, as permitted by the Coronavirus
Aid, Relief, and Economic Security Act (the CARES Act), signed into
law on March 27, 2020, approximately 6.84% of the pool balance
(approximately 8.76%, 6.98%, and 4.67% of Group H mortgage loans,
Group M mortgage loans, and Group M55 mortgage loans, respectively,
were in an active forbearance plan) are on coronavirus-related
forbearance plans because the borrowers reported financial
hardship; however, the loans are current as of the Cut-Off Date.
These forbearance plans allow temporary payment relief, followed by
repayment once the forbearance period ends. The Servicer is
generally offering borrowers a three-month payment forbearance
plan. Beginning in month four, the borrower can repay all the
missed mortgage payments at once or opt to go on a repayment plan
to catch up on missed payments for a maximum of six months to 12
months. During the repayment period, the borrower needs to make
regular payments and additional amounts to catch up on the missed
payments. Generally, the Servicer would attempt to contact the
borrowers before the expiration of the forbearance period and
evaluate the borrowers' capacity to repay the missed amounts. As a
result, the Servicer, in adherence to the CARES Act, may offer a
repayment plan or other forms of payment relief, such as deferrals
of unpaid P&I amounts or a loan modification, in addition to
pursuing other loss mitigation options.

For this transaction, DBRS Morningstar applied additional
assumptions to evaluate the impact of potential cash flow
disruptions on the rated tranches due to the coronavirus pandemic,
stemming from lower P&I collections. These assumptions include: (1)
Increased delinquencies for the first 12 months and (2) a
weighted-average coupon deterioration stress incorporated into the
cash flow runs.

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


FREED ABS 2020-3FP: DBRS Assigns Prov. BB(low) Rating on C Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes (the Notes) to be issued by FREED ABS Trust 2020-3FP (FREED
2020-3FP):

-- $114,720,000 Class A Notes at A (high) (sf)
-- $44,680,000 Class B Notes at A (low) (sf)
-- $38,650,000 Class C Notes at BB (low) (sf)

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

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

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

-- DBRS Morningstar's projected losses include the assessment of
the impact of COVID-19. The DBRS Morningstar cumulative net loss
(CNL) assumption is 15.55% based on the expected Cut-Off Date pool
composition.

-- DBRS Morningstar incorporated in its analysis a hardship
deferment stress as a result of an increase in utilization related
to the impact of the coronavirus on borrowers. DBRS Morningstar
stressed hardship deferments to test liquidity risk early in the
life of the transaction's cash flows.

(3) The transaction's form and sufficiency of available credit
enhancement.

-- Subordination, overcollateralization, amounts held in the
Reserve Fund, and excess spread create credit enhancement levels
that are commensurate with the proposed ratings.

-- Transaction cash flows are sufficient to repay investors under
all A (high) (sf), A (low) (sf), and BB (low) (sf) stress scenarios
in accordance with the terms of the FREED 2020-3FP transaction
documents.

(4) Structural features of the transaction that require the Notes
to enter into full turbo principal amortization if certain triggers
are breached or if credit enhancement deteriorates.

(5) The experience, sourcing, and servicing capabilities of Freedom
Financial Asset Management, LLC (FFAM).

(6) The experience, underwriting, and origination capabilities of
Cross River Bank (CRB).

(7) The ability of Wilmington Trust National Association (rated AA
(low) with a Stable trend by DBRS Morningstar) to perform duties as
a Backup Servicer and the ability of Vervent Inc. to perform duties
as a Backup Servicer Subcontractor.

(8) The annual percentage rate (APR) charged on the loans and CRB's
status as the true lender.

-- All loans included in FREED 2020-3FP are originated by CRB, a
New Jersey state-chartered Federal Deposit Insurance
Corporation-insured bank.

-- Loans originated by CRB are all within the New Jersey state
usury limit of 30.00%.

-- The weighted-average APR of the loans in the pool is 21.50%.

-- Loans may be in excess of individual state usury laws; however,
CRB as the true lender is able to export rates that pre-empt state
usury rate caps.

-- Loans originated to borrowers in states with active litigation
(Second Circuit (New York, Connecticut, Vermont), Colorado, and
West Virginia) are excluded from the pool.

-- The FREED 2020-3FP loan pool includes loans originated to
borrowers in Maryland, a state with active litigation. Assuming
that loans to borrowers in Maryland with APRs above the state usury
cap of 24% were subsequently reduced to the state usury cap results
in minimal impact to transaction cash flows.

-- Under the Loan Sale Agreement, FFAM is obligated to repurchase
any loan if there is a breach of representation and warranty that
materially and adversely affects the interests of the purchaser.

(9) The legal structure and expected legal opinions that will
address the true sale of the personal loans, the nonconsolidation
of the trust, and that the trust has a valid perfected security
interest in the assets and consistency with the DBRS Morningstar
"Legal Criteria for U.S. Structured Finance."

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


GCAT 2020-NQM2: S&P Assigns Prelim B (sf) Rating to Class B-2 Certs
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GCAT
2020-NQM2 Trust's mortgage pass-through certificates.

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

The preliminary ratings are based on information as of July 20,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The asset pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's geographic concentration;

-- The transaction's representation and warranty framework;

-- The mortgage aggregator, Blue River Mortgage TRS; and

-- The impact that the economic stress brought on by the COVID-19
pandemic is likely to have on the performance of the mortgage
borrowers in the pool and liquidity available in the transaction.

S&P acknowledges a high degree of uncertainty about the evolution
of the coronavirus pandemic. The consensus among health experts is
that the pandemic may now be at, or near, its peak in some regions
but will remain a threat until a vaccine or effective treatment is
widely available, which may not occur until the second half of
2021.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates accordingly,"
S&P said.

  PRELIMINARY RATINGS ASSIGNED
  GCAT 2020-NQM2 Trust

  Class        Rating(i)         Amount ($)
  A-1          AAA (sf)         149,299,000
  A-2          AA (sf)           15,996,000
  A-3          A (sf)            25,073,000
  M-1          BBB (sf)          12,252,000
  B-1          BB (sf)            8,963,000
  B-2          B (sf)             7,601,000
  B-3          NR                 7,715,021
  A-IO-S       NR                  Notional(ii)
  X            NR                  Notional(ii)
  R            NR                       N/A

(i)The collateral and structural information in this report
reflects the term sheet dated July 15, 2020. The preliminary
ratings address S&P's expectation for the ultimate payment of
interest and principal.
(ii)The notional amount equals the aggregate stated principal
balance of the loans.
NR--Not rated.
N/A--Not applicable.


HOMEWARD OPPORTUNITIES 2020-2: DBRS Finalizes B Rating on B-2 Certs
-------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2020-2 (the
Certificates) issued by Homeward Opportunities Fund Trust 2020-2
(HOF 2020-2 or the Trust):

-- $372.6 million Class A-1 at AAA (sf)
-- $48.9 million Class A-2 at AA (sf)
-- $61.4 million Class A-3 at A (sf)
-- $34.9 million Class M-1 at BBB (sf)
-- $36.8 million Class B-1 at BB (sf)
-- $29.0 million Class B-2 at B (sf)

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

The AAA (sf) rating on the Class A-1 Certificates reflects 40.25%
of credit enhancement provided by subordinated Certificates. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 32.40%,
22.55%, 16.95%, 11.05%, and 6.40% of credit enhancement,
respectively.

This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime, expanded prime, and nonprime first-lien
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 1,241 mortgage loans with a total
principal balance of $623,530,282 as of the Cut-Off Date (June 1,
2020).

The originators for the mortgage pool are 5th Street Capital, Inc.
(24.9%), Sprout Mortgage Corporation (19.0%), Sharestates (18.3%),
and other originators that each comprises less than 15.0% of the
mortgage loans. Fay Servicing, LLC (58.2%); Specialized Loan
Servicing LLC (26.5%); Lima One Capital, LLC (12.0%); and RF Renovo
Management Company, LLC (3.3%) will service all loans within the
pool.

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and
Ability-to-Repay (ATR) rules, they were made to borrowers who
generally do not qualify for agency, government, or private-label
nonagency prime jumbo products for various reasons. In accordance
with the QM/ATR rules, 39.3% of the loans are designated as non-QM.
Approximately 60.6% of the loans are made to investors for business
purposes and, hence, are not subject to the QM/ATR rules. One loan
in the pool is classified as QM Safe Harbor.

Homeward Opportunities Fund LP (HOF) is the Sponsor, the initial
Controlling Holder, and the Servicing Administrator of the
transaction. HOF Asset Selector LLC serves as the Asset Selector
for securitizations sponsored by HOF and, for this transaction,
determined which mortgage loans would be included in the pool. The
Sponsor, Depositor, Asset Selector, and Servicing Administrator are
affiliates of the same entity.

Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Negative trend
by DBRS Morningstar) will act as the Master Servicer. U.S. Bank
National Association (rated AA (high) with a Negative trend by DBRS
Morningstar) will serve as Trustee, Securities Administrator,
Certificate Registrar, and Custodian.

The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible horizontal residual interest in
at least 5% of the Certificates (Class X Certificates) issued by
the Issuer, to satisfy the credit risk-retention requirements under
Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder.

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

The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan (other than loans under forbearance
plan as of the Closing Date) that becomes 90 or more days
delinquent or are in real estate owned at the repurchase price (par
plus interest), provided that such repurchases in aggregate do not
exceed 10% of the total principal balance as of the Cut-Off Date.

Unlike the prior HOF non-QM securitizations, with the exception of
HOF I 2020-1, the Servicers funded advances of delinquent principal
and interest (P&I) on loans that up to 180 days delinquent, for
this transaction, the Servicers will only fund advances for 30 days
of delinquent P&I. The Servicers, however, are obligated to make
advances in respect of taxes, insurance premiums, and reasonable
costs incurred in the course of servicing and disposing properties.
The one-month advancing mechanism may significantly increase the
probability of periodic interest shortfalls in the current economic
environment affected by the Coronavirus Disease (COVID-19). As a
large number of borrowers seek forbearance on their mortgages in
the coming months, P&I collections may be reduced meaningfully.

Unlike the prior HOF non-QM (or traditional non-QM)
securitizations, with the exception of HOF I 2020-1, which
incorporate a pro rata feature among the senior tranches, this
transaction employs a sequential-pay cash flow structure across the
entire capital stack. Principal proceeds can be used to cover
interest shortfalls on the Certificates as the more senior
Certificates are paid in full. Furthermore, excess spread can be
used to cover realized losses and prior period bond writedown
amounts first before being allocated to unpaid cap carryover
amounts to Class A-1 up to Class B-1.

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 will likely be affected meaningfully.

The non-QM sector is a traditional RMBS asset class that consists
of securitizations backed by pools of residential home loans that
may fall outside the CFPB ATR rules, which became effective on
January 10, 2014. Non-QM loans encompass the entire credit
spectrum. They range from high-FICO, high-income borrowers who opt
for interest-only or higher debt-to-income ratio mortgages, to
near-prime debtors who have had certain derogatory pay histories
but were cured more than two years ago, to nonprime borrowers whose
credit events were only recently cleared, among others. In
addition, some originators offer alternative documentation or bank
statement underwriting to self-employed borrowers in lieu of
verifying income with Form W-2, Wage and Tax Statement, or tax
returns. Finally, foreign nationals and real estate investor
programs, while not necessarily non-QM in nature, are often
included in non-QM pools.

As a result of the coronavirus pandemic, 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 non-QM asset class, DBRS
Morningstar applies more severe market value decline (MVD)
assumptions across all rating categories than it previously used.
DBRS Morningstar derives such MVD assumptions through a fundamental
home price approach based on the forecast unemployment rates and
GDP growth outlined in the moderate scenario. In addition, for
pools with loans on forbearance plans, DBRS Morningstar may assume
higher loss expectations above and beyond the coronavirus
assumptions. Such assumptions translate to higher expected losses
on the collateral pool and correspondingly higher credit
enhancement.

In the non-QM asset class, while the full effect of the coronavirus
pandemic may not occur until a few performance cycles later, DBRS
Morningstar generally believes that loans originated to (1)
borrowers with recent credit events, (2) self-employed borrowers,
or (3) higher loan-to-value ratio (LTV) borrowers may be more
sensitive to economic hardships resulting from higher unemployment
rates and lower incomes. Borrowers with prior credit events have
exhibited difficulties in fulfilling payment obligations in the
past and may revert to spotty payment patterns in the near term.
Self-employed borrowers are potentially exposed to more volatile
income sources, which could lead to reduced cash flows generated
from their businesses. Higher LTV borrowers with lower equity in
their properties generally have fewer refinance opportunities and
therefore slower prepayments. In addition, certain pools with
elevated geographic concentrations in densely populated urban
metropolitan statistical areas may experience additional stress
from extended lockdown periods and the slowdown of the economy.

In addition, for this transaction, as permitted by the Coronavirus
Aid, Relief, and Economic Security Act, signed into law on March
27, 2020, 11.1% of the borrowers are on forbearance plans because
the borrowers reported financial hardship related to the
coronavirus pandemic. These forbearance plans allow temporary
payment holidays, followed by repayment once the forbearance period
ends. The Servicer, in collaboration with the Servicing
Administrator, is generally offering borrowers a three-month
payment forbearance plan. At the end of the forbearance period with
respect to COVID-19 Mortgage Loans, the related Servicer will seek
to obtain from any mortgagor who cannot repay related forborne
amounts in full, a package of employment, financial, and credit
information. The related Servicer, in collaboration with the
Servicing Administrator, may offer a repayment plan or other forms
of payment relief, such as deferrals of the unpaid P&I amounts or a
loan modification, in addition to pursuing other loss mitigation
options.

For this transaction, DBRS Morningstar applied additional
assumptions to evaluate the impact of potential cash flow
disruptions on the rated tranches, stemming from (1) lower P&I
collections and (2) limited servicing advances on delinquent P&I.
These assumptions include:

  (1) Increasing delinquencies for the AAA (sf) and AA (sf) rating
levels for the first 12 months,

  (2) Increasing delinquencies for the A (sf) and below rating
levels for the first nine months,

  (3) Applying no voluntary prepayments for the AAA (sf) and AA
(sf) rating levels for the first 12 months, and

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

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


HUDSON'S BAY 2015-HBS: S&P Cuts Ratings on Four Classes to 'B+(sf)'
-------------------------------------------------------------------
S&P Global Ratings lowered its ratings on 23 classes of commercial
mortgage pass-through certificates from Hudson's Bay Simon JV Trust
2015-HBS, a U.S. CMBS transaction, and removed them from
CreditWatch negative.

"On May 6, 2020, we placed these ratings on CreditWatch negative
because of our view of COVID-19's impact on the performance of the
collateral property as well as the retail sector overall and the
related uncertainty about the duration of the demand disruption,"
S&P Global Ratings said.

The downgrades on the principal- and interest-paying certificates
and CreditWatch resolutions reflect S&P Global Ratings'
reevaluation of the 34 retail properties securing the loan in the
single-borrower transaction. The downgrades to 'CCC- (sf)' on
classes E-FL, E-7, E-10, F-FL, F-7, and F-10 also reflect the
susceptibility to liquidity interruption and the increased risk of
default and losses that may occur upon the eventual resolution of
the specially serviced loan (discussed below). S&P Global Ratings'
expected-case valuation has declined 18.7% since its last review
and at issuance, driven largely by utilizing a dark value approach
on the Lord & Taylor stores and the application of a higher S&P
Global Ratings' capitalization rate that the rating agency believes
better captures the challenges now facing the retail sector in
general and the tenants in particular.

In addition, S&P Global Ratings considered that the loan
transferred to the special servicer, Situs Asset Management
(Situs), on April 23, 2020, due to the borrower's failure to make
the April 2020 debt service payment. As of the July 8, 2020,
trustee remittance report, the loan has a 90-plus-days delinquent
payment status. Situs also discovered in April 2020 that the
operating lease guarantor, Hudson's Bay Co. (NR), went private and
had a corporate restructuring in March 2020. In May 2020, the
trustee filed litigation to obtain documentation and insight into
the activities impacting the guarantor, which is still continuing
(Wilmington Trust, etc. v. Hudson's Bay Company, et al.,
1:20-cv-03830-GHW (S.D.N.Y.)). As per public information provided
by the special servicer, the federal litigation has revealed an
updated appraised value of $1.235 billion as of July 2019, which is
approximately 11.8% lower than the appraised value at issuance. At
issuance as well as at this review, S&P Global Ratings did not
provide any credit to the guarantee in deriving its sustainable
value since the rating of the guarantor, Hudson's Bay Co., was
'B+/Watch Neg' at issuance and was discontinued as of Nov. 26,
2019. S&P Global Ratings will continue to monitor the situation and
may revisit its analysis and take further rating actions as it
deems appropriate.

S&P Global Ratings lowered its ratings on the class X-2FL, X-A-7,
X-B-7, X-A-10, and X-B-10 interest-only (IO) certificates and
removed them from CreditWatch negative based on the rating agency's
criteria for rating IO securities, which provide that the ratings
on the IO securities would not be higher than the lowest-rated
reference class. The notional amount of the class X-2FL
certificates references classes A-FL, B-FL, C-FL, and D-FL; class
X-A-7 references class A-7; class X-B-7 references class B-7; class
X-A-10 references class A-10; and class X-B-10 references class
B-10.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P Global Ratings is using this
assumption in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, the rating
agency will update its assumptions and estimates accordingly.

This is a stand-alone (single-borrower) transaction backed by a
$846.2 million IO mortgage loan secured by the borrowers' fee
and/or leasehold interests in 24 Lord & Taylor and 10 Saks Fifth
Avenue (Saks) retail stores totaling 4.5 million sq. ft. located in
malls and freestanding locations spread across 15 U.S. states. The
properties are 100% leased to either Lord & Taylor or Saks as part
of a sale/leaseback transaction under two 20-year master operating
leases that started in 2015, with various extension options. The
master operating leases are fully triple-net, where the tenant
bears all expenses, and the leases allow for annual rent increases
of 2.0%. In addition, under the transaction documents all rental
obligations under the master leases are guaranteed by Hudson's Bay
Co. The details of the guarantee, as well as the assets and
corporate structure of the guarantor, are currently being litigated
by the special servicer.

S&P Global Ratings' property-level analysis considered the recent
media reports indicating that Lord & Taylor, currently owned by Le
Tote Inc., may liquidate their stores, as well as its weaker
reported sales than Saks'. The rating agency performed a dark value
analysis of the 24 Lord & Taylor properties. S&P Global Ratings
assumed the retailer would default and vacate all its properties,
and it stabilized those 24 stores based on market rental rates and
occupancy data obtained from a third-party source (CoStar).

On average, S&P Global Ratings estimated an in place net rental
rate of $22.86 per sq. ft. and a 10.0% vacancy loss assumption for
the portfolio. S&P Global Ratings then estimated an operating
expense ratio of approximately 33.0%, with the majority (90.9%) of
the expenses recovered in the form of reimbursements. This resulted
in a stabilized net operating income of approximately $85.4
million. After accounting for normalized tenant improvement costs,
leasing commissions, and capital expenditures, S&P Global Ratings
arrived at an estimated stabilized net cash flow of approximately
$79.1 million, which it divided by a 8.50% S&P Global Ratings'
capitalization rate to determine its stabilized value. S&P Global
Ratings accounted for additional costs to lease the Lord & Taylor
spaces up to its stabilized occupancy assumptions. These estimates
totaled approximately $164.6 million, which included carrying costs
that assumed a four-year downtime and additional tenant improvement
costs and leasing commissions. S&P Global Ratings arrived at an
expected case value of approximately $766.4 million, or $169 per
sq. ft. This yielded an overall value decline of 45.3% to the
appraisal value at issuance, a 37.9% decline from the July 2019
appraised value that was revealed in the litigation, and an S&P
Global Ratings' loan-to-value ratio of 110.4% on the trust
balance.

S&P Global Ratings increased its capitalization rate by 50 basis
points from issuance and the last review to account for cash flow
volatility due to declining or weakening trends within the retail
sector, the overall perceived increase in the market risk premium
for this property type, and the weak tenants at the properties.

According to the July 8, 2020, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $846.2 million,
the same as at issuance. The mortgage loan is divided into three
components: a $150.0 million floating-rate component, bearing
interest at a rate equal to one-month LIBOR plus a 3.40% spread
with a two-year initial maturity and a five-year fully extended
maturity date of July 31, 2020; a $371.2 million seven-year
fixed-rate component bearing interest at a rate of 5.167% and
maturing on Aug. 1, 2022; and a $325.0 million 10-year fixed-rate
component bearing interest at a rate of 5.455% and maturing on Aug.
1, 2025. Each loan component is IO for its entire term. To date,
while the trust has not incurred any principal losses, it has
accumulated interest shortfalls totaling $405,485 due to special
servicing fees, which has impacted the class F-FL, F-7, and F-10
certificates.

Environmental, social, and governance (ESG) factors relevant to the
rating action:

-- Health and safety.

ERROR CORRECTION

As part of its review related to these rating actions, S&P Global
Ratings identified an error in the ratings of the class X-B-7 and
X-B-10 IO certificates. When S&P Global Ratings assigned its
preliminary ratings, the issuer had structured the IO class X-B-7
to reference classes B-7 and C-7 and the IO class X-B-10 to
reference classes B-10 and C-10. At closing, the issuer changed the
references such that the class X-B-7 referenced the B-7
certificates only and the class X-B-10 referenced the B-10
certificates only; however, S&P Global Ratings' ratings on the
class X-B-7 and X-B-10 did not take into account this change and
continued to reference classes C-7 and C-10, respectively. S&P
Global Ratings has now corrected its ratings analysis on the X-B-7
and X-B-10 certificates to reference the B-7 and B-10 certificate
ratings, respectively. The rating actions on the class X-B-7 and
X-B-10 incorporate this corrected reference.

  RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE

  Hudson's Bay Simon JV Trust 2015-HBS
  Commercial mortgage pass-through certificates

                  Rating
  Class     To            From
  A-FL      AA (sf)       AAA (sf)/Watch Neg
  X-2FL     B+ (sf)       BBB- (sf)/Watch Neg
  B-FL      BBB+ (sf)     AA- (sf)/Watch Neg
  C-FL      BB (sf)       A- (sf)/Watch Neg
  D-FL      B+ (sf)       BBB- (sf)/Watch Neg
  E-FL      CCC- (sf)     BB- (sf)/Watch Neg
  F-FL      CCC- (sf)     B (sf)/Watch Neg
  A-7       AA (sf)       AAA (sf)/Watch Neg
  X-A-7     AA (sf)       AAA (sf)/Watch Neg
  X-B-7     BBB+ (sf)     A- (sf)/Watch Neg
  B-7       BBB+ (sf)     AA- (sf)/Watch Neg
  C-7       BB (sf)       A- (sf)/Watch Neg
  D-7       B+ (sf)       BBB- (sf)/Watch Neg
  E-7       CCC- (sf)     BB- (sf)/Watch Neg
  F-7       CCC- (sf)     B (sf)/Watch Neg
  A-10      AA (sf)       AAA (sf)/Watch Neg
  X-A-10    AA (sf)       AAA (sf)/Watch Neg
  X-B-10    BBB+ (sf)     A- (sf)/Watch Neg
  B-10      BBB+ (sf)     AA- (sf)/Watch Neg
  C-10      BB (sf)       A- (sf)/Watch Neg
  D-10      B+ (sf)       BBB- (sf)/Watch Neg
  E-10      CCC- (sf)     BB- (sf)/Watch Neg
  F-10      CCC- (sf)     B (sf)/Watch Neg


INDEPENDENCE PLAZA 2018-INDP: DBRS Confirms B Rating on HRR Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-INDP
issued by Independence Plaza Trust 2018-INDP:

-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class X-CP at BBB (sf)
-- Class X-NCP at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class X-ECP at B (high) (sf)
-- Class X-ENP at B (high) (sf)
-- Class HRR at B (sf)

All trends are Stable. The ratings have been removed from Under
Review with Developing Implications, where they were placed on
November 14, 2019.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions.

Prior to the finalization of the NA SASB Methodology, the DBRS
Morningstar ratings for the subject transaction and all other DBRS
Morningstar-rated transactions subject to the methodology in
question were previously placed Under Review with Developing
Implications, as the proposed methodology changes were material.

The subject rating actions are the result of the application of the
NA SASB Methodology in conjunction with the "North American CMBS
Surveillance Methodology," as applicable. Qualitative adjustments
were made to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis.

The collateral for the transaction consists of the fee and
leasehold interests in a 1.5 million-square foot (sf) mixed-use
residential and commercial complex located in the Tribeca
neighborhood of Manhattan in New York. The properties consist of
three 39-story apartment towers and connecting townhomes in
addition to commercial space. The towers are at 310 Greenwich
Street, 40 Harrison Street, and 80 North Moore Street. The fee
interest covers the entire property, while the leasehold interests
relate to three parcels—the South Podium, North Podium, and Tower
Development—which contain a mix of parking, retail, and apartment
units. Collateral for the loan consists of both the fee and
leasehold interests that cover these three parcels, with the fee
owner signing the mortgage loan documents. Loan proceeds of $675
million are being used to retire outstanding debt of $551.6 million
(comprising a $444.0 million commercial mortgage-backed security
mortgage loan securitized in BAMLL 2014-IP and a $110.0 million
mezzanine loan), return $112.8 million of equity to the sponsor,
and cover closing costs of $10.6 million. According to September
2019 financials, the debt service coverage ratio (DSCR) was 1.63
times (x) compared with the DBRS Morningstar Term DSCR derived at
issuance of 1.49x. The September 2019 DSCR represents a 13.9%
increase over the YE2018 DSRC of 1.43x.

The property was originally built in 1975 under the Mitchell-Lama
Housing Program of New York State, an affordable-housing initiative
for lower- and middle-income families. The property exited the
program in June 2004, at which time the borrower offered the
Landlord Assistance Program (LAP) to any tenants not qualifying for
the Section 8: Enhanced Vouchers program. Management has been able
to increase value by renovating rent-regulated apartments that are
vacated and re-leasing them at market rents following a significant
renovation. The borrower intends to continue this strategy as units
turn over.

As of the December 2018 rent roll, the residential portion of the
property was 96.6% occupied at an average rental rate of $4,590 per
unit. As of September 2019, the residential occupancy was 95.9%.
According to the Q1 2020 Reis market report, the average asking
rent for the West Village/Downtown New York Metro submarket is
$4,844 per unit with an average vacancy rate of 3.9%, in line with
the subject property. Retail occupancy dropped slightly to 88.9% in
September 2019 compared with the March 2018 rent roll, and the
commercial portion of the property was 95.6% occupied at an average
rental rate of $22.73 per square foot (psf). Patriot Parking Inc.,
the largest commercial tenant, representing 75.6% of the commercial
net rentable area (NRA), leases the entire 550-space parking garage
through August 2024 at a rental rate of $18.83 psf. According to
online searches conducted by DBRS Morningstar, it appears Best
Market (7.3% of the commercial NRA) vacated upon its September 2018
lease expiration and Public School 150 (6.2% of the commercial NRA)
vacated upon its July 2019 lease expiration. The borrower plans to
spend $5.6 million to renovate these two retail units, which the
borrower expects to allow for an increase in current rents to
approximately $200 psf from $22.70 psf. While a renovation and
reprogramming of the retail footprint may indeed bring tenants who
better complement the upscale fair market tenant base, the loan has
been structured in a way that eliminates the upside potential from
a credit perspective. The three leasehold parcels, which contain
all of the retail and parking, can be released subject to the
repayment of a portion of the loan based on a release price formula
anchored essentially to the greater of in-place cash flow
attributable to the released parcel or the cash flow of such parcel
at the time of release. As such, the borrower would be incentivized
to release the parcels prior to restabilization and leverage them
separately. DBRS Morningstar made sizing adjustment and gave no net
cash flow (NCF) credit to the upside potential associated with the
retail and parking components.

The DBRS Morningstar NCF derived at issuance was re-analyzed for
the subject rating action to confirm its consistency with the "DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria." The resulting NCF figure was $43.5 million and a cap
rate of 6.0% was applied, resulting in a DBRS Morningstar Value of
$725.2 million, a variance of -43.5% from the appraised value at
issuance of $1.285 billion. The DBRS Morningstar Value implies an
LTV of 93.1%, as compared with the LTV on the issuance appraised
value of 52.5%. The NCF figure applied as part of the analysis
represents a 1.8% variance from the Issuer's NCF, primarily driven
by operating expenses and LAP rent differences. As of March 2020,
the servicer reported a net operating income (NOI) figure of $44.8
million, a positive 1.6% variance from the DBRS Morningstar NOI
figure.

The cap rate applied is at the lower end of the range of DBRS
Morningstar Cap Rate Ranges for office properties, reflective of
the subject's cash flow volatility, property quality, and market
fundamentals. In addition, the 6.0% cap rate applied is
substantially above the implied cap rate of 3.4% based on the
Issuer's underwritten NCF and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 5.0%
to account for cash flow volatility, property quality, and market
fundamentals. DBRS Morningstar also made other negative adjustments
to account for certain risks associated with the release price for
the retail parcels.

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


INMAN SQUARE I: Moody's Withdraws 'C' Rating on Class B Notes
-------------------------------------------------------------
Moody's Investors Service has withdrawn the rating of Inman Square
Funding I, Ltd. Class B Trust due to insufficient information:

US$30,078,370 Inman Square Funding I, Ltd. Class B Trust Units Due
2039 Notes, withdrawn (sf); previously on March 26, 2009 Downgraded
to C (sf)

RATINGS RATIONALE

Moody's has decided to withdraw the rating because it believes it
has insufficient or otherwise inadequate information to support the
maintenance of the rating.


JFIN CLO 2015: Moody's Lowers Rating on Class F Notes to Caa3
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by JFIN CLO 2015 Ltd.:

US$31,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2026, Downgraded to Baa3 (sf); previously on April 17,
2020 Baa2 (sf) Placed Under Review for Possible Downgrade

US$26,000,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes Due 2026 (current outstanding balance of $26,377,278),
Downgraded to B2 (sf); previously on April 17, 2020 Ba3 (sf) Placed
Under Review for Possible Downgrade

US$7,000,000 Class F Mezzanine Secured Deferrable Floating Rate
Notes Due 2026 (current outstanding balance of $7,119,269),
Downgraded to Caa3 (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 D-R, Class E and Class F notes. The CLO,
issued in April 2015 and partially refinanced 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 ended in March 2019.

RATINGS RATIONALE

The downgrades on the Class D-R, Class E, and Class 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
was 3635 as of June 2020, or approximately 20% worse compared to
3017 reported in the March 2020 trustee report [1]. Moody's noted
that approximately 42.4% of the CLO's par was from obligors
assigned a negative outlook and 3.6% 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 27.1% as of June 2020. Furthermore, Moody's
calculated the total collateral par balance, including recoveries
from defaulted securities, at $335.6 million and Moody's calculated
the over-collateralization ratios (excluding haircuts) for the
Class D-R and Class E notes as of June 2020 at 112.7% and 103.6%,
respectively. For comparison, Moody's calculated the
over-collateralization ratios (excluding haircuts) for the Class
D-R and Class E notes as of October 2019 at 113.5% and 106.8%,
respectively. Moody's also noted that interest payments were
deferred on the Class E and Class F notes, and collections were
recently applied to repay the senior notes as a result of OC test
failures on the June 2020 determination date. Moreover, the OC
tests for the Class D and Class E notes, as well as the interest
diversion test was recently reported in June 2020 trustee report
[2] as failing their respective triggers. If these failures were to
occur on the next payment date they could result in the repayment
of senior notes, deferral of current interest payments on the
more-junior notes, or 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 of
$327.4 million, defaulted par of $24.9 million, a weighted average
default probability of 24.47% (implying a WARF of 3635), a weighted
average recovery rate upon default of 46.88%, a diversity score of
65 and a weighted average spread of 3.67%. Moody's also analyzed
the CLO by incorporating an approximately $18 million par haircut
in calculating the OC and interest diversion test ratios.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in the US economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. 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.


JP MORGAN 2012-C6: Fitch Cuts Rating on Class H Certs to CCCsf
--------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 10 classes of J.P.
Morgan Chase Commercial Mortgage Securities Trust, commercial
mortgage pass-through certificates, series 2012-C6.

J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C6

  - Class A-3 46634SAC9; LT AAAsf; Affirmed

  - Class A-S 46634SAF2; LT AAAsf; Affirmed

  - Class A-SB 46634SAD7; LT AAAsf; Affirmed

  - Class B 46634SAG0; LT AAsf; Affirmed

  - Class C 46634SAH8; LT A+sf; Affirmed

  - Class D 46634SAJ4; LT A-sf; Affirmed

  - Class E 46634SAM7; LT BBB-sf; Affirmed

  - Class F 46634SAP0; LT BBB-sf; Affirmed

  - Class G 46634SAR6; LT BBsf; Affirmed

  - Class H 46634SAT2; LT CCCsf; Downgrade

  - Class X-A 46634SAE5; LT AAAsf; Affirmed

KEY RATING DRIVERS

Increased Loss Expectations; High Concentration of Fitch Loans of
Concern: The downgrade reflects increased loss expectations since
Fitch's last rating action, driven primarily by the continued
performance deterioration of the specially serviced Arbor Place
Mall loan (14.6% of pool) and the Northwoods Mall loan (8.7%); both
of these regional mall loans, which mature in 2022 and are
sponsored by CBL & Associates Properties, Inc., have exposure to
weak anchor tenants and overall low inline and/or anchor sales. In
total, Fitch has designated nine Fitch Loans of Concern (FLOCs;
42.6% of pool), including seven in the top 15 (39.3%).

FLOCs; Specially Serviced Loan: The largest FLOC is the second
largest loan in the pool, Arbor Place Mall (14.6%), which
transferred to special servicing in April 2020 for imminent
monetary default. The loan is secured by a regional mall in
Douglasville, GA where the non-collateral Sears closed in February
2020 and the collateral JCPenney is expected to soon close as
liquidation sales began in June 2020. Dillard's, Belk and Macy's
serve as non-collateral anchors and larger collateral tenants
include Regal Cinemas (13.4% of collateral NRA; lease expiry in
October 2024), Bed Bath & Beyond (6.9%; January 2023) and Forever
21 (4.7%; May 2022).

Collateral occupancy was 96.9% as of the March 2020 rent roll;
however, overall mall occupancy is estimated to have declined to
approximately 87% following Sears' closure. When JCPenney closes
its store at the property, collateral and mall occupancy will
further drop to approximately 82% and 80%, respectively. Upcoming
near-term lease rollover includes 11% of the collateral NRA in
2020, 14% in 2021 and 13% in 2022. According to the sponsor's 2019
annual report, the mall's in-line tenant sales were $372 psf in
2019, compared with $359 psf in 2018, $358 psf in 2017, $364 psf in
2016, $353 psf in 2015 and $331 psf in 2011 around the time of
issuance. The 18-screen Regal Cinemas reported sales of $355,443
per screen for the TTM October 2019 period, down from $405,294 per
screen for TTM October 2018. The servicer-reported YE 2019 NOI debt
service coverage ratio was 1.63x, compared with 1.76x at YE 2018.

The mall reopened on May 1, 2020 after being closed since March due
to the coronavirus. According to the special servicer, CBL has
requested coronavirus relief and is working with the lender on a
potential loan modification. If discussions are not successful, the
lender will start the foreclosure process. The loan, which remains
current as of the June 2020 distribution date, is scheduled to
mature in May 2022.

The largest non-specially serviced FLOC, Northwoods Mall (8.7%), is
secured by a regional mall located in North Charleston, SC.
Noncollateral anchors include Dillard's and Belk, as well as a
former Sears box that has been partially backfilled by Burlington
Stores. The only collateral anchor is JCPenney (28.3% of collateral
NRA; lease expiry in February 2024), which has not been included on
recent closure lists. Other larger collateral tenants include
Books-A-Million (5.1%; January 2021), Planet Fitness (5%; December
2020) and H&M (4.9%; January 2029).

Collateral and overall mall occupancy was 95.8% and 92.9%,
respectively, as of March 2020, relatively unchanged from 2019.
Sears closed in June 2017 after the owner, Seritage Growth
Properties, terminated the lease and recaptured the space in April
2017. A redevelopment project is currently underway in which the
Sears store and the detached auto center are being converted into a
multitenant project. Burlington Stores opened in March 2018 in
52,149 sf of the former Sears space, with the remaining 53,302 sf
still vacant. Upcoming lease rollover includes 16% of the
collateral NRA in 2020, 16% in 2021 and 4% in 2022. According to
the sponsor's 2019 annual report, in-line tenant sales were $394
psf in 2019, compared with $402 psf in 2018, $381 psf in 2017, $380
psf in 2016, $368 psf in 2015 and $309 psf in 2011 around the time
of issuance. For the TTM period ending February 2020, JCPenney
reported sales of $125 psf ($14.3 million gross), down from $140
psf ($16 million) for TTM February 2019, $139 psf ($15.9 million)
for TTM February 2018, $136 psf ($15.5 million) for TTM February
2017 and $227 psf reported for 2011 at the time of issuance. The
servicer-reported YE 2019 NOI DSCR was 2.03x, compared with 2.06x
at YE 2018. The mall re-opened on May 1, 2020 after being closed
since March due to the coronavirus. According to the servicer, CBL
has requested coronavirus relief. The loan is scheduled to mature
in April 2022.

The next largest FLOC, The Summit Las Colinas (4.3%), which is
secured by an office property in Irving, TX, was flagged for
declining cash flow after three tenants (13.5% of NRA; 20% of total
base rents) vacated at their scheduled lease expirations between
October 2018 and September 2019. Property occupancy dropped to
71.5% as of March 2020 from 85.3% in December 2018 and 87.7% in
December 2017. NOI also declined 11% between 2018 and 2019.
Occupancy and NOI are both expected to improve in 2020 from recent
positive leasing activity, including a new lease with American
Athletic Conference for 4.8% of the NRA which commenced in June
2020 and runs through May 2031, as well as expansion leases for two
existing tenants that occurred in April and May 2020. The property
faces moderate upcoming lease rollover, with 13% of the NRA
expiring in 2020, 3% in 2021 and 7% in 2022. The servicer-reported
YE 2019 NOI DSCR was 1.59x, compared with 1.78x at YE 2018.

The next largest FLOC, Oak Ridge Office Portfolio (3.4%), which is
secured by a seven-building office portfolio in Oak Ridge, TN,
faces significant upcoming lease rollover, including its largest
tenant. The portfolio is primarily leased to government and
defense-oriented tenants. According to the March 2020 rent roll,
leases comprising 28% of the portfolio's total NRA are scheduled to
expire in 2020, 12% in 2021 and 8% in 2022. The 2020 rollover is
mostly concentrated in the September 2020 lease expiration of CNS
LLC (26.5%). Per the servicer, while the majority of leases at the
subject, including the ones with CNS LLC, are only one year in
duration, this is due to the government requirement that all leases
be technically only one year, with several ongoing options to
renew. CNS LLC has been acting as the managing and operating
contractor for the nearby Y-12 National Security Complex since 2013
and, per the servicer, will likely remain in both its spaces at the
property. The portfolio was 79.4% occupied as of March 2020,
compared with 78.8% in December 2019 and 83.8% in December 2018.
Occupancy declined in 2019 after two tenants downsized their
spaces. The servicer-reported YE 2019 NOI DSCR was 1.85x, compared
with 1.83x at YE 2018.

Although occupancy for the next largest FLOC, Continental Executive
Parke (3.3%), has improved from its trough, Fitch continues to
monitor overall performance and cash flow as DSCR remains low and
the property is located in a high vacancy office submarket. The
loan is secured by a four-building office complex located in Vernon
Hills, IL. The property was 76.8% occupied as of March 2020, down
slightly from 79.9% in March 2019, but above 63.1% in June 2018.
Occupancy had improved after existing tenant Baxter Credit Union
signed a new lease for an additional 25.7% of the NRA beginning in
January 2019, increasing its total footprint to 60.1% of the NRA
from 34.5%. The expansion portion of the BCU lease is co-terminus
with its existing lease for other spaces at the property, expiring
in December 2030. BCU received a 16-month rent abatement, with base
rent beginning in May 2020 and scheduled 5% annual increases. The
occupancy improvement was offset by Wonderlic, Inc. (8.9% of NRA)
vacating at its December 2018 lease expiration and RA Pearson
(3.1%) vacating in 2019, ahead of its scheduled August 2021
expiration. YE 2019 financials have not been provided for the loan;
the servicer-reported YTD March 2020 NOI DSCR was 0.88x, down from
1.23x at YE 2018. According to Reis, the Northwest Suburbs office
submarket had a vacancy rate of 30.4% as of April 2020, above the
subject's vacancy rate of 23.2% as of the March 2020 rent roll.

The next largest FLOC, 2200 West Loop (2.6%), is secured by a CBD
office property located in the Galleria/Upton area of Houston, TX
where the second largest tenant recently went dark. The loan was
placed on the servicer's watchlist in June 2020 after it was noted
in the most recent property inspection that Maverick Tube
Corporation (23.1% of NRA; 25% of total base rent) had vacated the
property ahead of its February 2027 scheduled lease expiration.
Fitch has an outstanding inquiry to the servicer for confirmation
if the tenant is still expected to continue fulfilling its rental
obligations through the remainder of its lease. Current property
occupancy is estimated to be approximately 77% as of July 2020,
down from 99.8% in March 2020. The servicer-reported YE 2019 NOI
DSCR was 2.10x, compared with 2.03x at YE 2018.

The next largest FLOC, 785 Market Street (2.5%), is secured by an
office property in downtown San Francisco, CA where the largest
tenant, St. Giles Colleges Inc. (23.8% of NRA; 18% of total base
rent), vacated at its January 2020 lease expiration, which brought
occupancy down to 76.2% as of March 2020 from 84.5% in June 2019
and 98% in December 2018. Occupancy had already previously declined
after Positive Resource Center (13.4%) vacated upon expiration in
December 2018. Additionally, the property has exposure to coworking
tenant Knotel (13.3%; lease expiry in April 2026) and retailer
Men's Wearhouse (6.8%; June 2021), the latter of which is expected
to file for bankruptcy. The servicer-reported YE 2019 NOI DSCR was
2.74x, compared with 2.77x at YE 2018.

The other two FLOCs outside of the top 15 (combined, 3.3%) were
flagged for declines in occupancy and cash flow and/or the
occurrence of a servicing trigger event.

Increased Credit Enhancement: As of the June 2020 distribution
date, the pool's aggregate principal balance has paid down by 36.1%
to $724.7 million from $1.1 billion at issuance. Four loans (19.7%)
have been defeased, including the largest loan, 200 Public Square
(15.7%). Since the last rating action, one loan (Centerplace of
Greeley; $13.8 million) was repaid prior to its scheduled 2022
maturity date. The majority of the pool (27 loans; 89% of pool) is
currently amortizing. Six loans (11.1%) are full-term
interest-only. The pool has experienced $2.9 million (0.3% of
original pool balance) in realized losses since issuance from the
disposition of the 317 6th Avenue loan by discounted payoff in
February 2017.

Alternative Loss Considerations: Fitch's analysis included an
additional sensitivity scenario that factored in the paydown from
the defeased loans and applied higher loss severities on both the
Arbor Place Mall and Northwoods Mall loans to reflect the potential
for outsized losses. Both regional mall loans are expected to have
difficulty refinancing at their 2022 maturities due to the negative
effects of the pandemic and weak sponsorship. In addition to
modeling a base case loss, Fitch applied a 50% and 25% loss
severity, respectively, on the maturity balance of the Arbor Place
Mall and Northwoods Mall loans; the Negative Outlook revision on
classes E through G reflect this scenario.

The transaction has an ESG Relevance Score of 4 for Exposure to
Social Impacts due to the pool's significant retail exposure,
including two regional mall loans that are currently
underperforming as a result of changing consumer preferences in
shopping, which has a negative impact on the credit profile and is
highly relevant to the ratings. This impact contributed to the
downgrade of class H and Negative Outlook on classes E through G.

Coronavirus Exposure: Loans secured by retail and hotel properties
represent 41.2% (13 loans) and 8.0% (two loans) of the pool,
respectively. The retail loans have a weighted average (WA) NOI
DSCR of 1.93x and can withstand an average 48.2% decline to NOI
before DSCR falls below 1.00x. The hotel loans have a WA NOI DSCR
of 1.72x and can withstand an average 41.9% decline to NOI before
DSCR falls below 1.00x. Fitch applied additional
coronavirus-related stresses on two retail loans (2.7%) and two
hotel loans (8%), and while not directly contributing to the
downgrade, did have an impact on the Negative Outlooks on classes E
through G.

Upcoming Maturities: Two loans (5.6% of pool) mature in 2021 and
the remaining 31 loans (94.4%) mature in 2022.

RATING SENSITIVITIES

The Stable Rating Outlooks on classes A-3 through D and X-A reflect
the overall stable performance of the majority of the pool and
expected continued amortization, as well as the increased credit
enhancement to the classes and senior position in the capital
stack. The Negative Rating Outlooks on classes E through G reflect
the potential for downgrade due to the performance concerns
associated with the FLOCs, primarily the Arbor Place Mall and
Northwoods Mall loans, which are expected to have difficulty
refinancing at maturity, as well as the concerns surrounding the
ultimate impact of the coronavirus pandemic.

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

Sensitivity factors that could lead to upgrades would include
stable to improved asset performance, particularly on the FLOCs,
coupled with additional paydown and/or defeasance. Upgrades to the
'AAsf', 'A+sf' and 'A-sf' rated classes are not expected but would
likely occur with significant improvement in CE and/or defeasance
and/or the successful refinancing of the two regional mall FLOCs.
Upgrades of the 'BBB-sf' and 'BBsf' rated classes are not
considered likely given the performance concerns surrounding the
Arbor Place Mall and Northwoods Mall loans, but may occur in the
later years of the transaction should CE increase significantly and
as the number of FLOCs are reduced, or if the Arbor Place Mall and
Northwoods Mall loans are able to successfully secure refinancing.
Classes would not be upgraded above 'Asf' if there is a likelihood
of interest shortfalls. The distressed class is unlikely to be
upgraded absent significant performance improvement on the FLOCs
(including successful refinancing of the Arbor Place Mall and
Northwoods Mall loans) and substantially higher recoveries than
expected on the specially serviced Arbor Place Mall loan.

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/assets. Downgrades to the 'AAAsf' rated classes are not
likely due to the position in the capital structure, but may occur
should interest shortfalls impact these classes. Downgrades to the
'AAsf', 'A+sf' and 'A-sf' rated classes are not expected but could
occur if performance of the FLOCs continues to decline, should
additionally loans transfer to special servicing and/or should
loans susceptible to the coronavirus pandemic not stabilize.
Downgrades to the 'BBB-sf' and 'BBsf' rated classes would occur
should loss expectations increase due to a continued decline in the
performance of the FLOCs, an increase in specially serviced loans
or the disposition of a specially serviced loan at a high loss. The
Negative Rating Outlooks on classes E through G may be revised back
to Stable if performance of the FLOCs improves and/or properties
vulnerable to the coronavirus pandemic eventually stabilize. The
'CCCsf' rated class could be further downgraded should further
losses become more certain or be 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, classes 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 the pool's significant retail exposure,
including two regional mall loans that are currently
underperforming as a result of changing consumer preferences in
shopping, which has a negative impact on the credit profile and is
highly relevant to the ratings. This impact contributed to the
downgrade of class H and Negative Outlook on classes E through G.

Except for the matters discussed, the highest level of ESG credit
relevance, if present, is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the entity, either
due to their nature or the way in which they are being managed by
the entity.


JP MORGAN 2015-FL7: S&P Cuts Ratings on 8 Classes of Certs to 'CCC'
-------------------------------------------------------------------
S&P Global Ratings lowered its ratings on 10 classes of commercial
mortgage pass-through certificates from J.P. Morgan Chase
Commercial Mortgage Securities Trust 2015-FL7, a U.S. CMBS
transaction. At the same time, S&P withdrew its ratings on four
replacement interest-only (IO) classes from the same transaction.
S&P also removed its ratings on these 14 classes from CreditWatch
where they were placed with negative implications on May 6, 2020.

S&P had placed these ratings on CreditWatch with negative
implications because of its concerns regarding COVID-19's potential
impact on the performance of the collateral properties and the
lodging sector overall, along with the related ambiguity concerning
the duration of the demand disruption.  

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P Global Ratings is using this
assumption in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, S&P Global
Ratings will update its assumptions and estimates accordingly.

S&P Global Ratings lowered its ratings on classes D, BLU1, and BLU2
to reflect its re-evaluation of the BlueMountain Lodging Portfolio
whole loan, which is secured by five limited service Courtyard by
Marriott hotels and three TownePlace Suites extended-stay hotels
totaling 1,009 guestrooms in Ohio and Kentucky. This is the only
remaining loan within this large loan transaction. The class BLU1
and BLU2 non-pooled rake certificates' payments are derived solely
from the subordinate component of the BlueMountain Lodging
Portfolio whole loan. The downgrade on class D also considered the
market value decline that would be needed before the class
experiences losses, liquidity support provided in the form of
servicer advancing, and the position of the class in the waterfall.
The downgrades on classes BLU1 and BLU2 to 'CCC (sf)' reflect,
based on a higher S&P Global Ratings' loan-to-value (LTV) ratio,
the rating agency's view that these classes are more susceptible to
reduced liquidity support and that the risk of default and losses
has increased under the uncertain market conditions. The rating
agency expected-case value of $44.7 million or $44,282 per
guestroom, yielded an S&P Global Ratings LTV ratio of 162.6% on the
whole loan. The rating agency based this on a lower S&P Global
Ratings' sustainable net cash flow (NCF) to account for the
significant year-over-year declines in servicer-reported net
operating income and applied an increased weighted average
capitalization rate of 10.74%. S&P Global Ratings believes this
better captures the increased susceptibility to NCF and liquidity
disruption stemming from the pandemic. In addition, S&P Global
Ratings considered that the loan was transferred to special
servicing on March 31, 2020, because the borrower requested
COVID-19 forbearance relief. The borrower has not made its April,
May, June, or July 2020 debt service payment. The special servicer,
KeyBank Real Estate Capital (KeyBank), indicated that a forbearance
agreement was executed on May 8, 2020, with terms that included
deferring debt service payments through the July 2020 payment date.


The downgrades on the class BL1A, BL1B, BL2A, and BL2B replacement
principal- and interest-paying (P&I) certificates reflect the
ratings of the certificates for which they can be exchanged. The
class BLU1 exchangeable certificates can be exchanged for a
combination of the class BL1A replacement P&I and BL1X or BL1E
replacement IO certificates, or the class BL1B replacement P&I and
BL1Y or BL1E replacement IO certificates. The class BLU2
exchangeable certificates can be exchanged for a combination of the
class BL2A replacement P&I and BL2X or BL2E replacement IO
certificates, or the class BL2B replacement P&I and BL2Y or BL2E
replacement IO certificates.  

S&P lowered its ratings on the class X-EXT, BL1E, and BL2E IO
certificates based on its criteria for rating IO securities, under
which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. The notional amount on
class X-EXT references classes A, B, C, and D; class BL1E
references classes BL1A or BL1B; and class BL2E references classes
BL2A or BL2B.

S&P withdrew its ratings on the class BL1X, BL1Y, BL2X and BL2Y
replacement IO certificates because, according to the transaction
documents, after the loan's first extension period, the four IO
classes' pass-through rates are 0.0%, and these IO classes are
currently not accruing interest and are not entitled to
distributions.

This is a large loan transaction currently backed by one
floating-rate IO mortgage loan, down from 10 loans at issuance. S&P
Global Ratings' property-level analysis included a re-evaluation,
which considered the declining reported historical performance
(2017 through 2019) of the lodging properties that secure the
single remaining mortgage loan in the trust. S&P Global Ratings
also considered the April 2020 Smith Travel Research (STR) reports
for the remaining eight properties. The master servicer, KeyBank,
reported an overall debt service coverage and occupancy of 1.33x
and 67.5%, respectively, on the trust balance for the year-end
2019.

The servicer-reported portfolio revenue per available room (RevPAR)
of the remaining properties declined to $66.27 in 2019 from $84.05
in 2016 after dropping by 13.8% in 2017, 5.7% in 2018, and 3.0% in
2019. Servicer-reported portfolio NCF dropped to $5.8 million in
2019 from $8.5 million in 2017. The servicer-reported portfolio NCF
experienced a decline of 46.1% from 2016 levels. The April 2020 STR
reports indicate that the portfolio had a weighted average RevPAR
penetration rate--which measures the RevPAR of the portfolio
relative to its competitors, with 100% indicating parity with
competitors--of 117.5% as of the trailing-12-months (TTM) ending
April 2020, and 112.5% as of the TTM ending April 2019, which is
down from 125.7% as of the TTM ending April 2018. The RevPAR
penetration rate for six of the eight hotels declined between 2017
and 2019. Despite the portfolio's RevPAR declines, the high
penetration rate indicates that there may have been a decline in
performance among the hotels in the competitive set and may signal
an increase in lodging supply in the broader market. Based on the
April 2020 STR report, the portfolio's occupancy was approximately
62.1% as of the TTM ending April 2020 (down from approximately
66.5% in the TTM period ended April 2019) and was only
approximately 37.5% in March 2020, when demand dropped as the
pandemic took hold. S&P Global Ratings derived its sustainable
in-place NCF by assuming an overall 65.0% occupancy, $96.00 average
daily rate, and $62.40 RevPAR, which is 5.8% lower than the
servicer-reported portfolio RevPAR for year-end 2019. S&P Global
Ratings' resulting NCF is $4.8 million, which is 17.2% below the
2019 servicer-reported portfolio NCF.

In its analysis, S&P Global Ratings considered not only the
portfolio's historic performance, but also the impact of the
COVID-19 pandemic and the geographic concentration of the hotels in
Ohio, where seven of the eight hotels are located. S&P Global
Ratings considered that three of the hotels are in close proximity
to the Cleveland Hopkins International Airport, and air travel has
been significantly reduced during the pandemic, likely negatively
impacting demand for these properties in the near term. In addition
to lowering its sustainable NCF to $4.8 million from $7.1 million
at issuance, S&P Global Ratings also increased its weighted average
capitalization rate by approximately 100 basis points from
issuance, to account for the adverse impact of the COVID-19
pandemic and the responses globally.

Although the COVID-19 virus-related restrictions are now easing in
certain states, S&P expects that travel will remain tempered for
several quarters. Airlines are operating on limited schedules,
corporations are restricting business travel and are opting out of
holding or attending large meetings and conventions, and leisure
travel is constrained due to consumers' fears of traveling. There
is significant uncertainty regarding not only the duration of the
pandemic but also the time needed for lodging demand to return to
normalized levels after lifting travel restrictions.

As of the July 15, 2020, trustee remittance report, the trust
consisted of the BlueMountain Lodging Portfolio floating-rate IO
loan, with an aggregate pooled trust balance of $50.1 million and
an aggregate trust balance of $72.6 million, down from 10 loans
totaling $506.0 million pooled trust balance and $675.6 million
trust balance at issuance. At issuance, the loan had a $110.0
million whole loan balance that was split into a $75.8 million
senior pooled component and a $34.2 million subordinate non-pooled
rake component that supports the class BLU1 and BLU2 certificates.
The loan was originally secured by the borrowers' fee interest in
16 limited-service and extended-stay hotels totaling 1,776 rooms in
Ohio and Kentucky. The whole loan pays interest at LIBOR plus 2.24%
and initially matured on Sept. 9, 2016, with three, one-year
extension options. The loan's fully extended maturity was initially
Sept. 9, 2019. According to KeyBank, the loan was modified and the
maturity date was extended to Sept. 9, 2020, with two one-year
extension options to allow the borrowers' time to pay down the loan
through property releases and complete PIP work. Additionally, as
of the July 2020 trustee remittance report, eight properties
totaling 767 guestrooms have been were released for $37.4 million.
The property releases that occurred paid down both the pooled
component and the non-pooled BLU1 and BLU2 raked certificates. To
date, the trust has not incurred any principal losses.

Environmental, social, and governance (ESG) factor relevant to the
rating action:

-- Health and safety.

  RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7
  Commercial mortgage pass-through certificates

                      Rating
  Class          To            From
  D              B-            BBB- (sf)/Watch Neg
  X-EXT          B-            BBB-(sf)/Watch Neg
  BLU1           CCC           BB- (sf)/Watch Neg
  BLU2           CCC           B   (sf)/Watch Neg
  BL1A           CCC           BB- (sf)/Watch Neg
  BL1E           CCC           BB- (sf)/Watch Neg
  BL1B           CCC           BB- (sf)/Watch Neg
  BL2A           CCC           B   (sf)/Watch Neg
  BL2E           CCC           B   (sf)/Watch Neg
  BL2B           CCC           B   (sf)/Watch Neg

  RATINGS WITHDRAWN

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7
  Commercial mortgage pass-through certificates

                      Rating
  Class          To            From
  BL1X           NR            BB- (sf)/Watch Neg
  BL1Y           NR            BB- (sf)/Watch Neg
  BL2X           NR            B (sf)/Watch Neg
  BL2Y           NR            B (sf)/Watch Neg

  NR--Not rated.


JP MORGAN 2016-JP3: Fitch Affirms B- Rating on Class F Certs
------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust 2016-JP3 commercial mortgage
pass-through certificates.

JPMCC 2016-JP3

  - Class A-2 46590RAB5; LT AAAsf; Affirmed

  - Class A-3 46590RAC3; LT AAAsf; Affirmed

  - Class A-4 46590RAD1; LT AAAsf; Affirmed

  - Class A-5 46590RAE9; LT AAAsf; Affirmed

  - Class A-S 46590RAJ8; LT AAAsf; Affirmed

  - Class A-SB 46590RAF6; LT AAAsf; Affirmed

  - Class B 46590RAK5; LT AA-sf; Affirmed

  - Class C 46590RAL3; LT A-sf; Affirmed

  - Class D 46590RAP4; LT BBB-sf; Affirmed

  - Class E 46590RAR0; LT BBsf; Affirmed

  - Class F 46590RAT6; LT B-sf; Affirmed

  - Class X-A 46590RAG4; LT AAAsf; Affirmed

  - Class X-B 46590RAH2; LT AA-sf; Affirmed

  - Class X-C 46590RAM1; LT BBB-sf; Affirmed

Classes X-A, X-B and X-C are IO.

KEY RATING DRIVERS

Increased Loss Expectations: While the majority of the pool
maintains stable performance, loss expectations have increased
since issuance due to the 16 Fitch Loans of Concern (FLOCs, 21% of
pool), as well as concerns over the impact of the coronavirus
pandemic. Twelve of the FLOCs (18.7%) have recently transferred to
special servicing between late March and July 2020 primarily due to
the impact of the ongoing pandemic. The Negative Outlooks on
classes D, E, F, and X-C primarily reflect the significant number
of specially serviced loans and lack of clarity on near-term
resolutions due to the unknown duration or overall impact of the
coronavirus on the loans.

Fitch Loans of Concern: The largest FLOC is the specially serviced
Crocker Park One & Two loan (3.5%), which transferred to the
special servicer in April 2020 due to the coronavirus pandemic. The
loan became 90 days delinquent in July 2020. The special servicer
is actively negotiating a workout with the borrower. The loan is
secured by a 615,062-sf mixed use retail/office property built in
2004 and located in Westlake, OH. Major tenants include Dick's
Sporting Goods, L.A. Fitness, Cheesecake Factory, Barnes & Noble
and Regal Cinemas. As of the March 2020 rent roll, the property was
90.4% occupied, down from 95.7% at YE 2018. The servicer-reported
YE 2019 NOI DSCR was 1.58x, down from 1.71x at YE 2018. According
to the property's website, two restaurants, the Regal Cinema and
approximately 20 stores remain closed due to the ongoing pandemic.

The second largest FLOC is the Laguna Design Center loan (3.4%),
which is secured by a 237,000-sf design center located in Laguna
Niguel, CA. The property consists of 90% design/showroom space for
furniture, fabrics, floor coverings, and other decorative items and
10% office space. Traditionally, the office space has had lower
occupancy. The loan transferred to special servicing on July 2,
2020 due to the coronavirus pandemic. The loan is 30 days
delinquent. Per the March 2020 rent roll, the property was 84.5%
leased, down from 89% in September 2018 and 93.4% at issuance. The
rent roll is granular, with the largest tenant comprising only 9%
of the NRA. Approximately 21.4% of the NRA rolls over the next
year.

The third largest FLOC is the 100 East Wisconsin loan (2.1%), which
is secured by a 435,629-sf office building located in downtown
Milwaukee, WI. The loan transferred to the special servicer in May
2020 due to imminent default. The borrower has requested
coronavirus relief as property net cash flow is expected to decline
in the near term due to the largest tenant vacating and other
tenants requesting rent relief. The borrower has requested a loan
modification and is working to submit a proposal to the servicer
for review.

The next largest FLOC is the Fountains at the Bayou loan (1.9%),
which is secured by a 458-unit multifamily property located in
Houston, TX. The loan transferred to special servicing in June 2020
due to the borrower's request for coronavirus relief. The borrower
is working with the servicer on a possible solution. Recent
historical performance has been poor, with a servicer reported YTD
June 2019 NOI DSCR of 0.76x. The property suffered damage in 2017
from Hurricane Harvey and a subsequent fire. As of August 2019, all
repairs were completed, and the loan was reportedly assumed by new
ownership in late 2019.

The next largest FLOC is the Cicero Marketplace loan (1.6%), which
is secured by a 298,000-sf retail center located in Cicero, NY. The
largest tenants are Lowes, Price Chopper and Office Max. The
borrower submitted a coronavirus relief request in March 2020 due
to several tenants' inability to pay rent as a result of the
pandemic. The loan transferred to special servicing in May 2020 for
imminent monetary default. As of June 2020, the loan is 30 days
delinquent. The servicer is in discussions with the borrower
regarding a resolution.

The remaining seven specially serviced loans are hotel loans (6.3%
of pool) where the borrowers have all requested coronavirus relief.
The four other non-specially serviced FLOCs (2.3%), which include
two hotel loans and two retail loans, remain current and with the
master servicer; the borrowers for three of these loans have
requested coronavirus relief.

Minimal Change to Credit Enhancement: As of the June 2020
distribution date, the pool's aggregate balance has been paid down
by 6.8% to $1.13 billion from $1.22 billion at issuance. Four loans
(4.5% of the original pool balance) have paid in full and two loans
(3.7% of current pool) have defeased. The transaction has below
average scheduled amortization; a significant concentration of the
pool is full term, IO at 45% (11 loans), while an additional 6.9%
of the pool (two loans) remains in their partial IO periods. No
loans are scheduled to mature until 2021 (5.9%); with the majority
of loans scheduled to mature in 2026 (92.5%).

Coronavirus Exposure: Loans collateralized by retail properties and
mixed-use properties with a retail component account for 11 loans
(28.5% of pool). Loans secured by hotel properties account for 14
loans (17.4%), including three (7.9%) in the top 15. Three loans
(4%) are secured by multifamily properties. Fitch's base case
analysis applied additional stresses to 12 hotel loans, four retail
loans and two mixed use loans with a retail component due to their
vulnerability to the coronavirus pandemic. These additional
stresses contributed to the Negative Rating Outlooks on classes E
and F.

Credit Opinion Loans: At issuance, the largest and fourth largest
loans in the pool, 9 West 57th Street (8.8% of pool) and Westfield
San Francisco Centre (5.3%), were assigned investment-grade credit
opinions of 'AAAsf' and 'Asf', respectively, on a stand-alone
basis.

ADDITIONAL CONSIDERATIONS

Loan Concentration: The top 10 loans comprise 53.1% of the pool.
The largest property type concentration is office at 32.7%,
followed by mixed use at 20.3%, including 693 Fifth Avenue (6.7%),
a Midtown Manhattan office/retail property, which houses the U.S.
flagship location of luxury retailer Valentino; Westfield San
Francisco Centre, which includes a regional mall component, and the
special serviced Crocker Park Phase One & Two. Hotel loans are
next, comprising 17.4% of the pool, and loans secured by retail
properties comprise 12.9%, including Opry Mills (7.1%), a regional
outlet mall located in Nashville, TN. Loans secured by properties
in New York and California comprise 20.5% and 17.1% of the pool,
respectively.

RATING SENSITIVITIES

The Stable Outlooks on classes A-2 through C reflect the stable
performance of the majority of the pool and expected continued
amortization. The Negative Outlooks on classes D, E and F reflect
the potential for downgrades due to performance concerns associated
with the FLOCs, including 12 loans in special servicing, and the
ultimate impact on the pool of the coronavirus pandemic.

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

Sensitivity factors that lead to upgrades would include stable to
improved asset performance coupled with pay down and/or defeasance.
Upgrades to the 'Asf' and 'AAsf' categories would likely occur with
significant improvement in CE and/or defeasance; however, adverse
selection, increased concentrations and/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
CE to the classes.

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

Sensitivity factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades to the 'AAsf' and 'AAAsf' categories are not likely due
to the position in the capital structure, but may occur with
interest shortfalls occur or should the impact from the ongoing
coronavirus pandemic be greater than currently expected. Downgrades
to the 'Asf' category would occur if a high proportion of the pool
defaults and expected losses increase significantly. Downgrades to
the 'Bsf', 'BBsf' and 'BBB-sf' 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.

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.

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).


JP MORGAN 2020-5: DBRS Assigns Prov. B Rating on 2 Tranches
-----------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2020-5 (the
Certificates) to be issued by J.P. Morgan Mortgage Trust 2020-5:

-- $704.9 million Class A-1 at AAA (sf)
-- $659.9 million Class A-2 at AAA (sf)
-- $556.2 million Class A-3 at AAA (sf)
-- $556.2 million Class A-3-A at AAA (sf)
-- $556.2 million Class A-3-X at AAA (sf)
-- $417.1 million Class A-4 at AAA (sf)
-- $417.1 million Class A-4-A at AAA (sf)
-- $417.1 million Class A-4-X at AAA (sf)
-- $139.0 million Class A-5 at AAA (sf)
-- $139.0 million Class A-5-A at AAA (sf)
-- $139.0 million Class A-5-X at AAA (sf)
-- $331.7 million Class A-6 at AAA (sf)
-- $331.7 million Class A-6-A at AAA (sf)
-- $331.7 million Class A-6-X at AAA (sf)
-- $224.5 million Class A-7 at AAA (sf)
-- $224.5 million Class A-7-A at AAA (sf)
-- $224.5 million Class A-7-X at AAA (sf)
-- $85.4 million Class A-8 at AAA (sf)
-- $85.4 million Class A-8-A at AAA (sf)
-- $85.4 million Class A-8-X at AAA (sf)
-- $41.7 million Class A-9 at AAA (sf)
-- $41.7 million Class A-9-A at AAA (sf)
-- $41.7 million Class A-9-X at AAA (sf)
-- $97.3 million Class A-10 at AAA (sf)
-- $97.3 million Class A-10-A at AAA (sf)
-- $97.3 million Class A-10-X at AAA (sf)
-- $103.7 million Class A-11 at AAA (sf)
-- $103.7 million Class A-11-X at AAA (sf)
-- $103.7 million Class A-11-A at AAA (sf)
-- $103.7 million Class A-11-AI at AAA (sf)
-- $103.7 million Class A-11-B at AAA (sf)
-- $103.7 million Class A-11-BI at AAA (sf)
-- $103.7 million Class A-12 at AAA (sf)
-- $103.7 million Class A-13 at AAA (sf)
-- $45.0 million Class A-14 at AAA (sf)
-- $45.0 million Class A-15 at AAA (sf)
-- $594.1 million Class A-16 at AAA (sf)
-- $110.8 million Class A-17 at AAA (sf)
-- $704.9 million Class A-X-1 at AAA (sf)
-- $704.9 million Class A-X-2 at AAA (sf)
-- $103.7 million Class A-X-3 at AAA (sf)
-- $45.0 million Class A-X-4 at AAA (sf)
-- $14.2 million Class B-1 at AA (sf)
-- $14.2 million Class B-1-A at AA (sf)
-- $14.2 million Class B-1-X at AA (sf)
-- $12.7 million Class B-2 at A (sf)
-- $12.7 million Class B-2-A at A (sf)
-- $12.7 million Class B-2-X at A (sf)
-- $8.2 million Class B-3 at BBB (sf)
-- $8.2 million Class B-3-A at BBB (sf)
-- $8.2 million Class B-3-X at BBB (sf)
-- $3.8 million Class B-4 at BB (sf)
-- $1.9 million Class B-5 at B (sf)
-- $35.2 million Class B-X at BBB (sf)
-- $1.9 million Class B-5-Y at B (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-11-AI, A-11-BI, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X,
B-3-X, and B-X are interest-only certificates. The class balances
represent notional amounts.

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI,
A-11-B, A-11-BI, A-12, A-13, A-14, A-16, A-17, A-X-2, A-X-3, B-1,
B-2, B-3, B-X, B-5-Y, B-6-Y, and B-6-Z are exchangeable
certificates. These classes can be exchanged for combinations of
base depositable certificates as specified in the offering
documents.

Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7,
A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-11-A, A-11-B,
A-12, and A-13 are super-senior certificates. These classes benefit
from additional protection from the senior support certificates
(Classes A-14 and A-15) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 6.00% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 4.10%, 2.40%,
1.30%, 0.80%, and 0.55% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 944 loans with a total principal
balance of $749,907,343 as of the Cut-Off Date (July 1, 2020).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of up to 30 years. Approximately 20.0%
of the loans in the pool are conforming mortgage loans
predominantly originated by United Shore Financial Services, LLC
doing business as (dba) United Wholesale Mortgage and Shore
Mortgage (USFS), loanDepot.com, LLC (loanDepot), and Quicken Loans,
LLC (Quicken), which were eligible for purchase by Fannie Mae or
Freddie Mac. Details on the underwriting of conforming loans can be
found in the Key Probability of Default Drivers section of the
presale.

The originators for the aggregate mortgage pool are USFS (53.0%),
loanDepot (8.7%), and Quicken (8.6%). Also, approximately 6.5% of
the loans by balance were acquired by the Seller from MaxEx
Clearing LLC. The mortgage loans will be serviced or subserviced by
Cenlar FSB (Cenlar; 59.4%), Shellpoint Mortgage Servicing (SMS;
29.0%), Quicken (8.6%), Johnson Bank (Johnson, 1.6%), and
Nationstar Mortgage LLC. dba Mr. Cooper (Nationstar; 1.4%). For
Cenlar-subserviced loans, the Servicers include loanDepot and USFS.
For Nationstar subserviced mortgage loans, the Servicer is United
Services Automobile Association. For this transaction, the
servicing fee payable for mortgage loans serviced by USFS, JPMorgan
Chase Bank, National Association, and loanDepot is composed of
three separate components: the aggregate base servicing fee, the
aggregate delinquent servicing fee, and the aggregate additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.

Nationstar will act as the Master Servicer. Citibank N.A. (rated AA
(low) with a Stable trend by DBRS Morningstar) will act as
Securities Administrator and Delaware Trustee. Wells Fargo Bank,
N.A. (rated AA with a Negative trend by DBRS Morningstar) will act
as Custodian. Pentalpha Surveillance LLC will serve as the
representations and warranties (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, no borrower within the pool has entered
into a Coronavirus Disease (COVID-19)-related forbearance plan with
a servicer. In the event a borrower requests or enters into a
coronavirus-related forbearance plan after the Cut-Off Date but
prior to the Closing Date, the Mortgage Loan Seller will remove
such loan from the mortgage pool and remit the related Closing Date
substitution amount. 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 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 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 (LTV) ratio borrowers may be more sensitive to
economic hardships resulting from higher unemployment rates and
lower incomes. Self-employed borrowers are potentially exposed to
more volatile income sources, which could lead to reduced cash
flows generated from their businesses. Higher LTV borrowers, with
lower equity in their properties, generally have fewer refinance
opportunities and therefore slower prepayments. In addition,
certain pools with elevated geographic concentrations in densely
populated urban metropolitan statistical areas may experience
additional stress from extended lockdown periods and the slowdown
of the economy.

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


JP MORGAN 2020-ATR1: Fitch Gives 'B(EXP)' Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings has assigned expected rating to JP Morgan Wealth
Management Mortgage Trust 2020-ATR1.

JPMWM 2020-ATR1

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

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

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

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

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

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

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

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

  - Class A-11-BI; 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-13; LT AAA(EXP)sf Expected Rating

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

  - Class A-15; LT AAA(EXP)sf Expected Rating

  - Class A-16; LT AAA(EXP)sf Expected Rating

  - Class A-17; 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-3-A; LT AAA(EXP)sf Expected Rating

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  - Class B-6; LT NR(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

TRANSACTION SUMMARY

This is the inaugural transaction off the JP Morgan Wealth
Management Mortgage Trust shelf and JP Morgan's first transaction
securitized exclusively by loans originated by JP Morgan's Wealth
Management division. JP Morgan Chase Bank will be the servicer.

The certificates are supported by 402 prime fixed rate mortgage
loans with a total balance of approximately $391.1 million as of
the cutoff date. All of the loans satisfy the Ability to Repay
Rule; however, none of the loans are Qualified Mortgages, since
Appendix Q was not tested.

KEY RATING DRIVERS

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

Expected Payment Deferrals Related to Coronavirus (Negative): The
outbreak of the coronavirus pandemic and widespread containment
efforts in the U.S. will result in increased unemployment and cash
flow disruptions. To account for the cash flow disruptions, Fitch
assumed deferred payments on a minimum of 25% of the pool for the
first six months of the transaction at all rating categories with a
reversion to its standard delinquency and liquidation timing curve
by month 10. This assumption is based on observations of legacy
Alt-A delinquencies and past-due payments following Hurricane Maria
in Puerto Rico.

Payment Forbearance (Neutral): There are no loans in the pool that
are currently on or have requested a coronavirus forbearance or
deferral plan as of the cut-off date. If a borrower seeks
pandemic-related relief after the cut-off date but prior to the
closing date, the loan will be removed from the pool. If a borrower
seeks pandemic-related relief after the closing date, it is up to
the servicer, JPMCB, to determine what type of coronavirus relief
plan will work best for the borrower.

The forbearance plans generally offered are three months of
forbearance (which can be extended up to 12 months) with the
following repayment options: repayment in full after the term of
the forbearance plan ends, repayment plan, deferral (where missed
payments are added to the unpaid principal balance (UPB) and are
non-interest-bearing) or other loss mitigation options.

In the event of a deferment, the servicer will recoup P&I advances
at the time of deferment.

Loans on pandemic relief plans will be counted as delinquent and
JPMCB will still be obligated to advance on delinquent loans even
if they are on a pandemic relief plan. Servicer advancing helps to
provide liquidity to the trust, but may create losses if the
servicer reimburses itself for advances all at once.

Very High-Quality Mortgage Pool (Positive): The collateral
attributes are among the strongest of post-2008 financial crisis
RMBS rated by Fitch. The pool consists of fixed-rate loans with a
30-year original term to maturity that are fully amortizing and
made to high net worth borrowers with strong credit profiles, low
leverage and large liquid reserves. There are 148 loans that have a
balance over $1.0 million with the largest loan being $2.78
million. Only 22.8% of the loans are to self-employed borrowers and
there are two non-permanent residents in the pool.

The pool has a Fitch-calculated weighted average model FICO score
of 776, which is indicative of very high credit-quality borrowers.
Approximately 86.3% of the loans have current FICO scores at or
above 750. In addition, the original WA CLTV ratio of 69.9%
represents substantial borrower equity in the property. The loans
are seasoned an average of 44 months. The pool's attributes,
together with JP Morgan Wealth Management's sound origination
practices, support Fitch's very low default risk expectations.

All the loans in the pool were underwritten to Ability to Repay
(ATR) only and were not tested for QM status. As a result, 100% of
the pool is designated as Non-Qualified Mortgage loans.

Geographic Diversification (Negative): The pool's primary
concentration is in California, representing 66.7% of the pool.
Approximately 54% of the pool is located in the top three MSAs (Los
Angeles, San Francisco, and San Jose), with 24.4% of the pool
located in the Los Angeles MSA. The pool's regional concentration
added 0.22% to Fitch's 'AAAsf' loss expectations.

Non-Qualified Mortgage (Negative): All of the loans in this
transaction were underwritten to guidelines that satisfy the ATR
Rule, but do not qualify for QM status since Appendix Q was not
tested for. Fitch's 'AAAsf' loss was increased by 10 bps to account
for the potential risk of foreclosure challenges under the ATR
Rule.

Low Operational Risk (Positive): Operational risk is very well
controlled for in this transaction. JP Morgan Wealth Management is
assessed as an 'Above Average' originator by Fitch due to its
effective sourcing and acquisition strategy, robust underwriting
process and strong risk management framework. JPMCB is the servicer
of this transaction and is rated 'RPS1-' by Fitch. Loan origination
and servicer quality have an impact on performance, and Fitch
lowers its loss expectations for highly rated originators and
servicers (rated '1-' or higher) due to their strong practices and
higher expected recoveries. Fitch reduced its 'AAAsf' loss
expectations, by approximately 50bps, to account for the low
operational risk associated with this pool.

Representation and Warranty Framework (Neutral): The representation
and warranty construct is viewed by Fitch as a Tier 2 framework due
to 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. The R&Ws are being provided by JP Morgan
Chase Bank, rated 'AA'/'F1+'/Outlook Negative by Fitch. There was
no adjustment to the loss expectation due to the R&W framework and
financial strength of JP Morgan Chase Bank as R&W provider.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction by Clayton
Services, assessed as 'Acceptable — Tier 1' by Fitch. The results
of the review identified no material exceptions and confirmed sound
operational quality with no incidence of material defects. The
non-material credit exceptions are supported by strong mitigating
factors. Fitch applied a credit for the high percentage of loan
level due diligence, which reduced the 'AAAsf' loss expectations by
13bps.

Underwriting Guideline Exceptions (Neutral): Some of the loans had
underwriting exceptions that were approved prior to the loan being
originated. Most of these exceptions had to do with the liquidity
or leverage ratios (the leverage ratios had the most exceptions).
All exceptions had mitigating factors. All loans in the pool meet
the industry accepted standards for full documentation and were
confirmed by the third-party due diligence review firm as having
income, assets and employment fully verified and consistent with
full documentation. In addition, all loans meet the ATR standard.

Shifting Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement levels
are not maintained.

Subordination Floor (Positive): A CE or senior subordination floor
of 1.25% has been considered to mitigate potential tail-end risk
and loss exposure for senior tranches as pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. A junior subordination floor of
0.90% has been considered to mitigate potential tail-end risk and
loss exposure for subordinate tranches as pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration.

Full Servicer Advancing (Mixed): JP Morgan Chase Bank
(AA/F1+/Negative/'RPS1-'/Negative) will provide full advancing for
the life of the transaction. Although full P&I advancing will
provide liquidity to the certificates, it will also increase the
loan-level loss severity (LS) since the servicer looks to recoup
P&I advances from liquidation proceeds, which results in less
recoveries.

There is no master servicer in this transaction to advance on loans
if JP Morgan Chase Bank is not able to.

Fitch applied a 2.0 ERF floor for the 'BBB' rating stress and below
in the asset analysis, which resulted in an increase in the
straight model output expected loss. However, due to the extremely
strong collateral attributes of the pool, the straight model output
was below Fitch's 30-year loss floors. As a result, Fitch applied
the 30-year loss floors to the 'AAA' to 'BBB' rating categories.
For the 'B' rating category, Fitch increased the 'B' expected loss
from 0.20% (30-year loss floor for B rating stress) to 0.30% and
increased the 'BB' expected loss from 0.40% (30 year loss floor for
BB rating stress) to 0.50%. Fitch also increased the raw model loss
of 0.10% to 0.20% for the Base Case. Fitch increased the Base Case,
'B', and 'BB' expected losses due to the uncertainty of the current
economic environment due to coronavirus and to account for servicer
reimbursement of advances. No other adjustments were made.

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 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.

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

The defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 5.3%. As shown in the preceding table, the analysis
indicates there is some potential rating migration with higher MVDs
compared to 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. 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 2Q21.

Under this severe scenario, Fitch expects the ratings to be
impacted by changes in its sustainable home price model due to
updates to the model's underlying economic data inputs. Any
long-term impact arising from coronavirus disruptions on these
economic inputs will likely affect both investment and speculative
grade ratings.

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

JPMCB was not able to provide a tax, title, and lien report and a
custodial report. Per Fitch's "US RMBS Rating Criteria", a tax,
title and lien report and a custodial report are requested for
loans seasoned 24 months or more. Fitch was comfortable not
receiving these reports since all the loans were originated by JP
Morgan Wealth Management ('Above Average' originator) and serviced
by JPMCB (RPS1- servicer rating); the loans have stayed with JPMCB
since origination and have not changed hands; the servicer is
monitoring for tax, title, and lien issues; the custodian already
reviewed the custodial files for missing documents and all missing
documents that are needed to foreclose would need to be acquired at
this point; and JPMCB (an investment-grade counterparty) is
providing the representations that include clean tax, title and
liens and complete custodial files. A criteria variation was
applied for these missing reports; however, no adjustment was made
due to the mitigating factors.

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

Third-party due diligence was performed on 100% of the loans in the
transaction by Clayton Services and is assessed as an 'Acceptable
— Tier 1' TPR. The review scope includes review of credit,
compliance, and property valuation for each loan and is consistent
with Fitch criteria. The results indicate high quality loan
origination practices that are consistent with non-agency prime
RMBS. Fitch did not apply any loss adjustments.

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.

Form "ABS Due Diligence 15E" was reviewed and used as a part of the
rating for this transaction.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton
Services LLC was engaged to perform the review. Loans reviewed
under this engagement were given compliance, credit and valuation
grades and assigned initial grades for each subcategory. Minimal
exceptions and waivers were noted in the due diligence reports.
Refer to the Third-Party Due Diligence section for more detail.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

JPMWM 2020-ATR1: Transaction Parties & Operational Risk: 4

JPMWM 2020-ATR1 has an ESG Relevance Score of '4' for Transaction
Parties and Operational Risk. Operational risk is well controlled
for in JPMWM 2020-ATR1, including strong transaction due diligence
as well as an originator assessed as 'Above Average' by Fitch and
an 'RPS1-' Fitch-rated servicer, which resulted in a reduction in
expected losses and is relevant to the rating.

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).


KAYNE CLO 8: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Kayne CLO 8
Ltd.'s floating- and fixed-rate notes.

The note issuance is 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 July 20,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversified collateral pool.

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

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

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

  PRELIMINARY RATINGS ASSIGNED
  Kayne CLO 8 Ltd.

  Class                 Rating       Amount (mil. $)
  A-1                   AAA (sf)              155.00
  A-2                   AAA (sf)               25.00
  B                     AA (sf)                48.00
  C (deferrable)        A (sf)                 16.50
  D (deferrable)        BBB- (sf)              16.50
  E (deferrable)        BB- (sf)                9.00
  Subordinated notes    NR                     22.58

  NR--Not rated.


LITTLE FEET: Seeks to Hire Alexander Van Loon as Accountant
-----------------------------------------------------------
Little Feet Learning Center seeks approval from the U.S. Bankruptcy
Court for the Southern District of Mississippi to employ Alexander,
Van Loon, Sloan, Levens & Favre, PLLC as its accountant.

The firm will be compensated at its usual and customary hourly
rates and will receive reimbursement for work-related expenses
incurred.

Alexander Van Loon does not hold any interest adverse to Debtor's
bankruptcy estate and is a "disinterested person" within the
meaning of Section 101(14) of the Bankruptcy Code, according to
court filings.

The firm can be reached at:.

     Jerry Favre, CPA, CITP
     Alexander, Van Loon, Sloan, Levens & Favre, PLLC CPA
     MS F0107
     9490 Three Rivers Rd
     Gulfport, MS 39503
     Phone: (228) 863-0411
     Fax: (228) 863-1165
     Email: jfavre@avlcpa.com

                 About Little Feet Learning Center

Little Feet Learning Center filed a voluntary Chapter 11 petition
(Bankr. S.D. Miss. Case No. 19-52507) on Dec. 18, 2019, listing
under $1 million in both assets and liabilities.  
Judge Katharine M. Samson oversees the case.  Debtor is represented
by W. Jarrett Little, Esq., and William J. Little, Jr., Esq., at
Lentz & Little, PA.


LUNAR AIRCRAFT 2020-1: Fitch Puts Class C Notes on Watch Negative
-----------------------------------------------------------------
Fitch Ratings has placed the outstanding class A, B and C notes of
Lunar Aircraft 2020-1 Limited on Rating Watch Negative.

Lunar Aircraft 2020-1 Limited

  - Class A 55037LAA2; LT Asf; Rating Watch On

  - Class B 55037LAB0; LT BBBsf; Rating Watch On

  - Class C 55037LAC8; LT BBsf; Rating Watch On

TRANSACTION SUMMARY

The rating actions on Lunar are driven by the termination of
purchase agreements to novate six aircraft in the pool prior to
November 23, 2020 (Delivery Expiry Date) which is 270 days after
February 27, 2020 (Closing Date). This is a credit negative for the
transaction as it results in potential higher concentration risks
compared to the Closing Date, and may result in further negative
rating actions.

KEY RATING DRIVERS

On July 10, 2020, a notice was provided to noteholders by the asset
manager, who is an affiliate of Sculptor Asset Management
(Sculptor; NR by Fitch), that six aircraft will not be purchased by
Lunar as originally planned on the Closing Date. These related
aircraft purchase agreements with THIRD-PARTY sellers had either
expired or were terminated.

The remaining 12 aircraft in the pool results in notably lower
diversification with higher exposure and credit risk to the
following: individual aircraft assets; weaker airline lessee
credits backing the leases; higher reliance on lease cash flows
from the remaining aircraft; elevated risks around the aircraft
values; and higher regional and country exposures. All of these
factors are notable credit negatives for the transaction.

The aircraft not purchased by Lunar are manufacturer serial
numbers: 1007 (widebody A330-300; leased to Finnair), 32736
(narrowbody (NB) B737-800; SunExpress), 4150 (NB A320-200; S7 [JSC
Siberia Airlines]), 7595 (NB A320-200; JetSMART), 40721 (NB
737-800; Comair); and 60177 (NB 737-800; Nordwind Airlines).

Fitch is awaiting further information from the relevant transaction
parties, including the asset manager, and will be conducting a full
review and analysis of the transaction and ratings once received.
This will involve updating asset assumptions and stresses across
the remaining pool of assets and lessee credits, and running
bespoke asset and liability cash flow modeling, all in light of the
ongoing COVID-19 pandemic and stress to the airline sector. To
note, appropriate additional stresses may be applied to account for
higher concentration risks present from 12 remaining aircraft in
the pool.

To note, the purchase agreements may be extended or renegotiated,
aircraft may be substituted into the pool as permitted pursuant to
the purchase agreements (limited to up to three aircraft, in
addition to other criteria such as aircraft type (only NB A320 or
A321-200 (incl. NEOs) or 737NG (excl. 737-600NG), concentration
limits and lease rent thresholds), or an acquisition balance
redemption in respect of such Remaining Aircraft may be executed
and pay down the notes.

It remains unknown which path of action Lunar will pursue at this
time as Fitch awaits further information from the asset manager.
Aircraft can be substituted into the transaction until the Delivery
Expiry Date. Regardless of the ability to substitute such aircraft
into the pool, however, the transaction will be left with less
aircraft, and these substituted aircraft and their associated
leases may not be an overall credit positive for the transaction.

If the six aircraft (or substitute aircraft) ultimately do not
novate into the Lunar pool by the Delivery Expiry Date, the
applicable amount attributable to each undelivered aircraft will be
used to prepay the notes without premium, consistent with other
aircraft ABS transactions. If this non-delivery event were to
ultimately occur, or if the paydowns to the rated notes are not
allocated as anticipated, it could lead to further negative rating
actions.

Affiliates of Sculptor acquired and are current owners of the E
notes, which are NR by Fitch. The asset manager must provide
recommendations to the directors on sales opportunities and other
portfolio decisions, requiring approval of the respective boards
under the servicing agreement. The directors are not required to
act in accordance with the recommendations of the asset manager.
The E note holder will be required to hold at least 51% of the
equity certificates subject to a two-year lockup period and at
least 25% until a four-year lockup period.

UMB Bank, N.A. acts as trustee, security trustee and operating bank
and Phoenix American Financial Services Inc. is the managing
agent.

DVB Aircraft Asset Management (DVB AAM; not rated by Fitch) is the
servicer of Lunar. In March 2019, DVB signed an agreement with MUFG
Bank, Ltd. (MUFG; 'A-'/Stable Outlook), a subsidiary of Mitsubishi
UFJ Financial Group, Inc. and BOT Lease, Co., Ltd, an affiliate of
MUFG, for the sale and transfer of DVB's aviation finance division,
which included DVB AAM and other parts of the related aviation
groups. The transfer of the aviation finance division, the
employees, and operational infrastructure, was completed in
November 2019.

However, in early July 2020, it was announced that the acquisition
of the aviation finance division (including DVB AAM) by MUFG Bank,
Ltd. was not completed due to regulatory issues. DVB and DZ Bank
announced that they remain fully committed to the aviation finance
businesses, including DVB AAM, and are providing all required
support, in parallel to exploring alternative options including
proceeding with a sale. Despite the acquisition falling through,
Fitch deems the servicer DVB AAM to be adequate to service ABS
based on its experience as a lessor, overall servicing
capabilities, and historical ABS performance to date. In a recent
corporate update call, DVB AAM informed Fitch that there have been
no material changes to their business or management/operational
teams in 2020 and no impact due to the sale of the business not
materializing.

On March 31, 2020, Fitch assigned all series of Lunar's rated notes
a Negative Rating Outlook. This rating action was part of Fitch's
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 to
negatively affect airlines across the globe.

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.

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.


MARATHON CLO XI: Moody's Lowers Rating on Class D Notes to B1
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Marathon CLO XI Ltd.:

US$30,000,000 Class B Senior Secured Deferrable Floating Rate Notes
Due April 21, 2031 (the "Class B Notes"), Downgraded to A3 (sf);
previously on June 3, 2020 A2 (sf) Placed Under Review for Possible
Downgrade

US$35,800,000 Class C Senior Secured Deferrable Floating Rate Notes
Due April 21, 2031 (the "Class C Notes"), Downgraded to Ba1 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$22,000,000 Class D Secured Deferrable Floating Rate Notes Due
April 21, 2031 (the "Class D Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C and Class D notes, and on June 3, 2020 on
the Class B notes, issued by the CLO. The CLO, issued 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 will end in April
2023.

RATINGS RATIONALE

The downgrades on the Class B, Class C, and Class D 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, 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 3519 as of July 2020, or 17.8% worse compared to 2987 reported
in the March 2020 trustee report [1]. Moody's calculation also
showed the WARF was failing the test level of 3119 reported in the
June 2020 trustee report [2] by 400 points. Moody's noted that
approximately 39.7% of the CLO's par was from obligors assigned a
negative outlook and 1.3% 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
24.8% as of June 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $523.5 million, or $26.5 million less than the
deal's ramp-up target par balance, and Moody's calculated the
over-collateralization ratios (excluding haircuts) for the Class A,
Class B, Class C and Class D notes as of June 2020 is at 125.7%,
117.3%, 108.6% and 103.8%, respectively. Moody's notes that
according to the June 2020 trustee report [3], the OC tests for the
Class C, Class D notes and the interest diversion test are failing
their respective triggers. If these failures were to occur on the
next payment date they could result in the repayment of senior
notes, deferral of current interest payments on the more-junior
notes, or 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 of $516.3 million,
defaulted par of $21.5 million, a weighted average default
probability of 29.08% (implying a WARF of 3519), a weighted average
recovery rate upon default of 47.72%, a diversity score of 73 and a
weighted average spread of 3.72%. Moody's also analyzed the CLO by
incorporating an approximately 6.2 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.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in the US economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. 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.


MCF CLO VIII: S&P Affirms BB- (sf) Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-2A-R and
A-2B-R replacement notes from MCF CLO VIII Ltd., a collateralized
loan obligation (CLO) originally issued in 2018 that is managed by
Madison Capital Funding LLC. S&P withdrew its ratings on the
original class A-2 notes following payment in full on the July 20,
2020, refinancing date. At the same time, S&P affirmed its ratings
on the class A-1, B, C, D, and E notes as well as the combination
notes.

On the July 20, 2020 refinancing date, the proceeds from the class
A-2A-R and A-2B-R replacement note issuances were used to redeem
the original class A-2 notes as outlined in the transaction
document provisions. Therefore, S&P withdrew its ratings on the
original notes in line with their full redemption, and it is
assigning ratings to the replacement notes.

The replacement notes are being issued via a supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:

-- Issue the class A-2A-R notes at a floating rate and the class
A-2B-R at a fixed rate, replacing the existing class A-2 fixed-rate
notes.

-- Extend the noncall period by one year to July 2021.

In line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.

"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels," S&P
said.

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

  RATINGS ASSIGNED

  MCF CLO VIII Ltd.
  Replacement class          Rating        Amount (mil $)
  A-2A-R                     AAA (sf)               21.60
  A-2B-R                     AAA (sf)               10.00

  RATING WITHDRAWN
                           Rating
  Original class       To              From
  A-2                  NR              AAA (sf)

  RATINGS AFFIRMED
  Class                      Rating
  A-1                        AAA (sf)
  B                          AA (sf)
  C                          A (sf)
  D                          BBB- (sf)
  E                          BB- (sf)
  Combination notes          BBB+p (sf)


MORGAN STANLEY 2001-TOP3: Fitch Affirms D Rating on 7 Tranches
--------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed seven classes of
Morgan Stanley Dean Witter Capital I Trust, series 2001-TOP3.

Morgan Stanley Dean Witter Capital I Trust 2001-TOP3

  - Class E 61746WHM5; LT AAAsf; Upgrade

  - Class F 61746WHN3; LT Dsf; Affirmed

  - Class G 61746WHP8; LT Dsf; Affirmed

  - Class H 61746WHQ6; LT Dsf; Affirmed

  - Class J 61746WHR4; LT Dsf; Affirmed

  - Class K 61746WHS2; LT Dsf; Affirmed

  - Class L 61746WHT0; LT Dsf; Affirmed

  - Class M 61746WHU7; LT Dsf; Affirmed

KEY RATING DRIVERS

Stable Loss Expectations; High Defeasance: Pool performance and
loss expectations remain generally stable. There are four loans
(39.1%) totaling $4.6 million that have defeased. The remaining
balance of class E is now covered in full by defeased collateral.

Increased Credit Enhancement: CE has increased since Fitch's last
rating action due to continued loan paydown. As of the July 2020
distribution date, the pool's aggregate principal balance has been
reduced by nearly 99% to $11.8 million from $1.03 billion at
issuance. The nine remaining loans all mature between March and
June 2021. Realized losses to date total $57 million or 5.5% of the
deal's original balance.

Coronavirus Exposure: Given the nature of the remaining classes,
the coronavirus will not have any effect on the transaction's
performance. Of the two remaining classes with a balance, one is
covered in full by defeasance, and the other has already incurred
principal losses.

RATING SENSITIVITIES

The upgrade to class E reflects full coverage by defeased
collateral.

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

Fitch does not foresee any future positive rating actions. Class
cannot be upgraded beyond 'AAAsf' and upgrades to the 'Dsf'-rated
classes are not possible; these classes have previously incurred
principal losses.

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

A downgrade to class E is considered highly unlikely but,
nevertheless, may occur with a downgrade to the credit rating of
the United States government.

BEST/WORST CASE RATING SCENARIO

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

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

No third-party due diligence was provided 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 2005-TOP19: Fitch Hikes Class K Debt Rating to Bsf
-----------------------------------------------------------------
Fitch Ratings has upgraded three and affirmed four classes of
Morgan Stanley Capital I Trust, series 2005-TOP19.

Morgan Stanley Capital I Trust 2005-TOP19

  - Class H 61745M5T6; LT Asf; Upgrade

  - Class J 61745M5U3; LT BBsf; Upgrade

  - Class K 61745M5V1; LT Bsf; Upgrade

  - Class L 61745M5W9; LT Dsf; Affirmed

  - Class M 61745M5X7; LT Dsf; Affirmed

  - Class N 61745M5Y5; LT Dsf; Affirmed

  - Class O 61745M5Z2; LT Dsf; Affirmed

KEY RATING DRIVERS

Stable Loss Expectations: Loss expectations remain stable and the
loans continue to exhibit stable performance. The pool remains
highly concentrated with only five loans remaining. There are two
loans (84.9%) on the servicer's watchlist for deferred maintenance
and a forbearance request. One was flagged as a Fitch Loan of
Concern due to the loan not paying off at its maturity date;
however, the borrower continues to work to pay off the loan.

The largest loan, Marketplace at Webb Chapel (45.7%), is secured by
a 93,000-sf anchored retail center located in Dallas, TX. The
property is anchored by grocer tenant Carnival (58% NRA) through
March 2023. The loan did not repay at its June 2020 maturity date,
and the borrower is continuing to pursue refinancing options. The
borrower is also working on obtaining a 60-day forbearance. As of
the March 2020 rent roll, the property was 96% occupied and YE 2019
NOI debt service coverage ratio was 1.37x.

Increasing Credit Enhancement: Credit enhancement has increased
since Fitch's last rating action. Eight loans totaling $45.4
million were repaid. Proceeds were used to help pay classes D, E,
F, and G in full. As of the July 2020 distribution date, the pool's
aggregate balance has been reduced by 98.6% to $17.4 million from
$1.2 billion at issuance. There is one defeased loan (3.2%). Of the
four non-defeased loans, three (51.1%) are fully amortizing and one
(45.7%) matured in June 2020 and is working through the refinance
process. Realized losses total $18.7 million or 1.5% of the
original deal balance.

Single Tenant Properties: The three fully amortizing loans are all
secured by single tenanted properties. This risk is mitigated by
the low leverage and stable operating performance of the loans.

Coronavirus Exposure: Due to the concentrated nature of the pool,
Fitch performed a sensitivity analysis that grouped the remaining
loans/assets based on collateral quality, performance, and
perceived likelihood of repayment. There are two non-defeased loans
(50.8%) that are secured by retail properties. Given the nature of
the pool, no additional NOI stresses were applied.

RATING SENSITIVITIES

The upgrades to classes H, J and K are due to increased CE
primarily due to eight loans that repaid in full, including one
loan whereby an additional stress scenario was assumed. The Stable
Rating Outlooks reflect expected continued amortization and pay
down.

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

Sensitivity factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Additional upgrades to class H is considered unlikely as the class
will either pay if full if the Marketplace at Webb Chapel loan, or
if the loan does not payoff, the rating reflects the protection
from losses should the loan default.

Upgrades to classes J and K would occur with CE increases as loans
continue to paydown. Classes would not be upgraded above 'Asf' if
there is a likelihood for interest shortfalls.

Upgrades to classes L through O are not possible; these classes
have experienced a principal loss.

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 classes H and J is possible should several loans
transfer to special servicing and as losses begin to erode CE.

A downgrade to class J and K would likely occur should the largest
loan, Marketplace at Webb Chapel, fail to refinance, transfer to
special servicing and payoff considered unlikely. 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).


MORGAN STANLEY 2017-ASHF: S&P Cuts Rating on Class E Certs to B(sf)
-------------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class E and F
commercial mortgage pass-through certificates from Morgan Stanley
Capital I Trust 2017-ASHF, a U.S. CMBS transaction. At the same
time, S&P affirmed its ratings on five other classes from the same
transaction. The ratings on classes D, E, and F were removed from
CreditWatch, where they were placed with negative implications on
May 6, 2020.

S&P previously placed these ratings on CreditWatch negative because
of its concerns regarding COVID-19's potential impact on the
performance of the collateral hotel properties and the lodging
sector overall, along with the related ambiguity concerning the
duration of the demand disruption.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P Global Ratings is using this
assumption in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, the rating
agency will update its assumptions and estimates accordingly.

The downgrades and affirmations on the principal- and
interest-paying classes reflect S&P Global Ratings' reevaluation of
the Ashford Hotel Portfolio, which secures the loan in this
single-borrower transaction. Specifically, the downgrade on class F
'CCC (sf)' reflects, based on a higher S&P Global Ratings'
loan-to-value (LTV) ratio, the rating agency's view that the class
is more susceptible to reduced liquidity support and that the risk
of default and losses has increased. S&P Global Ratings'
expected-case value is 9.6% lower than at issuance, and is driven
by the application of a higher S&P Global Ratings' capitalization
rate that better captures the increased susceptibility to net cash
flow and liquidity disruption stemming from the pandemic.

"Using the S&P Global Ratings' sustainable net cash flow of $36.4
million (same as at issuance) and applying a weighted average
capitalization rate of 10.43% (up from 9.43% at issuance), we
arrived at an S&P Global Ratings' value of $348.4 million ($111,372
per guestroom) and an LTV ratio of 120.3%, versus 110.8% at
issuance," the rating agency said.

In addition, S&P Global Ratings considered that the loan has a
reported 90-plus-days delinquent payment status. The master
servicer has advanced the full debt service amounts for April, May,
June, and July 2020, and the loan was transferred to the special
servicer, Trimont Real Estate Advisor LLC, on April 7, 2020, due to
imminent monetary default. Trimont is currently reviewing the
borrower's COVID-19 forbearance relief request.

S&P Global Ratings affirmed its ratings on classes A, B, C, and D,
even though the model-indicated ratings were lower than the
classes' current rating levels. This is because the rating agency
qualitatively considered the underlying collateral quality, the
significant market value decline that would be needed before these
classes experience losses, liquidity support provided in the form
of servicer advancing, and the positions of the classes in the
waterfall. S&P Global Ratings also considered that, according to
the master servicer, the lodging properties (except for two)
remained open during the COVID-19 pandemic. Moreover, Trimont
indicated to S&P Global Ratings that it is working with the
borrower to finalize a standstill agreement. The terms may include
a moratorium of three monthly debt service payments, waiver of
deposits into the reserve funds, and repayments over 12 equal
installments.

S&P Global Ratings affirmed the rating on the X-EXT interest-only
(IO) certificates based on the rating agency's criteria for rating
IO securities, in which the rating on the IO securities would not
be higher than that of the lowest-rated reference class. The
notional amount of class X-EXT references the class C certificates.


This is a stand-alone (single-borrower) transaction backed by a
floating-rate IO mortgage loan secured by the borrowers' fee
interests in a portfolio of eight full-service, three
extended-stay, and six limited-service hotels totaling 3,128
guestrooms. The properties are located across seven U.S. states:
Indiana (22.5% of the allocated loan amount [ALA], Texas (18.6%),
Florida (17.6%), Virginia (16.7%), California (12.4%), Nevada
(7.4%), and Georgia (4.8%). The 17 hotels operate under seven
different national brands; the top four franchise affiliations
include: Embassy Suites (25.5% of ALA), Courtyard by Marriott
(23.4%), Hilton (16.4%), and Residence Inn by Marriott (15.1%).
Also, the sponsor spent $103.9 million, or $33,229 per guestroom,
on capital improvements between 2013 and 2017. The Residence Inn
Evansville East (2.7% of ALA) and Evansville Residence Inn III East
(1.9% of ALA) have franchise agreements expiring in July 2021 and
September 2024, however the remaining hotels have long-term
franchise or management agreements expiring after the extended loan
term in November 2024.

The three largest hotels in the portfolio are:

-- The Sheraton Indianapolis (14.4% by ALA), a full-service
372-guestroom hotel in downtown Indianapolis, Ind. that derives a
significant portion of its revenue from group demand;

-- The Arlington Courtyard Crystal City Reagan Airport (10.3%
ALA), a 272-guestroom limited service hotel located approximately
one mile from Reagan International Airport in Washington D.C.; and

-- The St. Petersburg Hilton Bayfront, a full-service
333-guestroom hotel located in the Waterfront district of downtown
St. Petersburg, Fla.

S&P Global Ratings' property-level analysis included a reevaluation
of the lodging properties that secure the mortgage loan in the
trust and considered the stable reported revenue per available room
(RevPAR) and net operating income (NOI) from 2017 through 2019.
Specifically, reported RevPAR and NOI for 2019 were $110.51 and
$49.0 million, respectively; $109.74 and $50.7 million,
respectively, for 2018; and $109.57 and $50.5 million,
respectively, for 2017. S&P Global Ratings assumed a RevPAR and NOI
of $98.10 and $42.8 million, respectively, at issuance. The rating
agency also reviewed the property inspection reports and the March
2020 STR reports for the 17 properties.

Further, S&P Global Ratings' analysis considered that the pandemic
has brought about unprecedented social distancing and curtailment
measures, which are resulting in a significant decline in demand in
corporate, leisure, and group travelers. Since the outbreak, there
has been a dramatic decline in airline passenger miles stemming
from governmental restrictions on international travel and a major
drop in domestic travel. In an effort to curtail the spread of the
virus, most group meetings (both corporate and social) have been
cancelled, corporate transient travel has been restricted, and
leisure travel has slowed due to fear of travel and the closure of
demand generators, such as amusement parks and casinos, and the
cancellation of concerts and sporting events.

The portfolio generates its demand from a mix of leisure,
corporate, and group demand. Demand from all three of these sources
has dropped due to consumers' fears of traveling, corporate
restrictions on travel, as well as the need for social distancing.
While leisure travel has slowly increased since April, leisure
travelers have thus far favored hotels in smaller markets and more
remote locations in an effort to socially distance. Given the
recent spike in COVID-19 cases in Florida, California, and Texas,
travel to these states may be curtailed until there is a COVID-19
treatment or vaccine.

The March 2020 STR reports indicate that of the 17 properties
securing the loan, 16 (85.6% of the ALA) had RevPAR penetration
rate--which measures the RevPAR of the hotel relative to its
competitors, with 100% indicating parity with
competitors--exceeding 100% as of the trailing 12-months (TTM)
ended March 2020. According to the special servicer, the portfolio
occupancy was 73.1% as of the TTM ended March 2020 (down from 76.1%
and 77.3% in 2019 and 2018, respectively) and was 39.3% in March.
While S&P does not yet have updated financial statements, it
expects 2020 NOI to be significantly below 2019 levels.

In its current analysis, instead of adjusting its sustainable net
cash flow assumption, S&P Global Ratings increased its
capitalization rate by 100 basis points from issuance to account
for a portion of the portfolio's full-service concentration that
has reliance on group demand (eight hotels; 55.2% of ALA), as well
as geographic concentration of the hotels in Texas (four hotels;
18.3%), Florida (three hotels; 17.6%), California (two hotels;
12.4%), and Nevada (one hotel; 7.4%), states where lodging demand
has been significantly affected by COVID-19. While COVID-19-related
restrictions eased in the last month or so, increases in COVID-19
cases are causing some U.S. states to put additional measures in
place in an effort to contain the outbreak. S&P Global Ratings
expects travel will remain tempered for several quarters.

According to the July 15, 2020, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $419.0 million,
down from $427.0 million at issuance.

"It is our understanding from Trimont that the $8.0 million paydown
was related to the contemplated release of the parking parcel at
the Hilton St. Petersburg Bayfront property. The IO loan pays a per
annum weighted average floating interest rate of LIBOR plus a 3.00%
spread and currently matures on Nov. 9, 2020. The loan's first of
five one-year extension options was exercised in November 2019. To
date, the trust has not incurred any principal losses. However,
$270,462 in accumulated shortfalls affected class HRR (not rated)
due to special servicing fees," S&P Global Ratings said.

Environmental, social, and governance (ESG) factors relevant to the
rating action:

-- Health and safety.

  RATINGS LOWERED AND REMOVED FROM WATCH NEGATIVE

  Morgan Stanley Capital I Trust 2017-ASHF
  Commercial mortgage pass-through certificates
                 Rating
  Class    To               From
  E        B (sf)           BB- (sf)/Watch Neg
  F        CCC (sf)         B- (sf)/Watch Neg

  RATING AFFIRMED AND REMOVED FROM WATCH NEGATIVE

  Morgan Stanley Capital I Trust 2017-ASHF
  Commercial mortgage pass-through certificates
                 Rating
  Class    To               From
  D        BBB- (sf)        BBB- (sf)/Watch Neg

  RATINGS AFFIRMED (NOT PREVIOUSLY ON WATCH)

  Morgan Stanley Capital I Trust 2017-ASHF
  Commercial mortgage pass-through certificates
  Class      Rating
  A          AAA (sf)
  B          AA- (sf)
  C          A- (sf)
  X-EXT      A- (sf)


MORGAN STANLEY 2018-BOP: BRS Confirms BB Rating on Class F Certs
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of the
Commercial Mortgage Pass-Through Certificates, Series 2018-BOP
issued by Morgan Stanley Capital I Trust 2018-BOP:

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

All trends are Stable. The ratings have been removed from Under
Review with Developing Implications, where they were placed on
November 14, 2019.

The Class X-EXT balance is notional.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions.

Prior to the finalization of the NA SASB Methodology, the DBRS
Morningstar ratings for the subject transaction and all other DBRS
Morningstar-rated transactions subject to the methodology in
question were previously placed Under Review with Developing
Implications, as the proposed methodology changes were material.

The subject rating actions are the result of the application of the
NA SASB Methodology in conjunction with the "North American CMBS
Surveillance Methodology," as applicable. Qualitative adjustments
were made to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis.

The subject loan is secured by the fee-simple interest in a
portfolio of 12 suburban office properties comprising nearly 1.8
million square feet (sf) of office space located in four different
states on the east coast of the United States. Nine properties
within the portfolio (81.7% of the net rentable area (NRA); 82.6%
of the loan) are primarily concentrated in the Washington, D.C.,
metro area, which is composed of the District of Columbia, Northern
Virginia (two properties), and suburban Maryland (seven
properties), and total 1.3 million sf (81.0% of DBRS Morningstar
Base Rent). The three remaining portfolio properties are located in
Florida (two properties) and Georgia (one property) and total
330,907 sf in the Orlando (13.5% of DBRS Morningstar Base Rent) and
Atlanta (5.5% of DBRS Morningstar Base Rent) metro areas. Built
between 1970 and 2007, the portfolio properties are positioned in
markets that are beginning to benefit from an expansion away from
government demand, which has steadily been generated by diverse
thriving local economies. Moreover, the portfolio benefits from
tenant diversity across the government, legal, technology,
healthcare, financial services, education, and research and
development sectors as evidenced by its granular rent roll.
Although none of the subject properties are centered in what DBRS
Morningstar would consider urban markets, these assets are
generally located within dense suburban markets that benefit from
favorable vehicular accessibility, public transportation
availability, and favorable proximity to their respective central
business districts.

The loan is sponsored by Brookfield Strategic Real Estate Partners
II (BSREP II), a large-scale global real estate opportunity fund
with $9.0 billion of committed capital to invest in a diversified
portfolio of high-quality assets in North America, Europe,
Australia, Brazil, and other select markets. BSREP II is the second
private fund investment vehicle of its kind created by the
owner-operator, Brookfield Property Partners L.P. (Brookfield;
rated BBB with a Negative trend by DBRS Morningstar). Brookfield
acquired the portfolio through two separate transactions: the WRIT
Montgomery County Portfolio in 2016 for $234.1 million and the TA
Realty Portfolio in 2017 for an allocated purchase price of $107
million. The WRIT Montgomery Portfolio comprises the Wayne Plaza,
6110 Executive Blvd, Jefferson Plaza, West Gude Office Park, One
Metro Square, and One Central Plaza properties. The TA Realty
Portfolio comprises the University Corporate Center I, University
Corporate Center III, Winward Concourse, Montrose Metro I,
Arlington Square, and Prince Street Plaza properties. The Sponsor
has already invested a total of approximately $8.6 million ($4.78
per sf (psf)) into select properties to improve their competitive
position and to and to help with their leasing efforts. As an
example, the United States Fish and Wildlife Service occupied
100.0% of Arlington Square prior to relocating in 2014. Since
acquiring the property in 2017 and after the previous owner
renovated the lobby into an open two-story design, the sponsor
invested an additional $2.3 million into the property to attract
new tenants with above-market rents. These efforts have increased
occupancy to 30.7% from 0.0%.

Much of the portfolio's stable performance is attributable to its
highly granular rent roll with more than 240 tenants, none of which
accounts for more than 3.4% of the total NRA. The portfolio's
largest six tenants, representing a combined 16.2% of the NRA,
include many large corporations, foundations, defense contractors,
and government entities such as Bank of America, N.A. (rated AA
(low) with a Stable trend by DBRS Morningstar); Siemens Real Estate
Corporation; The Henry M. Jackson Foundation; Advanced Micro
Devices, Inc.; Northrup Grumman Space & Mission Systems; Montgomery
County, Maryland; and IQ Solutions, Inc. Five
investment-grade-rated tenants lease 252,269 sf (14.0% of the NRA)
across the entire portfolio.

Total debt proceeds (including $55.0 million of mezzanine debt) of
$278.4 million ($155 psf) were used to pay off $259.4 million ($144
psf) of existing debt, fund upfront reserves of approximately $8.3
million, and cover roughly $9.5 million in closing costs. Upfront
reserves included $4.7 million for existing tenant
improvement/leasing commission obligations, $1.1 million for
upfront real estate tax reserves, and $2.6 million for existing
free rent obligations as well as deferred maintenance, insurance,
environmental, and replacement reserves. The mortgage loan is
interest only (IO) through its fully extended loan term.

The DBRS Morningstar net cash flow (NCF) derived at issuance was
re-analyzed for the subject rating action to confirm its
consistency with the "DBRS Morningstar North American Commercial
Real Estate Property Analysis Criteria." The resulting NCF figure
was $22.0 million and a cap rate of 8.0% was applied, resulting in
a DBRS Morningstar Value of $275.4 million, a variance of -23.8%
from the appraised value at issuance of $361.6 million. The DBRS
Morningstar Value implies an LTV of 81.1% on the A note debt, as
compared with the LTV on the issuance appraised value of 61.8%. The
NCF figure applied as part of the analysis represents a -14.0%
variance from the Issuer's NCF, primarily driven by rent step
credits, vacancy, mark-to-market adjustments, and leasing costs.

The cap rate applied is at the middle of the range of DBRS
Morningstar Cap Rate Ranges for office properties, reflective of
the location, quality, and market position. In addition, the 8.0%
cap rate applied is above the implied cap rate of 7.1% based on the
Issuer's underwritten NCF and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 1.25%
to account for cash flow volatility.

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

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


MORGAN STANLEY 2019-AGLN: DBRS Confirms B(low) Rating on G Certs
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Securities Certificates, Series
2019-AGLN issued by Morgan Stanley Capital I Trust 2019-AGLN (the
Issuer):

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

All trends are Stable. The ratings have been removed from Under
Review with Developing Implications, where they were placed on
November 14, 2019. DBRS Morningstar also discontinued and withdrew
its rating on Class X-CP.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions.

Prior to the finalization of the NA SASB Methodology, the DBRS
Morningstar ratings for the subject transaction and all other DBRS
Morningstar-rated transactions subject to the methodology in
question were previously placed Under Review with Developing
Implications, as the proposed methodology changes were material.

The subject rating actions are the result of the application of the
NA SASB Methodology in conjunction with the "North American CMBS
Surveillance Methodology," as applicable. Qualitative adjustments
were made to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis.

Although the portfolio has properties across eight states and 10
markets and is generally well diversified, DBRS Morningstar notes
certain market concentrations. Texas accounts for 37.9% of the NRA
and 43.8% of the base rent, of which Houston has 12 properties,
accounting for 26.3% of the net rentable area (NRA) and 28.1% of
the in-place base rent. Chicago has the next-highest concentration
with 13.9% of the NRA and 22.7% of the base rent. The largest
property in the portfolio is located in Sarasota, Florida, and
accounts for 15.8% of the NRA and 12.4% of the base rent. However,
certain stabilizing factors in these markets mitigate some
concentration risks. The portfolio properties generally outperform
their submarket averages in terms of occupancy and there is limited
new supply in the properties' submarkets.

There is relatively high rollover risk as 84.2% of the rent roll
expires during the loan term and the rollover is more than 15.0% in
each of 2020, 2021 and 2022; however, the portfolio has a roster of
235 different tenants and no tenant occupies more than 8.1% of the
NRA or contributes more than 6.8% of the portfolio rent. DBRS
Morningstar accounted for the concentration risks by limiting the
diversity credit in the LTV sizing hurdles to only 3.5%.

The median age of the portfolio properties is 33 years and none of
the buildings were built within the last 10 years. As such, DBRS
Morningstar is concerned about potential functional obsolescence.
In addition, only six properties in the portfolio have clear
heights greater than 25 feet; however, these buildings are among
the top 10 by size, including Sarasota Distribution Hub—the
largest property in the portfolio with a combined 2.2 million
square feet—account for 38.0% of the portfolio NRA.

The portfolio has exhibited consistently high occupancy. Since
2015, the portfolio has had weighted-average occupancy of nearly
96.0%, even as properties have been added and the portfolio has
grown to the current 42 assets from 28 assets. As well, on a
same-store basis, occupancy has remained steady at 95.0% since
2015. During the same time, the portfolio net cash flow (NCF) has
increased to $35.6 million from $25.9 million, an increase of
37.0%.

Based on the sponsor's acquisition cost of the collateral
properties, excluding noncollateral minority interests in other
properties, there is $202.0 million of cash equity and mezzanine
debt behind the mortgage loan and $119.6 million of equity behind
the total financing package.

The loan is structured with a cash flow sweep during a Trigger
Period, defined as an event of default, or if the debt yield falls
below 10.0% for two consecutive quarters. The current debt yield
based on the Issuer's net operating income (NOI) is 10.6%, and 9.7%
based on the Issuer's NCF. The Issuer's NOI would have to decline
by $1.9 million to fall below 10.0%.

The DBRS Morningstar NCF derived at issuance was reanalyzed for the
subject rating action to confirm its consistency with the "DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria." The resulting NCF figure was $29.0 million and a cap
rate of 8.50% was applied, resulting in a DBRS Morningstar Value of
$341.0 million, a variance of -27.8% from the appraised value at
issuance of $472.5 million. The DBRS Morningstar Value implies an
LTV of 118.3% compared with the LTV of 85.4% on the appraised value
at issuance. The NCF figure applied as part of the analysis
represents a -7.1% variance from the Issuer's NCF, primarily driven
by capital expenditures, tenant improvements, and mark-to-market
adjustments.

The cap rate DBRS Morningstar applied is at the middle end of the
DBRS Morningstar Cap Rate Ranges for office properties, reflecting
the geographically diverse pool, high occupancies, and older
vintages of the properties. In addition, the 8.50% cap rate DBRS
Morningstar applied is above the implied cap rate of 6.6% based on
the Issuer's underwritten NCF and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 1.25%
to account for cash flow volatility, property quality, and market
fundamentals.

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

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


MORGAN STANLEY 2020-HR8: Fitch to Rate Class K-RR Certs 'B-(EXP)'
-----------------------------------------------------------------
Fitch Ratings has issued a presale report on Morgan Stanley Capital
I Trust 2020-HR8 commercial mortgage pass-through certificates
series 2020-HR8.

MSC 2020-HR8

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

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

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

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

  -- Class A-3-X1; LT AAA(EXP)sf Expected Rating   

  -- Class A-3-X2; 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-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-RR; LT BBB+(EXP)sf Expected Rating   

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

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

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

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

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

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

  -- Class M-RR; 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   

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

  -- $11,100,000 class A-1 'AAAsf'; Outlook Stable;

  -- $16,500,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $172,500,000ab class A-3 'AAAsf'; Outlook Stable;

  -- $0b class A-3-1 'AAAsf'; Outlook Stable;

  -- $0b class A-3-2 'AAAsf'; Outlook Stable;

  -- $0bc class A-3-X1 'AAAsf'; Outlook Stable;

  -- $0bc class A-3-X2 'AAAsf'; Outlook Stable;

  -- $283,068,000ab class A-4 'AAAsf'; Outlook Stable;

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

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

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

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

  -- $483,668,000c class X-A 'AAAsf'; Outlook Stable;

  -- $109,689,000c class X-B 'A-sf'; Outlook Stable;

  -- $36,275,000b class A-S 'AAAsf'; Outlook Stable;

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

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

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

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

  -- $36,276,000 class B 'AA-sf'; Outlook Stable;

  -- $37,138,000d class C 'A-sf'; Outlook Stable;

  -- $6,910,000de class D 'BBB+sf'; Outlook Stable;

  -- $6,910,000cde class X-D 'BBB+sf'; Outlook Stable;

  -- $7,773,000defg class E-RR 'BBB+sf'; Outlook Stable;

  -- $9,501,000deg class F-RR 'BBBsf'; Outlook Stable;

  -- $18,137,000eg class G-RR 'BBB-sf'; Outlook Stable;

  -- $10,365,000eg class H-RR 'BB+sf'; Outlook Stable;

  -- $9,500,000eg class J-RR 'BB-sf'; Outlook Stable;

  -- $7,774,000eg class K-RR 'B-sf'; Outlook Stable.

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

  -- $11,228,000eg class L-RR;

  -- $16,410,372eg class M-RR.

(a) The initial certificate balances of class A-3 and A-4 are
unknown and expected to be $456,068,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-3 balance range is $145,000,000 to $200,000,000, and the
expected class A-4 balance range is $258,068,000 to $311,068,000.

(b) Notional amount and interest only.

(c) The initial certificate balances of class C, class D, class
E-RR and class F-RR and the initial notional amount of class X-D
are subject to change based on final pricing of all certificates.
The expected class C balance range is $35,238,000 to $37,138,000,
the expected class D balance range is $6,910,000 to $8,810,000, the
expected class X-D notional amount range is $6,910,000 to
$8,810,000, the expected class E-RR balance range is $6,910,000 to
$9,673,000, and the expected class F-RR balance range is $8,464,000
to $9,501,000.

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

(e) Fitch's expected rating on class E-RR reflects the structure
listed above and may be lower based on the issuer's final deal
structure.

(f) Horizontal credit-risk retention interest. The expected ratings
are based on information provided by the issuer as of July 19,
2020.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 43 loans secured by 76
commercial properties having an aggregate principal balance of $
690,955,373 as of the cut-off date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC, Argentic
Real Estate Finance LLC, Starwood Mortgage Capital LLC and Barclays
Capital Real Estate Inc.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 71.1% of the properties
by balance, cash flow analysis of 88.7% and asset summary reviews
on 100.0% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus pandemic may have an adverse impact on near-term
revenue (i.e. bad debt expense, rent relief) and operating expenses
(i.e. sanitation costs) for some properties in the pool.
Delinquencies may occur in the coming months as forbearance
programs are put in place, although the ultimate impact on credit
losses will depend heavily on the severity and duration of the
negative economic impact of the coronavirus pandemic, and to what
degree fiscal interventions by the U.S. federal government can
mitigate the impact on consumers. Per the offering documents, all
the loans are current. The borrower of the 14741 Memorial Drive
(1.0% of the pool) and the lender entered into a Pre-Negotiation
Agreement dated April 21, 2020, and have had discussions regarding
potential modification or forbearance of the loan. However, no
modification or forbearance agreement has been entered into.
Additionally, the borrowers of three loans including FTERE Bronx
Portfolio (7.8%), Bronx Multifamily Portfolio V (2.2%), and The
Court at Hamilton (1.9%) have made forbearance or modification
requests, all of which have been withdrawn or denied.

KEY RATING DRIVERS

Fitch Leverage Exceeds that of Recent Transactions: The pool has
slightly higher leverage than other recent Fitch-rated
multiborrower transactions. The pool's Fitch LTV of 107.3% is
higher than the YTD 2020 and 2019 averages of 98.5% and 103.0%,
respectively. The pool's Fitch DSCR of 1.24x is lower than the YTD
2020 average of 1.31x and the 2019 average of 1.26x.

Investment-Grade Credit Opinion Loans: Two loans, representing
11.4% of the pool, received investment-grade credit opinions. This
is below the YTD 2020 and 2019 averages of 28.5% and 14.2%,
respectively. 525 Market Street (5.8% of the pool) received a
stand-alone credit opinion of 'A-sf' and Bellagio Hotel & Casino
(5.6% of the pool) received a stand-alone credit opinion of
'BBB-sf'.

Concentrated Pool: The top 10 loans constitute 59.3% of the pool,
which is greater than the YTD 2020 average of 54.4% and the 2019
average of 51.0%. The loan concentration index (LCI) of 463 is
greater than the YTD 2020 and 2019 averages of 409 and 379,
respectively.

Favorable Property Type Concentrations: Multifamily properties
represent the second largest concentration at 38.3% of the pool,
which is higher than the YTD 2020 and 2019 average multifamily
concentrations of 20.6% and 16.9%, respectively. In Fitch's
multiborrower model, multifamily properties have a below-average
likelihood of default, all else equal. Office properties, which
represent the largest concentration at 39.9% of the pool, have an
average likelihood of default in Fitch's multiborrower model, all
else equal. However, the pool includes nine loans (12.4%) secured
by retail properties and one loan (5.6%) secured by a hotel
property.

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'/'BBB+sf'/ 'BBB-sf'/
'BB-sf'/ 'B-sf'

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

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

30% NCF Decline: 'BBBsf'/ 'BB+sf'/ 'B-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'/ 'BBB+sf'/ 'BBB-sf'/
'BB-sf'/ 'B-sf'

20% NCF Increase: 'AAAsf'/ 'AAAsf'/ 'AA+sf'/ 'AAsf'/ 'A-sf'/
'BBBsf'/ '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 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 its analysis or conclusions.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


MSSG TRUST 2017-237P: S&P Affirms BB- (sf) Rating on Class E Certs
------------------------------------------------------------------
S&P Global Ratings affirmed its ratings on seven classes of
commercial mortgage pass-through certificates from MSSG Trust
2017-237P, a U.S. CMBS transaction.

S&P affirmed its ratings on the principal- and interest-paying
classes because the current rating levels were generally in line
with the model-indicated ratings.

At the same time, S&P affirmed its ratings on the class X-A and X-B
interest-only (IO) certificates based on its criteria for rating IO
securities, in which the ratings on the IO securities would not be
higher than that of the lowest-rated reference class." Class X-A's
notional amount references the balance of the class A certificates
and class X-B's notional amount references the balance of the class
B certificates.

This is a stand-alone (single-borrower) transaction backed by a
portion of a fixed-rate IO mortgage whole loan secured by a
21-story class A 1.3 million-sq.-ft. office building located at 237
Park Avenue in Midtown Manhattan, about two blocks north of Grand
Central Station. S&P's property-level analysis included a
reevaluation of the office building that secures the mortgage loan
in the trust. It also considered that, following a $66.0 million
renovation and repositioning from 2013 to March 2017, the
servicer-reported net operating income (NOI) and occupancy from
2017 through 2019 were stable and in line with its NOI and
occupancy assumptions at issuance. While the servicer reported that
NOI remained stable, property expenses dropped in 2019 due to the
largest tenant, New York and Presbyterian Hospital (NYPH),
receiving a property tax exemption based on its not-for-profit
status. This decrease in expenses coincides with a reduction in
expense reimbursement from NYPH. In addition, S&P considered the
relatively stable Grand Central submarket's vacancy (which was 7.3%
according to the second-quarter 2020 third-party CoStar market
data), the property's desirable location, the high-90s percent
occupancy rate over the past three years, about 57.0% of net
rentable area (NRA) leased to tenants rated investment-grade by S&P
Global Ratings, and strong sponsorship.

According to the master servicer, Wells Fargo Bank N.A., the
borrower has not requested COVID-19 forbearance relief and that
three tenants comprising 2.7% of the NRA (2.2% of the gross rent as
calculated by S&P Global Ratings) requested rent deferrals and are
currently in discussions with the borrower. S&P derived its
sustainable in-place net cash flow and divided it by a
capitalization rate of 6.25% to determine its expected-case value,
which was the same as at issuance. This yielded an overall S&P
Global Ratings loan-to-value (LTV) ratio and debt service coverage
(DSC) of 84.6% and 1.88x, respectively, on a whole loan basis.

As of the July 15, 2020, trustee remittance report, the IO mortgage
loan, which had a reported current payment status, had a $477.8
million trust balance and a $693.2 million whole loan balance,
which is the same as at issuance. The whole loan comprises 16
promissory notes: four senior pari passu A notes totaling $132.6
million in the trust, eight senior pari passu A notes totaling
$215.4 million held outside the trust, and four subordinate B notes
totaling $345.2 million in the trust. The $348.0 million senior A
notes are pari passu to each other and are senior to the $345.2
million subordinate B notes. The IO whole loan pays interest at a
fixed per annum rate of 3.75% and matures on Aug. 9, 2027. In
addition, there is an $87.8 million mezzanine loan, which increases
the S&P Global Ratings LTV ratio to 95.3%. Further, the loan
agreement allows up to $69.0 million of either future mezzanine
debt or preferred equity to be issued subject to certain
performance hurdles. Wells Fargo confirmed that no additional
mezzanine debt or preferred equity was incurred at this time. To
date, the trust has not incurred any principal losses.

Wells Fargo reported DSC of 2.16x for year-end 2019, and occupancy
was 98.5% according to the March 31, 2020, rent roll. According to
the March 31, 2020, rent roll, the five largest tenants are New
York and Presbyterian Hospital (38.2% of NRA, 26.5% of gross rent
as calculated by S&P Global Ratings, with a December 2048 expiry),
J.P. Morgan Chase (22.6% of NRA, 27.5% of gross rent, December 2025
expiry), Wunderman Thompson LLC (15.4% of NRA, 16.4% of gross rent,
May 2027 expiry), Jennison Associates (13.2% of NRA, 16.8% of gross
rent, February 2025 expiry), and Her Majesty the Queen in Right of
Canada (5.8% of NRA, 6.9% of gross rent, October 2037 expiry). In
aggregate, they comprised 95.1% of the NRA and 93.8% of gross rent.
In addition, there is minimal tenant lease rollover until 2025
(35.8% of the NRA), which is attributable to Jennison Associates
and J.P. Morgan Chase. S&P considered the J.P. Morgan Chase's lease
rollover a risk because it expects the tenant, even though it
recently renewed its lease for five years to 2025, to vacate
because it plans to move into its new headquarters at 270 Park
Avenue after construction is completed, and it used a higher
vacancy assumption to account for this.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates accordingly,"
S&P said.

  RATINGS AFFIRMED

  MSSG Trust 2017-237P
  
  Commercial mortgage pass-through certificates

  Class A: AAA (sf)

  Class B: AA- (sf)

  Class C: A- (sf)

  Class D: BBB- (sf)

  Class E: BB- (sf)

  Class X-A: AAA (sf)

  Class X-B: AA- (sf)


MVW 2020-1: Fitch Gives BBsf Rating on Class D Debt
---------------------------------------------------
Fitch Ratings has assigned ratings and Outlooks to notes issued by
MVW 2020-1 LLC. The social and market disruption caused by the
coronavirus pandemic and related containment measures has
negatively affected the U.S. economy. To account for the potential
impact, Fitch incorporated conservative assumptions in deriving the
base case cumulative gross default proxy. The analysis focused on
peak extrapolations of 2006-2009 and 2015-2017 vintages, as a
starting point and made adjustments based on the prefunding account
that will only consist of well-seasoned receivables from the MVW
2013-1 transaction, which is expected to be redeemed during the
prefunding period, as well as a small portion of new contracts.

MVW 2020-1

  - Class A; LT AAAsf New Rating

  - Class B; LT Asf New Rating

  - Class C; LT BBBsf New Rating

  - Class D; LT BBsf New Rating

KEY RATING DRIVERS

Borrower Risk — Weaker Collateral Pool: This is the third
transaction to include originations from both the Marriott
Vacations Worldwide Corporation and Vistana Signature Experiences
platforms. Overall, the pool is consistent with 2019-2, as the
weighted average FICO is stable at 735 compared with 734. The
concentration of foreign obligors declined to 5.9% from 6.6% in
2019-2, while 15-year loans are stable at 26.9% compared with 26.4%
in 2019-2.

However, the 2020-1 pool includes 18.9% of Sheraton collateral, up
from 15.0% in 2019-2, which performs worse than Marriott Vacation
Club across all FICO bands. Conversely, there is a greater
concentration of Westin loans at 18.3%, consistent with 20.1% in
2019-2.

This is the first transaction to include Hyatt-branded loans, which
are 6.4% of the initial pool and historically have higher forecast
losses compared with other brands. Seasoning declined to nine
months from 12 months in 2019-2.

Forward-Looking Approach on CGD Proxy — Varied Performance: With
the exception of certain foreign segments, MVC 2010-2016 vintages
continue to display improved performance relative to the weaker
2007-2009 periods, although more recent vintages remain under
stress. The VSE portfolio experienced stress during the recession.
Since then, Westin loan performance improved and is stable.

Sheraton loan performance deteriorated in recent years, driven by
Sheraton Flex and 15-year loans, with the newly included
Hyatt-branded loans showing overall high projected losses on par
and in some cases exceeding other VSE brands, including Sheraton.
Fitch's current base case CGD proxy is also 13.25% for 2019-2.

Coronavirus Causing Economic Shock: Fitch has made assumptions
about the spread of coronavirus and the economic impact of the
related containment measures. As a base-case scenario, Fitch
assumes a global recession in first-half 2020 driven by sharp
economic contractions in major economies with a rapid spike in
unemployment, followed by a recovery that begins in third-quarter
2020 as the health crisis subsides. Under this scenario, Fitch's
initial base case CGD proxy was derived using weaker performing
2006-2009 and 2015-2017 vintages.

The CGD proxy accounts for the weaker performance and potential
negative impacts from the severe downturn in the tourism and travel
industries during the pandemic that are highly correlated with the
timeshare sector.

Structural Analysis — Higher CE Structure: To compensate for
higher expected losses and the current economic environment,
initial hard credit enhancement is 38.3%, 19.6%, 8.1% and 2.5% for
the class A, B, C and D notes, respectively. CE is notably higher
relative to 2019-2, given both the weaker collateral pool and
higher forecast losses with the advent of the pandemic. Available
CE is sufficient to support stressed 'AAAsf', 'Asf', 'BBBsf' and
'BBsf' multiples of Fitch's base case CGD proxy of 13.25%.

As with prior MVW/MVW Owner Trust transactions, 2020-1 has a
pre-funding account that will hold up to 3.92%, of the initial
collateral balance after the closing date to buy eligible timeshare
loans, down from 25% in 2019-2. This account is required to be used
to buy both called collateral from the MVW 2013-1 transaction and
new originations limited to 1.1% of the total pool.

Originator/Seller/Servicer Operational Review — Quality of
Origination/Servicing: MVW/MORI and VSE demonstrated sufficient
abilities as an originator and servicer of timeshare loans, as
evidenced by the historical delinquency and default performance of
securitized trusts and of the managed portfolio.

RATING SENSITIVITIES

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CGD is 20% less than the projected
proxy, the expected ratings would be maintained for class A notes
at stronger rating multiples. For the class B, C and D notes, the
multiples would increase resulting for potential upgrade of one
rating category and one notch, respectively.

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

Unanticipated increases in the frequency of defaults could produce
CGD levels higher than the base case and would likely result in
declines of CE and remaining default coverage levels available to
the notes. Additionally, unanticipated increases in prepayment
activity could also result in a decline in coverage. Decreased
default coverage may make certain note ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.

Hence, Fitch conducts sensitivity analysis by stressing both a
transaction's initial base case CGD and prepayment assumptions and
examining the rating implications on all classes of issued notes.
The CGD sensitivity stresses the CGD proxy to the level necessary
to reduce each rating by one full category, to non-investment grade
('BBsf') and to 'CCCsf' based on the break-even loss coverage
provided by the CE structure. The prepayment sensitivity includes
1.5x and 2.0x increases to the prepayment assumptions representing
moderate and severe stresses, respectively. These analyses are
intended to provide an indication of the rating sensitivity of
notes to unexpected deterioration of a trust's performance.

Additionally, Fitch conducts increases of 1.5x and 2.0x to the CGD
proxy, which represents moderate and severe stresses, respectively.
These analyses are intended to provide an indication of the rating
sensitivity of notes to unexpected deterioration of a trust's
performance. A more prolonged disruption from the pandemic is
accounted for in the severe downside stress of 2.0x and could
result in downgrades of up to two rating categories.

Due to the coronavirus pandemic, the U.S. and the broader global
economy remain under stress, with surging unemployment and pressure
on businesses stemming from government social distancing
guidelines. Unemployment pressure on the consumer base may result
in increases in delinquencies.

For sensitivity purposes, Fitch also assumed a 2.0x increase in
delinquency stress. The results indicated no adverse rating impact
to the notes.

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 due diligence information from Ernst &
Young LLP. The due diligence information was provided on Form ABS
Due Diligence-15E and focused on a comparison and recalculation of
certain characteristics with respect to 148 sample loans by Ernst &
Young LLP. Fitch considered this information in its analysis, and
the findings did not have an impact on the analysis.

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).


MVW 2020-1: S&P Assigns 'BB (sf)' Rating to Class D Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to MVW 2020-1 LLC's
timeshare loan-backed notes.

The note issuance is an ABS transaction backed by vacation
ownership interval (timeshare) loans.

"The ratings reflect our opinion of the credit enhancement that is
available in the form of overcollateralization, the subordination
for the class A, B and C notes, the reserve account, and the
available excess spread. The ratings are also based on our opinion
of Marriott Ownership Resorts Inc.'s servicing ability and
experience in the timeshare market," S&P said.

"Given that we are in a recessionary period, and to reflect the
uncertain and weakened U.S. economic and sector outlook, we are
increasing our base-case default assumption by 1.25x to stress
defaults from 'B' to 'BB' rating scenarios. To reflect additional
liquidity stress from deferrals and potential increase in
delinquencies, we also applied incremental liquidity and
sensitivity stress in addition to our rating stress in all rating
categories," the rating agency said.

  RATINGS ASSIGNED

  MVW 2020-1 LLC

  Class     Rating      Amount (mil. $)
  A         AAA (sf)            238.010
  B         A (sf)               71.557
  C         BBB (sf)             44.005
  D         BB (sf)              21.428


NEW ORLEANS 2019-HNLA: S&P Cuts Rating on Class E Notes to 'B+(sf)'
-------------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class E and F
commercial mortgage pass-through certificates from New Orleans
Hotel Trust 2019-HNLA, a U.S. CMBS transaction. At the same time,
S&P affirmed its ratings on four other classes from the same
transaction. The ratings on classes D, E, and F were removed from
CreditWatch, where they were placed with negative implications on
May 6, 2020.

S&P Global Ratings previously placed these ratings on CreditWatch
negative due to its view of COVID-19's impact on the performance of
the collateral property and the lodging sector overall, along with
the related uncertainty about the duration of the demand
interruption.

The downgrades and affirmations reflect S&P Global Ratings'
reevaluation of the 1,193-guestroom Hyatt Regency hotel located in
New Orleans, securing the loan in the single-asset transaction. S&P
Global Ratings' expected-case value is 10.0% lower than at
issuance, driven by the application of a higher S&P Global Ratings'
capitalization rate that the rating agency believes better captures
the increased susceptibility to net cash flow (NCF) and liquidity
disruption stemming from the pandemic. Using the S&P Global Ratings
sustainable NCF of $26.5 million (same as at issuance), and
applying a 10.5% capitalization rate (up from 9.25% at issuance)
and adjusting for the present value of the tax abatement program
($10.0 million) and deducting $11.3 million for needed upgrades,
S&P Global Ratings arrived at an S&P Global Ratings loan-to-value
(LTV) ratio of 129.5%, versus 116.4% at issuance. In addition, the
rating agency considered that the loan is on the master servicer's
watchlist because the loan has a reported 60-plus-days delinquent
payment status and the borrower has reached out due to COVID-19
related hardships. The borrower is delinquent on its May 2020
through July 2020 debt service payments for which the master
servicer advanced the full amount.

"It is our understanding from the master servicer that the loan is
not expected to transfer to special servicing at this time and that
the special servicer, directing certificate holder, and borrower
are working on finalizing a short-term forbearance, for which the
terms have not been specified yet. The property has remained opened
through the COVID-19 pandemic, but portions of the facility have
closed and certain guest services have been limited," S&P Global
Ratings said.

"The downgrade on class F to 'CCC+ (sf)' reflects, based on a
higher S&P Global Ratings' LTV ratio, our view that the class is
more susceptible to reduced liquidity support and that the risk of
default and losses has increased under the uncertain market
conditions," the rating agency said.

S&P Global Ratings affirmed its ratings on classes A, B, C, and D
and tempered its downgrade on class E even though the
model-indicated ratings were lower than the classes' current rating
levels. This is because S&P Global Ratings qualitatively considered
the underlying collateral quality, the significant market value
decline that would be needed before these classes experience
losses, liquidity support provided in the form of servicer
advancing, and positions of the classes in the waterfall. The
sponsorship, which includes AllianceBernstein L.P., invested
approximately $73.9 million of equity to purchase the
1,193-guestroom Hyatt Regency hotel last year (18.5% of the $398.9
million acquisition costs) and has since then invested an
additional $6.6 million ($5,532 per guestroom) in capital
expenditures on various upgrades, demonstrating the sponsorship's
commitment to the asset to date.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P Global Ratings is using this
assumption in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, the rating
agency will update its assumptions and estimates accordingly.

This is a stand-alone (single borrower) transaction backed by a
floating-rate, interest-only (IO) mortgage loan secured by the
borrower's leasehold interest in the Hyatt Regency, a
1,193-guestroom, 32-story, full-service hotel in the central
business district of New Orleans. The hotel offers various
amenities, including about 200,000 sq. ft. of meeting space, an
outdoor swimming pool, multiple food and beverage outlets, a
fitness center, and a business center. The property is in the heart
of the central business district and is adjacent to the
Mercedes-Benz Superdome and Smoothie King Center. The French
Quarter neighborhood is also within walking distance of the
property. As part of a payment in lieu of taxes agreement (PILOT),
the fee simple interest in the subject was transferred to the
Industrial Development Board of the City of New Orleans, Louisiana
Inc., and simultaneously leased back to the property owner in 2011.
The ground rent payment as of year-end 2019 was $415,710,
representing 0.4% of total revenue. The PILOT program ends in 2025,
at which point the borrower will repurchase the fee simple interest
in the property for a de miminus amount.

S&P's property-level analysis considered that the pandemic has
brought about unprecedented social distancing and curtailment
measures, which are resulting in a significant decline in demand in
corporate, leisure, and group travelers. Since the outbreak, there
has been a dramatic decline in airline passenger miles stemming
from governmental restrictions on international travel and a major
drop in domestic travel. In an effort to curtail the spread of the
virus, most group meetings, both corporate and social, have been
cancelled, corporate transient travel has been restricted, and
leisure travel has slowed due to fear of travel and the closure of
demand generators, such as amusement parks and casinos, and the
cancellation of concerts and sporting events.

In 2019, the hotel generated approximately 57% of its occupied room
nights from the meeting and group sector, 32% from the transient
segment (most of which is leisure based), and 11% from contract
rooms, mainly for airline crews. Demand from these sources has
dropped due to restrictions on travel, as well as the need for
social distancing. While leisure travel has slowly increased since
April, leisure travelers have thus far favored hotels in smaller
markets and more remote locations in an effort to socially
distance. It is S&P's expectation that large conventions and
meetings, on which the hotel relies heavily for both room revenue
and food and beverage revenue, will be significantly curtailed
until there is a COVID-19 treatment or vaccine.

The property's reported NCF declined by 5.5% to $32.7 million in
2019 from $34.7 million in 2018. During the same period, the
property's revenue per available room (RevPAR) increased slightly
to $128.23 in 2019 from $127.68 in 2018. However, the percentage of
food and beverage revenue declined by 9.4% in 2019 to $39.6
million, down from $43.7 million in 2018, which was a record year
with two significant events that generated over $1.0 million each
in food and beverage revenue. S&P reviewed the March 2020 Smith
Travel Research report. The hotel has historically had a low RevPAR
penetration rate--which measures the RevPAR of the hotel relative
to its competitors, with 100% indicating parity with
competitors--of 92% to 95% for the past three years within a
competitive set of six other large nationally branded hotels. The
low penetration rate is driven by a lower occupancy rate for the
transient segment when compared to its competitors. Since the hotel
has the largest amount of meeting space in its competitive set,
management focuses its sales efforts on group business that
generates significant food and beverage income. The hotel's
occupancy was 68.7% as of the trailing 12-month (TTM) period ending
March 2020 (down from 69.4% in the TTM period ended March 2019),
but was only 27.8% in March 2020 compared to 84.6% in March 2019,
when demand dropped as the pandemic took hold. Although the hotel
has remained open, it is unlikely that occupancy levels and NCF
will return to prior levels in the near term. In addition, RevPAR
for New Orleans overall declined by 88.7% in April 2020, 84.5% in
May 2020, and 76.0% in June 2020.

In S&P Global Ratings' current analysis, instead of adjusting its
sustainable NCF assumption, it increased its capitalization rate by
125 basis points from issuance to account for the adverse impact of
COVID-19 and the responses to it. The pandemic's negative effects
on lodging properties have been particularly severe for those in
urban markets, like the Hyatt Regency New Orleans, that are highly
reliant on corporate and group demand, which will be tempered for
the next several quarters. There is significant uncertainty
regarding not only the duration of the pandemic, but also the time
needed for lodging demand to return to normalized levels after
lifting travel restrictions.

According to the July 15, 2020, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $325.0 million,
the same as at issuance. The interest-only loan pays a per annum
floating interest rate of LIBOR plus a weighted average spread of
2.65%. The two-year floating-rate loan is scheduled to initially
mature in April 2021, with three one-year extension options
remaining. To date, the trust has not incurred any principal
losses.

Environmental, social, and governance (ESG) factors relevant to the
rating action:

-- Health and safety.

  RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE

  New Orleans Hotel Trust 2019-HNLA
  Commercial mortgage pass-through certificates

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

  RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE

  New Orleans Hotel Trust 2019-HNLA
  Commercial mortgage pass-through certificates

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

  RATINGS AFFIRMED

  New Orleans Hotel Trust 2019-HNLA
  Commercial mortgage pass-through certificates
               
  Class    Rating              
  A        AAA (sf)        
  B        AA- (sf)
  C        A- (sf)


RADHA KRISHN: Seeks to Hire Martin Seidler as Legal Counsel
-----------------------------------------------------------
Radha Krishn, LP seeks authority from the U.S. Bankruptcy Court for
the Western District of Texas to hire the Law Offices of Martin
Seidler as its legal counsel.

The firm will provide the following services:

     (a) advise Debtor of its powers and duties in the continued
operation of its business and management of its property;

     (b) take necessary action to assume, reject or modify
executory contracts and to enforce and collect Debtor's claims and
rights;

     (c) represent Debtor in negotiations;

     (d) represent Debtor in connection with the formulation and
implementation of a plan of reorganization;

     (e) prepare legal documents; and

     (f) handle litigation and assist special counsel with
litigation.

The firm will be compensated at the rate of $400 per hour to be
applied against a retainer of $15,000 paid by one of Debtor's
partners.

Martin Seidler, Esq., disclosed in court filings that his firm is a
"disinterested person" within the meaning of Section 101(14) of the
Bankruptcy Code.

The firm can be reached through:

     Martin Seidler, Esq.
     Law Offices of Martin Seidler
     11107 Wurzbach Road
     San Antonio, TX 78230
     Telephone: (210) 694-0300
     Facsimile: (210) 690-9886
     Email: marty@seidlerlaw.com

                        About Radha Krishn

Based in San Marcos, Texas, Radha Krishn, LP sought protection
under Chapter 11 of the Bankruptcy Code (Bankr. W.D. Tex. Case No.
20-10764) on July 6, 2020.  At the time of the filing, Debtor
disclosed assets of between $1 million and $10 million and
liabilities of the same range.  Judge Tony M. Davis oversees the
case.  Martin Warren Seidler, Esq., at the Law Offices of Martin
Seidler, is Debtor's legal counsel.


SALEM FIELDS: Moody's Lowers Rating on 2 Tranches to B1
-------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Salem Fields CLO, Ltd.:

US$30,400,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes Due October 25, 2028, Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

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

US$9,000,000 Class D-1 Mezzanine Secured Deferrable Floating Rate
Notes Due October 25, 2028, Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Place Under Review for Possible Downgrade

US$12,900,000 Class D-2 Mezzanine Secured Deferrable Floating Rate
Notes Due October 25, 2028, Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Place Under Review for Possible Downgrade

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class C, Class D-1 and Class D-2 notes. The CLO,
issued in November 2016 and partially 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 on October 2020.

RATINGS RATIONALE

The downgrades on the Class D-1 and Class D-2 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.

The rating confirmation on the Class C notes reflect the benefit of
the short period of time remaining before the end of the deal's
reinvestment period in October 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 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 notes.

Based on Moody's calculation, the weighted average rating factor
was 2991 as of June 2020, or 10% worse compared to 2725 reported in
the March 2020 trustee report [1]. Moody's calculation also showed
the WARF was failing the test level of 2671 reported in the June
2020 trustee report [2] by 320 points. Moody's noted that
approximately 33% of the CLO's par was from obligors assigned a
negative outlook and 4% 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 14%
as of June 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $433.9 million and Moody's calculated the
over-collateralization ratios (excluding haircuts) for the Class C
and Class D notes as of June 2020 at 111.9% and 105.9%,
respectively. Moody's noted that the interest diversion test was
recently reported [2] as failing, which if were to occur on the
next payment date would result in a proportion of excess interest
collections being diverted towards reinvestment in collateral.
Nevertheless, Moody's noted that the OC tests for the Class C notes
was recently reported [2] as passing.

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 $433.6 million, defaulted par of $4.6
million, a weighted average default probability of 22.51% (implying
a WARF of 2991), a weighted average recovery rate upon default of
47.74%, a diversity score of 65 and a weighted average spread of
3.26%. Moody's also analyzed the CLO by incorporating an
approximately $4.4 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.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in the US economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. 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.


SDART 2020-2: Moody's Rates Class E Notes 'B1'
----------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Santander Drive Auto Receivables Trust 2020-2. This
is the second SDART auto loan transaction of the year for Santander
Consumer USA Inc. (SC; unrated). The notes are backed by a pool of
retail automobile loan contracts originated by SC, who is also the
servicer and administrator for the transaction

The complete rating actions are as follows:

Issuer: Santander Drive Auto Receivables Trust 2020-2

$192,000,000, 0.24105%, Class A-1 Notes, Definitive Rating Assigned
P-1 (sf)

$344,200,000, 0.62%, Class A-2-A Notes, Definitive Rating Assigned
Aaa (sf)

$75,000,000, One Month Libor + 0.35%, Class A-2-B Notes, Definitive
Rating Assigned Aaa (sf)

$202,000,000, 0.67%, Class A-3 Notes, Definitive Rating Assigned
Aaa (sf)

$159,300,000, 0.96%, Class B Notes, Definitive Rating Assigned Aa1
(sf)

$230,500,000, 1.46%, Class C Notes, Definitive Rating Assigned Aa2
(sf)

$201,200,000, 2.22%, Class D Notes, Definitive Rating Assigned Baa1
(sf)

$117,300,000, 4.21%, Class E Notes, Definitive Rating Assigned B1
(sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of SC as the servicer.

The definitive ratings for the Class D Notes, Baa1 (sf) and the
Class E notes, B1 (sf), are one notch higher than their provisional
ratings, (P)Baa2 (sf) and (P)B2 (sf) respectively. This difference
is a result of (1) the transaction closing with a lower weighted
average cost of funds (WAC) than Moody's modeled when the
provisional ratings were assigned and (2) the percent of the Class
A-2 notes that are floating rate, which are subject to a stressed
floating rate assumption, is lower than what Moody's modeled when
the provisional ratings were assigned. The WAC assumptions and the
floating rate percent of the Class A-2 notes, as well as other
structural features, were provided by the issuer.

Moody's median cumulative net loss expectation for SDART 2020-2 is
18.0% and loss at a Aaa stress is 47.0%, unchanged from SDART
2020-1, the last transaction Moody's rated. Moody's based its
cumulative net loss expectation and loss at a Aaa stress on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of SC to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.

At closing the Class A notes, Class B notes, Class C notes, Class D
notes and Class E notes are to benefit from 53.50%, 44.00%, 30.25%,
18.25% and 11.25% of hard credit enhancement, respectively. Hard
credit enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account and
subordination. The notes may also benefit from excess spread.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of auto loan asset backed securities
(ABS) sector from the collapse in US economic activity in the
second quarter and a gradual recovery in the second half of the
year. However, that outcome depends on whether governments can
reopen their economies while also safeguarding public health and
avoiding a further surge in infections. Specifically, for auto loan
ABS, loan performance will weaken due to the unprecedented spike in
the unemployment rate that may limit the borrower's income and
their ability to service debt. The softening of used vehicle prices
due to lower demand will reduce recoveries on defaulted auto loans,
also a credit negative. Furthermore, borrower assistance programs
to affected borrowers, such as extensions, may adversely impact
scheduled cash flows to bondholders.

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.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
July 2020.

Please note that a Request for Comment was published in which
Moody's requested market feedback on potential revisions to one or
more of the methodologies used in determining these Credit Ratings.
If the revised methodologies are implemented as proposed, the
Credit Ratings referenced in this press release might be positively
affected.

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

Up

Moody's could upgrade the subordinate notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud. Additionally, Moody's
could downgrade the Class A-1 short-term rating following a
significant slowdown in principal collections that could result
from, among other things, high delinquencies, high usage of
borrower relief programs or a servicer disruption that impacts
obligor's payments.


SKOPOS AUTO 2019-1: DBRS Puts B Rating on Class E Notes on Review
-----------------------------------------------------------------
DBRS, Inc. placed the following class issued by Skopos Auto
Receivables Trust 2019-1 Under Review with Negative Implications:

-- Class E Notes rated B (sf)

This rating action is based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: June Update," published on June 1, 2020.
DBRS Morningstar initially published macroeconomic scenarios on
April 16, 2020. The scenarios were updated on June 1, 2020, and are
reflected in DBRS Morningstar's rating analysis. The assumptions
consider the moderate macroeconomic scenario outlined in the
commentary (the moderate scenario serving as the primary anchor for
current ratings) in addition to observed performance during the
2008–09 financial crisis and the possible impact of stimulus from
the Coronavirus Aid, Relief, and Economic Security Act (the CARES
Act). The moderate scenario assumes some success in containment of
the coronavirus within Q2 2020 and a gradual relaxation of
restrictions, enabling most economies to begin a gradual economic
recovery in Q3 2020.

-- The DBRS Morningstar adjusted expected loss assumption, taking
into consideration deal performance to date as well as the impact
of the coronavirus pandemic which increases the likelihood of
increased delinquent or nonperforming loans that may result in
increased losses.

-- The transaction's current form and sufficiency of available
credit enhancement benefitting the notes. The level of credit
enhancement in the form of overcollateralization, amounts held in
reserve and subordination has grown for senior classes as the
transaction has amortized due to the sequential pay nature of the
transaction. However, the credit enhancement has not grown at the
same rate for the Class E Notes, which are the most subordinated
notes in the transaction. The available credit enhancement
including excess spread may be insufficient to support the DBRS
Morningstar projected remaining cumulative net loss (including an
adjustment for the moderate scenario) assumption at a multiple of
coverage commensurate with the current rating on the Class E
Notes.

When placing a rating Under Review with Negative Implications, DBRS
Morningstar seeks to complete its assessment and remove the rating
from this status as soon as appropriate. Upon the resolution of the
Under Review status, DBRS Morningstar may confirm or downgrade the
ratings on the affected classes.


SLM STUDENT 2007-2: Fitch Affirms Bsf Rating on 2 Debt Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed the ratings of all outstanding classes
of SLM Student Loan Trust 2007-2, 2007-3, and 2012-1 and maintained
their Rating Outlooks at Stable.

The senior notes of each trust did not pass Fitch's base case
stresses and have model-implied ratings of 'CCCsf'. All notes for
the transactions are rated 'Bsf', supported by qualitative factors
such as Navient's ability to call the notes upon reaching 10% pool
factor and the revolving credit agreement established by Navient,
which allows the servicer to purchase loans from the trusts.
Because Navient has the option but not the obligation to lend to
the trust, Fitch does not give quantitative credit to these
agreements. However, these agreements provide qualitative comfort
that Navient is committed to limiting investors' exposure to
maturity risk. Navient Corporation is currently rated 'BB-' with a
Negative Rating Outlook by Fitch.

For subordinate bonds, in an event of default caused by a senior
class that is not paid in full by maturity, the subordinate classes
will not receive principal or interest payments. As such, the
ratings of the subordinated bonds is constrained by those of the
senior tranches.

SLM Student Loan Trust 2007-2

  - Class A-4 78443XAD0; LT Bsf; Affirmed

  - Class B 78443XAE8; LT Bsf; Affirmed

SLM Student Loan Trust 2007-3

  - Class A-4 78443YAD8; LT Bsf; Affirmed

  - Class B 78443YAE6; LT Bsf; Affirmed

SLM Student Loan Trust 2012-1

  - Class A-3 78446WAC1; LT Bsf; Affirmed

  - Class B 78446WAD9; LT Bsf; Affirmed

KEY RATING DRIVERS

U.S. Sovereign Risk: The trust collateral comprises 100% Federal
Family Education Loan Program loans, with guaranties provided by
eligible guarantors and reinsurance provided by the U.S. Department
of Education for at least 97% of principal and accrued interest.
The U.S. sovereign rating is currently 'AAA'/Outlook Stable.

Collateral Performance: Based on transaction-specific performance
to date, Fitch assumes a cumulative default rate of 25.00%, 27.00%,
and 26.50% under the base case scenario and a 75.00%, 81.00%, and
79.50% default rate under the 'AAA' credit stress scenario for SLM
2007-2, 2007-3, and 2012-1, respectively. For SLM 2007-2, Fitch
maintained its sustainable constant default rate of 4.20% and its
sustainable constant prepayment rate (voluntary and involuntary) of
11.30% in cash flow modeling. For SLM 2007-3, Fitch maintained its
sCDR of 4.20% and revised its sCPR (voluntary and involuntary) to
10.00% from 11.20% in cash flow modeling. For SLM 2012-1 Fitch
maintained its sustainable constant default rate of 4.00% and its
sCPR (voluntary and involuntary) of 11.00% in cash flow modeling.
Fitch applies the standard default timing curve in its credit
stress cash flow analysis. The claim reject rate is assumed to be
0.25% in the base case and 2.0% in the 'AAA' case.

For SLM 2007-2 the TTM levels of deferment, forbearance, and
income-based repayment (prior to adjustment) are 7.51%, 15.79%, and
26.89%, respectively, and are used as the starting point in cash
flow modeling. Subsequent declines or increases are modeled as per
criteria. The borrower benefit is assumed to be approximately
0.01%, based on information provided by the sponsor.

For SLM 2007-3, the TTM levels of deferment, forbearance, and
income-based repayment (prior to adjustment) are 7.18%, 16.50%, and
27.35%, respectively, and are used as the starting point in cash
flow modeling. Subsequent declines or increases are modeled as per
criteria. The borrower benefit is assumed to be approximately
0.01%, based on information provided by the sponsor.

For SLM 2012-1, the TTM levels of deferment, forbearance, and
income-based repayment (prior to adjustment) are 7.89%, 18.71%, and
26.57%, respectively, and are used as the starting point in cash
flow modeling. Subsequent declines or increases are modeled as per
criteria. The borrower benefit is assumed to be approximately
0.04%, based on information provided by the sponsor.

Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for Special Allowance Payments and the securities. As
of March 2020, for SLM 2007-2 approximately 94.5% of the student
loans are indexed to LIBOR and 5.5% are indexed to T-Bill. As of
March 2020, for SLM 2007-3 approximately 95.0% of the student loans
are indexed to LIBOR, and 5.0% are indexed to T-Bill. As of May
2020, for SLM 2012-1 approximately 99.9% of the student loans are
indexed to LIBOR, and 0.1% are indexed to T-Bill. All notes for SLM
2007-2 and 2007-3 are indexed to three-month LIBOR and for SLM
2012-1 indexed to one-month LIBOR. Fitch applies its standard basis
and interest rate stresses to this transaction as per criteria.

Payment Structure: Credit enhancement is provided by excess spread,
overcollateralization, and for the Class A notes, subordination. As
of March 2020, for SLM 2007-2 total and senior effective parity
ratio (including the reserve) are 100.79% (0.78% CE) and 132.17%
(24.34% CE), respectively. As of March 2020, for SLM 2007-3 total
and senior effective parity ratio (including the reserve) are
100.81% (0.80% CE) and 133.88% (25.30% CE), respectively. As of May
2020, for SLM 2012-1 total and senior effective parity ratio
(including the reserve) are 101.32% (1.30% CE) and 111.64% (10.42%
CE), respectively. Liquidity support is provided by a reserve
account sized at 0.25% of the outstanding pool balance, currently
equal to the floors of $4,000,000, $3,003,866, and $764,728 for SLM
2007-2, 2007-3, and 2012-1, respectively. Excess cash will continue
to be released as long as 100% parity is maintained, and as long as
1% OC is maintained for SLM 2012-1.

Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. Fitch believes Navient to be an acceptable
servicer, due to its extensive track record as the largest servicer
of FFELP loans. Fitch also confirmed with the servicer the
availability of a business continuity plan to minimize disruptions
in the collection process during the coronavirus pandemic.

Coronavirus Impact: 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, but personal incomes
remain depressed through 2022. For SLM 2007-3 Fitch revised the
sCPR in cash flow modeling to reflect this scenario by analyzing a
decline in payment rates and an increase in defaults to previous
recessionary levels for two years and then a return to recent
performance for the remainder of the life of the transaction. Fitch
evaluated the sCDR and sCPR under this scenario and maintained the
sCDR for all transactions and the sCPR assumptions for SLM 2007-2
and 2012-1, reflecting healthy cushions from current performance.

RATING SENSITIVITIES

SLM 2007-2 Current Model-Implied Ratings: class A 'CCCsf'; class B
'CCCsf'

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

  -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'.

  -- Basis Spread decrease 0.25%: class A 'CCCsf'; class B
'CCCsf'.

Maturity Stress Sensitivity

  -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'.

  -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'.

  -- Remaining Term decrease 25%: class A 'CCCsf'; class B
'CCCsf'.

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

The current ratings reflect the risk the senior notes miss their
legal final maturity date under Fitch's base case maturity
scenario. If the margin by which these classes miss their legal
final maturity date increases or doesn't improve as the maturity
date nears, the ratings may be downgraded further. Additional
defaults, increased basis spreads beyond Fitch's published
stresses, lower-than-expected payment speed or loan term extension
are factors that could lead to future rating downgrades.

SLM 2007-3 Current Model-Implied Ratings: class A 'CCCsf'; class B
'CCCsf'

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

  -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'.

  -- Basis Spread decrease 0.25%: class A 'CCCsf'; class B
'CCCsf'.

Maturity Stress Sensitivity

  -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'.

  -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'.

  -- Remaining Term decrease 25%: class A 'CCCsf'; class B
'CCCsf'.

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

The current ratings reflect the risk the senior notes miss their
legal final maturity date under Fitch's base case maturity
scenario. If the margin by which these classes miss their legal
final maturity date increases or doesn't improve as the maturity
date nears, the ratings may be downgraded further. Additional
defaults, increased basis spreads beyond Fitch's published
stresses, lower-than-expected payment speed or loan term extension
are factors that could lead to future rating downgrades.

SLM 2012-1 Current Model-Implied Ratings: class A 'CCCsf'; class B
'CCCsf'

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

  -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'.

  -- Basis Spread decrease 0.25%: class A 'CCCsf'; class B
'CCCsf'.

Maturity Stress Sensitivity

  -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'.

  -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'.

  -- Remaining Term decrease 25%: class A 'CCCsf'; class B
'CCCsf'.

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

The current ratings reflect the risk the senior notes miss their
legal final maturity date under Fitch's base case maturity
scenario. If the margin by which these classes miss their legal
final maturity date increases or doesn't improve as the maturity
date nears, the ratings may be downgraded further. Additional
defaults, increased basis spreads beyond Fitch's published
stresses, lower-than-expected payment speed or loan term extension
are factors that could lead to future rating downgrades.

The risk of negative rating actions will increase under Fitch's
coronavirus downside scenario, which contemplates a more severe and
prolonged period of stress with a halting recovery beginning in
2Q21.

Fitch's Downside Coronavirus Scenario was not run for all
transactions, since the ratings are at 'Bsf'.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


START III LTD: Fitch Cuts Series C Secured Notes to B-sf
--------------------------------------------------------
Fitch Ratings has downgraded the series A, B and C fixed rate
secured notes of START III Ltd. and maintained the Rating Watch
Negative for all series.

START III Ltd.

  - Series A 85572VAA8; LT Bsf; Downgrade

  - Series B 85572VAB6; LT B-sf; Downgrade

  - Series C 85572VAC4; LT B-sf; Downgrade

TRANSACTION SUMMARY

On June 23, 2020, an amendment to the Purchase Agreement was
executed to terminate all seventeen remaining aircraft sales to
START III. The payment of the applicable Undelivered Asset
Adjustment Amount set forth in the Purchase Agreement for the
affected aircraft was distributed in an Acquisition Balance
Redemption on June 30, 2020. All notes were paid down according to
their allocable debt amounts associated with each asset.

Following this redemption, START III intends to proceed with a
winding up process to dispose of START III's remaining assets,
including the two aircraft that have been delivered to date. Fitch
views this to be a credit negative due to the combination of the
uncertainty on the timing of the winding up process and the
disposal of the remaining aircraft, driving the downgrade actions.

GE Capital Aviation Services Limited (GECAS; not rated by Fitch)
acts as servicer. Citibank Bank, N.A. (A+/F1/Negative) act as
trustee, security trustee and operating bank and Canyon Financial
Services Limited is the managing agent. Sculptor Aviation 2019-2,
LLC, an affiliate of Sculptor Asset Management (Sculptor; both NR),
is the asset manager.

KEY RATING DRIVERS

The remaining two-asset pool results in materially lower
diversification with significant risks surrounding individual
aircraft assets, high reliance on lease and residual proceeds of
assets tied to only two airline lessee credits, and full exposure
of the transaction to a single country (USA) that continues to be
under stress in connection with the impact of coronavirus.

As of the July 2020 servicer report, the transaction is supported
by two remaining narrowbody aircraft, down from 20 assets at
closing on Dec. 4, 2019. MSN 40582 (B737-800) is on lease to
American Airlines (B/RWN), and MSN 34297 (B737-700) is on lease to
Southwest Airlines (BBB+/Negative), together having weighted
average age of 11.7 years and WA remaining lease term of 5.0
years.

START III made full payments of interest and principal to the
series A and B notes after accounting for the redeemed portion. The
debt-service coverage ratio is currently 1.19x, which is below the
cash trap threshold of 1.20x. Separately, all amounts drawn on from
the liquidity facility in prior periods were repaid.

Further, loan-to-value ratios have increased approximately six to
seven points for each series of notes following the June 2020
appraisals, where the adjusted portfolio values decreased by
approximately 9%. These factors are all notable credit negatives
for the transaction.

Fitch previously reviewed this transaction on May 5, 2020, in which
asset assumptions and stresses were updated in light of the ongoing
coronavirus pandemic and stress on the airline sector.

Cash flow modeling was conducted for this review with a run-out
case as Fitch's base scenario, and successful sale case within a
six-month period as an alternative scenario. The base case
considers cash flow support if the transaction were forced to rely
on lease collections. The analysis incorporated appropriate lease
deferrals for both leases as provided by the servicer.

RATING SENSITIVITIES

The RWN on all series of notes issued by START III reflects the
potential for further negative rating actions due to concerns over
the sale of assets and ultimate paydown of the remaining notes.

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

Successful sale of the remaining two assets in the START III pool
at values sufficient to fully pay down all series of notes is
Fitch's alternate scenario. Further upside sensitivity would be of
limited informational value due to full redemption.

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

Down: Sale Scenario with Residual Realization 15% Below Appraised
Value

This scenario explores note paydown when residual realization is
15% below the adjusted pool value. Sales are modeled to occur six
months in the future, while paying interim fees, interest and
principal using modeled lease cash flows. Under this scenario, each
series of notes is able to pay in full.

Down: Sale Scenario with Residual Realization 30% Below Appraised
Value

This scenario explores note paydown when facing greater market
pressures, and residual realization is 30% below the adjusted pool
value. The same sales timing and lease cash flows were used as the
15% case. Under this scenario, due to additional fees and limited
amortization in the interim months, only the series A notes are
modeled to pay in full, with principal shortfalls in the series B
and C notes.

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.


TCW CLO 2018-1: S&P Assigns Prelim BB-(sf) Rating to Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1b-R1, A-1b-R2, B-2-R1, B-2-R2, and C-R replacement notes from
TCW CLO 2018-1 Ltd., a CLO originally issued in 2018 that is
managed by TCW Asset Management Co. LLC. The replacement notes will
be issued via a proposed supplemental indenture. (The class A-1a,
A-2a, B-1, D, and E notes will not be refinanced).

The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.

The preliminary ratings are based on information as of July 22,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the July 27, 2020, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes.

"At that time, we anticipate withdrawing the ratings on the
original notes and assigning ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm the
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes," S&P said.

  REPLACEMENT AND ORIGINAL NOTE ISSUANCES

  Replacement Notes
  Class                Amount    Interest        
                     (mil. $)    rate (%)        
  A-1b-R1              18.75     1.92  
  A-1b-R2               6.25     Three-month LIBOR + 1.70
  A-2b-R               14.00     Three-month LIBOR + 1.95
  B-2-R1                5.00     2.69
  B-2-R2               20.00     Three-month LIBOR + 2.40
  C-R                  26.00     Three-month LIBOR + 3.40

  Original Notes
  Class                Amount    Interest        
                     (mil. $)    rate (%)        
  A-1a                 215.00    Three-month LIBOR + 1.05    
  A-1b                  25.00    3.88  
  A-2a                   4.00    Three-month LIBOR + 1.30     
  A-2b                  14.00    4.14
  B-1                   21.00    Three-month LIBOR + 1.75
  B-2                   25.00    4.59
  C                     26.00    4.91
  D                     22.00    Three-month LIBOR + 2.91
  E                     16.00    Three-month LIBOR + 6.05

"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 or ultimate
principal, or both, to each of the rated tranches," S&P said.

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

  PRELIMINARY RATINGS ASSIGNED
  TCW CLO 2018-1 Ltd.

  Replacement class       Rating        Amount (mil. $)
  A-1b-R1                 AAA (sf)                18.75
  A-1b-R2                 AAA (sf)                 6.25
  A-2b-R                  NR                      14.00
  B-2-R1                  AA (sf)                  5.00
  B-2-R2                  AA (sf)                 20.00
  C-R                     A (sf)                  26.00

  OTHER OUTSTANDING RATINGS
  TCW CLO 2018-1 Ltd.

  Class                Rating
  A-1a                 AAA (sf)
  A-2a                 NR
  B-1                  AA (sf)
  D                    BBB- (sf)
  E                    BB- (sf)
  Subordinated notes   NR

  NR--Not rated.


TOWD POINT 2020-3: DBRS Finalizes B Rating on Class B2 Notes
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Asset-Backed
Securities, Series 2020-3 (the Notes) to be issued by Towd Point
Mortgage Trust 2020-3 (TPMT 2020-3 or the Trust) as follows:

-- $1.0 billion Class A1A at AAA (sf)
-- $179.5 million Class A1B at AAA (sf)
-- $89.2 million Class A2 at AA (sf)
-- $68.1 million Class M1 at A (sf)
-- $58.4 million Class M2 at BBB (sf)
-- $35.7 million Class B1 at BB (sf)
-- $25.9 million Class B2 at B (sf)
-- $1.2 billion Class A1 at AAA (sf)
-- $89.2 million Class A2A at AA (sf)
-- $89.2 million Class A2AX at AA (sf)
-- $89.2 million Class A2B at AA (sf)
-- $89.2 million Class A2BX at AA (sf)
-- $68.1 million Class M1A at A (sf)
-- $68.1 million Class M1AX at A (sf)
-- $68.1 million Class M1B at A (sf)
-- $68.1 million Class M1BX at A (sf)
-- $58.4 million Class M2A at BBB (sf)
-- $58.4 million Class M2AX at BBB (sf)
-- $58.4 million Class M2B at BBB (sf)
-- $58.4 million Class M2BX at BBB (sf)
-- $1.3 billion Class A3 at AA (sf)
-- $1.4 billion Class A4 at A (sf)
-- $1.4 billion Class A5 at BBB (sf)

Classes A2AX, A2BX, M1AX, M1BX, M2AX, and M2BX are interest-only
notes. The class balances represent a notional amount.

Classes A1, A2A, A2AX, A2B, A2BX, M1A, M1AX, M1B, M1BX, M2A, M2AX,
M2B, M2BX, A3, A4, and A5 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 26.20% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 20.70%, 16.50%,
12.90%, 10.70%, and 9.10% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of seasoned
performing and reperforming primarily first-lien mortgages funded
by the issuance of the Notes. The Notes are backed by 12,459 loans
with a total principal balance $1,621,513,295 as of the Cut-Off
Date (June 30, 2020).

The Notes are backed by 12,585 loans with a total principal balance
of $1,643,121,756 as of the Statistical Calculation Date (May 31,
2020). Unless specified otherwise, all the statistics regarding the
mortgage loans in this report are based on the Statistical
Calculation Date.

The portfolio is approximately 149 months seasoned, and 55.3% of
the loans are modified. The modifications happened more than two
years ago for 90.7% of the modified loans. Within the pool, 2,656
mortgages have non-interest-bearing deferred amounts, which equate
to approximately 3.7% of the total principal balance. There are no
Home Affordable Modification Program and proprietary principal
forgiveness amounts included in the deferred amounts.

As of the Statistical Calculation Date, 94.3% of the pool is
current, 3.7% is 30 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method, and 2.1% is in bankruptcy
(all bankruptcy loans are performing or 30 days delinquent).
Approximately 72.9% of the mortgage loans have been zero times 30
days delinquent for at least the past 24 months under the MBA
delinquency method.

The majority of the pool (88.5%) is exempt from the Consumer
Financial Protection Bureau Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules. The loans subject to the ATR rules are
designated as QM Safe Harbor (10.1%), QM Rebuttable Presumption
(0.2%), and non-QM (1.2%).

FirstKey Mortgage, LLC (FirstKey) will acquire the loans from
various transferring trusts on or prior to the Closing Date. The
transferring trusts acquired the mortgage loans between December
2013 and June 2020 and are beneficially owned by funds managed by
affiliates of Cerberus Capital Management, L.P. Upon acquiring the
loans from the transferring trusts, FirstKey, through a wholly
owned subsidiary, Towd Point Asset Funding, LLC (the Depositor),
will contribute loans to the Trust. As the Sponsor, FirstKey,
through a majority-owned affiliate, will acquire and retain a 5%
eligible vertical interest in each class of securities to be issued
(other than any residual certificates) to satisfy the credit risk
retention requirements. These loans were originated and previously
serviced by various entities through purchases in the secondary
market.

The loans will be serviced by Select Portfolio Servicing, Inc.
(97.6%) and Specialized Loan Servicing LLC (2.4%). The initial
aggregate servicing fee for the TPMT 2020-3 portfolio will be
0.1736% per annum, lower than transactions backed by similar
collateral. DBRS Morningstar stressed such servicing expenses in
its cash flow analysis to account for a potential fee increase in a
distressed scenario.

There will not be any advancing of delinquent principal or interest
on any mortgages by the servicers or any other party to the
transaction; however, the servicers are obligated to make advances
in respect of homeowner association fees, taxes, and insurance;
installment payments on energy improvement liens; and reasonable
costs and expenses incurred in the course of servicing and
disposing of properties.

FirstKey, as the Asset Manager, has the option to sell certain
nonperforming loans or real estate owned (REO) properties to
unaffiliated third parties individually or in bulk sales. Bulk
sales require an asset sale price to at least equal a minimum
reserve amount of the product of (1) 62.03% and (2) the current
principal amount of the mortgage loans or REO properties as of the
bulk sale date.

When the aggregate pool balance of the mortgage loans is reduced to
less than 30.0% of the Cut-Off Date balance, the holders of more
than 50% of the Class X Certificates will have the option to cause
the Issuer to sell all of its remaining property (other than
amounts in the Breach Reserve Account) to one or more third-party
purchasers so long as the aggregate proceeds meet a minimum price.

When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-Off Date, the majority representative as
appointed by the holder(s) of more than 50% of the notional amount
of the Class X Certificates or their affiliates, may purchase all
of the mortgage loans, REO properties, and other properties from
the Issuer so long as the aggregate proceeds meet a minimum price.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class M1
and more subordinate bonds will not be paid from principal proceeds
until the Class A1A, A1B, and A2 Notes are retired.

For this transaction, unlike previous TPMT reperforming loan (RPL)
deals, the representations and warranties (R&W) framework
incorporates only a realized loss event or enforceability event
review trigger. A delinquency trigger, which was in prior TPMT RPL
deals, was removed from this transaction. In addition, the R&W
framework removes the delinquency component from the calculation of
a threshold event. The absence of the delinquency component in both
the review trigger and the threshold event may prolong the length
of time before a loan is reviewed for a potential breach of R&W.
Because the TPMT RPL shelf has a long history of transactions with
no R&W putbacks and the deal incorporates a comprehensive
third-party due diligence review, DBRS Morningstar deems this
change acceptable.

CORONAVIRUS DISEASE (COVID-19) 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 securities
(RMBS) asset classes, some meaningfully.

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 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 it previously used.
DBRS Morningstar derives such MVD assumptions through a fundamental
home price approach based on the forecast unemployment rates and
GDP growth outlined in the 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 that 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 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, the Coronavirus Aid, Relief, and Economic Security
(CARES) Act, signed into law on March 27, 2020, mandates that all
mortgagors with government-backed mortgages be allowed to delay at
least 180 days of monthly payments (followed by another period of
180 days if the mortgagor requests it). For loans not subject to
the CARES Act, servicers may still provide payment relief to
borrowers who report financial hardship related to coronavirus.
Within this pool, although not subject to the CARES Act, 2.4% of
the borrowers are on coronavirus-related forbearance or deferral
plans. These forbearance plans allow temporary payment holidays,
followed by repayment once the forbearance period ends.

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

  (1) Increased delinquencies for the first 12 months at the AAA
(sf) and AA (sf) rating levels.

  (2) Increased delinquencies for the first nine months at the A
(sf) and below rating levels.

  (3) No voluntary prepayments for the first 12 months for the AAA
(sf) and AA (sf) rating levels.

  (4) No liquidation recovery for the first 12 months for the AAA
(sf) and AA (sf) rating levels.

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

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

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


TOWD POINT 2020-3: Fitch Assigns Bsf Rating on Class B2 Notes
-------------------------------------------------------------
Fitch Ratings has assigned the following ratings to the residential
mortgage-backed notes issued by Towd Point Mortgage Trust 2020-3:

TPMT 2020-3

  - Class A1A; LT AAAsf New Rating

  - Class A1B; LT AAAsf New Rating

  - Class A2; LT AAsf New Rating

  - Class M1; LT Asf New Rating

  - Class M2; LT BBBsf New Rating

  - Class B1; LT BBsf New Rating

  - Class B2; LT Bsf New Rating

  - Class B3; LT NRsf New Rating

  - Class B4; LT NRsf New Rating

  - Class B5; LT NRsf New Rating

  - Class A1; LT AAAsf New Rating

  - Class A2A; LT AAsf New Rating

  - Class A2AX; LT AAsf New Rating

  - Class A2B; LT AAsf New Rating

  - Class A2BX; LT AAsf New Rating

  - Class M1A; LT Asf New Rating

  - Class M1AX; LT Asf New Rating

  - Class M1B LT Asf New Rating

  - Class M1BX; LT Asf New Rating

  - Class M2A; LT BBBsf New Rating

  - Class M2AX; LT BBBsf New Rating

  - Class M2B; LT BBBsf New Rating

  - Class M2BX; LT BBBsf New Rating

  - Class A3; LT AAsf New Rating

  - Class A4; LT Asf New Rating

  - Class A5; LT BBBsf New Rating

TRANSACTION SUMMARY

The notes are supported by one collateral group that consists of
12,585 seasoned performing loans and re-performing loans with a
total balance of approximately $1.64 billion, which includes $61
million, or 4%, 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 servicers will not be advancing delinquent monthly
payments of P&I.

KEY RATING DRIVERS

Revised GDP Due to Coronavirus: The coronavirus pandemic and the
resulting containment efforts have resulted in revisions to Fitch's
GDP estimates for 2020. Fitch's baseline global economic outlook
for U.S. GDP growth is currently a 5.6% decline for 2020, down from
1.7% growth 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.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage, SPLs and RPLs. Of the pool,
3.8% was 30 days delinquent as of the statistical calculation date,
and 23% of loans are current but have had recent delinquencies or
incomplete 24-month pay strings. For the past 24 months, 73% of the
loans have been paying on time. Roughly, 55% have been modified.

Expected Payment Forbearance and Deferrals Related to Coronavirus
(Negative): The outbreak of the coronavirus and widespread
containment efforts in the U.S. will result in increased
unemployment and cash flow disruptions. Mortgage payment deferrals
will provide immediate relief to affected borrowers, and Fitch
expect servicers 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 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.
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 (Positive): Operational risk is well
controlled for in this transaction. FirstKey Mortgage, LLC has a
well-established track record in RPL activities and has an
"above-average" aggregator assessment from Fitch. Select Portfolio
Servicing, Inc. and Specialized Loan Servicing LLC will perform
primary and special servicing functions for this transaction and
are rated 'RPS1-'/Negative and 'RPS2+'/Negative, respectively, for
this product type. The benefit of highly rated servicers decreased
Fitch's loss expectations by 134 bps at the 'AAAsf' rating
category. The issuer's retention of at least 5% of the bonds helps
ensure an alignment of interest between issuer and investor.

Low Aggregate Servicing Fee (Mixed): Fitch determined that the
stated aggregate servicing fee of approximately 17 bps (SPS
servicing fee of 17 bps and SLS servicing fee of 32 bps) may be
insufficient to attract subsequent servicers under a period of poor
performance and high delinquencies. To account for the potentially
higher fee needed to obtain a subsequent servicer, Fitch's cash
flow analysis assumed a 50-bp servicing fee.

Third-Party Due Diligence (Negative): A third-party due diligence
review was conducted on 64% of the loan by loan count / 74% by UPB
and focused on regulatory compliance, pay history and a tax and
title lien search. The third-party due diligence was performed by
Clayton and AMC, both which are assessed as 'Acceptable-Tier 1' TPR
firms by Fitch. The results of the review indicate moderate
operational risk with approximately 9.1% of the entire pool (14% of
the reviewed loans) were assigned a 'C' or 'D' grade, meaning the
loans had material violations or lacked documentation to confirm
regulatory compliance. Fitch adjusted its loss expectation at the
'AAAsf' rating category by approximately 10 bps to account for this
added risk. See the Third-Party Due Diligence section for
additional details.

Representation Framework (Negative): Fitch considers the
representation, warranty and enforcement mechanism construct for
this transaction to generally be consistent with what it views as a
Tier 2 framework. The tier assessment is based primarily on the
inclusion of knowledge qualifiers in the framework and the
exclusion of several representations such as loans identified as
having unpaid taxes. The issuer is not providing R&Ws for second
liens, and newly originated loans are receiving R&Ws applicable for
seasoned collateral; Fitch treated these loans as Tier 5. Fitch
increased its 'AAAsf' loss expectations by 174 bps to account for a
potential increase in defaults and losses arising from weaknesses
in the reps a well as the non-investment grade counterparty.

Limited Life of Rep Provider (Negative): FirstKey, as rep provider,
will only be obligated to repurchase a loan due to breaches prior
to the payment date in August 2021. Thereafter, a reserve fund will
be available to cover amounts due to noteholders for loans
identified as having rep breaches. Amounts on deposit in the
reserve fund as well as the increased level of subordination will
be available to cover additional defaults and losses resulting from
rep weaknesses or breaches occurring on or after the payment date
in August 2021.

No Servicer P&I Advances (Mixed): The servicers 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 amounts totaling $61 million (4%) of the UPB are
outstanding on 2,656 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 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 39.5% 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.

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.

CRITERIA VARIATION

Fitch's analysis incorporated three criteria variations from its
"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 10% of the reviewed
loans by loan count. Approximately 94% of the sample loans were
reviewed within 12 months and the remaining loans were reviewed
more than 12 month ago. Additionally, the servicers are monitoring
the tax and title status as part of standard practice and will
advance where deemed necessary to keep the first lien position of
each loan. This variation had no rating impact.

The second variation is that a due diligence compliance and data
integrity review was not completed on approximately 36% of the pool
by loan count. The sample meets Fitch's criteria for second liens
and SPL loans as 31% of the second liens and 48% of the SPL loans
were reviewed (the criteria allows for a 20% sample). Fitch defines
SPL as loans that are seasoned over 24 months, have not been
modified and have had no more one 30-day delinquency in the prior
24 months but are current as of the cutoff date. A criteria
variation was applied for the RPL loans. 44% of the pool is
categorized as RPL, and Fitch's criteria expects 100% review for
RPL loans (90% was reviewed). The loans in the pool are
predominately from two sources with nearly 80% of the loans in the
pool from a single source. Of the loans reviewed, only about 1.5%
had findings, which Fitch made an adjustment for in its analysis;
therefore, Fitch believes the sample does not introduce additional
operational risk to the transaction.

Additionally, 2% of the pool consists of new origination (loans
seasoned less than 24 month) and a credit and valuation review was
not completed for these loans. While a full credit review was not
completed, the ATR status was checked and updated values were
provided in lieu of a valuations review. This variation had no
rating impact.

The third variation relates to the pay history review. For RPL
transactions, Fitch expects a pay history review to be completed on
100% of the loans and expects the review to reflect the past 24
months. The pay history sample completed on the newly originated
loans, the SPL and second liens meet Fitch's criteria. A pay
history review was either not completed, was outdate or a pay
string was not received from the servicer for approximately 10% of
the RPL loans. As nearly 80% of the loans are from a single source,
Fitch believes the sample does not introduce additional operational
risk to the transaction.

In addition, the loans are approximately 12.5 years seasoned and
73% of the pool has been paying on time for the past 24 months. For
the loans where a pay history review was conducted, the results
verified what was provided on the loan tape. Additionally, the pay
strings that were provided on the loan tape were provided by the
current servicer where applicable. This variation had no rating
impact.

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

A third-party regulatory compliance review was completed on
approximately 64% of the loans (by loan count) in the transaction
pool. The sample meets Fitch's criteria for second liens and SPL
loans. 31% of the second liens and 48% of the SPL loans were
reviewed, which meets Fitch's criteria as the criteria allows for a
20% sample. Fitch defines SPL as loans that are seasoned over 24
months, have not been modified and have had no more one 30-day
delinquency in the prior 24 months but are current as of the cutoff
date.

A criteria variation was applied for the RPL and newly originated
loans. 44% of the pool is categorized as RPL by Fitch, and criteria
expects 100% review for RPL loans (90% was reviewed). The loans in
the pool are predominately from two sources with close to 80% of
the loans in the pool from a single source. Of the loans reviewed,
only about 1.5% had findings, which Fitch made an adjustment for in
its analysis and therefore Fitch believes the sample does not
introduce additional operational risk to the transaction.

Additionally, 2% of the pool consists of new origination (loans
seasoned less than 24 month) and a credit and valuation review was
not completed for these loans. While a full credit review was not
completed, the ATR status was checked and updated values were
provided in lieu of a valuations review.

1,147, or about 9% of the pool (14% of the reviewed loans) were
assigned a grade of 'C' or 'D'. The diligence results indicated
similar operational risk to prior TPMT transactions as well as
other Fitch-reviewed RPL transactions.

For 163 of the 'C' or 'D' grades, Fitch adjusted its loss
expectation to reflect the missing documents that prevented the
testing for predatory lending compliance and the missing
modification agreements. The inability to test for predatory
lending may expose the trust to potential assignee liability, which
creates added risk for bond investors. Fitch make and adjustment
for loan modification agreements identified as pending receipt in
the custodial report. For this pool, 2,126 were identified as such,
however all but 452 of the loans had imaged LMAs in their
respective servicing file and were used by the TPRs to facilitate
the modification review and capture the modified loan repayment
terms. Fitch believes that the imaged files are sufficient to
demonstrate the borrower's contractual obligations under the terms
of the LMA and unlikely to materially delay or prevent
enforceability.

Fitch adjusted its loss expectation at the 'AAAsf' rating stress by
approximately 10 bps to reflect the additional risks.

The remaining 984 loans graded 'C' or 'D' were due to missing Final
HUD1's that are not subject to predatory lending, missing state
disclosures, and other compliance related missing documents. Fitch
believes these issues do not add material risk to bondholders since
the statute of limitations has expired. No adjustment to loss
expectations were made for these 984 loans.

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.

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).


VERUS SECURITIZATION 2020-4: S&P Rates Class B-2 Certs 'B+ (sf)'
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2020-4's mortgage pass-through certificates.

The certificate issuance is an RMBS transaction backed primarily by
first-lien, fixed-, and adjustable-rate residential mortgage loans,
including mortgage loans with initial interest- only periods and/or
balloon terms. The loans are, secured primarily by single-family
residential properties, planned-unit developments, condominiums,
mixed-use properties, townhouses, and two- to four-family
residential properties to both prime and nonprime borrowers. The
pool has 1,084 loans backed by 1,091 properties, which are
primarily non-qualified mortgage (non-qualified
mortgage/ability-to-repay compliant) and ATR-exempt loans.

The preliminary ratings are based on information as of July 23,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The mortgage aggregator, Invictus Capital Partners; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.

S&P Global Ratings acknowledges a high degree of uncertainty about
the coronavirus pandemic. The consensus among health experts is
that the pandemic may now be at, or near, its peak in some regions
but will remain a threat until a vaccine or effective treatment is
widely available, which may not occur until the second half of
2021.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates accordingly,"
S&P said.

  PRELIMINARY RATINGS ASSIGNED
  Verus Securitization Trust 2020-4

  Class     Rating(i)       Amount ($)
  A-1       AAA (sf)       281,722,000
  A-2       AA (sf)         27,914,000
  A-3       A (sf)          44,234,000
  M-1       BBB- (sf)       28,774,000
  B-1       BB (sf)         15,460,000
  B-2       B+ (sf)          9,877,000
  B-3       NR              21,473,633
  A-IO-S    NR                Notional(ii)
  XS        NR                Notional(ii)
  P         NR                     100
  R         NR                     N/A

(i)The collateral and structural information reflect the term sheet
dated July 20, 2020; the preliminary ratings address the ultimate
payment of interest and principal.
(ii)The notional amount equals the loans' stated principal balance.

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


WILLIS ENGINE V: Fitch Affirms BB Rating on Series C Notes
----------------------------------------------------------
Fitch Ratings has downgraded the ratings on the outstanding series
A and B fixed rate notes issued by Willis Engine Structured Trust
III. In addition, Fitch has affirmed the ratings of the outstanding
series A and B fixed rate notes issued by Willis Engine Structured
Trust IV, and affirmed the series A, B and C fixed rate notes
issued by Willis Engine Structured Trust V. Fitch maintained the
Rating Outlook Negative on all series of notes.

Willis Engine Structured Trust III

  - Series A 2017-A 97063QAA0; LT A-sf; Downgrade

  - Series B 2017-A 97063QAB8; LT BBB-sf; Downgrade

Willis Engine Structured Trust IV

  - Series A 97064EAA6; LT Asf; Affirmed

  - Series B 97064EAC2; LT BBBsf; Affirmed

Willis Engine Securitization Trust V

  - Series A 97064FAA3; LT Asf; Affirmed

  - Series B 97064FAB1; LT BBBsf; Affirmed

  - Series C 97064FAC9; LT BBsf; Affirmed

TRANSACTION SUMMARY

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

On March 31, 2020, Fitch assigned a Negative Outlook to all series
of notes issued by each of WEST III, IV and V as part of its
aviation ABS portfolio review, due to the ongoing impact of the
coronavirus pandemic on the global macro and travel/airline
sectors. This unprecedented worldwide pandemic continues to evolve
rapidly and negatively affect airlines across the globe.

To accurately reflect its global recessionary environment and the
impact on airlines leasing the engines in this pool, Fitch updated
rating assumptions for both rated and non-rated airlines with a
vast majority of ratings moving lower. Furthermore, recessionary
timing was brought forward to start immediately. This scenario
further stresses airline credits, asset values and lease rates
immediately, while incurring remarketing and repossession cost and
downtime. Previously, Fitch assumed that the first recession
commenced six months from either the transaction closing date or
date of subsequent reviews.

Willis Lease Finance Corp. (WLFC, not rated [NR] by Fitch) acts as
sponsor, servicer and administrative agent to the aircraft engine
ABS transaction. Fitch believes WLFC is an adequate servicer to
service these transactions based on its experience as a lessor, and
overall servicing capabilities of its owned and managed portfolio
including prior ABS transactions.

KEY RATING DRIVERS

Deteriorating Airline Lessee Credit:

The credit profiles of the airline lessees in the pools have
further deteriorated due to the coronavirus-related impact on all
global airlines in 2020, resulting in lower lessee rating
assumptions utilized for this review. The proportion of the pool
assumed at a 'CCC' and below Issuer Default Ratings increased to
51.9% from 24.8% for WEST III since the prior review, rose to 59.4%
from 15.0% at closing for WEST IV, and moved higher to 28.8% from
16.5% at closing of WEST V.

Newly-assumed 'CCC' credit airlines include Scandinavian Airlines
System, Azul Linhas Aereas Brasileiras, S.A., Croatia Airlines, GOL
Linhas Aereas S.A., VB LeaseCo Pty Ltd. and Shanghai Airlines
Company Limited for WEST III. For WEST IV, these airlines included
SAS, Azul, Interglobe Aviation Limited, Vietnam Airlines JSC,
VietJet Aviation Joint Stock Company, SpiceJet Ltd. and Nord Wind
LLC. Lastly, 'CCC' assumed airlines for the review of WEST V
include Shanghai Airlines, Air Transat A.T. Inc. and IndiGo for
WEST V.

Credits assumed to immediately default in Fitch's model include
Aerolineas Argentinas S.A., Avianca Brazil, Aerolitoral S.A. de
C.V., Norwegian Air Shuttle ASA and Aerovias de Mexico S.A. for
WEST III; ABC Aerolineas S.A. de C.V. and NAS for WEST IV; and
LATAM Airlines Group S.A., Aeromexico and NAS for WEST V. The
assumptions are reflective of these airlines' ongoing credit
profiles and fleets in the current operating environment with
certain bankruptcy, due to the coronavirus-related impact on the
sector. Any publically rated airlines in the pool whose ratings
have shifted since close were updated for this review.

Asset Quality and Appraised Pool Value:

All three transactions received updated appraisals in December
2019. The WEST III pool consists of 50 aircraft engines supporting
mostly narrowbody airframes totaling 83.4% of the pool. The
remaining portion is split between widebody airframes at 10.8% and
regional jet airframes at 5.7%. Fitch utilized the lowest value of
each appraiser's half-life base value. This resulted in a modeled
value of $321.4 million.

The WEST IV pool is backed by 52 aircraft engines supporting mostly
NB aircraft airframes totaling 71.8% of the pool and one Boeing
B737-800 airframe. The remaining engines are split between WB
airframes at 21.4%, RJ airframes at 6.7%, and one engine supporting
a business jet airframe at 0.1%. Fitch utilized the average of the
two lowest appraisal HLBV for the engines and the average of the
two lowest appraisal maintenance-adjusted base values for the
airframe resulting in a modeled value of $373.1 million.

The WEST V pool comprises of 54 aircraft engines supporting mostly
NB airframes totaling 78.5% of the pool and three Airbus A319
airframes. The remaining engines are split between WB airframes at
18.6% and RJ airframes at 2.9%. Fitch utilized the average of the
two lowest appraisal HLBV for the engines and the average of the
two lowest appraisal MABV for the airframes resulting in a modeled
value of $347.0 million.

Transaction Performance to Date:

In the July 2020 servicer report, collections for all transactions
trended down. WEST III collections declined relative to past
periods but was able to pay all scheduled interest and principal on
each series of notes. WEST IV paid through subordinate fees and
returned approximately $141,000 to the issuer at the bottom of the
waterfall. WEST V collections were light and drew on the series C
reserve account to pay series C interest and principal.

Fitch Assumptions, Stresses and Cash Flow Modeling:

Nearly all servicer-driven assumptions are consistent from closing
for each transaction. These include costs and certain downtime
assumptions relating to engine repossessions and remarketing, terms
of new leases, and extension terms.

For any leases maturing in the next 12 months, engines that are
currently off lease, and engines on lease to airlines currently in
administration, Fitch assumed an additional three months of
downtime on top of lessor-specific remarketing downtime assumptions
to account for potential remarketing challenges in placing assets
with a new lessee in the current distressed environment. Fitch also
updated phase transition date expectations for each engine type in
these pools. Please refer to the most recently published WEST V
presale (Feb. 13, 2020) for further information on these
assumptions and stresses.

For lease deferrals, Fitch utilized a consistent template
assumption for lessees across the three engine pools for this
review, applying a standard three-month deferral with a six-month
repayment window where deemed applicable.

With the grounding of global fleets and significant reduction in
air travel, maintenance revenue and costs will be impacted and are
expected to decline due to airline lessee credit issues and
grounded aircraft. Maintenance revenues were reduced by 50% over
the next immediate 12 months, and such missed payments were assumed
to be recouped in the following 12 months thereafter, starting
August 2021.

Maintenance costs over the immediate next six months were assumed
to be incurred as reported. Costs in the following month were
reduced by 50% and assumed to increase straight line to 100% over a
12-month period. Any deferred costs were incurred in the following
12 months.

RATING SENSITIVITIES

The Negative Outlooks on the WEST transactions 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 engine values, and
other assumptions across the aviation industry due to the severe
decline in travel and grounding of airlines.

At close, Fitch conducted multiple rating sensitivity analyses to
evaluate the impact of changes to a number of the variables in the
analysis. The performance of engine lease securitizations is
affected by various factors, which, in turn, could have an impact
on the assigned ratings. Due to the correlation between global
economic conditions and the airline industry, the ratings can be
affected by the strength of the macro-environment over the
remaining term of this transaction.

In the initial rating analysis, Fitch found the transactions to
exhibit sensitivity to the timing and severity of assumed
recessions. Fitch also found that greater default probability of
the leases has a material impact on the ratings. Furthermore, the
timing and degree of technological advancement in the commercial
aviation space, and the resulting impact on engine values, lease
rates and utilization would have a moderate impact on the ratings.

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

The aviation ABS sector has a rating cap of 'Asf'. All subordinate
tranches carry one category of ratings lower than the senior
tranche, and remain below the initial ratings. 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.

For WEST III, strong residual values alone would not be sufficient
to improve the ratings. However, if the transaction experiences
stronger residual value realization than what was modeled by Fitch,
coupled with stronger asset values, the transaction could perform
better than expected.

For this scenario in WEST III, residual value recoveries at time of
sale are assumed at 100% of the depreciated market values up from
approximately 50% the base case, and the asset values utilize
average excluding highest HLBV approach, compared to the minimum
value approach in the primary scenario. Net cash flows increase
significantly, and the series A and B notes are able to pay in full
under their respective rating stress levels.

For this scenario in WEST IV and V, net cash flows improve
significantly across rating stress levels. All series of notes are
able to pay in full at their current rating stress levels.

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

Softening in engine values could lead to downward rating action.
Fitch explored the potential cash flow decline if all asset values
declined further by 10% versus Fitch's modeled values for this
review across all three transactions.

Net cash flow declined by approximately $41 million-$46 million for
WEST III, $49 million-$55 million for WEST IV, and $45 million-$55
million for WEST V across rating stress levels. The impact of this
stress scenario is more pronounced in WEST III. Under this
scenario, the 10% value decline for WEST III could imply further
category downgrades for each series of notes.

WEST IV series A and B notes are modeled to pay in full under the
'BBBsf' stress, implying potential rating pressure following
accelerated asset value declines. For WEST V, 10% value decline
alone does not suggest downward rating migration, but could result
in negative rating action in conjunction with other factors in a
weaker environment.

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).


WIND RIVER 2014-1: Moody's Lowers Rating on Class F Notes to Caa2
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Wind River 2014-1 CLO Ltd.:

US$36,500,000 Class D-RR Secured Deferrable Floating Rate Notes Due
July 18, 2031 (current outstanding balance of $36,500,000),
Downgraded to Ba1 (sf); previously on April 17, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

US$28,500,000 Class E-R Secured Deferrable Floating Rate Notes Due
July 18, 2031 (current outstanding balance of $28,500,000),
Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed
Under Review for Possible Downgrade

US$11,700,000 Class F Secured Deferrable Floating Rate Notes Due
July 18, 2031 (current outstanding balance of $11,700,000),
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 D-RR, Class E-R and Class F notes. The CLO,
originally issued in May 2014, partially refinanced in March 2017,
and refinanced in full in May 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 downgrades on the Class D-RR, Class E-R, and Class 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, 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 3348 as of June 2020, or 15.4% worse compared to 2900 reported
in the March 2020 trustee report [1]. Moody's calculation also
showed the WARF was failing the test level of 2949 reported in the
June 2020 trustee report [2] by 399 points. Moody's noted that
approximately 30.1% of the CLO's par was from obligors assigned a
negative outlook and 4.5% 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
18.9% as of June 2020.

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 $559.3 million, defaulted par of
$19.2 million, a weighted average default probability of 27.80%
(implying a WARF of 3348), a weighted average recovery rate upon
default of 47.56%, a diversity score of 69 and a weighted average
spread of 3.48%. Moody's also analyzed the CLO by incorporating an
approximately $8.2 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.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in the US economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. 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.


[*] S&P Takes Various Actions on 59 Classes From 17 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 59 ratings from 17 U.S.
RMBS transactions issued between 2002 and 2007. The review yielded
six upgrades, two downgrades, 50 affirmations, and one
discontinuance.

ANALYTICAL CONSIDERATIONS

S&P acknowledges a high degree of uncertainty about the rate of
spread and peak of the coronavirus outbreak. Some government
authorities estimate the pandemic will peak around midyear, and S&P
is using this assumption in assessing the economic and credit
implications.

"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," S&P said.

As the situation evolves, S&P will update its 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 our opinion regarding the associated
transaction-specific collateral performance and/or structural
characteristics, or reflect the application of specific criteria
applicable to these classes," S&P said.

"The ratings affirmations reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections," the
rating agency said.

S&P raised its ratings on two classes from GE-WMC Asset Backed Pass
Through Certificates, Series 2005-2 by at least four notches,
detailed below:

-- S&P raised its rating on class A-1 to 'AA (sf)' from 'BBB+
(sf)' as its credit support increased to 95.1% in June 2020 from
82.7% during its last review and it believes that the class will
likely pay off within a year, and

-- S&P raised its rating on class A-2C to 'BB (sf)' from 'B- (sf)'
as its credit support increased to 39.5% in June 2020 from 35.2%
during its last review as the class is receiving all of the
principal from group 2 due to the cumulative net loss trigger
failing.

S&P lowered its ratings on two classes from two transactions due to
its imputed promises criteria, detailed below:

-- S&P lowered its rating on class MF-1 from CWABS Asset Backed
Certificates Trust 2005-11 to 'D (sf)' from 'CCC (sf), and

-- S&P lowered its rating on class MF-1 from CWABS Asset-Backed
Certificates Trust 2004-15 to 'BB+ (sf)' from 'BBB (sf)'.

A list of Affected Ratings can be viewed at:

           https://bit.ly/32HkTbe


[*] S&P Takes Various Actions on 90 Classes From 17 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 90 ratings from 17 U.S.
RMBS transactions issued in 2004 and 2005. All of these
transactions are backed by alternative-A collateral. The review
yielded three upgrades, seven downgrades, 74 affirmations, one
discontinuance, and five withdrawals.

ANALYTICAL CONSIDERATIONS

S&P acknowledges a high degree of uncertainty about the evolution
of the coronavirus pandemic. The consensus among health experts is
that the pandemic may now be at, or near, its peak in some regions,
but will remain a threat until a vaccine or effective treatment is
widely available, which may not occur until the second half of
2021.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. 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 COVID-19;
-- Collateral performance/delinquency trends;
-- Historical interest shortfalls/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 our opinion regarding the associated
transaction-specific collateral performance or structural
characteristics, and/or reflect the application of specific
criteria applicable to these classes. Please see the ratings list
below for the specific rationales associated with each of the
classes with rating transitions," S&P said.

"The affirmations of ratings reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections," the
rating agency said.

S&P withdrew its ratings on five classes from two transactions due
to the small number of loans remaining within the related
structure. Once a pool has declined to a de minimis amount, the
rating agency believes there is a high degree of credit instability
that is incompatible with any rating level.

"We lowered our ratings on seven classes from three transactions
due to increased delinquencies. Each respective collateral group
has experienced meaningful increases in delinquency levels and, as
a consequence, we have projected higher losses. As a result, we
believe these classes have credit support that is insufficient to
withstand losses at higher rating levels," S&P said.

A list of Affected Ratings can be reached through:

                  https://bit.ly/3ePfRMc


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets.  At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled.  Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets.  A company may establish reserves on its balance sheet for
liabilities that may never materialize.  The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.

On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts.  The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.

Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals.  All titles are
available at your local bookstore or through Amazon.com.  Go to
http://www.bankrupt.com/books/to order any title today.

Monthly Operating Reports are summarized in every Saturday edition
of the TCR.

The Sunday TCR delivers securitization rating news from the week
then-ending.

TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.

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S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.

Copyright 2020.  All rights reserved.  ISSN: 1520-9474.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.  Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.

The TCR subscription rate is $975 for 6 months delivered via
e-mail.  Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each.  For subscription information, contact Peter A.
Chapman at 215-945-7000.

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