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

              Sunday, August 16, 2020, Vol. 24, No. 228

                            Headlines

A10 BRIDGE 2019-B: DBRS Confirms B Rating on Class F Certs
AFFIRM ASSET 2020-A: DBRS Finalizes BB Rating on Class C Notes
ALLEGRO CLO II-S: Moody's Lowers Rating on Class E Notes to Caa2
ALLEGRO CLO X: Moody's Lowers Rating on Class F Notes to Caa1
AMERICAN CREDIT 2020-3: DBRS Gives Prov. B Rating on Class F Notes

AMERICAN CREDIT 2020-3: S&P Assigns B (sf) Rating to Class F Notes
BAYVIEW COMMERCIAL 2006-SP1: Moody's Cuts Class B-2 Debt to Caa3
BENEFIT STREET XXI: S&P Assigns BB- (sf) Rating to Class E Notes
BRAVO RESIDENTIAL 2020-NQM1: Fitch to Rate Class B-2 Notes 'B(EXP)'
CABELA'S CREDIT 2013-I: Fitch Affirms BB+ Rating on Class D Notes

CAYUGA PARK CLO: S&P Assigns BB- (sf) Rating to Class E Notes
CIFC FUNDING 2015-III: Moody's Lowers Rating on F-R Notes to Caa1
CITIGROUP COMMERCIAL 2019-PRM: DBRS Gives B Rating on Cl. F Certs
COLUMBIA CENT 29: S&P Assigns BB- (sf) Rating to Class E Notes
CPS AUTO 2015-B: S&P Lowers Class D Notes Rating to 'BB- (sf)'

CPS AUTO 2016-A: S&P Lowers Class E Notes Rating to 'B (sf)'
CSMC 2020-NET: Moody's Gives B1 Rating on Class HRR Certs
CSMC TRUST 2017-PFHP: S&P Lowers Class E Certs Rating to B (sf)
CUMBERLAND PARK: Moody's Lowers Rating on Class F-R Notes to Caa1
DORCHESTER PARK: Moody's Confirms Class F-R Notes at B3

FIRST INVESTORS 2019-1: S&P Affirms B (sf) Rating on Class F Notes
FLAGSHIP CREDIT 2020-3: DBRS Finalizes BB Rating on Class E Notes
FLAGSTAR MORTGAGE 2020-2: Fitch Hikes Class B-5 Certs to B+(EXP)
FREDDIE MAC 2020-DNA4: S&P Assigns Prelim 'B' Rating to B-1 Notes
GCAT 2020-NQM2: S&P Assigns B (sf) Rating to Class B-2 Certs

GE COMMERCIAL 2004-C2: DBRS Confirms C Rating on 2 Debt Classes
GLS AUTO 2020-3: S&P Assigns BB- (sf) Rating to Class E Notes
GS MORTGAGE 2019-GC40: DBRS Confirms B Rating on Class DB-F Certs
GS MORTGAGE 2020-RPL1: DBRS Assigns B Rating on Class B-2 Notes
HALCYON LOAN 2014-3: Moody's Lowers Rating on Class F Notes to Ca

HPS LOAN 10-2016: Moody's Confirms Ba3 Rating on Class D Notes
JP MORGAN 2017-FL10: S&P Lowers Class E Certs Rating to B+(sf)
MAD MORTGAGE 2017-330M: S&P Affirms BB (sf) Rating on Class E Certs
MAGNETITE XXVII: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes
MERIT 2020-HILL: Moody's Gives (P)B3 Rating on Class F Certs

MORGAN STANLEY 1998-WF2: Fitch Affirms Dsf Rating on Class M Debt
MORGAN STANLEY 2007-TOP27: DBRS Confirms B(low) Rating on C Certs
MORGAN STANLEY 2014-C19: S&P Affirms BB-(sf) Rating on LNC-4 Certs
MP CLO VII: Fitch Lowers Rating on Class F-RR Notes to B-sf
NASSAU LTD 2018-I: Moody's Confirms Ba3 Rating on Class E Notes

NASSAU LTD 2020-I: Moody's Gives Ba3 Rating on Class E Notes
NEUBERGER BERMAN XVI-S: Moody's Lowers Rating on F Notes to Caa1
NEUBERGER BERMAN XX: Moody's Confirms B2 Rating on Class F-R Notes
NORTHWOODS CAPITAL 22: S&P Assigns Prelim BB- (sf) Rating E Notes
NRZ ADVANCE 2015-ON1: S&P Assigns Prelim 'BB' Rating to E-T1 Notes

OCTAGON INVESTMENT 34: Moody's Confirms Ba3 Rating on E-2 Notes
OCTAGON INVESTMENT 39: Moody's Confirms B3 Rating on Class F Notes
OCWEN MASTER 2020-T1: S&P Assigns Prelim 'BB' Rating to E-T1 Notes
OZLM LTD VI: Moody's Lowers Rating on Class E-S Notes to Caa1
OZLM LTD XXII: Moody's Lowers Rating on Class E Notes to Caa1

PALMER SQUARE 2020-2: S&P Assigns Prelim BB-(sf) Rating to D Notes
PARALLEL LTD 2015-1: Moody's Lowers Rating on Class E Notes to B1
PEAKS CLO 2: Moody's Lowers Class E-R Notes to Caa2
PIKES PEAK 1: Moody's Confirms Ba3 Rating on Class E Notes
SARANAC CLO III: Moody's Lowers Class E-R Notes to Caa3

SENECA PARK: Moody's Confirms Caa2 Rating on Class F Notes
SLM PRIVATE 2007-A: Fitch Affirms BB+ Rating on Class C-2 Debt
SP-STATIC CLO 1: S&P Rates Class E Notes 'BB- (sf)'
STARWOOD MORTGAGE 2020-3: S&P Rates Nine Classes of Certs BB (sf)
TGIF FUNDING 2017-1: S&P Lowers Notes Ratings to 'B (sf)'

TICP CLO II-2: Moody's Lowers Rating on Class E Notes to Caa3
TICP CLO III-2: Moody's Lowers Rating on Class F Notes to Caa3
VENTURE XXVI CLO: Moody's Lowers Rating on Class E Notes to Ba3
VISTA POINT 2020-2: DBRS Finalizes BB Rating on Class B-1 Certs
VISTA POINT 2020-2: S&P Rates Class B-2 Certs 'B (sf)'

VOYA CLO 2020-2: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes
WACHOVIA BANK 2004-C11: S&P Cuts Class K Certs Rating to 'B (sf)'
WELLS FARGO 2016-NXS6: Fitch Affirms B- Rating on Class F Debt
WELLS FARGO 2017-C40: Fitch Lowers Rating on Class G Debt to CCC
WELLS FARGO 2020-C57: Fitch to Rate Class K-RR Certs 'B-(EXP)sf'

WIND RIVER 2014-3: Moody's Lowers Rating on F-R2 Notes to Caa1
ZAIS CLO 11: Moody's Lowers Rating on Class E Notes to B1
ZAIS CLO 9: Moody's Lowers Rating on Class E Notes to B1
[*] DBRS Puts Ratings on 577 Classes on 158 CMBS Deals Under Review
[*] S&P Places Ratings on 13 Cls From 3 US RMBS Deals on Watch Neg.

[*] S&P Puts Ratings on Student Housing Projects on Watch Negative
[*] S&P Takes Actions on 236 Classes From 27 US Cash Flow CLO Deals
[*] S&P Takes Various Actions on 66 Classes From 5 US RMBS Deals

                            *********

A10 BRIDGE 2019-B: DBRS Confirms B Rating on Class F Certs
----------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of the
Commercial Mortgage Pass-Through Certificates, Series 2019-B issued
by A10 Bridge Asset Financing 2019-B, LLC (the Issuer):

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

DBRS Morningstar assigned Negative trends to Classes D, E, and F,
given the heightened risk profile of multiple loans in the
transaction, which is either delinquent or currently under a
forbearance period. These loans are likely to need corrective
action from the servicer and will face headwinds in the execution
of stated business plans at issuance due to the effects of the
Coronavirus Disease (COVID-19) pandemic. The remaining classes in
the transaction have Stable trends.

The initial collateral consisted of 36 fixed-rate and eight
floating-rate mortgages secured by mostly transitional properties
with a cut-off balance of $281.1 million, excluding approximately
$83.3 million of future funding commitments. The pool has a maximum
balance of $320.0 million, inclusive of $38.9 million of future
funding companion participation. According to the July 2020
remittance report, there are 45 loans in the pool with a current
principal balance of $310.9 million. Since issuance, 10 loans,
which have a current trust balance of $72.1 million, have been
funded into the transaction while nine loans that had a combined
principal balance at the origination of $67.9 million have been
repaid. Most loans are secured by transitional properties with
plans to stabilize and improve the asset value. During the
Reinvestment Period, the Issuer may acquire Pre-Approved Future
Funding Companion Participations and additional eligible loans,
subject to the Reinvestment Conditions. The outstanding balance of
unfunded future funding obligations is currently $56.8 million,
which includes unfunded amounts for capital expenditures as well as
tenant improvement and leasing commission (TI/LC) costs of $43.2
and $6.6 million, respectively.

Twelve loans, representing 33.4% of the principal balance, are
secured by properties that have a DBRS Morningstar Market Rank of 6
or greater while 15 loans, representing 25.4% of the principal
balance, are secured by multifamily, industrial, or self-storage
assets. Additionally, 24 loans, approximately 54.6% of the
principal balance, are secured by retail and office assets.
According to the July 2020 reporting, five loans, representing
22.1% of the principal balance, are on the servicer's watchlist,
including four loans within the Top 10. The largest loan on the
watchlist, Janss Marketplace (6.7% of the current principal
balance), is secured by a 449,829 square foot (sf) anchored retail
property in Thousand Oaks, California. The loan recently entered
into a 180-day forbearance agreement where the deferred debt
service payments accrued between May 2020 and October 2020 will be
repaid in 22 equal monthly installments from January 2021 through
October 2022. Additionally, the borrower deposited $1.1 million as
a tax and insurance escrow payment with the lender because monthly
tax and insurance escrow deposits will be waived during the
forbearance period. The sponsor's business plan focuses on
stabilizing the property through a $9.6 million CAPEX and TI/LC
program that was partially allocated for Aldi, set to take
occupancy of 22,630 sf later this year, and for Gold's Gym, which
currently leases 31,526 sf on a lease through August 2023. At
issuance, Gold's Gym planned to lease an additional 15,800 sf on
the second floor above its existing space; however, the company
filed for Chapter 11 bankruptcy protection in May 2020, which could
prove to be problematic for their already existing space. A recent
update from July 2020 indicated that construction for the Aldi
space was delayed due to the coronavirus pandemic and that the
tenant is expected to begin paying rent in October 2020. The
collateral manager also noted that there was no indication that the
Gold's Gym's expansion will be delayed or terminated. Additionally,
multiple tenants requested rent relief including two of the three
largest tenants—Dojo Boom (8.4% of net rentable area (NRA),
expiring June 2027), and Regal Cinemas (7.8% of NRA, expiring April
2028). DBRS Morningstar increased the probability of default to
reflect the increased risk associated with this loan.

The next three largest loans on the servicer's watchlist,
cumulatively representing 14.6% of the principal balance, are
secured by assets in either Brooklyn or Manhattan, New York, and
each loan has had a history of delinquency with individual loans
currently 60 to 90 days delinquent. The Gowanus Assemblage loan
(5.3% of the principal balance) is secured by a 57,418 sf mixed-use
property in Brooklyn, the 500 Dekalb Avenue loan (4.9% of the
principal balance) is secured by a 64,548 sf office property in
Brooklyn, and the 46-48 Lispenard (4.5% of the principal balance)
loan is secured by five units of an 11-unit luxury residential
condominium building in the Tribeca neighborhood of Manhattan. The
service is currently evaluating resolution strategies for each
loan; however, given the heightened risk with business plan
execution and recent delinquency, DBRS Morningstar applied stressed
scenarios in its analysis of these loans.

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


AFFIRM ASSET 2020-A: DBRS Finalizes BB Rating on Class C Notes
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following notes
issued by Affirm Asset Securitization Trust 2020-A (Affirm
2020-A):

-- $329,960,000 Class A Notes at A (sf)
-- $16,200,000 Class B Notes at BBB (sf)
-- $22,130,000 Class C Notes at BB (sf)

The ratings are based on DBRS Morningstar's review of the following
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: July Update," published on July 22, 2020.
DBRS Morningstar initially published macroeconomic scenarios on
April 16, 2020. The scenarios were updated on July 22, 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 an additional
stress due to the potential impact of the coronavirus. The DBRS
Morningstar cumulative net loss assumption is 6.58% based on the
worst-case loss pool constructed giving consideration to the
concentration limits present in the structure.

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

-- Subordination, overcollateralization, amounts held in the
Reserve Account, the Yield Supplement Overcollateralization Amount,
and excess spread create credit enhancement levels that are
commensurate with the ratings.

(4) Transaction cash flows are sufficient to repay investors under
all A (sf), BBB (sf), and BB (sf) stress scenarios in accordance
with the terms of the Affirm 2020-A transaction documents.

(5) Inclusion of structural elements featured in the transaction
such as the following:

-- Eligibility criteria for receivables that is permissible in the
transaction.

-- Concentration limits designed to maintain a consistent profile
of the receivables in the pool.

-- Performance-based Amortization Events that, when breached, will
end the revolving period and begin amortization.

(6) The experience and sourcing capabilities of Affirm, Inc.
(Affirm).

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

(8) Nelnet Servicing, LLC's ability to perform duties as a Backup
Servicer.

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

-- All loans in the initial pool included in Affirm 2020-A 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%.

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

-- Loans originated to borrowers in states with active litigation
(Second Circuit (New York, Connecticut, Vermont), Colorado, and
West Virginia) are either excluded from the pool or limited to each
state's respective usury cap.

-- Under the loan sale agreement, Affirm 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.

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

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


ALLEGRO CLO II-S: Moody's Lowers Rating on Class E Notes to Caa2
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Allegro CLO II-S, Ltd.:

US$22,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Downgraded to B1 (sf); previously on June 3, 2020
Ba3 (sf) Placed Under Review for Possible Downgrade

US$5,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2028, Downgraded to Caa2 (sf); previously on June 3, 2020 B3
(sf) Placed Under Review for Possible Downgrade

The Class D and Class E Notes are referred to herein, collectively,
as the "Downgraded Notes."

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

US$26,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028, Confirmed at Baa3 (sf); previously on June 3, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

The Class C Notes are referred to herein as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class C, Class D, and Class E Notes issued by the
CLO. The CLO, originally issued in September 2018 is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in October 2020.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3196, compared to 2941 reported in
the March 2020 trustee report [2]. 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
12.9% as of August 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $388.9 million, or $11.1 million less than the
deal's ramp-up target par balance. Nevertheless, according to the
July 2020 trustee report [3], Moody's noted that the OC tests for
the Class A, Class B, Class C, and Class D Notes, as well as the
interest diversion test were recently reported 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $386,112,048

Defaulted Securities: $5,749,833

Diversity Score: 72

Weighted Average Rating Factor: 3182

Weighted Average Life: 4.76 years

Weighted Average Spread: 3.60%

Weighted Average Recovery Rate: 47.5%

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.


ALLEGRO CLO X: Moody's Lowers Rating on Class F Notes to Caa1
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Allegro CLO X, Ltd.:

US$18,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Downgraded to B1 (sf); previously
on June 3, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

US$3,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class F Notes"), Downgraded to Caa1 (sf); previously
on June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class E and Class F Notes are referred to herein, collectively,
as the "Downgraded Notes."

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

US$18,600,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D Notes"), Confirmed at Baa3 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

The Class D Notes are referred to herein as the "Confirmed Notes."

These actions conclude the review for downgrade initiated on June
3, 2020 on the Class D notes, Class E notes, and Class F notes. The
CLO, issued in June 2019 is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in April 2024.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3243, compared to 2967 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was not failing the test level of 3002 reported in the
July 2020 trustee report [3]. 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
13.3% as of August 2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $295.2 million,
or $4.8 million less than the deal's ramp-up target par balance.
Nevertheless, Moody's noted that the OC tests for the Class A/B,
Class C, Class D, and Class E Notes, as well as the interest
diversion test were recently reported [4] 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $294,869,892

Defaulted Securities: $552,857

Diversity Score: 69

Weighted Average Rating Factor: 3230

Weighted Average Life (WAL): 6.00 years

Weighted Average Spread (WAS): 3.68%

Weighted Average Recovery Rate (WARR): 47.7%

Par haircut in O/C tests and interest diversion test: 0.0%

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.


AMERICAN CREDIT 2020-3: DBRS Gives Prov. B Rating on Class F Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by American Credit Acceptance Receivables Trust
2020-3 (ACAR 2020-3 or the Issuer):

-- $159,330,000 Class A Notes at AAA (sf)
-- $45,230,000 Class B Notes at AA (sf)
-- $76,270,000 Class C Notes at A (sf)
-- $38,040,000 Class D Notes at BBB (sf)
-- $23,440,000 Class E Notes at BB (low) (sf)
-- $17,690,000 Class F Notes at B (sf)

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

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

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

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

-- ACAR 2020-3 provides for Class A, B, C, D, and E coverage
multiples slightly below the DBRS Morningstar range of multiples
set forth in the criteria for this asset class. DBRS Morningstar
believes that this is warranted, given the magnitude of expected
loss and structural features of the transaction.

(2) DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected CNL includes
an assessment of the expected impact on consumer behavior. The DBRS
Morningstar CNL assumption is 32.65% based on the expected cut-off
date pool composition.

(3) The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its commentary "Global Macroeconomic
Scenarios: July Update," published on July 22, 2020. DBRS
Morningstar initially published macroeconomic scenarios on April
16, 2020. The scenarios were last updated on July 22, 2020, and are
reflected in DBRS Morningstar's rating analysis. The assumptions
also take into consideration observed performance during the
2008–09 financial crisis and the possible impact of the stimulus
from the Coronavirus Aid, Relief, and Economic Security Act. 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 the 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.

(4) The consistent operational history of American Credit
Acceptance, LLC (ACA or the Company), and the strength of the
overall Company and its management team.

-- The ACA senior management team has considerable experience,
with an average of 19 years in banking, finance, and auto finance
companies, as well as an average of approximately eight years of
company tenure.

(5) ACA's operating history and its capabilities with regard to
origination, underwriting, and servicing

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

-- ACA has completed 31 securitizations since 2011, including two
transactions in 2020.

-- ACA maintains a strong corporate culture of compliance and a
robust compliance department.

(6) The credit quality of the collateral and the consistent
performance of ACA's auto loan portfolio.

-- Availability of considerable historical performance data and a
history of consistent performance on the ACA portfolio.

-- The statistical pool characteristics include the following: the
pool is seasoned by approximately four months and contains ACA
originations from Q4 2014 through Q2 2020; the weighted-average
(WA) remaining term of the collateral pool is approximately 66
months, and the WA FICO score of the pool is 539.

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

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

(9) ACAR 2020-3 provides for Class F Notes with an assigned rating
of B (sf). While the DBRS Morningstar "Rating U.S. Retail Auto Loan
Securitizations" methodology does not set forth a range of
multiples for this asset class for the B (sf) level, the analytical
approach for this rating level is consistent with that contemplated
by the methodology. The typical range of multiples applied in the
DBRS Morningstar stress analysis for a B (sf) rating is 1.00 times
(x) to 1.25x.

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

The ACAR 2020-3 transaction will represent the 32nd securitization
completed by ACA since 2011 and will offer both senior and
subordinate rated securities. The receivables securitized in ACAR
2020-3 will be subprime automobile loan contracts secured primarily
by used automobiles, light-duty trucks, vans, motorcycles, and
minivans.

The rating on the Class A Notes reflects 62.75% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the Reserve Fund (1.50%), and overcollateralization (12.45% of the
total pool balance). The ratings on Class B, Class C, Class D,
Class E, and Class F Notes reflect 51.75%, 33.20%, 23.95%, 18.25%,
and 13.95% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.

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


AMERICAN CREDIT 2020-3: S&P Assigns B (sf) Rating to Class F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to American Credit
Acceptance Receivables Trust 2020-3's asset-backed notes.

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

The ratings reflect:

-- The availability of approximately 65.45%, 58.75%, 49.81%,
44.39%, 40.85%, and 38.62% credit support, including excess spread,
for the class A, B, C, D, E, and F notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
more than 2.03x, 1.81x, 1.47x, 1.30x, 1.17x, and 1.10x coverage of
S&P's expected net loss range of 31.50%-32.50% for the class A, B,
C, D, E, and F notes, 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
(1.30x S&P's expected loss level), all else being equal, its
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in "S&P Global Ratings
Definitions," published Aug. 7, 2020.

-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
ratings.

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

-- The backup servicing arrangement with Wells Fargo Bank N.A.

-- The transaction's payment and legal structures.

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 said, "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."
  
  RATINGS ASSIGNED

  American Credit Acceptance Receivables Trust 2020-3

  Class   Rating     Amount (mil. $)

  A       AAA (sf)            225.74
  B       AA (sf)              64.08
  C       A (sf)              108.05
  D       BBB (sf)             53.88
  E       BB- (sf)             33.20
  F       B (sf)               25.05


BAYVIEW COMMERCIAL 2006-SP1: Moody's Cuts Class B-2 Debt to Caa3
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings on three classes
from two transactions of small business loans issued by Bayview
Commercial Asset Trust and Bayview Commercial Mortgage Pass-Through
Trust, reflecting performance of the transactions. The loans are
secured primarily by small commercial real estate properties in the
U.S. owned by small businesses and investors.

The complete rating actions are as follow:

Issuer: Bayview Commercial Mortgage Pass-Through Trust 2006-SP1

Cl. B-2, Downgraded to Caa3 (sf); previously on Jan 14, 2016
Downgraded to Caa1 (sf)

Issuer: Bayview Commercial Asset Trust 2008-3

Cl. M-1, Downgraded to Caa3 (sf); previously on Feb 1, 2017
Downgraded to Caa2 (sf)

Cl. M-2, Downgraded to C (sf); previously on Feb 1, 2017 Downgraded
to Ca (sf)

RATINGS RATIONALE

Its downgrade actions are prompted by the continued realized losses
on the underlying pools that have led to significant write downs on
the bottom most tranches.

The recent write downs have decreased the subordination available
to the 2006-SP1, Cl B-2 and the 2008-3, Cl M-1 to 4.6% and 7.3%,
respectively, and overcollateralization has been depleted. Further,
in July approximately 25% of the pool balance for both transactions
is severely delinquent, in foreclosure, or in REO status. In the
current environment, the risk of further performance deterioration
is heightened, affecting the recovery on these bonds.

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 small businesses 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. 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 SME Balance Sheet Securitizations" published in
May 2020.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against expected losses could drive the ratings
up. Moody's expectation of pool losses could decline as a result of
a decrease in seriously delinquent loans or lower severities than
expected on liquidated loans. As a primary driver of performance,
positive changes in the US macro economy could also affect the
ratings, as can changes in servicing practices.

Down

Levels of credit protection that are insufficient to protect
investors against expected losses could drive the ratings down.
Moody's expectation of pool losses could increase as a result of an
increase in seriously delinquent loans and higher severities than
expected on liquidated loans. As a primary driver of performance,
negative changes in the US macro economy could also affect the
ratings. Other reasons for worse-than-expected performance include
poor servicing, error on the part of transaction parties,
inadequate transaction governance, and fraud.


BENEFIT STREET XXI: S&P Assigns BB- (sf) Rating to Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Benefit Street Partners
CLO XXI Ltd./Benefit Street Partners CLO XXI LLC's floating- and
fixed-rate notes.

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

The ratings are based on information as of Aug. 12, 2020.

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 legal structure of the transaction, which is expected to be
bankruptcy remote.

  RATINGS ASSIGNED

  Benefit Street Partners CLO XXI Ltd./Benefit Street Partners CLO

  XXI LLC

  Class                 Rating        Amount
                                    (mil. $)
  A-1                   AAA (sf)      240.00
  A-2                   NR              8.00
  B-1                   AA (sf)        42.00
  B-2                   AA (sf)        10.00
  C (deferrable)        A (sf)         24.00
  D (deferrable)        BBB- (sf)      24.00
  E (deferrable)        BB- (sf)       14.00
  Subordinated notes    NR             35.00

  NR--Not rated.


BRAVO RESIDENTIAL 2020-NQM1: Fitch to Rate Class B-2 Notes 'B(EXP)'
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by BRAVO Residential Funding Trust 2020-NQM1.

Bravo Residential Funding Trust 2020-NQM1

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

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

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

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

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

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

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

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

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

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

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

TRANSACTION SUMMARY

The mortgage pool consists of 806 mortgage loans with an
interest-bearing balance of $365.74 million. There are also $1.38
million of non-interest-bearing deferred amounts whose payments or
losses will be used solely to pay down or write-off the class FB
notes.

The loans in the pool were originated primarily by First Guaranty
Mortgage Corporation (FGMC, 39.1%), Caliber Home Loans (Caliber,
28.8%), and LoanStream Mortgage (LoanStream, 21.6% and are serviced
primarily by Rushmore Loan Management Services LLC (Rushmore,
92.17%). Approximately 74% of the pool is designated as
non-qualified mortgage, while for the remaining 24%, the
Ability-to-Repay rule does not apply (17%) or the loans are Safe
Harbor QM or Higher Priced QM (9%).

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): The coronavirus and the
resulting containment efforts have resulted in revisions to Fitch's
GDP estimates for 2020. Its baseline outlook for U.S. GDP is
currently a 5.6% decline for 2020, down from 1.7% growth for 2019.
Fitch's downside scenario expects 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' ratings and
below.

Non-Prime Credit Quality (Mixed): The collateral consists of 30yr
FRM and 5yr ARM fully amortizing and interest only loans, seasoned
approximately 14 months in aggregate. The borrowers in this pool
have moderate credit profiles (710 FICO) and relatively low
leverage (79.5% sLTV). In addition, the pool contains loans of
particularly large size. Fifty-eight loans are over $1 million, and
the largest is $2.76 million. The pool is primarily Non-QM and is
composed of various alternative documentation programs.

Outstanding Deferral Plans (Negative): A total of 128 loans have
been placed on a Covid related deferral plan since the start of the
crisis and have an outstanding deferred amount as of the cutoff
date. Of that 128, 52 loans have made payments in July and have
plans expiring this month. These loans were all treated as current.
The remaining 76 loans have either not made any payment since
entering the deferral plan or have not made a payment over the past
few months. Since these borrowers are not cashflowing, they were
all treated as delinquent in Fitch's loss analysis.

Documentation Standards (Negative): The pool consists of only 39.4%
of borrowers underwritten to traditional tax returns, whereas
almost 34% of the borrowers are underwritten to personal or
business bank statements. Bank statement programs are not
consistent with Appendix Q standards and Fitch's view of a full
documentation program. These loans were applied a 1.3 multiple as
penalty to account for the higher default risk associated with
non-full doc programs.

In addition to the full documentation and bank statement loans, the
pool consists of other loan programs such as Asset Depletion, CPA
letters, WVOE, No Ratio, and DSCR.

Geographic Concentration (Negative): Approximately 46% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(21.4%) followed by the Miami MSA (7.1%) and the San Francisco MSA
(6%). The top three MSAs account for 34.6% of the pool. As a
result, there was a 1.02x adjustment for geographic concentration.

Expected Payment Deferrals Related to COVID-19 (Negative): The
outbreak of COVID-19 and widespread containment efforts in the U.S.
will result in increased unemployment and cash flow disruptions. To
account for the cash flow disruptions, Fitch assumed delinquent
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. Because the cash flow waterfall provides for principal
otherwise distributable to the lower rated bonds to pay timely
interest to the 'AAAsf' and 'AAsf' bonds, the lowest rate classes
will likely experience interest shortfalls to the extent excess
cash flow is insufficient.

Modified Sequential Pay Structure (Mixed): The structure
distributes collected principal pro rata among the class A1-A3
notes while shutting out the subordinate bonds from principal until
all senior classes have been reduced to zero. To the extent that
either the cumulative loss trigger event or the delinquency trigger
event occurs in a given period, principal will be distributed
sequentially to the class A1 through A3 notes until they are
reduced to zero.

No Servicer Advances (Mixed): Advances of delinquent P&I will not
be made any mortgage loans. While this results in lower loss
severities and is more protective of recovery to the senior notes
(since interest is not leaked to the subs), it results in potential
liquidity concerns. Helping to offset this is the availability of
principal to pay interest shortfalls as well as the expected
material amount of excess spread.

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

Low Operational Risk (Positive): The loans were acquired by an
investment vehicle managed by PIMCO, which have a long operating
history of aggregating residential mortgage loans. PIMCO is
assessed as 'Above Average' by Fitch as an aggregator. The
servicers for this transaction are Rushmore Loan Management
Servicer LLC (rated 'RPS2' by Fitch), and AmWest (not rated by
Fitch). Nationstar Mortgage LLC will be master servicer and is
rated 'RMS2+' by Fitch. The Sponsor (or an affiliate) is also
retaining an amount of not less than 4.94% of the aggregate fair
value of the notes (other than the class SA, class FB and class R
notes) to ensure an alignment of interest between the issuer and
investors.

Tier 2 R&W Framework (Negative): The Seller will be providing
loan-level representations and warranties to the loans in the
trust. The rep and warranty framework is consistent with Tier 2
quality. The framework lacks an automatic review trigger. The
controlling holder has the option to pursue a breach review for
loans with a realized loss; however, 25% of the aggregate bond
holders may also initiate a review. The framework includes a
knowledge qualifier clawback provision. The reps are being provided
by an unrated counterparty. Fitch increased its loss expectation by
185ps at the AAAsf rating category.

Third-Party Due Diligence Review (Positive): Third-party due
diligence was performed on virtually 100% of loans in the
transaction by AMC and Clayton, both an 'Acceptable - Tier 1' TPR.
The results of the review confirm high overall loan quality with
the majority of exceptions deemed as non-material. Fitch applied
negative adjustments on only a handful of loans to account for due
diligence findings. These adjustments had an immaterial impact on
Fitch's loss expectation. In addition, Fitch applied a credit for
the high percentage of loan level due diligence which reduced the
'AAAsf' loss expectation by 39bps.

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 a
negative rating action/downgrade:

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%. The analysis
indicates that there is some potential rating migration with higher
MVDs for all rated classes, compared with the model projection.
Specifically, a 10% additional decline in home prices would lower
all rated classes by one full category.

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

This defined positive rating sensitivity analysis demonstrates how
the ratings would react to negative MVDs at the national level, or
in other words positive home price growth with no assumed
overvaluation. The analysis assumes positive home price growth of
10%. Excluding the senior class, which is already rated 'AAAsf',
the analysis indicates there is potential positive rating migration
for all of the rated classes. Specifically, a 10% gain in home
prices would result in a full category upgrade for the rated class
excluding those being assigned ratings of 'AAAsf'.

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
SitusAMC,LLC and Clayton Services, LLC. The third-party due
diligence described in Form 15E focused on a credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: application of due diligence credit to substantially
all of the loans. Four loans either did not receive a credit or
used a lower property value. These adjustments resulted in a 39bps
reduction to the 'AAAsf' loss.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria."

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's data layout format. 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 data tape layout were populated by the due diligence
company, and no material discrepancies were noted.


CABELA'S CREDIT 2013-I: Fitch Affirms BB+ Rating on Class D Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed the long-term ratings assigned to
Cabela's Credit Card Master Note Trust 2013-I. The Rating Outlooks
remain Stable for all of the notes.

The Stable Outlooks reflect Fitch's expectation that performance
and loss multiples remain supportive of these ratings. The
affirmations of all outstanding notes reflect available credit
enhancement and performance to date and take into consideration the
potential performance impact of the coronavirus pandemic on
delinquencies and charge-offs. The market disruption caused by the
coronavirus and related containment measures did not negatively
affect the ratings due to sufficient CE to cover more severe
assumptions in Fitch's stress scenarios.

Cabela's Credit Card Master Note Trust 2013-I

  - Class A 126802CL9; LT AAAsf; Affirmed

  - Class B 126802CM7; LT AAsf; Affirmed

  - Class C 126802CN5; LT BBB+sf; Affirmed

  - Class D 126802CP0; LT BB+sf; Affirmed

KEY RATING DRIVERS

Coronavirus Impact: As part of the review, Fitch assumed under a
base-case scenario a global recession in 1H20 driven by sharp
economic contractions in major economies with a rapid spike in
unemployment, sharply reduced personal income, sharp falloff in
demand for discretionary goods and services, followed by a recovery
beginning in the third quarter of 2020 to determine adequacy of
steady state assumptions. In this scenario, Fitch expects portfolio
delinquencies and charge-offs to increase and monthly payment rates
to slow as a greater number of borrowers become unable to make
timely or minimum payments. To assess steady state assumptions,
Fitch analyzed recessionary performance from 2008-2010 as part of
the analysis to assess the level of impact from the crisis as well
as macro conditions such as trends in unemployment.

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 confirmed with the servicer that they have in place a
business continuity plan to minimize disruptions in the collection
process.

Receivables' Performance and Collateral Characteristics: Charge-off
performance has remained stable over the past year. The current
12-month average gross charge-off rate as of the July 2020
distribution date is 3.68% compared to 3.48% in July 2019. Due to
the relatively stable performance observed to date, Fitch maintains
its conservative charge-off steady state assumption at 6.50%.

Monthly payment rate, which includes principal and finance charge
collections and is a measure of how quickly consumers are paying
off their credit card debts, has increased slightly year-over-year.
Current 12-month average MPR is 34.04% compared to 32.98% one year
ago. Fitch maintains MPR steady state at 25.00% to account for any
potential impact of coronavirus going forward.

The current 12-month average gross yield, comprised of finance
charges, fees, and interchange, registered at 22.15% as of the July
2020 distribution date, and remains mostly stable compared to the
July 2019 12-month average of 21.48%. Fitch maintains the gross
yield steady state at 16.00%.

CE continues to be sufficient with robust loss multiples that are
in line with the current ratings given each rating category. The
Stable Outlook on the notes reflects Fitch's expectation that
performance will remain supportive of these ratings.

Originator and Servicer Quality: Fitch believes Capital One Bank,
N.A. to be an effective and capable originator and servicer given
its track record, as evidenced by historical delinquency and loss
performance of securitized receivables. Capital One Bank, N.A.
currently has a Fitch Issuer Default Rating of 'A-'/'F1'/Outlook
Negative.

Counterparty Risk: Fitch's ratings of the notes are dependent on
the financial strength of certain counterparties. Fitch believes
this risk is currently mitigated as evidenced by the ratings of the
applicable counterparties to the transactions.

Interest Rate Risk: Interest rate risk is currently mitigated by
the available CE. CE totaling 15.0% supporting the class A notes is
derived from 8.0% subordination of class B notes, 4.25%
subordination of class C notes, 2.75% subordination of class D
notes and an unfunded cash collateral account. class B notes are
supported by a total of 7.0% CE, derived from 4.25% subordination
of class C notes, 2.75% subordination of class D notes and an
unfunded CCA. class C notes are supported by a total of 2.75%
subordination of class D notes, a spread account and an unfunded
CCA. class D notes are supported by a spread account and an
unfunded CCA. Funds in the spread account are for the benefit of
class C and D notes only.

Fitch analyzed characteristics of the underlying collateral to
better assess overall asset performance. This supplements Fitch's
analysis of the originator's historical data when determining the
following steady state performance assumptions and stresses:

Steady State:

Annualized Charge-offs - 6.50%;

Monthly Payment Rate (MPR) - 25.00%

Annualized Gross Yield - 16.00%

Purchase Rate - 100.00%.

Rating Level Stresses (for 'AAAsf'/'AAsf'/'BBB+sf'/BB+sf',
respectively):

Charge-offs (increase) - 4.50x/3.75x/2.50x/1.92x;

Payment Rate (% decrease) - 55.00%/ 50.60%/ 41.80%/33.73%;

Gross Yield (% decrease) - 35.00%/ 30.00%/ 21.67%/16.67%;

Purchase Rate (% decrease) - 65.00%/ 60.00%/46.67%/ 41.67%.

RATING SENSITIVITIES

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

Current ratings for the class A, class B, class C, and class D
notes (Steady state: 6.50%): 'AAAsf'; 'AAsf'; 'BBB+sf'; 'BB+sf';

Decrease base case by 50%: 'AAAsf', 'AAAsf', 'AAAsf', and 'AAsf'
respectively

Changes to the receivables pool mix may decrease the charge-off
rate, increase the MPR and/or increase the gross yield of the
trust, resulting in changes to steady states that could cause the
model-implied ratings of the subordinate notes to increase, and
could lead to subsequent upgrades.

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

Rating sensitivity to increased charge-off rate:

Current ratings for class A, class B, class C, and class D (steady
state: 6.50%): 'AAAsf'; 'AAsf'; 'BBB+sf'; 'BB+sf';

Increase base case by 25%: 'AAAsf'; 'AA-sf'; 'BBB+sf'; BBsf;

Increase base case by 50%: 'AAAsf'; 'A+sf'; 'BBBsf'; BB-sf;

Increase base case by 75%: 'AA+sf'; 'A-sf'; 'BBB-sf'; Bsf;

Rating sensitivity to reduced purchase rate:

Current ratings for class A, class B, class C, and class D (100%
base assumption): 'AAAsf'; 'AAsf'; 'BBB+sf'; 'BB+sf';

Reduce base case by 50%: 'AAAsf'; 'AAsf'; 'BBB+sf'; 'BB+sf';

Reduce base case by 75%: 'AAAsf'; 'AAsf'; 'BBB+sf'; 'BB+sf';

Reduce base case by 100%: 'AAAsf'; 'A+sf'; 'BBB+sf'; 'BBsf';

Rating sensitivity to increased charge-off rate and reduced MPR:

Current ratings for class A, class B, class C, and class D
(chargeoff steady state: 6.50%; MPR steady state: 25.00%): 'AAAsf';
'AAsf'; 'BBB+sf'; 'BB+sf';

Increase charge-off rate by 25% and reduce MPR by 15%: 'AAAsf';
'A+sf'; 'BBB+sf'; 'BBsf';

Increase charge-off rate by 50% and reduce MPR by 25%: 'AA+sf';
'BBB+sf'; 'BBB-sf'; 'B+sf';

Increase charge-off rate by 75% and reduce MPR by 35%: 'A+sf';
'BBB-sf'; 'BB-sf'; lower than 'Bsf';

Fitch performed an additional sensitivity analysis to reflect the
coronavirus downside scenario, which envisions a re-emergence of
infections in major economies and no meaningful recovery beyond
2021. To measure this downside sensitivity, Fitch took the current
gross chargeoff and MPR assumptions, and applied the current 'BBsf'
stresses to them to derive new sensitivity assumptions, resulting
in a new chargeoff assumption of 11.38% and a new MPR assumption of
17.30%.

Fitch then revised the rating stresses downward to the minimum
criteria stresses to account for the conservative nature of the
steady states (new AAAsf chargeoff multiple of 3.50x and new AAAsf
MPR stress of 35%). This stress would not result in downgrades of
the class A notes, may result in a two-notch downgrade of the class
B notes, a one-notch downgrade of the class C notes, and a one
category downgrade of the class D 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.


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

The note issuance is a CLO transaction backed by at least 90.0%
senior secured loans, with a minimum of 85.0% of the loan issuers
required to be based in the U.S. or Canada.

The ratings reflect S&P's view of:

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

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization (O/C);

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

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

  RATINGS ASSIGNED

  Cayuga Park CLO Ltd./Cayuga Park CLO LLC

  Class                Rating      Amount (mil. $)
  A                    AAA (sf)             248.00
  B-1                  AA (sf)               36.00
  B-2                  AA (sf)               16.00
  C (deferrable)       A (sf)                24.00
  D (deferrable)       BBB- (sf)             24.00
  E (deferrable)       BB- (sf)              13.00
  Subordinated notes   NR                    31.79

  NR--Not rated.


CIFC FUNDING 2015-III: Moody's Lowers Rating on F-R Notes to Caa1
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by CIFC Funding 2015-III, Ltd.:

US$10,000,000 Class F-R Mezzanine Secured Deferrable Floating Rate
Notes (the "Class F-R Notes"), Downgraded to Caa1 (sf); previously
on June 3, 2020 B1 (sf) Placed Under Review for Possible Downgrade

The Class F-R Notes are referred to herein as the "Downgraded
Notes."

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

US$31,950,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously
on June 3, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$16,500,000 Class E-R Mezzanine Secured Deferrable Floating Rate
Notes (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class D-R Notes and the Class E-R Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class D-R Notes, the Class E-R Notes and the Class
F-R Notes issued by the CLO. The CLO, originally issued in July
2015 and refinanced in March 2018, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in April 2021.

RATINGS RATIONALE

The downgrade on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3292 compared to 2896 reported in the
March 2020 trustee report [2]. Moody's calculation also showed the
WARF was failing the test level of 2949 reported in the July 2020
trustee report [3]. 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 16% as of July 2020.
Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at approximately
$493.1 million, or approximately $6.9 million less than the deal's
ramp-up target par balance. Nevertheless, Moody's noted that all
the OC tests as well as the interest diversion test were recently
reported in the July 2020 trustee report [4] 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $489,456,914

Defaulted Securites: $7,051,124

Diversity Score: 81

Weighted Average Rating Factor: 3227

Weighted Average Life: 4.78 years

Weighted Average Spread: 3.36%

Weighted Average Recovery Rate: 47.54%

Par haircut in O/C tests and interest diversion test: 0%

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 our 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. Our 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 our forecasts is unusually high. We regard the
coronavirus outbreak as a social risk under our 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.


CITIGROUP COMMERCIAL 2019-PRM: DBRS Gives B Rating on Cl. F Certs
-----------------------------------------------------------------
DBRS, Inc. assigned ratings to the Commercial Mortgage Pass-Through
Certificates, Series 2019-PRM issued by Citigroup Commercial
Mortgage Trust 2019-PRM (the Issuer) as follows:

-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class X at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (low) (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 August 19, 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 mortgage trust consists of two five-year,
interest-only (IO), first-lien mortgage loans secured by
self-storage facilities, 11 properties in Portfolio I and 38
properties in Portfolio II, in urban and suburban locations in 18
states in the Eastern United States. The two loans are not
cross-collateralized or cross-defaulted; however, the property
values and cash flows securing each portfolio are aggregated to
support their respective loan. A portion of the principal balance
of each loan will be allocated to each property within its
respective loan collateral pool.

Portfolio I has a trust mortgage loan of $61.0 million and
Portfolio II has a trust mortgage loan of $217.0 million for a
total loan balance of $278.0 million in the trust. Each portfolio
is funded with additional mezzanine financing secured by the
borrowing entities' ownership interests. The Portfolio I mezzanine
debt will have a total commitment of $12.0 million and the
Portfolio II mezzanine debt will have a total commitment of $40.0
million. The Portfolio II ownership entities are obligated to repay
the total advanced mezzanine debt up to $40.0 million. The
mezzanine loans will be subordinate to and held outside the trust.
The mortgage loans and mezzanine loans will be co-terminus. The
sponsor will use the total financing for each portfolio to pay off
existing debt, pay transaction costs, fund upfront reserves, and
return equity cash to the borrowers.

Each of the Portfolio I and Portfolio II borrowers is indirectly
wholly owned by Prime Storage Fund I, LLC, one of the related
guarantors, which is indirectly controlled by the borrower sponsor,
Robert Moser. Prime Group is one of the largest private
owner-operators of self-storage facilities in the United States.
The company operates the properties as Prime Storage Group and, at
issuance, managed more than 10.0 million square feet of
self-storage properties in 23 states, primarily in the Eastern
United States.

The DBRS Morningstar net cash flow (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 $23.9
million and a cap rate of 8.0% was applied, resulting in a DBRS
Morningstar Value of $298.7 million, a variance of -27.0% from the
appraised value at issuance of $409.4 million. The DBRS Morningstar
Value implies an LTV of 93.1% compared with the LTV of 67.9% on the
appraised value at issuance. The all-in LTV including mezzanine
debt is 110.5%. The NCF figure applied as part of the analysis
represents a -5.5% variance from the Issuer's NCF, primarily driven
by vacancy and operating expenses.

The cap rate DBRS Morningstar applied is at the lower end of the
DBRS Morningstar Cap Rate Ranges for self-storage properties,
reflecting the portfolio's geographic diversity and strong property
fundamentals. In addition, the 8.0% cap rate DBRS Morningstar
applied is above the implied cap rate of 6.3% 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 2.5%
to account for cash flow volatility, property quality, and market
fundamentals. DBRS Morningstar also made other positive adjustments
to account for certain diversification.

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.


COLUMBIA CENT 29: S&P Assigns BB- (sf) Rating to Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Columbia Cent CLO 29
Ltd.'s floating- and fixed-rate notes.

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

The ratings reflect:

-- The diversified collateral pool;

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

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

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

  RATINGS ASSIGNED

  Columbia Cent CLO 29 Ltd.

  Class                 Rating       Amount (mil. $)
  A-1N                  AAA (sf)              200.00
  A-1F                  AAA (sf)               40.00
  A-2                   AAA (sf)               12.00
  B-1                   AA (sf)                38.00
  B-F                   AA (sf)                10.00
  C-1 (deferrable)      A (sf)                 18.00
  C-F (deferrable)      A (sf)                 10.00
  D-1 (deferrable)      BBB (sf)               18.00
  D-2 (deferrable)      BBB- (sf)               8.00
  E (deferrable)        BB- (sf)                6.00
  Subordinated notes    NR                     34.30


CPS AUTO 2015-B: S&P Lowers Class D Notes Rating to 'BB- (sf)'
--------------------------------------------------------------
S&P Global Ratings raised nine, lowered one, and affirmed 11
ratings on five CPS Auto Receivables Trust series. All are
securitizations of subprime auto loans backed predominantly by used
automobiles and light-duty trucks.

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 said, "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, "The rating actions reflect the transactions' collateral
performance to date and our expectations regarding future
collateral performance, including an upward adjustment in remaining
expected cumulative net losses (CNL) to account for  the
COVID-19-induced recession. The actions also account for our view
of each transaction's structure and the respective credit
enhancement levels. Additionally, we incorporated other credit
factors, including credit stability, payment priorities under
various scenarios, and sector- and issuer-specific analyses.
Considering all these factors, we believe the notes'
creditworthiness is consistent with the raised, lowered and
affirmed ratings."

  Table 1

  Collateral Performance (%)
  As of the July 2020 distribution date

                        Pool    Current    60+ day
  Series        Mo.   factor        CNL    delinq.    Extensions
  2015-B         61    10.58      19.15      15.26          1.57
  2018-A         30    41.55       8.45       5.64          3.77
  2018-B         27    46.09       8.24       4.24          3.96
  2019-A         18    62.17       4.88       3.52          4.16
  2019-B         15    69.50       4.02       3.32          3.95

  Mo.--Month.
  Delinq.—Delinquencies.
  CNL--cumulative net loss.

S&P said, "For each transaction, we factored in an upward
adjustment to remaining losses that could result from elevated
unemployment levels associated with the current COVID-19-induced
recession. To date, all five series have been performing better or
in-line with our prior or initial expectations. Accounting for our
future expectations of the deals' performance in the recession, we
have adjusted our expected CNLs.

  Table 2

  CNL Expectations (%)

                  Original    Former revised            Revised
                  lifetime          lifetime           lifetime
  Series          CNL exp.       CNL exp.(i)       CNL exp.(ii)
  2015-B       16.00-16.50       19.75-20.25           up to 20
  2018-A       18.00-19.00       18.00-19.00        17.00-18.00
  2018-B       18.00-19.00       18.00-19.00        18.00-19.00
  2019-A       17.75-18.75               N/A        18.25-19.25
  2019-B       18.50-19.50               N/A        20.00-21.00

  (i)As of June 2019.
  (ii)As of August 2020.
  CNL exp.--Cumulative net loss expectations.
  N/A–-Not applicable.

Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread. The
overcollateralization is structured to build over time to its
target (as a percentage of the current pool balance) and then
amortize equal to a percentage (that is subject to the specific
transaction) of the outstanding collateral and subject to a floor
equal to a certain percentage of the initial receivables. Once the
overcollateralization reaches its floor, credit enhancement grows,
along with the reserve account, as a percent of the amortizing pool
balance. For these series, except 2015-B, credit enhancement is at
the specified enhancement target or floor, and each class' credit
support continues to increase as a percentage of the amortizing
collateral balance.

  Table 3

  Hard Credit Support (%)
  As of the July 2020 distribution date
                              Total hard    Current total hard
                          credit support        credit support
  Series     Class        at issuance(i)     (% of current)(i)
  2015-B     C                      8.25                 85.02
  2015-B     D                      4.25                 47.20
  2015-B     E                      1.00                 16.46
  2018-A     C                     25.15                 72.45
  2018-A     D                     13.20                 43.69
  2018-A     E                      2.85                 18.77
  2018-B     B                     39.20                 93.63
  2018-B     C                     25.50                 63.90
  2018-B     D                     13.45                 37.75
  2018-B     E                      2.55                 14.10
  2019-A     A                     54.40                 94.74
  2019-A     B                     39.30                 70.45
  2019-A     C                     26.00                 49.06
  2019-A     D                     14.70                 30.88
  2019-A     E                      5.00                 15.28
  2019-B     A                     58.50                 92.38
  2019-B     B                     41.80                 68.35
  2019-B     C                     27.60                 47.92
  2019-B     D                     15.50                 30.51
  2019-B     E                      4.60                 14.82
  2019-B     F                      1.75                 10.72

(i)Calculated as a percent of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination. Excess spread is excluded from
the hard credit support and can also provide additional
enhancement.

S&P said, "Despite the build in credit enhancement as a percentage
of the current pool balance, in our view there are liquidity
concerns related to the series 2015-B class D notes regarding full
and timely payment of the outstanding balance by its legal final
maturity date. In the absence of the 2015-B optional clean-up call
being exercised, our current projections, supported in part by
cashflow scenarios, indicate that the reserve account would need to
be drawn upon to fully pay class D's outstanding balance at its
legal final maturity date of May 2021. With the added uncertainty
surrounding collateral performance brought on by the current
pandemic and economic outlook, collection rates in the coming
months can potentially be further impacted through the use of
extensions and higher delinquencies. Therefore, the risk of full
outstanding principal payment to series 2015-B's class D, at its
legal final maturity date, has increased, leading us to lower our
rating.

"We incorporated a cash flow analysis to assess the loss coverage
level and liquidity risks related to payment of timely interest and
full principal by legal final maturity, giving credit to stressed
excess spread. Our various cash flow scenarios included
forward-looking assumptions on recoveries, timing of losses, and
voluntary absolute prepayment speeds that we believe are
appropriate given each transaction's current performance and the
classes' assigned ratings.

"In addition to our break-even cash flow analysis, we also
conducted sensitivity analyses to determine the impact that a
moderate ('BBB') stress scenario would have on our ratings if
losses began trending higher than our revised base-case loss
expectation. The results demonstrated, in our view, that each of
the classes credit enhancement and liquidity concerns are
commensurate with their raised, lowered or affirmed rating levels.

"We will continue to monitor the performance of all the outstanding
transactions to ensure that the credit enhancement remains
sufficient, in our view, to cover our revised cumulative net loss
expectations under our stress scenarios for each of the rated
classes."

  RATINGS RAISED

  CPS Auto Receivables Trust

                              Rating
  Series        Class     To          From
  2015-B        C         AAA (sf)    AA+ (sf)
  2018-A        C         AAA (sf)    AA- (sf)
  2018-A        D         A (sf)      BBB+ (sf)
  2018-B        B         AAA (sf)    AA+ (sf)
  2018-B        C         AAA (sf)    A+ (sf)
  2018-B        D         A- (sf)     BBB+ (sf)
  2019-A        B         AAA (sf)    AA (sf)
  2019-A        C         A+ (sf)     A (sf)
  2019-B        B         AAA (sf)    AA (sf)

  RATING LOWERED

  CPS Auto Receivables Trust

                              Rating
  Series        Class     To          From
  2015-B        D         BB- (sf)    BB+ (sf)

  RATINGS AFFIRMED

  CPS Auto Receivables Trust

  Series        Class     Rating
  2015-B        E         B (sf)
  2018-A        E         BB- (sf)
  2018-B        E         BB- (sf)
  2019-A        A         AAA (sf)
  2019-A        D         BBB (sf)
  2019-A        E         BB- (sf)
  2019-B        A         AAA (sf)
  2019-B        C         A (sf)
  2019-B        D         BBB (sf)
  2019-B        E         BB- (sf)
  2019-B        F         B (sf)


CPS AUTO 2016-A: S&P Lowers Class E Notes Rating to 'B (sf)'
------------------------------------------------------------
S&P Global Ratings raised its ratings on five classes, lowered its
ratings on seven classes, and affirmed its ratings on five classes
from six CPS Auto Receivables Trust (CPSART) transactions. At the
same time, S&P removed the six ratings that were placed on
CreditWatch with negative implications on May 12, 2020.

S&p said, "The rating actions reflect the transactions' collateral
performance to date and our expectations regarding future
collateral performance, including an upward adjustment in remaining
cumulative net losses (CNLs) to account for the COVID-19-induced
recession. The rating actions also account for our view of each
transaction's structure and the respective credit enhancement
levels. Additionally, we incorporated secondary credit factors,
including credit stability, payment priorities under various
scenarios, and sector- and issuer-specific analyses. Considering
all these factors, we believe the notes' creditworthiness is
consistent with the raised, affirmed and lowered ratings."

  Table 1

  Collateral Performance (%)
  As of the July 2020 distribution date

                           Pool   Current    60+ day    Extensions
  Series          Mo.    factor       CNL    delinq.

  CPS 2015-C       58     13.20     19.27      15.06          1.69
  CPS 2016-A       54     14.83     19.21       9.08          2.13
  CPS 2016-B       51     18.49     19.10       8.64          1.98
  CPS 2016-C       48     19.80     17.58       8.13          2.84
  CPS 2016-D       45     24.52     15.52       6.91          3.08
  CPS 2017-A       42     27.21     14.48       6.91          3.58

  Mo.--Month..
  CNL--cumulative net loss.
  Delinq.--Delinquencies

S&P said, "For each transaction, we factored in an upward
adjustment to remaining losses that could result from elevated
unemployment levels associated with the current COVID-19-induced
recession. Accounting for our future expectations of the deals'
performance in the recession, we have adjusted our expected CNLs.
Out of the six series under review, series 2016-A, 2016-B, 2016-C,
2016-D, and 2017-A are performing worse than their last revised
loss expectations. Series 2015-C is performing in line with its
last revised loss expectations. As a result, we raised our expected
cumulative net loss for series 2016-A, 2016-B, 2016-C, 2016-D, and
2017-A and maintained our expected cumulative net loss for series
2015-C."

  Table 2

  CNL Expectations (%)

                Original               Prior          Current
                lifetime            lifetime         lifetime
  Series        CNL exp.            CNL exp.      CNL exp.(i)
  2015-C     16.00-16.50     20.25-20.75(ii)      20.25-20.75
  2016-A     16.00-16.50     20.25-20.75(ii)      20.50-21.00
  2016-B     17.00-18.00    21.00-21.50(iii)      21.50-22.00
  2016-C     16.75-17.75    20.00-20.50(iii)      20.50-21.00
  2016-D     17.00-17.75    19.25-19.75(iii)      20.00-20.50
  2017-A     17.00-18.00    19.25-19.75(iii)      19.75-20.25

  (i)As of August 2020.
  (ii)As of June 2019.
  (iii)As of September   2019.
  CNL exp.--Cumulative net loss expectations.

Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread. The
overcollateralization is structured to build over time to its
target (as a percentage of the current pool balance) and then
amortize equal to a percentage (that is subject to the specific
transaction) of the outstanding collateral and subject to a floor
equal to a certain percentage of the initial receivables. For each
series, the overcollateralization amount currently are not at its
requisite floor level. Series 2016-A has no more
overcollateralization, and the transaction's reserve account is now
below its requisite amount.

  Table 3
  Hard Credit Support (%)
  As of the July 2020 distribution date

                         Total hard    Current total hard
                     credit support        credit support
  Series     Class   at issuance(i)         (% of current)(i)
  2015-C     D                10.25                 82.53
  2015-C     E                 3.75                 33.28
  2015-C     F                 1.00                 12.42
  2016-A     D                10.25                 67.44
  2016-A     E                 4.10                 25.96
  2016-A     F                 1.00                  5.05
  2016-B     C                20.75                105.32
  2016-B     D                10.45                 49.60
  2016-B     E                 3.15                 10.12
  2016-C     D                12.50                 59.09
  2016-C     E                 3.00                 11.10
  2016-D     C                24.00                 99.20
  2016-D     D                12.30                 51.48
  2016-D     E                 2.75                 12.53
  2017-A     C                24.00                 90.29
  2017-A     D                12.30                 47.30
  2017-A     E                 2.75                 12.21

  (i)Calculated as a percentage of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination. Excess spread is excluded from
the hard credit support and can also provide additional
enhancement.

S&P sad, "For the series 2015-C and 2016-A class E notes, despite
the build in credit enhancement as a percentage of the current pool
balance, we believe there are liquidity concerns regarding full and
timely payment of the outstanding balance by the notes' legal final
maturity date. Absent the respective optional clean-up calls being
exercised, our current projections, which are partially supported
by cash flow scenarios, indicate that for series 2015-C, the
reserve account would need to be drawn upon to fully pay the class
E note's outstanding balance by its legal final maturity date. Our
projections also indicate that because the reserve account is
already in decline for series 2016-A, it may not be available to
fully pay the class E note's outstanding balance by its legal final
maturity date. With the added uncertainty surrounding collateral
performance brought on by the current pandemic and economic
outlook, collection rates in the coming months can potentially be
further impacted through the use of extensions and higher
delinquencies. Therefore, the risk of full outstanding principal
payment to the series 2015-C and 2016-A class E notes, at the
respective legal final maturity dates, has increased, which
resulted in us lowering the ratings.

"We incorporated a cash flow analysis to assess the loss coverage
level, and liquidity risks related to payment of timely interest
and full principal by legal final maturity, giving credit to excess
spread. Our various cash flow scenarios included forward-looking
assumptions on recoveries, timing of losses, and voluntary absolute
prepayment speeds that we believe are appropriate, given each
transaction's performance to date. Aside from our breakeven cash
flow analysis, we also conducted a base case analysis to assess the
expected loss coverage levels over time and sensitivity analyses
for these series to determine the impact that a moderate ('BBB')
stress scenario would have on our ratings if losses began trending
higher than our revised base-case loss expectation.

"In our view, for the rating of each respective class, the results
demonstrated that the credit enhancement and liquidity concerns of
the classes  are commensurate with the assigned rating levels.

"We will continue to monitor the performance of all of the
outstanding transactions to ensure that the credit enhancement
remains sufficient, in our view, to cover our cumulative net loss
expectations under our stress scenarios for each of the rated
classes."

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 said, "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."

  RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE

  CPS Auto Receivables Trust

                         Rating
  Series   Class    To            From
  2016-A   F        CCC (sf)      B (sf)/Watch Neg
  2016-B   E        B- (sf)       B+ (sf)/Watch Neg
  2016-C   E        B- (sf)       B+ (sf)/Watch Neg
  2016-D   E        B (sf)        B+ (sf)/Watch Neg
  2017-A   E        B (sf)        B+ (sf)/Watch Neg
   
  RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE

  CPS Auto Receivables Trust

                          Rating
  Series   Class    To             From
  2015-C   F        B (sf)         B (sf)/Watch Neg

  RATINGS RAISED

  CPS Auto Receivables Trust

                          Rating
  Series   Class    To             From
  2015-C   D        AAA (sf)       AA+ (sf)
  2016-C   D        AA (sf)        A (sf)
  2016-D   D        A+ (sf)        A- (sf)
  2017-A   C        AAA (sf)       AA+ (sf)
  2017-A   D        A (sf)         BBB+ (sf)

  RATINGS LOWERED

  CPS Auto Receivables Trust

                          Rating
  Series   Class    To             From
  2015-C   E        B+ (sf)        BB (sf)
  2016-A   E        B (sf)         BB- (sf)

  RATINGS AFFIRMED

  CPS Auto Receivables Trust

  Series   Class    Rating
  2016-A   D        A+ (sf)
  2016-B   C        AAA (sf)
  2016-B   D        BBB+ (sf)
  2016-D   C        AAA (sf)


CSMC 2020-NET: Moody's Gives B1 Rating on Class HRR Certs
---------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to eight
classes of CMBS securities, issued by CSMC 2020-NET, Commercial
Mortgage Pass-Through Certificates, Series 2020-NET:

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba2 (sf)

Cl. F, Definitive Rating Assigned Ba3 (sf)

Cl. HRR, Definitive Rating Assigned B1 (sf)

Cl. X*, Definitive Rating Assigned Aa2 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by a single loan secured by fee
and leasehold interests in a 7.1 million SF portfolio of 368
single-tenant, net leased properties located in 41 states and the
District of Columbia. Its ratings are based on the credit quality
of the loans and the strength of the securitization structure.

The loan is secured by the fee interests and leasehold interests in
368 properties across three asset types including retail (54.3% of
base rent), industrial (29.3% of base rent), and office (16.5% of
base rent).

NNN leases are in place for 294 tenants representing 80.9% of base
rent, requiring tenants to pay all operating expenses, including
real estate taxes, insurance, routine maintenance, and repairs.

NN leases are in place for 72 tenants representing 18.7% of base
rent, requiring tenants to pay real estate taxes, insurance,
routine maintenance, and the landlord to pay repairs.

Modified gross leases are in place for 2 tenants representing 0.4%
of base rent, requiring tenants to pay operating expenses over a
base year stop. Modified gross lease tenants include: Caliber
Collision I in Fayetteville, NC (retail); and Dialysis II --
Fresenius in Roanoke, VA (office).

The properties are located across 41 states and the District of
Columbia with no state accounting for more than 22.8% of SF and
18.5% of base rent. The largest state concentrations include
Georgia (38 assets, 18.5% of base rent), South Carolina (10 assets,
7.8% of base rent), Illinois (31 assets, 6.9% of base rent), North
Carolina (16 assets, 6.3% of base rent), and (Alabama 8 assets,
5.2% of base rent).

The portfolio is leased to 38 tenants across a broad range of
industries. No single tenant comprises more than approximately 1.4
million SF (19.8% of total) or 15.2% of base rent.

The properties are leased to tenants operating across 15 different
industries with no single industry representing more than 15.6% of
base rent.

The loan benefits from granular lease roll with 16.3% of NRA and
14.3% of base rent expiring during the loan term. No more than 6.1%
of NRA and 6.5% of base rent expires in any single year of the loan
term. In addition, the weighted average remaining lease term for
the portfolio is 7.4 years.

Moody's approach to rating this transaction involved the
application of both its Large Loan and Single Asset/Single Borrower
CMBS methodology and its IO Rating methodology. The rating approach
for securities backed by a single loan compares the credit risk
inherent in the underlying collateral with the credit protection
offered by the structure. The structure's credit enhancement is
quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios
without causing an increase in the expected loss for various rating
levels. In assigning single borrower ratings, Moody's also
considers a range of qualitative issues as well as the
transaction's structural and legal aspects.

The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.

With respect to loan level diversity, the pool's property level
Herfindahl score is 106.3.

Notable strengths of the transaction include: Credit tenancy,
granular tenant roster, limited lease roll over, and recession
resistant industry profile.

Notable concerns of the transaction include: Potentially limited
alternative property uses, average property age, certain industry
specific challenges, interest only loan profile, and credit
negative legal considerations.

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in May 2020.

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from its
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.

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

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.

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 commercial real estate from the
collapse in U.S. 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.


CSMC TRUST 2017-PFHP: S&P Lowers Class E Certs Rating to B (sf)
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class E and F
commercial mortgage pass-through certificates from CSMC Trust
2017-PFHP, a U.S. CMBS transaction. In addition, we affirmed five
other classes from the same transaction.

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 said, "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, "The downgrades and affirmations on the principal- and
interest-paying classes reflect our reevaluation of a portfolio of
eight extended-stay, 10 limited-service, and two full-service
lodging properties in six U.S. states, which secures the loan in
this transaction. In addition, the downgrade on class F to 'CCC
(sf)' reflects, based on a higher S&P Global Ratings' loan-to-value
(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. S&P Global
Ratings' expected-case value is 10.3% 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 (NCF) and liquidity disruptions
stemming from the pandemic. Using the S&P Global Ratings'
sustainable NCF of $19.1 million (same as at issuance) and applying
a weighted-average capitalization rate of 11.25% (up from 10.0% at
issuance), we arrive at an S&P Global Ratings' value of $168.0
million ($68,273 per guestroom) and an LTV ratio of 142.8%, versus
126.7% at issuance based on the $240.0 million trust balance.

"In addition, we considered that the loan transferred to special
servicing on June 12, 2020, due to payment default. The loan has a
reported 60-plus-days delinquent payment status; the borrowers are
delinquent on their May, June, and July 2020 debt service payments;
and these amounts were advanced fully by the master servicer. The
borrowers reached out for COVID-19 forbearance relief, and the
special servicer, Trimont Real Estate Advisors LLC, approved the
borrowers' request for forbearance on the May 2020 through October
2020 debt service payments. Among other things, the forbearance
agreement also requires the borrowers to make an initial $1.0
million reserve deposit and ongoing deposits into the tax and
insurance escrows; however, FF&E deposits are waived through
December 2020, and unpaid interest is due at loan maturity.

"We affirmed our ratings on classes A, B, C, and D even though the
model-indicated ratings were lower than the classes' current rating
levels. This is based on qualitative considerations such as the
significant market value decline that would be required before
these classes experience losses, liquidity support provided in the
form of servicer advancing, and relative positions of these classes
in the waterfall.

"We affirmed our rating on the class X-EXT interest-only (IO)
certificates based on our 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-EXT's notional
amount references the A-2 portion of class A.  

This is a stand-alone (single borrower) transaction backed by a
floating-rate IO mortgage loan secured by 20 extended-stay,
limited-service, and full-service lodging properties, totaling
2,461 guestrooms. The 20 hotels operate under eight different
national flags from three brand families: Hilton, Intercontinental,
and Marriott and are all managed by Aimbridge Hospitality. The
franchise agreements expire between 2027 and 2035. The properties
are located across six states: Michigan (four hotels; 25.7% of the
allocated loan amount [ALA]), Indiana (four; 17.9%), Florida
(three; 16.0%), Illinois (three; 15.8%), Texas (four; 14.2%), and
Colorado (two; 10.4%). The portfolio is located across various
markets: four of the hotels (20.7% of ALA) are located in primary
markets (Chicago and Dallas); 12 (64.0%) are located in secondary
markets (Detroit; Tampa, Fla.; Indianapolis, Ind.; Austin, Tex.;
San Antonio, Tex.; and Gary, Ind.); and four (15.3%) are located in
tertiary markets (Grand Junction, Colo. and Grand Rapids, Mich.).
The sponsor spent approximately $42.2 million ($17,144 per
guestroom) on capital expenditures between 2015 and 2017, including
the 2017 completion of the Auburn Hills Marriott (12.5% of ALA)
renovation. The Auburn Hills Marriott currently contributes 17.2%
of portfolio net operating income as of the trailing 12 months
(TTM) ended March 2020 and has increased its RevPAR approximately
12.0% since renovation.

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 significant decline 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.

S&P said, "Our property-level analysis considered the declining
revenue per available room (RevPAR) and NCF for the portfolio from
2017 through the TTM ended March 2020. Specifically, the
portfolio's reported RevPAR was $78.65 as of the TTM ended March
2020, a 7.5% decrease from $85.02 as of the TTM ended October 2017.
Reported NCF was $22.5 million in 2017, $19.6 million in 2018,
$20.7 million in 2019, and $19.3 million in the TTM ended March
2020.

"We also reviewed the property inspection reports and the June 2020
Smith Travel Research (STR) reports for the 20 properties. The June
2020 STR reports indicated that of the 20 properties securing the
loan, only 11 (59.8% by ALA) had a 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
TTM ended June 2020. Specifically, the portfolio's weighted-average
(by ALA) RevPAR penetration rate was 103%, 96%, and 103% for the
TTM periods ended June 2018, 2019, and 2020, respectively. Notably,
the portfolio hotels' occupancy rates ranged from 4.0% to 87.9%
with a weighted average of 40.7% (weighted by ALA) as of TTM ended
June 2020, declining from 63.5% to 91.9%, with a weighted average
of 81.4% in the TTM ended June 2019, when demand declined as the
COVID-19 pandemic took hold. Every property in the portfolio is
open and has been so throughout the current pandemic.

"In our current analysis, instead of adjusting our sustainable NCF
assumption, we increased our capitalization rate by approximately
125 basis points from issuance to account for the clustering of
properties within their respective states--16 properties,
representing 80.0% of the pool, are clustered together across seven
locations in Auburn Hills, Mich.; Brandon, Fla.; Carmel, Ind.;
Grand Junction; Merrillville, Ind.; San Antonio; and Schaumburg,
Ill.--and declining performance. The portfolio's NCF declined 16.8%
from 2016 through the TTM ended March 2020, and overall RevPAR
penetration in 2019 dropped 6.8% as compared to 2018."

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 expects travel will remain tempered for 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.

The master servicer, Wells Fargo Bank N.A., reported a debt service
coverage of 1.43x on the trust balance and an overall occupancy of
71.2% for the TTM ended March 2020. At issuance, S&P assumed a
RevPAR and NCF of $76.85 and $19.1 million, respectively,
representing a negative 2.3% and negative 1.2% variance to the TTM
ended March 2020 levels, respectively.

According to the July 15, 2020, trustee remittance report, the IO
mortgage loan has a trust and whole loan balance of $240.0 million,
the same as at issuance. The IO loan pays a per annum
weighted-average floating interest rate of LIBOR plus 3.45% and
currently matures on Dec. 9, 2020, after one of the three, one-year
extension options was exercised. To date, the trust has not
incurred any principal losses. However, $45,000 in accumulated
interest shortfalls affected class HRR (not rated by S&P Global
Ratings) due to special servicing fees, which the forbearance
agreement states will be repaid by the borrowers.

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

-- Health and safety.

  RATINGS LOWERED

  CSMC Trust 2017-PFHP
  Commercial mortgage pass-through certificates
                Rating
  Class     To          From
  E         B (sf)      BB- (sf)
  F         CCC (sf)    B- (sf)

  RATINGS AFFIRMED

  CSMC Trust 2017-PFHP
  Commercial mortgage pass-through certificates

  Class     Rating
  A         AAA (sf)
  B         AA- (sf)
  C         A- (sf)
  D         BBB- (sf)
  X-EXT     AAA (sf)



CUMBERLAND PARK: Moody's Lowers Rating on Class F-R Notes to Caa1
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Cumberland Park CLO, Ltd.:

US$10,500,000 Class F-R Secured Deferrable Floating Rate Notes due
2028 (the "Class F-R Notes"), Downgraded to Caa1 (sf); previously
on June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class F-R Notes are referred to herein as the "Downgraded
Notes."

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

US$33,500,000 Class D-R Secured Deferrable Floating Rate Notes due
2028 (the "Class D-R Notes"), Confirmed at Baa2 (sf); previously on
June 3, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade

US$31,750,000 Class E-R Secured Deferrable Floating Rate Notes due
2028 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class D-R Notes and the Class E-R Notes are referred to herein,
together, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Downgraded Notes and the Confirmed Notes issued by
the CLO. The CLO, originally issued in August 2015 and refinanced
in April 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in April 2020.

RATINGS RATIONALE

The downgrade on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3358, compared to 2964 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3244 reported in the July
2020 trustee report [1]. 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
19.7% as of July 2020. Nevertheless, Moody's noted that the OC
tests for the Class A/B, Class C, Class D and Class E Notes, as
well as the interest diversion test were recently reported [1] as
passing. Furthermore, Moody's noted that the deal has benefited
from deleveraging of the senior notes following amortization of the
underlying portfolio.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $587,411,655

Defaulted Securites: $5,139,460

Diversity Score: 76

Weighted Average Rating Factor: 3332

Weighted Average Life: 4.4 years

Weighted Average Spread: 3.31%

Weighted Average Recovery Rate: 47.79%

Par haircut in O/C tests and interest diversion test: 1.15%

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.


DORCHESTER PARK: Moody's Confirms Class F-R Notes at B3
-------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Dorchester Park CLO DAC:

US$27,500,000 Class D-R Secured Deferrable Floating Rate Notes due
2028 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on
June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$24,750,000 Class E-R Secured Deferrable Floating Rate Notes due
2028 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$8,000,000 Class F-R Secured Deferrable Floating Rate Notes due
2028 (the "Class F-R Notes"), Confirmed at B3 (sf); previously on
June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class D-R Notes, the Class E-R Notes and the Class F-R Notes
are referred to herein, collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Confirmed Notes issued by the CLO. The CLO,
originally issued in February 2015 and refinanced in June 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 April 2020.

RATINGS RATIONALE

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3394, compared to 2978 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3129 reported in the July
2020 trustee report [1]. 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
19.8% as of July 2020. Nevertheless, Moody's noted that the OC
tests for the Class A/B, Class C, Class D, Class E and Class F
Notes, as well as the interest diversion test were recently
reported [1] as passing. Furthermore, Moody's noted that the deal
has benefited from deleveraging of the senior notes following
amortization of the underlying portfolio.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $489,595,247

Defaulted Securites: $2,680,442

Diversity Score: 76

Weighted Average Rating Factor: 3396

Weighted Average Life: 4.23 years

Weighted Average Spread: 3.36%

Weighted Average Recovery Rate: 47.22%

Par haircut in O/C tests and interest diversion test: 1.84%

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.


FIRST INVESTORS 2019-1: S&P Affirms B (sf) Rating on Class F Notes
------------------------------------------------------------------
S&P Global Ratings raised its ratings on five classes and affirmed
its ratings on 12 classes from four First Investors Auto Owner
Trust (FIAOT) transactions.

The collateral pools for the FIAOT transactions comprise auto loan
receivables that were originated to mainly subprime borrowers.

S&P asid, "The rating actions reflect each transaction's collateral
performance to date and our expectations regarding future
collateral performance, as well as each transaction's structure and
credit enhancement levels. Additionally, we incorporated secondary
credit factors, including credit stability, payment priorities
under various scenarios, and sector and issuer-specific analyses.
Considering these factors, we believe the notes' creditworthiness
is consistent with the raised and affirmed ratings.

"Based on the transactions' collateral performance, we maintained
our current revised cumulative net loss (CNL) expectations for
series 2015-2 and 2016-1, and lowered our CNL expectations for
series 2018-2. At the same time, we raised our CNL expectations for
series 2019-1 due to its relative lack of seasoning and the current
economic uncertainty in the wake of the COVID-19 pandemic, even
though its performance is currently in line with or better than our
initial expectations.

"Since the closing of each transaction, the credit support for each
class has increased as a percentage of the amortizing pool balance
and is, in our view, adequate to support the raised or affirmed
ratings."

  Table 1

  Collateral Performance (%)
  As of the July 2020 distribution date

                     Pool   Current   60+ days
  Series   Month   factor       CNL    delinq.
  2015-2      59     7.79     11.28       3.51
  2016-1      53    11.16     11.14       3.56
  2018-2      20    51.33      4.59       2.29
  2019-1      15    60.97      3.11       2.15

  CNL--Cumulative net.
  Delinq.--Delinquencies.

  Table 2

  CNL Expectations (%)(i)
  As of the July 2020 distribution date

                Initial          Prior               Current
               lifetime       lifetime              lifetime
  Series       CNL exp.    CNL exp.(i)              CNL exp.
                                         (as of August 2020)
  2015-2      8.25-8.50    11.50-12.00           11.50-12.00
  2016-1      9.25-9.75    11.50-12.00           11.50-12.00
  2018-2    11.75-12.25            N/A           11.50-12.00
  2019-1     9.75-10.25            N/A           11.50-12.00

  (i)FIAOT 2015-2 last revised September 2018 and FIAOT 2016-1 last
revised September 2019.
  CNL exp.--Cumulative net loss expectations.
  N/A--Not applicable.

Each transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. Each
transaction also has credit enhancement in the form of a
nonamortizing reserve account, overcollateralization, subordination
for the higher-rated tranches, and excess spread. The hard credit
enhancement for each of the transactions is at the specified target
or floor. The credit enhancement levels have grown for all of the
outstanding classes as a percentage of their current collateral
balances and are a major consideration behind the upgrades and
affirmations.

  Table 3

  Hard Credit Support (%)
  As of the July 2020 distribution date

                     Initial hard     Current hard
                   credit support   credit support
  Series   Class          (i)(ii)         (i)(iii)
  2015-2   D                 5.95            82.78
  2015-2   E                 1.50            25.68
  2016-1   D                 6.95            69.94
  2016-1   E                 2.10            17.99
  2018-2   A-1              37.50            77.40
  2018-2   A-2              37.50            77.40
  2018-2   B                29.80            62.40
  2018-2   C                20.00            43.31
  2018-2   D                11.85            27.43
  2018-2   E                 6.80            17.59
  2018-2   F                 2.40             9.02
  2019-1   A                29.33            50.79
  2019-1   B                23.58            41.36
  2019-1   C                15.08            27.42
  2019-1   D                 8.34            16.35
  2019-1   E                 4.34             9.80
  2019-1   F                 2.00             5.96

(i)Calculated as a percentage of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination.

S&P said, "We incorporated an analysis of the current hard credit
enhancement compared to the remaining expected CNL for those
classes for which hard credit enhancement alone without credit to
the expected excess spread was sufficient, in our view, to upgrade
or affirm the notes to 'AAA (sf)'. For the other classes, we
incorporated a cash flow analysis to assess the loss coverage
level, giving credit to excess spread. Our various cash-flow
scenarios included forward-looking assumptions on recoveries,
timing of losses, and voluntary absolute prepayment speeds that we
believe are appropriate, given each transaction's performance to
date. Aside from our break-even cash flow analysis, we also
conducted sensitivity analyses for these series to determine the
impact that a moderate ('BBB') stress scenario would have on our
ratings if losses began trending higher than our revised base-case
loss expectation.

"In our view, the results demonstrated that all of the classes have
adequate credit enhancement at the raised or affirmed rating
levels. We will continue to monitor the performance of all of the
outstanding transactions to ensure that the credit enhancement
remains sufficient, in our view, to cover our cumulative net loss
expectations under our stress scenarios for each of the rated
classes.

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 said, "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."

  RATINGS RAISED

  First Investors Auto Owner Trust

                           Rating
  Series    Class     To            From
  2015-2    E         AA+ (sf)      BBB+ (sf)
  2016-1    E         A+ (sf)       BBB (sf)
  2018-2    B         AAA (sf)      AA (sf)
  2018-2    C         AA (sf)       A (sf)
  2018-2    D         A- (sf)       BBB (sf)

  RATINGS AFFIRMED

  First Investors Auto Owner Trust

  Series    Class     Rating
  2015-2    D         AAA (sf)
  2016-1    D         AAA (sf)
  2018-2    A-1       AAA (sf)
  2018-2    A-2       AAA (sf)
  2018-2    E         BB- (sf)
  2018-2    F         B (sf)
  2019-1    A         AAA (sf)
  2019-1    B         AA (sf)
  2019-1    C         A (sf)
  2019-1    D         BBB (sf)
  2019-1    E         BB- (sf)
  2019-1    F         B (sf)


FLAGSHIP CREDIT 2020-3: DBRS Finalizes BB Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Flagship Credit Auto Trust 2020-3 (the
Issuer):

-- $146,470,000 Class A Notes at AAA (sf)
-- $19,010,000 Class B Notes at AA (sf)
-- $26,440,000 Class C Notes at A (sf)
-- $11,700,000 Class D Notes at BBB (sf)
-- $10,120,000 Class E Notes at BB (sf)

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

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

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

(2) DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected CNL includes
an assessment of the expected impact on consumer behavior. The DBRS
Morningstar CNL assumption is 12.75% based on the expected Cut-Off
Date pool composition.

(3) The transaction assumptions include an increase in the expected
loss. The transaction assumptions consider DBRS Morningstar's set
of macroeconomic scenarios for select economies related to the
coronavirus, available in its commentary "Global Macroeconomic
Scenarios: July Update," published on July 22, 2020. DBRS
Morningstar initially published macroeconomic scenarios on April
16, 2020, which were last updated on July 22, 2020, and are
reflected in DBRS Morningstar's rating analysis. The assumptions
also take into consideration observed performance during the
2008–09 financial crisis and the possible impact of the stimulus
from the Coronavirus Aid, Relief, and Economic Security Act. 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 the 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.

(4) The consistent operational history of Flagship Credit
Acceptance, LLC (Flagship or the Company), and the strength of the
overall Company and its management team.

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

(5) The capabilities of Flagship with regard to origination,
underwriting, and servicing.

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

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

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

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

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

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

The rating on the Class A Notes reflects 36.40% of initial hard
credit enhancement provided by subordinated notes in the pool
(29.90%), the reserve account (1.50%), and OC (5.00%). The ratings
on Class B, Class C, Class D, and Class E Notes reflect 27.95%,
16.20%, 11.00%, and 6.50% of initial hard credit enhancement,
respectively. Additional credit support may be provided from excess
spread available in the structure.

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


FLAGSTAR MORTGAGE 2020-2: Fitch Hikes Class B-5 Certs to B+(EXP)
----------------------------------------------------------------
Fitch Ratings has updated the expected ratings assigned to the
residential mortgage-backed certificates issued by Flagstar
Mortgage Trust 2020-2. Fitch has affirmed, upgraded, downgraded or
withdrawn the expected ratings it assigned to FSMT 2020-2 in March
2020, as the transaction has been restructured. This resulted in
the restructured classes having different credit enhancement and
priorities in the capital structure and some classes being removed
from the transaction.

FSMT 2020-2

  - Class A-1; LT AAA(EXP)sf; Upgrade

  - Class A-1-A; LT WDsf; Withdrawn

  - Class A-10; LT AA+(EXP)sf; Downgrade

  - Class A-10-A; LT WDsf; Withdrawn

  - Class A-11; LT WDsf; Withdrawn

  - Class A-11-X; LT WDsf; Withdrawn

  - Class A-12; LT WDsf; Withdrawn

  - Class A-13; LT WDsf; Withdrawn

  - Class A-13-A; LT WDsf; Withdrawn

  - Class A-14; LT WDsf; Withdrawn

  - Class A-15; LT WDsf; Withdrawn

  - Class A-16-A; LT WDsf; Withdrawn

  - Class A-17-A; LT WDsf; Withdrawn

  - Class A-18; LT WDsf; Withdrawn

  - Class A-2; LT AAA(EXP)sf; Affirmed

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

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

  - Class A-5; LT AAA(EXP)sf; Affirmed

  - Class A-5-A; LT WDsf; Withdrawn

  - Class A-6; LT AAA(EXP)sf; Affirmed

  - Class A-6-A; LT WDsf; Withdrawn

  - Class A-7; LT AAA(EXP)sf; Affirmed

  - Class A-7-A; LT WDsf; Withdrawn

  - Class A-8; LT AAA(EXP)sf; Affirmed

  - Class A-8-A; LT WDsf; Withdrawn

  - Class A-9; LT AA+(EXP)sf; Downgrade

  - Class A-9-A; LT WDsf; Withdrawn

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

  - Class A-X-10; LT WDsf; Withdrawn

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

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

  - Class A-X-4; LT WDsf; Withdrawn

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

  - Class A-X-6; LT WDsf; Withdrawn

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

  - Class A-X-8; LT AA+(EXP)sf; Downgrade

  - Class A-X-9; LT WDsf; Withdrawn

  - Class B-1; LT AA(EXP)sf; Affirmed

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

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

  - Class B-2; LT A+(EXP)sf; Upgrade

  - Class B-2-A; LT A+(EXP)sf; Upgrade

  - Class B-2-X; LT A+(EXP)sf; Upgrade

  - Class B-3; LT BBB+(EXP)sf; Upgrade

  - Class B-3-A; LT BBB+(EXP)sf; Downgrade

  - Class B-3-X; LT BBB+(EXP)sf; Downgrade

  - Class B-4; LT BB+(EXP)sf; Upgrade

  - Class B-5; LT B+(EXP)sf; Upgrade

  - Class B-X; LT BBB+(EXP)sf; Downgrade

TRANSACTION SUMMARY

Fitch expects the transaction to close on August 21, 2020. The
certificates are supported by 720 newly originated fixed-rate
prime-quality non-agency jumbo mortgage loans secured by first
liens on one to four residential homes. The total balance of the
loans was approximately $554.15 million as of the cutoff date. This
is the twelfth post-crisis issuance from Flagstar Bank, FSB.

The pool comprises loans that Flagstar originated through its
retail, broker and corresponding channels. The transaction is
similar to previous Fitch-rated prime transactions, with a standard
senior-subordinate, shifting-interest deal structure. All the loans
in the pool were underwritten to the Ability to Repay rule and
qualify as Qualified Mortgages. Flagstar (RPS2-/Negative) will be
the servicer and Wells Fargo Bank, NA (RMS1-/Negative) will be the
master servicer.

The presale report dated August 11, 2020 replaces the prior presale
report published on March 12, 2020 for FSMT 2020-2.

The ratings were withdrawn with the following reason: forthcoming
debt issue/transaction carrying an expected rating is no longer
expected to proceed as previously envisaged.

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. Our baseline global economic
outlook for U.S. GDP growth is a 5.6% decline for 2020, down from
1.7% positive growth in 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 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
coronavirus pandemic and widespread containment efforts in the U.S.
will result in increased unemployment and cash flow disruption. To
account for the cash flow disruption, 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, Flagstar, to determine what type of relief plan will
work best for the borrower.

For borrowers who request coronavirus-related relief or relief
related to an FEMA Major Disaster Declaration or other nationally
declared event after the closing date, the servicer will allow the
related borrower to suspend or reduce the related principal and
interest lowed on the mortgage loan for a limited period of an
initial six months and potentially up to twelve months, or such
other forbearance period as mandated by the Coronavirus Aid,
Relief, and Economics Security Act or other relevant legislation
(the "Disaster Related Forbearance Period").

At the end of the disaster-related forbearance period, the servicer
will require the borrower to pay all amounts suspended during
period (potential options for eligible borrowers include repayment
over a series of months, including extending the original mortgage
term by a number of months equal to the disaster-related
forbearance period or by capitalizing related arrearages, fees, and
expenses into an unpaid principal balance of the mortgage loan and
extending the loan to, at least, its original term) or enter other
modification or loss mitigation processes.

Loans on a disaster-related forbearance plan will be counted as
delinquent until the amounts suspended under the plan are fully
repaid. Flagstar will still be obligated to advance on delinquent
loans even if they are on a pandemic-relief plan. If Flagstar is
not able to advance, the master servicer (Wells Fargo Bank) will
advance delinquent P&I payments. Servicer advancing helps to
provide liquidity to the trust, but may create losses if the
servicer reimburses itself for advances all at once.

High-Quality Mortgage Pool (Positive): The collateral pool consists
primarily of 30-year, fully amortizing, non-agency jumbo fixed-rate
loans to borrowers with strong credit profiles and low leverage.
All of the loans are designated as Safe Harbor Qualified Mortgages.
There are 83 loans that have a balance over $1.0 million with the
largest loan being $2.4 million. Of the loans, 31.1% are to
self-employed borrowers.

The pool has a weighted-average original FICO score of 767, which
is indicative of high credit-quality borrowers. Approximately 73.5%
of the loans have current FICO scores at or above 750. In addition,
the original combined loan/value ratio is 65.0%, which represents
substantial borrower equity in the property. Only 4.4% of the loans
have known subordinate financing. The loans are seasoned an average
of six months. The pool's attributes, together with Flagstar's
sound origination practices, support Fitch's low default risk
expectations.

Geographic Diversification (Neutral): The pool's primary
concentration is in California, representing 41% of the pool.
Approximately 28% of the pool is located in the top-three
metropolitan statistical areas - San Francisco, Los Angeles, and
Houston. Roughly 12% of the pool is located in the San Francisco
MSA, 8.9% in Los Angeles MSA, and 6.8% in Houston MSA. The Houston
MSA is one of the most overvalued MSAs, according to Fitch, with a
15.6% market value decline. The pool's regional concentration did
not add to Fitch's 'AAAsf' loss expectations.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. Flagstar is experienced in originating and
securitizing prime loans and is considered an 'Average' originator
by Fitch. Flagstar is also the named servicer for the transaction
and is responsible for performing primary servicing functions. The
platform is rated 'RPS2-' with a Negative Outlook. Fitch did not
adjust its loss levels based on these operational assessments.

Tier 1 Representation and Warranty Framework (Neutral): The
representation and warranty framework are consistent with Fitch's
tier 1 framework. The strong framework, combined with the financial
condition of the R&W provider, led to neutral treatment in Fitch's
loss model and did not warrant adjustments at the 'AAAsf' level.

Third-Party Due Diligence Results (Positive): A third-party due
diligence review was performed by SitusAMC and Consolidated
Analytics, which are assessed by Fitch as 'Acceptable - Tier 1' and
'Acceptable - Tier 3' third-party review firms, respectively. The
review was performed on a statistically significant random sample
of 35% of the loans in the initial transaction pool (due to loan
removals, the sample size was 34% of the final pool).

While the results confirmed strong loan origination practices
consistent with prior Flagstar transactions, the sample had a
concentration of initial TILA/RESPA Integrated Disclosure
exceptions considered to be material that were cured with
post-closing documentation. Since due diligence was performed on a
sample of the pool, Fitch extrapolated the results to the remaining
loans that did not receive diligence to address potential TRID
exceptions that were not cured with post-closing documentation.
However, the adjustment, combined with the due diligence credit
given to approximately 34% of the final loan population, decreased
Fitch's loss expectations by 6bp at the 'AAAsf' rating stress.

Shifting Interest Structure (Mixed): 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 CE levels are not maintained.

Subordination Floor (Positive): A CE or senior subordination floor
of 0.90% 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
0.60% 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): Flagstar 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 since the servicer looks to
recoup P&I advances from liquidation proceeds, which results in
less recoveries.

Wells Fargo Bank is the master servicer in this transaction and
will advance delinquent P&I on the loans if Flagstar is not able
to.

Extraordinary Trust Expenses (Neutral): Extraordinary trust
expenses, including indemnification amounts, costs of arbitration,
and fess/expenses incurred by the reviewer for a review, will
reduce the net WA coupon of the loans, which does not affect the
contractual interest due on the certificates. Fitch did not make
any adjustment for expenses that reduce the net WA coupon.

The model indicated higher ratings for the B-2-A and B-4
subordinate classes than the ratings that were assigned. The
ratings were limited to one rating tick higher than the ratings
typically assigned to prime shifting interest structures given each
class's position in the capital structure, even though CE would
allow the class to achieve a higher rating under Fitch's stresses.
Specifically, the B-2-A and any notional or exchangeable class(es)
associated with it was rated 'A+', rather than 'AA-', and B-4 was
rated 'BB+', rather than 'BBB'. The ratings were limited due to
their position in the capital structure and the thin bond sizes.

RATING SENSITIVITIES

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;
that is, 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 negative stress 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 9.3%. 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 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 disruption on
these economic inputs will likely affect both investment and
speculative grade ratings.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E), as
prepared by SitusAMC and Consolidated Analytics. The third-party
due diligence described in Form 15E focused on compliance, credit
and valuation grades, and assigned initial grades for each
subcategory. Minimal exceptions and waivers were noted in the due
diligence reports. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustments:

  - Fitch applied a standard loss adjustment of $15,500 to the loss
amount for material TRID exceptions, as these loans can carry an
increased risk of statutory damages. However, the aggregate loss
severity adjustment was negligible at the 'AAAsf' level and Fitch
did not make any further adjustments to the model output. These
adjustments resulted in an increase of 1bp to the expected losses.
However, the adjustment, combined with the due diligence credit
given to approximately 34% of the final loan population, decreased
Fitch's loss expectations by 6bp at the 'AAAsf' rating stress.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on approximately 34% of the pool. The third-party due
diligence was generally consistent with Fitch's U.S. RMBS Rating
Criteria. SitusAMC and Consolidated Analytics were 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
data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


FREDDIE MAC 2020-DNA4: S&P Assigns Prelim 'B' Rating to B-1 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR REMIC Trust 2020-DNA4's notes.

The note issuance is an RMBS transaction backed by a reference pool
of fully amortizing, first-lien, fixed-rate residential mortgage
loans secured by one- to four-family residences, planned-unit
developments, condominiums, cooperatives, and manufactured housing
to prime borrowers.

The preliminary ratings are based on information as of Aug. 13,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The credit enhancement provided by the subordinated reference
tranches, as well as the associated structural deal mechanics;

-- The credit quality of the collateral included in the reference
pool;

-- A REMIC structure that reduces the counterparty exposure to
Freddie Mac for periodic principal and interest payments but, at
the same time, pledges the support of Freddie Mac (a highly rated
counterparty) to cover shortfalls, if any, on interest payments and
to make up for any investment losses;

-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the deal's
performance, which in our view, enhances the notes' strength;

-- The enhanced credit risk management and quality control
processes Freddie Mac uses in conjunction with the underlying
representations and warranties framework; and

-- The impact that COVID-19 is likely to have on the U.S. economy
and the U.S. housing market, and the additional structural
provisions included to address corresponding forbearance and
subsequent defaults.

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 said, "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."

  PRELIMINARY RATINGS ASSIGNED

  Freddie Mac STACR REMIC Trust 2020-DNA4

  Class       Rating       Amount ($)
  A-H(i)      NR       40,254,481,853
  M-1         A- (sf)     295,000,000
  M-1H(i)     NR          124,317,519
  M-2         BB+ (sf)    368,000,000
  M-2R        BB+ (sf)    368,000,000
  M-2S        BB+ (sf)    368,000,000
  M-2T        BB+ (sf)    368,000,000
  M-2U        BB+ (sf)    368,000,000
  M-2I        BB+ (sf)    368,000,000
  M-2A        BBB+ (sf)   184,000,000
  M-2AR       BBB+ (sf)   184,000,000
  M-2AS       BBB+ (sf)   184,000,000
  M-2AT       BBB+ (sf)   184,000,000
  M-2AU       BBB+ (sf)   184,000,000
  M-2AI       BBB+ (sf)   184,000,000
  M-2AH(i)    NR           78,073,449
  M-2B        BB+ (sf)    184,000,000
  M-2BR       BB+ (sf)    184,000,000
  M-2BS       BB+ (sf)    184,000,000
  M-2BT       BB+ (sf)    184,000,000
  M-2BU       BB+ (sf)    184,000,000
  M-2BI       BB+ (sf)    184,000,000
  M-2RB       BB+ (sf)    184,000,000
  M-2SB       BB+ (sf)    184,000,000
  M-2TB       BB+ (sf)    184,000,000
  M-2UB       BB+ (sf)    184,000,000
  M-2BH(i)    NR           78,073,449
  B-1         B (sf)      250,000,000
  B-1A        BB (sf)     125,000,000
  B-1AR       BB (sf)     125,000,000
  B-1AI       BB (sf)     125,000,000
  B-1AH(i)    NR           84,658,760
  B-1B        B (sf)      125,000,000
  B-1BH(i)    NR           84,658,760
  B-2         NR          125,000,000
  B-2A        NR           62,500,000
  B-2AR       NR           62,500,000
  B-2AI       NR           62,500,000
  B-2AH(i)    NR           42,329,380
  B-2B        NR           62,500,000
  B-2BH(i)    NR           42,329,380
  B-3H(i)     NR          104,829,380

(i)Reference tranche only and will not have corresponding notes.
Freddie Mac retains the risk of each of these tranches.
NR--Not rated.



GCAT 2020-NQM2: S&P Assigns B (sf) Rating to Class B-2 Certs
------------------------------------------------------------
S&P Global Ratings assigned its 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 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 the liquidity available in the
transaction.

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

  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 private placement memorandum dated July 22, 2020. The
ratings address S&P Global Ratings' 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.


GE COMMERCIAL 2004-C2: DBRS Confirms C Rating on 2 Debt Classes
---------------------------------------------------------------
DBRS Limited confirmed the remaining two classes of Commercial
Mortgage Pass-Through Certificates, Series 2004-C2 (the
Certificates) issued by GE Commercial Mortgage Corporation, Series
2004-C2.

-- Class N at C (sf)
-- Class O at C (sf)

The rating confirmation reflects DBRS Morningstar's loss projection
for the only remaining loan in the pool, Continental Centre
(Prospectus ID#8), which is currently in special servicing. The
loan is secured by a Class B office property in downtown Columbus,
Ohio, and was initially transferred to special servicing in
December 2012 for imminent default due to cash flow issues at the
property. The loan was modified with a bifurcated A/B note and an
extended maturity through March 2019 and returned to the master
servicer in September 2014. After successfully performing under the
modified terms for the next few years, the loan transferred back to
special servicing in May 2017 for imminent default due to tenancy
issues and has been real estate owned since December 2019.

According to the latest appraisal obtained by the special servicer,
dated October 2019, the property was valued at $13.7 million, an
increase from the December 2018 value of $8.7 million, and well
below the issuance value of $35.0 million. As of the March 2020
rent roll, the collateral property remains 39.3% occupied with the
State of Ohio occupying 28.3% of the total net rentable area. The
servicer has confirmed that the property is in a value-add phase
while it works to bring the collateral back to the competitive
market. The servicer plans to focus on completing necessary work to
the property's elevators and plumbing systems and maintenance work
on the building's exterior to address discoloration.

Given the building's physical condition issues and low occupancy
rate, factors that are considered especially challenging amid the
Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar applied a
significant haircut to the October 2019 appraised value in its
liquidation scenario. With that analysis, DBRS Morningstar assumed
a loss severity in excess of 88.0%, suggesting that losses will
take out the Class O Certificate balance and will creep into the
Class N Certificate balance as well, with limited principal
recovery.

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


GLS AUTO 2020-3: S&P Assigns BB- (sf) Rating to Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Issuer Trust 2020-3's automobile receivables-backed notes series
2020-3.

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

The ratings reflect S&P's view of:

-- The availability of approximately 57.6%, 50.7%, 41.3%, 34.7%,
and 28.7% of credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 2.60x, 2.25x, 1.80x, 1.47x, and 1.22x its
21.50%-22.50% expected cumulative net loss (CNL) for the class A,
B, C, D, and E notes, respectively.

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

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

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

-- The timely interest and principal payments made to the notes
under our stressed cash flow modeling scenarios, which we believe
are appropriate for the assigned ratings.

  RATINGS ASSIGNED

  GLS Auto Receivables Issuer Trust 2020-3

  Class    Rating          Amount (mil. $)
  A        AAA (sf)                 164.56
  B        AA (sf)                   44.69
  C        A (sf)                    50.89
  D        BBB- (sf)                 34.05
  E        BB- (sf)                  30.50


GS MORTGAGE 2019-GC40: DBRS Confirms B Rating on Class DB-F Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2019-GC40
issued by GS Mortgage Securities Corporation Trust 2019-GC40 (the
Issuer):

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

All trends are Stable. The ratings have been removed from Under
Review with Developing Implications, where they were placed on
December 10, 2019.

The Class DB-X 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 Class DB-A, DB-B, DB-C, DB-D, DB-E, DB-F, and DB-X
loan-specific certificates (the Diamondback Loan-Specific
Certificates) are collateralized by subordinate mortgage components
associated with the Diamondback Industrial Portfolio 1 and
Diamondback Industrial Portfolio 2 loans. Each loan is evidenced by
multiple senior notes and one junior note. Payments allocated to
(1) certain senior note(s) evidencing the Diamondback Industrial
Portfolio 1 loan and (2) all senior notes evidencing the
Diamondback Industrial Portfolio 2 loan are payable to the pooled
certificates. Payments allocated to the Diamondback B Notes are
payable to the Diamondback Loan-Specific Certificates. Accordingly,
the Diamondback Loan-Specific Certificates will be exposed to risks
related to the Diamondback B Notes and will not be supported by
payments allocated to the senior notes or any other loans deposited
into the trust. The Diamondback Industrial Portfolio 1 and
Diamondback Industrial Portfolio 2 senior notes are generally
senior to the related Diamondback B Notes and losses on the
Diamondback Industrial Portfolio 1 and Diamondback Industrial
Portfolio 2 loans are first borne by the related Diamondback B
Notes and, therefore, the Diamondback Loan-Specific Certificates.
Following an event of default, the related Diamondback B Notes are
not entitled to principal allocations until the senior notes for
such loans have been paid in full and, therefore, the Diamondback
Loan-Specific Certificates may experience shortfalls.

The DBRS Morningstar net cash flow (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 aggregate NCF figure was
$21.9 million and a cap rate of 7.75% was applied, resulting in a
DBRS Morningstar Value of $283.1 million, a variance of -33.9% from
the aggregate appraised value at issuance of $428.2 million. The
DBRS Morningstar Value implies an LTV of 95.1% on the aggregate
whole loan compared with the LTV of 62.9% on the appraised value at
issuance. The NCF figure applied as part of the analysis represents
a -6.6% variance from the Issuer's aggregate NCF, primarily driven
by rent-step credit as well as tenant improvement and leasing
costs.

The cap rate DBRS Morningstar applied is in the middle of the DBRS
Morningstar Cap Rate Ranges for industrial properties, reflecting
the location, quality, and market positions of the properties in
each portfolio. In addition, the 7.75% cap rate DBRS Morningstar
applied is above the implied cap rate of 5.48% based on the
Issuer's aggregate underwritten NCF and aggregate appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 3.50%
to account for cash flow volatility and property quality.

Class DB-X is an interest-only (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.


GS MORTGAGE 2020-RPL1: DBRS Assigns B Rating on Class B-2 Notes
---------------------------------------------------------------
DBRS, Inc. assigned new ratings to the following Mortgaged-Backed
Securities, Series 2020-RPL1 (the Notes) issued by GS
Mortgage-Backed Securities Trust 2020-RPL1 (GSMBS 2020-RPL1 or the
Trust):

-- $198.0 million Class A-1 at AAA (sf)
-- $16.0 million Class A-2 at AA (low) (sf)
-- $214.0 million Class A-3 at AA (low) (sf)
-- $227.6 million Class A-4 at A (low) (sf)
-- $237.8 million Class A-5 at BBB (low) (sf)
-- $13.5 million Class M-1 at A (low) (sf)
-- $10.2 million Class M-2 at BBB (low) (sf)
-- $7.3 million Class B-1 at BB (sf)
-- $4.3 million Class B-2 at B (sf)

The Class A-3, A-4, and A-5 Notes are exchangeable. These classes
can be exchanged for combinations of initial exchangeable notes as
specified in the offering documents.

The AAA (sf) ratings on the Notes reflect 28.35% of credit
enhancement provided by subordinated notes. The AA (low) (sf), A
(low) (sf), BBB (low) (sf), BB (sf), and B (sf) ratings reflect
22.55%, 17.65%, 13.95%, 11.30%, and 9.75% 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 re-performing, primarily first-lien residential
mortgages funded by the issuance of the Notes. The Notes are backed
by 2,042 loans with a total principal balance of $290,890,956 as of
the Cut-Off Date (June 30, 2020).

The portfolio is approximately 160 months seasoned and contains
91.1% modified loans. The modifications happened more than two
years ago for 94.9% of the modified loans. Within the pool, 612
mortgages have non-interest-bearing deferred amounts, which equate
to approximately 7.9% 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 Cut-Off Date, 98.0% of the loans in the pool are current.
Approximately 1.4% is 30 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method, and 0.6% is in bankruptcy
(all bankruptcy loans are performing or 30 days delinquent).
Approximately 83.1% 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 (98.3%) is exempt from the Consumer
Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules because the loans were originated prior to
January 10, 2014, the date on which the rules became applicable.
The loans subject to the ATR rules are designated as QM Safe Harbor
(0.1%), Government Sponsored Enterprises Temporary QM Safe Harbor
(


HALCYON LOAN 2014-3: Moody's Lowers Rating on Class F Notes to Ca
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Halcyon Loan Advisors Funding 2014-3
Ltd.:

US$37,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2025 (the "Class D Notes"), Downgraded to Ba1 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$22,500,000 Class E-1 Junior Secured Deferrable Floating Rate
Notes due 2025 (current outstanding balance of $23,256,980.79) (the
"Class E-1 Notes"), Downgraded to Caa3 (sf); previously on June 3,
2020 B1 (sf) Placed Under Review for Possible Downgrade

US$6,000,000 Class E-2 Junior Secured Deferrable Floating Rate
Notes due 2025 (current outstanding balance of $6,212,660.02) (the
"Class E-2 Notes"), Downgraded to Caa3 (sf); previously on June 3,
2020 B1 (sf) Placed Under Review for Possible Downgrade

US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2025 (current outstanding balance of $13,276,592.70) (the
"Class F Notes"), Downgraded to Ca (sf); previously on June 3, 2020
Caa3 (sf) Placed Under Review for Possible Downgrade

The Class D Notes, Class E-1 Notes, Class E-2 Notes, and the Class
F Notes are referred to herein as the "Downgraded Notes."

These actions conclude the review for downgrade initiated on June
3, 2020 on the Downgraded Notes issued by the CLO. The CLO,
originally issued in September 2014 and partially refinanced in
July 2017, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period ended in
October 2018.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3669 and failing the test level of
2775 reported in the July 2020 trustee report [2]. 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 44.0% as of July 2020. Furthermore, according to
July 2020 trustee report, the OC tests for the Class D and E notes
were reported at 103.44% and 92.40% and failing their respective
trigger levels of 109.60% and 104.70%.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $243,172,499

Defaulted Securities: $53,256,488

Diversity Score: 46

Weighted Average Rating Factor: 3593

Weighted Average Life: 3.27 years

Weighted Average Spread: 3.68%

Weighted Average Coupon: 4.50%

Weighted Average Recovery Rate: 46.7%

Par haircut in O/C tests and interest diversion test: 8.04%

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.


HPS LOAN 10-2016: Moody's Confirms Ba3 Rating on Class D Notes
--------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by HPS Loan Management 10-2016, Ltd.:

US$28,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$16,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class C Notes, and the Class D Notes are referred to herein
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C and Class D Notes issued by the CLO. The
CLO, originally issued in December 2016 and partially refinanced in
August 2019, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in October 2021.

RATINGS RATIONALE

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3048, compared to 2740 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2499 reported in the July
2020 trustee report [3]. 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 12%
as of July 2020. Nevertheless, Moody's noted that the OC tests as
well as the interest diversion test were recently reported [4] 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $379,800,200

Defaulted Securites: $13,539,716

Diversity Score: 65

Weighted Average Rating Factor: 2908

Weighted Average Life: 4.9 years

Weighted Average Spread: 3.47%

Weighted Average Recovery Rate: 47.8%

Finally, Moody's notes that it also considered the information
provided by the manager which became available prior to the release
of this announcement.

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.


JP MORGAN 2017-FL10: S&P Lowers Class E Certs Rating to B+(sf)
--------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class E, F, and X-EXT
commercial mortgage pass-through certificates from J.P. Morgan
Chase Commercial Mortgage Securities Trust 2017-FL10, a U.S. CMBS
transaction. In addition, we affirmed our rating on class D from
the same transaction.

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 said, "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, "The downgrades on classes E and F and affirmation on
class D reflect our reevaluation of the Park Hyatt Beaver Creek
hotel, which secures the sole remaining loan in this large loan
transaction. In addition, the downgrade on class F reflects our
view, based on a higher S&P Global Ratings' loan-to-value (LTV)
ratio, that the class is more susceptible to reduced liquidity
support and that the risk of default and losses have increased
under the uncertain market conditions. Our expected-case value has
declined 11.3% since issuance, driven by the application of a
higher S&P Global Ratings capitalization rate, which we believe
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 $4.5 million (the same as at
issuance) and applying a 9.50% capitalization rate (up from 8.50%
at issuance), we arrived at the S&P Global Ratings expected-case
value of $43.8 million ($230,461 per guestroom) and a LTV ratio of
102.8%, versus 91.2% at issuance.

"In addition, we considered that the loan was transferred to
special servicing on April 24, 2020, due to the borrower's request
for relief from meeting its loan obligations. At the time of the
request, the borrower indicated that the property's operations were
negatively affected by the COVID-19 pandemic. KeyBank Real Estate
Capital, the special servicer, has indicated that the loan is
expected to return back to the master servicer as early as this
month without any forbearance or modification. The borrower was
delinquent on its April, May, and June 2020 debt service payments
but has since cured the missed payments and now has a reported
"current" payment status as of the July 2020 trustee remittance
report.

"We do note that the class F had $20,188 of accumulated interest
shortfalls due to special servicing fees, but the servicer has
confirmed that the borrower has since paid the special servicing
fees and that workout fees will not be charged upon the loan's
return from special servicing.

"We affirmed class D even though the model-indicated rating was
higher than the class's current rating level. Our analysis
qualitatively considered the uncertainty surrounding the property's
performance; specifically, it derives a portion of its income from
the retail outlets and spa, and the property is subject to a high
degree of seasonality in the months between the winter and summer
seasons, particularly during April, May, October, and November. In
addition, we noted during our site visit at issuance that we
believe the property will need to undergo a PIP in order to
maintain an appearance commensurate with the brand and location. We
have not received an update if the property has been renovated in
the past three years.  

"We lowered our rating on the class X-EXT interest-only (IO)
certificates based on our 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 classes A, B, C, D, E, and F.

This is a large loan transaction originally backed by six loans at
issuance and currently backed by one floating-rate IO mortgage
loan. The remaining loan is secured by the borrower's fee interest
in the Park Hyatt Beaver Creek, a 190-guestroom, full-service
upscale resort and spa in Beaver Creek, Colo., one of the premiere
ski towns in the U.S. Located at the base of the mountain, the
hotel provides it guests with direct ski-in and ski-out access.
Additional amenities at the property include 18,823 sq. ft. of
retail space, a 30,000-sq.-ft. spa, over 20,000 sq. ft. of
indoor/outdoor meeting and event space, four food and beverage
outlets, a heated outdoor pool, access to two golf courses, and
valet parking with 206 underground parking spaces. The hotel is
managed by Hyatt Corp., pursuant to an agreement with an initial
30-year term that expired on Dec. 31, 2017, and has two successive
periods of 10 years each.

Since issuance and prior to the COVID-19 outbreak, the hotel
exhibited slightly declining performance. The hotel's revenue per
available room (RevPAR) was $278.53 in 2017, $264.59 in 2018, and
$262.57 in 2019. NCF was $8.4 million in 2017, $7.9 million in
2018, and $7.8 million in 2019. S&P's sustainable NCF assumption at
issuance was $4.5 million, which is 42.2% below the 2019
servicer-reported NCF. This large variance is driven primarily by
its lower underwritten RevPAR ($242.13) and food and beverage
income and higher underwritten capital expenditures assumptions.
The June 2020 STR report indicates that the property has a RevPAR
penetration rate--which measures the RevPAR of the hotel relative
to its ski resort competitors in the mountains of Lake Tahoe,
Calif., Colorado, and Utah, with 100% indicating parity with
competitors--of 99.2% as of the trailing-12-month (TTM) ending June
2020, up from 91.7% as of the TTM ending June 2019, and 99.3% as of
the TTM ending June 2018.

The hotel closed on March 15 due to the pandemic and reopened on
June 12; however, reported occupancy ranged between 5% and 20% for
the first 10 days after reopening. According to the Smith Travel
Research (STR) report, the property's running 28 days (June 28
through July 25, 2020) occupancy was 38.2%. S&P believes it is
unlikely that occupancy levels and, hence, NCF will return to
previous levels in the near term.

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
corporate, leisure, and group travel. 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 pandemic's negative effects on lodging properties have been
particularly severe for hotels like the Park Hyatt Beaver Creek,
which is highly dependent on fly-to domestic demand and
international travelers. The hotel generates approximately 75.0% of
its demand from the leisure transient sector and the remainder from
the meeting and group sector. Significant uncertainty remains
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. While its competitive set may have
benefitted from leisure drive-to demand, the property is lagging
behind given its smaller market and more remote location. According
to the STR report, the property's running 28 days ending July 25,
2020, RevPAR was $98.39 (declining 42.6% from the same time period
last year) compared to $224.16 (dropping only 5.9%) for its
competitive set.

S&P said, "In our current analysis, instead of adjusting our
sustainable NCF assumption (since the property is current operating
at low occupancy levels), we increased our capitalization rate by
100 basis points from issuance to account for the adverse impact of
COVID-19 and the responses to it."

As of the July 15, 2020, trustee remittance report, the trust
consisted of the Park Hyatt Beaver Creek floating-rate IO loan with
a $45.0 million trust balance, down from six loans totaling $402.2
million at issuance. Currently, as at issuance, the loan has a
$67.5 million whole loan balance that is split into a $45.0 million
senior trust note A and $22.5 million junior nontrust note B. The
$22.5 million note B supports the class BC and BC VRR Interest
nonpooled certificates (not rated by S&P Global Ratings) in J.P.
Morgan Chase Commercial Mortgage Securities Trust 2017-FL11, a U.S.
CMBS transaction. The senior A note pays a floating per annum rate
of LIBOR plus 2.40% spread, and the junior note B pays a floating
per annum rate of LIBOR plus 3.45% spread. The whole loan initially
matured April 9, 2019, and has three one-year extension options.
The loan currently matures on April 9, 2021, after the borrower
exercised its second extension option in April 2020. The spread
will increase by 0.25% during the third extension term. To date,
the transaction has not experienced any principal losses.

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

-- Health and safety.

  RATINGS LOWERED

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL10
  Commercial mortgage pass-through certificates

              Rating
  Class   To         From
  E       B+ (sf)    BB- (sf)
  F       CCC (sf)   B- (sf)
  X-EXT   CCC (sf)   B- (sf)

  RATING AFFIRMED

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL10
  Commercial mortgage pass-through certificates

  Class   Rating
  D       BBB- (sf)


MAD MORTGAGE 2017-330M: S&P Affirms BB (sf) Rating on Class E Certs
-------------------------------------------------------------------
S&P Global Ratings affirmed its ratings on five classes of
commercial mortgage pass-through certificates from MAD Mortgage
Trust 2017-330M, a U.S. CMBS transaction.

S&P Global Ratings affirmed its ratings on classes A, B, C, D and
E, even though the model-indicated ratings were one to two notches
lower than the classes' current rating levels. The affirmations
reflect S&P Global Ratings' qualitative considerations, which
included the underlying collateral's quality, stable submarket
fundamentals, prime location, historical performance, long-term
leases, and staggered tenant rollover schedule. S&P Global Ratings
also considered that while servicer-reported net cash flows (NCFs)
have increased for the past three years, real estate tax expense
escalations have outpaced the increases in expense reimbursements
income and is higher than the rating agency's expectation at
issuance.

The property currently benefits from a tax abatement program that
will end in 2023 and the estimated unabated real estate tax will
increase to $16.4 million, according to a schedule provided by the
master servicer. While the borrower anticipates that a portion of
the tax increase will be passed onto the tenants in the form of
expense reimbursements, there is no certainty on the reimbursable
amount or offsetting impact on the property's NCF. To account for
this risk, S&P Global Ratings increased its capitalization rate by
25 basis points to 6.50%. The rating agency will continue to
monitor the situation and may revise its analysis and take rating
actions as it deems appropriate. In addition, Wells Fargo
Commercial Mortgage Servicing, as master servicer, stated that the
borrower hasn't requested COVID-19 forbearance relief and one
tenant (0.7% of net rentable area [NRA]) is currently requesting
rent deferrals. The loan has remained current.

This is a stand-alone (single-borrower) transaction backed by a
fixed-rate interest-only (IO) mortgage loan secured by the
borrower's fee simple interest in a 39-story, class A,
849,372-sq.-ft. office building (of which 48,465 sq. ft. is retail,
storage, and management space) located at 330 Madison Avenue in
Midtown Manhattan. S&P Global Ratings' property-level analysis
included a reevaluation of the office building that secures the
mortgage loan and considered the stable servicer-reported occupancy
and NCF in the past two years: 95.7% and $39.9 million,
respectively, in 2018 and 95.1% and $41.1 million in 2019. This
compares to the Grand Central submarket's vacancy, which was 7.7%,
according to the second-quarter 2020 third-party CoStar market
data.

In addition to the aforementioned increase in real estate expenses,
S&P Global Ratings noted at issuance that the One Vanderbilt Plaza
development, which is located directly across from the property,
will physically overshadow it and obstructing its views of midtown
Manhattan; and a direct competitor is on track to open by the end
of 2020, according to media reports. Meanwhile, Jones Lang LaSalle
(JLL) expanded and took over approximately 50,000 sq. ft. of space
that was recently downsized by HSBC. However, while the master
servicer confirmed that JLL moved into the new space in July 2020,
the lease terms are unknown at this point. S&P Global Ratings
derived its sustainable NCF of $38.4 million, comparable to new
issuance, divided it by a 6.5% capitalization rate and added $9.6
million for investment-grade tenant rent steps to determine the
rating agency's expected-case value of $600.0 million or $706 per
sq. ft. Given the short remaining duration of the tax abatement,
which ends in 2023, S&P Global Ratings did not give any add to
value for the tax abatement at this time. This yielded an overall
S&P Global Ratings loan-to-value (LTV) ratio and debt service
coverage (DSC) of 83.3% and 2.22x, respectively.

As of the July 17, 2020, trustee remittance report, the fixed-rate
mortgage loan has a trust and whole loan balance of $500.0 million,
which is unchanged from issuance. The loan pays an annual weighted
average fixed interest rate of 3.42% and matures on Aug. 11, 2024.
Wells Fargo confirmed that there are no mezzanine debt or preferred
equity. To date, the transaction has not experienced any principal
losses.

Wells Fargo reported a DSC of 2.37x for year-end 2019, and
occupancy was 94.8%, according to the March 31, 2020, rent roll.
According to this rent roll, the five largest tenants made up 70.0%
of the NRA and included: Guggenheim Partners (28.5% of NRA;
majority March 2028 expiry), JLL (13.5%; May 2032 expiry), HSBC
Bank (13.3%; April 2020 expiry), Glencore (7.5%; August 2030
expiry), and Point 72 Asset Management (7.2%; August 2021 expiry).
As mentioned above, JLL took over a portion of the space formerly
occupied by HSBC. The NRA includes leases that expire in 2021
(8.5%), 2022 (2.3%), 2023 (1.7%), and 2024 (8.9%).

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 Global Ratings said.

  RATINGS AFFIRMED

  MAD Mortgage Trust 2017-330M
  Commercial mortgage pass-through certificates

  Class     Rating
  A         AAA (sf)
  B         AA- (sf)
  C         A- (sf)
  D         BBB- (sf)
  E         BB (sf)


MAGNETITE XXVII: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Magnetite
XXVII Ltd.'s fixed- and floating-rate notes.

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

The preliminary ratings are based on information as of Aug. 5,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool.

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

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

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

  PRELIMINARY RATINGS ASSIGNED

  Magnetite XXVII Ltd.

  Class                  Rating       Amount (mil. $)
  A-1                    AAA (sf)              295.00
  A-2                    AAA (sf)               20.00
  B                      AA (sf)                65.00
  C (deferrable)         A (sf)                 28.75
  D (deferrable)         BBB- (sf)              28.75
  E (deferrable)         BB- (sf)               15.00
  Subordinated notes     NR                     49.50

  NR--Not rated.



MERIT 2020-HILL: Moody's Gives (P)B3 Rating on Class F Certs
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of CMBS securities, issued by Merit 2020-HILL, Commercial
Mortgage Pass-Through Certificates, Series 2020-HILL:

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

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

Cl. C, Assigned (P)A3 (sf)

Cl. D, Assigned (P)Baa3 (sf)

Cl. E, Assigned (P)Ba3 (sf)

Cl. F, Assigned (P)B3 (sf)

Cl. X-CP*, Assigned (P)A2 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by a single floating-rate,
mortgage loan secured by the fee simple interests in 78
self-storage properties located across 23 states. Its ratings are
based on the credit quality of the loan and the strength of the
securitization structure.

The mortgage loan is secured by the fee simple interests in 78
self-storage properties. In aggregate, there are 37,467 units that
contain 4,600,773 SF of net rentable area. The largest property
represents 5.5% of the mortgage allocated loan amount. The
portfolio is geographically diverse as the 78 properties are
located across 42 MSA's in 23 states. The largest state
concentration is California, which represents 19.7% of the mortgage
ALA. The portfolio's property-level Herfindahl score is 58.6, based
on mortgage ALA. The portfolio reported a weighted average physical
occupancy rate of 90.7% by net rentable area for the trailing
twelve-month period ending on May 31, 2020.

Moody's approach to rating this transaction involved the
application of its Large Loan and Single Asset/Single Borrower CMBS
and Moody's Approach to Rating Structured Finance Interest Only
(IO) Securities. The rating approach for securities backed by a
single loan compares the credit risk inherent in the underlying
collateral with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.

The credit risk of commercial real estate loans is determined
primarily by two factors: 1) the probability of default, which is
largely driven by the DSCR, and 2) and the severity of loss in the
event of default, which is largely driven by the LTV of the
underlying loan.

The first mortgage balance of $323,850,000 represents a Moody's LTV
of 114.3%. The Moody's First Mortgage Actual DSCR is 2.70X and
Moody's First Mortgage Actual Stressed DSCR is 0.88X. The financing
is subject to an additional mezzanine loan totaling $57,150,000.
The Moody's Total Debt LTV (inclusive of the mezzanine loan) is
134.5% while the Moody's Total Debt Actual DSCR is 2.01X and
Moody's Total Debt Stressed DSCR is 0.75X.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The Property's quality
grade is 2.31.

Notable strengths of the transaction include: portfolio's
historical operating performance, geographic diversity, and
experienced property management.

Notable credit challenges of the transaction include: the average
age of the collateral improvements, the loan's floating-rate and
interest-only mortgage loan profile, and certain credit negative
legal features.

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in May 2020.

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from its
Moody's loan level LTV ratios. Major adjustments to determining
proceeds include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.

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

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.

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 commercial real estate from the
collapse in U.S. 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.


MORGAN STANLEY 1998-WF2: Fitch Affirms Dsf Rating on Class M Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed two classes of Morgan Stanley Capital I
Trust 1998-WF2. Fitch also revised the Rating Outlook on class L to
Stable from Positive.

Morgan Stanley Capital I Trust 1998-WF2

  - Class L 61745MHJ5; LT BBBsf; Affirmed  

  - Class M 61745MHK2; LT Dsf; Affirmed  

KEY RATING DRIVERS

Low Loss Expectations: There is only one remaining loan in the
pool, 1201 Pennsylvania Avenue. The loan is fully amortizing and
secured by an office building located in Washington, D.C., several
blocks from the White House. The property has been negatively cash
flowing since 2016, when former largest tenant Covington and
Burlington, 59.1% of NRA, vacated upon lease expiration. As a
result, occupancy dropped to 19% at year-end 2016. As of the March
2020 rent roll, occupancy had increased to 49.6%, but the
property's stabilization remains ongoing. Despite negative cash
flow, the sponsor has kept the loan current and completed a $15
million renovation in early 2019, indicating commitment to the
asset.

Improving Credit Enhancement: Credit enhancement has improved since
Fitch's last rating action as the 1201 Pennsylvania Avenue loan
continues to amortize. As of the July 2020 distribution date, the
pool's aggregate balance has been reduced by 98.7% to $14.1 million
from $1.1 billion at issuance. The remaining loan is scheduled to
mature in April 2023. Realized losses to date total approximately
$9.1 million or 0.9% of the original deal balance.

Sensitivity to Coronavirus: Given that the property has
historically generated negative cash flow, yet the loan has
remained current, Fitch expects the coronavirus-related economic
decline to have a limited impact on property level performance.
However, vacant space may take longer to re-lease as potential new
tenants manage the current economic environment, which will delay
the stabilization process.

RATING SENSITIVITIES

The revision of the Rating Outlook on class L to Stable from
Positive reflects the class' reliance on the 1201 Pennsylvania
Avenue loan, which has been negative cash flowing since 2016 and
concerns with a potential, although limited, impact from the
coronavirus pandemic.

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

An upgrade to class L would likely occur with continued
amortization and/or as property occupancy increases and cash flow
turns positive and begins to stabilize. An upgrade to class M,
rated 'Dsf', is not possible given the previously incurred
principal losses.

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

A downgrade to class L is possible should property occupancy and
performance fail to improve and the loan is transferred to special
servicing.

BEST/WORST CASE RATING SCENARIO

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


MORGAN STANLEY 2007-TOP27: DBRS Confirms B(low) Rating on C Certs
-----------------------------------------------------------------
DBRS Limited confirmed the remaining three classes of Commercial
Mortgage Pass-Through Certificates, Series 2007-TOP27 (the
Certificates) issued by Morgan Stanley Capital I Trust, Series
2007-TOP27 (the Trust), as follows:

-- Class A-J at A (low) (sf)
-- Class B at BBB (sf)
-- Class C at B (low) (sf)

The trend on Class A-J remains Positive and the trends on Classes B
and C remain Stable.

The ratings confirmation reflects the overall stable performance of
the deal as the largest loan in the pool, 360 Park Avenue South
(Prospectus ID#1, 98.8% of the pool), continues to report strong
net cash flow figures. This loan is secured by a Class B office
property located in Manhattan that is fully leased to an investment
grade tenant and lease guarantor, RELX Group (formerly known as
Reed Elsevier). RELX Group vacated their space in Q3 2016 and the
majority of the building has been subleased since that time. The
RELX Group lease is scheduled to expire in December 2021, three
months before the March 2022 maturity date. CBRE Group, Inc. was
engaged to market the space and the borrower has expressed its
intention to backfill the majority of the space to a large tenant;
however, DBRS Morningstar believes the property is reasonably well
positioned to transfer to a multitenant lease, given the healthy
submarket metrics. While the Trust's exposure at maturity of $422
per square foot is slightly high for a Class B office property and
there is the possibility that the in-place occupancy rate could be
low at maturity, an online brochure noted the property is expected
to be revamped by 2022 with modernized common areas and open floor
plans for tenants, suggesting the sponsor's commitment to the
property through its increased efforts to improve property quality
and achieve a stabilized occupancy beyond maturity. DBRS
Morningstar recognizes the risks associated with a possibly vacant
property by maturity and potential challenges faced to release
space amid the Coronavirus Disease (COVID-19) pandemic; as such,
DBRS Morningstar has analyzed the loan conservatively for the
purposes of this review.

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



MORGAN STANLEY 2014-C19: S&P Affirms BB-(sf) Rating on LNC-4 Certs
------------------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class LNC-1, LNC-2,
LNC-3, LNC-4, and LNC-X commercial mortgage pass-through
certificates from Morgan Stanley Bank of America Merrill Lynch
Trust 2014-C19, a U.S. CMBS transaction.

S&P said, "We affirmed our ratings on the principal- and
interest-paying classes because the current rating levels were
generally in line with the model-indicated ratings. However, we
considered the slight decline in occupancy and servicer-reported
net cash flow (NCF) for year-end 2019, which we attributed to new
supply in the market and higher operating expenses. The property
also benefits from a 421-a partial real estate exemption program
that expires in 2027--a risk that we accounted for in our cash flow
analysis by underwriting to the $6.3 million unabated real estate
tax amount, the same as at issuance, compared to the 2019
servicer-reported real estate expense of $106,944. We will continue
to monitor the transaction, and if there are any meaningful changes
to our performance expectations, we may update our analysis and
take rating actions as deem necessary."

In addition, S&P considered that, according to the master servicer,
Wells Fargo Bank N.A., the borrower has not requested COVID-19
forbearance relief and the loan remained current.

S&P affirmed its rating on the class LNC-X interest-only (IO)
certificates based on our 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
LNC-X references classes LNC-1 and LNC-2.

The class LNC certificates in the transaction are backed by a $91.8
million subordinate nonpooled component of a $227.9 million
fixed-rate Linc LIC mortgage whole loan that is secured by the fee
interest in Linc LIC Center, a 41-story, 709-unit high-rise
apartment building in Long Island City, N.Y. The property has
ground floor retail spaces totaling approximately 15,952 sq. ft.
and a 202-space parking garage leased to Quik Park through February
2024. Amenities at the property include a 24-hour attended lobby, a
5,650-sq.-ft. duplex fitness center, squash and basketball courts,
a business center, a children's playroom, a screening room, a
laundry room, storage, a duplex rooftop lounge, and a gazebo. The
multifamily building is also near multiple subway lines and the
Queensboro Bridge to Manhattan.

S&P's property-level analysis included a reevaluation of the
multifamily property that secured the mortgage whole loan and
considered the stable to slightly declining occupancy and
servicer-reported NCF in the last five years: 95.5% and $18.7
million, respectively, in 2015; 96.9% and $19.5 million,
respectively, in 2016; 92.2% and $20.2 million, respectively, in
2017; 96.6% and $19.3 million, respectively, in 2018; and 91.4% and
$18.5 million, respectively, in 2019. According to the March 31,
2020, rent roll, the retail space was 100% leased at an average
gross rent of $24.41 per sq. ft. and the residential space was
89.4% leased at an average base rent of $3,536 per unit, as
calculated by S&P Global Ratings. This compares to the year-to-date
2020 CoStar's submarket 4-5 Star multifamily vacancy and market
asking rent of 2.9% and $3,741 per unit, respectively. S&P derived
an S&P Global Ratings' NCF of $13.6 million, which is flat from
last review, and divided it by a 6.50% S&P Global Ratings
capitalization rate and added approximately $33.0 million for the
present value tax savings to determine our expected-value value,
which was $241.8 million, or $341,041 per unit. This yielded an S&P
Global Ratings loan-to-value ratio of 81.2% on the trust balance
and 94.3% on the whole loan balance. Wells Fargo reported a
year-end 2019 debt service coverage of 1.20x on the whole loan
balance.

As of the July 17, 2020, trustee remittance report, the LNC
certificates had a trust balance of $91.8 million, down from $96.6
million at issuance. The nonpooled LNC certificates are backed by a
subordinate portion of the Linc LIC mortgage whole loan. The Linc
LIC loan has a $227.9 million whole loan balance, down from $240.0
million at issuance, and is divided into two pari passu senior A
notes totaling $104.5 million (down from $110.0 million at
issuance) and three subordinate B notes totaling $123.4 million
(down from $130.0 million at issuance). The $66.5 million pari
passu senior A note is pooled in the transaction, and the $38.0
million pari passu senior A note is in Morgan Stanley Bank of
America Merrill Lynch Trust 2015-C20, also a U.S. CMBS transaction.
A $91.8 million subordinate B note supports the nonpooled LNC
certificates in the transaction, while the other two B notes have
not been reported in any CMBS securitizations. The two A notes are
senior and pari passu to each other. The B notes are subordinate in
right of payment to the A notes. The trust B note is senior in
right of payment to the nontrust B notes. The whole loan pays a per
annum fixed interest rate of 4.76%, is IO for the first 36 months,
and then amortizes on a 360-month schedule and matures on Dec. 4,
2024. The borrower is permitted to incur future mezzanine debt
subject to certain conditions. Wells Fargo confirmed that no
additional mezzanine debt was incurred. To date, the nonpooled LNC
classes in the transaction have not experienced any principal
losses.

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 said, "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."

  RATINGS AFFIRMED
  
  Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19
  Commercial mortgage pass-through certificates

  Class      Rating
  LNC-1      AA- (sf)
  LNC-2      A- (sf)
  LNC-3      BBB- (sf)
  LNC-4      BB- (sf)
  LNC-X      A- (sf)


MP CLO VII: Fitch Lowers Rating on Class F-RR Notes to B-sf
-----------------------------------------------------------
Fitch Ratings has downgraded the class F-RR notes and affirmed the
class A-RR notes from MP CLO VII, Ltd. (f/k/a ACAS CLO 2015-1,
Ltd.; MP CLO VII), which is managed by MP CLO Management LLC. In
addition, Fitch has removed the class F-RR notes from Rating Watch
Negative and assigned them a Negative Outlook. The class F-RR notes
were previously placed on RWN in April.

MP CLO VII, Ltd. (f/k/a ACAS CLO 2015-1, Ltd.)

  - Class A-RR 55320RAG2; LT AAAsf; Affirmed

  - Class F-RR 55320TAD5; LT B-sf; Downgrade

TRANSACTION SUMMARY

MP CLO VII is an arbitrage CLO managed by MP CLO Management LLC.
The CLO originally closed in May 2015, partially refinanced in
December 2017, and was refinanced in whole in September 2018. The
transaction is still within its reinvestment period, which is
scheduled to end in October 2020.

KEY RATING DRIVERS

Asset Credit Quality

The downgrade of the class F-RR notes reflects the 2.5% decrease in
par notional of the underlying portfolio from loan defaults and
credit risk sales since April, in light of the coronavirus
pandemic. Approximately 20% of the portfolio was downgraded since
April. In addition, approximately 1.3% of the portfolio par
notional is defaulted. The average credit quality of obligors is in
the 'B'/'B-' category, as Fitch's weighted average rating factor
for performing assets is 37.2.

Cash Flow Analysis

Due to the negative collateral quality migration, the loss rates
projected for the class F-RR notes exceeded the loss rates
projected from the Fitch Stressed Portfolio at the initial rating
analysis. As a result, this transaction was cash flow modelled.

Fitch used a proprietary cash flow model to replicate the principal
and interest waterfalls, as well as the various structural features
of the transaction. This transaction was modelled under the stable,
down and rising interest-rate scenarios and the front-, mid- and
back-loaded default timing scenarios as outlined in Fitch's
criteria.

The class F-RR notes experienced shortfalls in some scenarios under
current portfolio assumptions, and the model-implied ratings of
these notes were at least one category below their current rating
levels in these scenarios. However, Fitch gave more weight to the
stable interest rate scenarios in the front-, mid- and back-loaded
default timing scenarios. The best pass rating under those
scenarios is 'B-sf', which is at the note's current rating.

When conducting a cash flow analysis, Fitch's model first projects
the portfolio scheduled amortization proceeds and any prepayments
for each reporting period of the transaction life, assuming no
defaults (and assuming no voluntary terminations, when applicable).


In each rating stress scenario, such scheduled amortization
proceeds and prepayments are then reduced by a scale factor
equivalent to the overall percentage of loans that are not assumed
to default (or to be voluntary terminated, when applicable). This
adjustment avoids running out of performing collateral due to
amortization and ensures all of the defaults projected to occur in
each rating stress are realized in a manner consistent with Fitch's
published default timing curve.

Asset Security, Portfolio Management, and Portfolio Composition

The current portfolios consist of 97.6% of first lien senior
secured loans. The loan portfolio remains fairly diversified, with
200 obligors. Exposure to the top ten obligors comprised 11% of the
portfolio balance and no obligor represents more than 2% of the
portfolio balance.

All overcollateralization and interest coverage tests are passing.
The CLO has no excess 'CCC' or discount obligation haircuts applied
in the most recent trustee report available.

Coronavirus Baseline Scenario Impact

Fitch evaluated the transaction under a coronavirus baseline
sensitivity scenario to estimate the resilience of the notes'
ratings to potential further deterioration. The coronavirus
baseline sensitivity analysis notched down the ratings for all
assets with corporate issuers on Outlook Negative regardless of
sector, with a floor of 'CCC-'. The Outlooks assigned on the notes
reflect their performance under Fitch's CFM analysis, based on the
coronavirus baseline sensitivity under stable interest rate
assumptions within all default timing scenarios.

Assets with a Fitch-derived rating on ON currently comprise 37% of
the portfolio balance. The ON assigned to the class F-RR notes
reflects Fitch's view that at least some of the underlying assets
with ON may experience future downgrades, as the impact of
coronavirus continues to unfold and the recovery path remains
uncertain. The Stable Outlook for the class A-RR notes demonstrates
the notes' resilience with positive breakeven cushions under the
coronavirus baseline scenario.

RATING SENSITIVITIES

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

A 25% reduction of the mean default rate across all ratings, and a
25% increase of the recovery rate at all rating levels, would lead
to an upgrade of five notches for the Class F-RR notes, based on
model-implied ratings.

Upgrade scenarios are not applicable and not considered for the
class A-RR notes, as these notes are in the highest rating category
of 'AAAsf'.

At closing, Fitch uses a stress portfolio (Fitch's Stressed
Portfolio) that is customized to the specific portfolio limits for
the transaction as specified in the transaction documents. Upgrades
may occur in the event of a better-than-expected portfolio credit
quality and deal performance, leading to higher notes' credit
enhancement and excess spread available to cover for losses on the
remaining portfolio.

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

A 25% increase of the mean default rate across all ratings, and a
25% decrease of the recovery rate at all rating levels, would lead
to a downgrade of up to four notches for the class A-RR notes and
more than one category below for the class F-RR notes, based on
model-implied ratings.

Downgrades may occur if realized and projected losses of the
portfolio are higher than what was assumed at closing in the Fitch
Stressed Portfolio and the notes' CE does not compensate for the
worse loss expectation than initially expected. As the disruptions
to supply and demand due to the coronavirus disruption become
apparent for other vulnerable sectors, loan ratings in those
sectors would also come under pressure. Fitch will update the
sensitivity scenarios in line with the views of its Leveraged
Finance team.

Coronavirus Downside Scenario Impact

In addition to the baseline scenario described earlier in this
commentary, Fitch conducted a sensitivity analysis that
contemplates a more severe and prolonged economic stress caused by
a re-emergence of infections in the major economies, before a
halting recovery begins in second-quarter 2021.

The downside sensitivity incorporates the following stresses:
applying a one-notch downgrade to all Fitch-derived ratings in the
'B' rating category; applying a 70% recovery rate multiplier to all
assets from issuers in the eight industries identified as being
most exposed to negative performance resulting from business
disruptions from the coronavirus (Group 1 countries only); and
applying a 85% recovery rate multiplier to all other assets. The
model-implied ratings under this sensitivity scenario are four
notches below the current ratings of the class A-RR notes and more
than one category below for the class F-RR 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.


NASSAU LTD 2018-I: Moody's Confirms Ba3 Rating on Class E Notes
---------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Nassau 2018-I Ltd.:

US$28,300,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Confirmed at A2 (sf); previously on
April 17, 2020 A2 (sf) Placed Under Review for Possible Downgrade

US$31,600,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously
on April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$20,100,000 Class E Secured Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class C Notes, Class D Notes, and Class E Notes are referred to
herein, collectively, as the "Confirmed Notes."

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

US$32,600,000 Rated Repack A Notes (composed of components
representing $5,000,000 of Class B Notes, $16,500,000 of Class C
Notes, $1,700,000 of Class D Notes, and US$9,400,000 of
Subordinated Notes due 2031 (collectively, the "Underlying
Components")) (current outstanding balance of $26,443,467.42),
Confirmed at A3 (sf); previously on April 17, 2020 A3 (sf) Placed
Under Review for Possible Downgrade.

US$32,600,000 Rated Repack B Notes (composed of components
representing $11,800,000 of Class C Notes, $11,300,000 of Class D
Notes, and US$9,500,000 of Subordinated Notes due 2031 (current
outstanding balance of $26,204,841.85) due 2031, Confirmed at Baa2
(sf); previously on April 17, 2020 Baa2 (sf) Placed Under Review
for Possible Downgrade.

The Repack A Rated Notes and Repack B Rated Notes are referred to
herein, collectively, as the "Confirmed Repack Notes."

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class C, Class D, and Class E notes and the review
for downgrade initiated on April 17, 2020 on the Repack A Rated
Notes and the Repack B Rated Notes. The CLO, issued in June 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

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3560, compared to 2960 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2990 reported in the July
2020 trustee report [1]. 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 July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $488.9 million, or $11.1 million less than the
deal's ramp-up target par balance.

Moody's noted that the interest diversion test was recently
reported [1] as failing, which could result in repayment of senior
notes or a portion of excess interest collections being diverted
towards reinvestment in collateral at the next payment date should
the failure continue. Nevertheless, Moody's noted that the OC tests
for the Class C, Class D, and Class E Notes were recently reported
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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $482,759,893

Defaulted Securities: $15,562,100

Diversity Score: 83

Weighted Average Rating Factor: 3510

Weighted Average Life (WAL): 5.71 years

Weighted Average Spread (WAS): 3.90%

Weighted Average Recovery Rate (WARR): 47.23%

Par haircut in O/C tests and interest diversion test: 1.3%

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 and repack 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.


NASSAU LTD 2020-I: Moody's Gives Ba3 Rating on Class E Notes
------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes and one class of rated structured notes issued by Nassau
2020-I Ltd.

Moody's rating action is as follows:

US$137,500,000 Class A-1 Senior Secured Floating Rate Notes due
2029 (the "Class A-1 Notes"), Assigned Aaa (sf)

US$25,000,000 Class B-1 Senior Secured Floating Rate Notes due 2029
(the "Class B-1 Notes"), Assigned Aa2 (sf)

US$6,875,000 Class B-2 Senior Secured Fixed Rate Notes due 2029
(the "Class B-2 Notes"), Assigned Aa2 (sf)

US$10,625,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class C Notes"), Assigned A2 (sf)

US$15,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class D Notes"), Assigned Baa3 (sf)

US$12,500,000 Class E Secured Deferrable Floating Rate Notes due
2029 (the "Class E Notes"), Assigned Ba3 (sf)

US$20,282,710 Rated Structured Notes (composed of components
representing $12,500,000 of Class E Notes and $10,000,000 of
Subordinated Notes (collectively, the "Components")) due 2029 (the
"Rated Structured Notes"), Assigned Ba3 (sf) with respect to the
ultimate receipt of the "Aggregate Structured Note Rated Balance"
(as defined in the transaction's indenture).

The Class A-1 Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D Notes, and the Class E Notes are
referred to herein, together, as the "Rated Notes."

The Rated Structured Notes are herein referred to as the "Rated
Structured Notes".

The Rated Structured Notes' structure includes several notable
features. The Rated Structured Notes promise the repayment of the
Aggregate Structured Note Rated Balance and do not bear a stated
rate of interest. In addition to the Rated Structured Notes, the
Issuer also issued the Residual Structured Notes that Moody's did
not rate. Any proceeds from the Components will be first applied to
the payment of principal of the Rated Structured Notes until its
principal is reduced to zero and second, distributed to the
Residual Structured Notes. While the Rated Structured Notes are
outstanding, the Issuer cannot re-price or refinance the
Components, without satisfaction of certain conditions.

RATINGS RATIONALE

The rationale for the ratings is based on its methodology and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.

Nassau 2020-I is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 97.5% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 2.5% of the portfolio may consist of second lien loans
and unsecured loans. The portfolio is approximately 83% ramped as
of the closing date.

NCC CLO Manager LLC will direct the selection, acquisition and
disposition of the assets on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's one-year reinvestment period. Thereafter, subject to
certain restrictions, the Manager may reinvest unscheduled
principal payments and proceeds from sales of credit risk assets.
In addition to the Rated Notes and the Rated Structured Notes, the
Issuer issued one other class of notes as well as residual and
subordinated notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount: $250,000,000

Diversity Score: 60

Weighted Average Rating Factor: 2849

Weighted Average Spread: 3.70%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate: 47.0%

Weighted Average Life: 6.0 years

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 U.S. 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.

Methodology Underlying the Rating Action:

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

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

The performance of the Rated Notes and the Rated Structured Notes
is subject to uncertainty. The performance of the Rated Notes is
sensitive to the performance of the underlying portfolio, which in
turn depends on economic and credit conditions that may change. The
Manager's investment decisions and management of the transaction
will also affect the performance of the Rated Notes.

The ratings on the Rated Structured Notes, which combine cash flows
from the Components, are subject to a higher degree of volatility
than the other rated notes of the Issuer, primarily due to the
uncertainty of cash flows from the Subordinated Notes. Moody's
applied haircuts to the cash flows from the Subordinated Notes
based on the target rating of the Rated Structured Notes. Actual
distributions from the Subordinated Notes that differ significantly
from Moody's assumptions can lead to a faster (or slower) speed of
reduction in the Aggregate Structured Note Rated Balance, thereby
resulting in better (or worse) ratings performance than previously
expected.


NEUBERGER BERMAN XVI-S: Moody's Lowers Rating on F Notes to Caa1
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Neuberger Berman CLO XVI-S, Ltd.:

US$11,000,000 Class F Junior Secured Deferrable Floating Rate Notes
January 2028 (the "Class F Notes"), Downgraded to Caa1 (sf);
previously on June 3, 2020 B3 (sf) Placed Under Review for Possible
Downgrade

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

US$33,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes Due January 2028 (the "Class D Notes"), Confirmed at Baa3
(sf); previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$24,750,000 Class E Junior Secured Deferrable Floating Rate Notes
Due January 2028 (the "Class E Notes"), Confirmed at Ba3 (sf);
previously on June 3, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class D Notes and Class E Notes are referred herein,
collectively, as the Confirmed Notes.

These actions conclude the review for downgrade initiated on June
3, 2020 on the Class D Notes, the Class E Notes and the Class F
Notes. The CLO, issued in January 2018 is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in January 2020.

RATINGS RATIONALE

The downgrade on the Downgraded 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 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased
and expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3300, compared to 2904 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3139 reported in the July
2020 trustee report [3]. 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
18.23% as of July 2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $518 million.
Nevertheless, Moody's noted that the OC tests for the Class D
Notes, Class E Notes as well as the interest diversion test
(equivalent to the OC test for the Class F Notes) were recently
reported [4] 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $506,521,022

Defaulted Securities: $14,292,548

Diversity Score: 65

Weighted Average Rating Factor: 3281

Weighted Average Life: 4.1 years

Weighted Average Spread: 3.2%

Weighted Average Recovery Rate: 48.8%

Par haircut in O/C tests and interest diversion test: 1.84%

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 COULD 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.


NEUBERGER BERMAN XX: Moody's Confirms B2 Rating on Class F-R Notes
------------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Neuberger Berman CLO XX, Ltd.:

US$30,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due January 2028 (the "Class D-R Notes"), Confirmed at Baa2
(sf); previously on June 3, 2020 Baa2 (sf) Placed Under Review for
Possible Downgrade

US$22,750,000 Class E-R Mezzanine Secured Deferrable Floating Rate
Notes Due January 2028 (the "Class E-R Notes"), Confirmed at Ba2
(sf); previously on June 3, 2020 Ba2 (sf) Placed Under Review for
Possible Downgrade

US$12,000,000 Class F-R Mezzanine Secured Deferrable Floating Rate
Notes Due January 2028 (the "Class F-R Notes"), Confirmed at B2
(sf); previously on June 3, 2020 B2 (sf) Placed Under Review for
Possible Downgrade

The Class D-R Notes, the Class E-R Notes and the Class F-R Notes
are referred to herein, collectively, as the Confirmed Notes.

These actions conclude the review for downgrade initiated on June
3, 2020 on the Class D-R Notes, the Class E-R Notes and the Class
F-R Notes issued by the CLO. The CLO, originally issued in November
2015 and partially refinanced in November 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 January 2020.

RATINGS RATIONALE

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3360, compared to 2945 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3246 reported in the July
2020 trustee report [3]. 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
19.03% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $477.7 million. Nevertheless, Moody's noted that the
OC tests for the Class D-R Notes, Class E-R Notes as well as the
interest diversion test (equivalent to the OC test for the Class
F-R Notes) were recently reported [4] 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $467,199,949

Defaulted Securities: $12,525,108

Diversity Score: 65

Weighted Average Rating Factor: 3341

Weighted Average Life: 4.3 years

Weighted Average Spread: 3.18%

Weighted Average Recovery Rate: 48.92%

Par haircut in O/C tests and interest diversion test: 1.95%

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.


NORTHWOODS CAPITAL 22: S&P Assigns Prelim BB- (sf) Rating E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Northwoods
Capital 22 Ltd./Northwoods Capital 22 Ltd.'s floating- and
fixed-rate notes.

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

The preliminary ratings are based on information as of Aug. 12,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

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

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

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

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 said, "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."

  PRELIMINARY RATINGS ASSIGNED

  Northwoods Capital 22 Ltd./Northwoods Capital 22 LLC

  Class                   Rating       Amount (mil. $)
  A-1                     AAA (sf)              180.00
  A-2                     NR                      9.00
  B-1                     AA (sf)                31.00
  B-2                     AA (sf)                 5.00
  C (deferrable)          A (sf)                 19.50
  D (deferrable)          BBB- (sf)              16.50
  E (deferrable)          BB- (sf)                9.00
  Subordinated notes      NR                     24.80

  NR--Not rated.



NRZ ADVANCE 2015-ON1: S&P Assigns Prelim 'BB' Rating to E-T1 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to NRZ Advance
Receivables Trust 2015-ON1 (Series 2020-T1)'s advance
receivables-backed notes series 2020-T1.

The note issuance is an servicer advance transaction backed by
servicer advance reimbursements and accrued and unpaid servicing
fees.

The preliminary ratings are based on information as of Aug. 12,
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 strong likelihood of reimbursement of servicer advance
receivables given the priority of such reimbursement payments;

-- The transaction's revolving period, during which collections or
draws on the outstanding variable-funding note may be used to fund
additional advance receivables, and the specified eligibility
requirements, collateral value exclusions, credit enhancement test
(the collateral test), and amortization triggers intended to
maintain pool quality and credit enhancement during this period;

-- The transaction's use of predetermined, rating
category-specific advance rates for each receivable type in the
pool that discount the receivables, which are non-interest bearing,
to satisfy the interest obligations on the notes, as well as
provide for dynamic overcollateralization;

-- The projected timing of reimbursements of the servicer advance
receivables, which, in the 'AAA', 'AA', and 'A' scenarios, reflects
our assumption that the servicer would be replaced, while in the
'BBB' and 'BB' scenarios, reflects the servicer's historical
reimbursement experience; The credit enhancement in the form of
overcollateralization, subordination, and the series reserve
accounts;

-- The timely interest and full principal payments made under
S&P's stressed cash flow modeling scenarios consistent with the
assigned preliminary ratings; and

-- The transaction's sequential turbo payment structure that
applies during any full amortization period.

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 said, "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."

  PRELIMINARY RATINGS ASSIGNED
  
  NRZ Advance Receivables Trust 2015-ON1 (Series 2020-T1)

  Class       Rating             Amount
                               (mil. $)
  A-T1        AAA (sf)      523,226,000
  B-T1        AA (sf)        14,186,000
  C-T1        A (sf)         14,291,000
  D-T1        BBB (sf)       41,651,000
  E-T1        BB (sf)         6,646,000


OCTAGON INVESTMENT 34: Moody's Confirms Ba3 Rating on E-2 Notes
---------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Octagon Investment Partners 34, Ltd.:

US$22,500,000 Class D Secured Deferrable Mezzanine Floating Rate
Notes due 2030, Confirmed at Baa3 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$9,375,000 Class E-1 Secured Deferrable Junior Floating Rate
Notes due 2030, Confirmed at Ba3 (sf); previously on April 17, 2020
Ba3 (sf) Placed Under Review for Possible Downgrade

US$10,880,000 Class E-2 Secured Deferrable Junior Floating Rate
Notes due 2030, Confirmed at Ba3 (sf); previously on April 17, 2020
Ba3 (sf) Placed Under Review for Possible Downgrade

The Class D Notes, the Class E-1 Notes, and the Class E-2 Notes are
referred to herein, collectively, as the "Confirmed Notes."

These actions conclude the review for downgrade initiated on April
17, 2020 on the Confirmed Notes. The CLO, issued in December 2017,
is a managed cashflow CLO. The notes are collateralized primarily
by a portfolio of broadly syndicated senior secured corporate
loans. The transaction's reinvestment period will end in January
2023.

RATINGS RATIONALE

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

Based on July 2020 trustee report [1], the OC tests for the Class
D, Class E Notes, and the interest diversion test were reported at
110.44%, 105.04%, and 105.04%, and passing their respective trigger
levels of 108.80%, 104.20%, and 104.70%.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $433,766,988

Defaulted Securities: $9,517,338

Diversity Score: 77

Weighted Average Rating Factor: 3006

Weighted Average Life (WAL): 5.89 years

Weighted Average Spread (WAS): 3.52%

Weighted Average Recovery Rate (WARR): 47.20%

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.


OCTAGON INVESTMENT 39: Moody's Confirms B3 Rating on Class F Notes
------------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Octagon Investment Partners 39, Ltd.:

US$37,800,000 Class D Secured Deferrable Floating Rate Notes due
2030, Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

US$30,600,000 Class E Secured Deferrable Floating Rate Notes due
2030, Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

US$12,000,000 Class F Secured Deferrable Floating Rate Notes due
2030, Confirmed at B3 (sf); previously on April 17, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

The Class D Notes, the Class E Notes, and the Class F Notes are
referred to herein, collectively, as the "Confirmed Notes."

These actions conclude the review for downgrade initiated on April
17, 2020 on the Confirmed Notes. The CLO, issued in November 2018
is a managed cashflow CLO. The notes are collateralized primarily
by a portfolio of broadly syndicated senior secured corporate
loans. The transaction's reinvestment period will end in October
2023.

RATINGS RATIONALE

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

Based on the July 2020 trustee report [1], the OC tests for the
Class D, E Notes and the interest diversion test, which is
equivalent to the Class F OC Test, were recently reported at
114.24%, 107.92%, and 105.62%, passing their respective trigger
levels of 109.10%, 104.20%, and 102.30%.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $591,468,164

Defaulted Securites: $6,541,931

Diversity Score: 78

Weighted Average Rating Factor: 2962

Weighted Average Life (WAL): 5.98 years

Weighted Average Spread (WAS): 3.50%

Weighted Average Recovery Rate (WARR): 47.21%

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.


OCWEN MASTER 2020-T1: S&P Assigns Prelim 'BB' Rating to E-T1 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Ocwen Master
Advance Receivables Trust's advance receivables-backed notes series
2020-T1.

The note issuance is a RMBS transaction backed by servicer advance
reimbursements and accrued and unpaid servicing fee
reimbursements.

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

The preliminary ratings reflect:

-- The strong likelihood of reimbursement of servicer advance
receivables given the priority of such reimbursement payments;

-- The transaction's revolving period, during which collections or
draws on any outstanding variable-funding notes (VFNs) that are
also in a revolving period may be used to fund additional advance
receivables, and the specified eligibility requirements, collateral
value exclusions, credit enhancement test (the collateral test),
and amortization triggers intended to maintain pool quality and
credit enhancement during this period;

-- The transaction's use of pre-determined, rating
category-specific advance rates for each receivable type in the
pool that discount the receivables, which are non-interest bearing,
to satisfy the interest obligations on the notes, as well as
provide for dynamic overcollateralization;

-- The projected timing of reimbursements of the servicer advance
receivables, which, in the 'AAA', 'AA', and 'A' rating scenarios,
reflects S&P's assumption that the servicer would be replaced and
while in the 'BBB' and 'BB' scenarios, reflects the servicer's
historical reimbursement experience;

-- The credit enhancement in the form of overcollateralization,
subordination, and the series reserve accounts;

-- The timely interest and full principal payments made under its
stressed cash flow modeling scenarios consistent with the
preliminary ratings; and

-- The transaction's sequential turbo payment structure that
applies during any full amortization period.

The preliminary ratings assigned to the series 2020-T1 notes do not
address whether the cash flows generated by the receivables pool
will be sufficient to pay certain fees, which may become payable to
the noteholders if certain events occur.

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 said, "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."

  PRELIMINARY RATINGS ASSIGNED

  Ocwen Master Advance Receivables Trust (Series 2020-T1)

  Class       Rating      Amount (mil. $)
  A-T1        AAA (sf)            415.967
  B-T1        AA (sf)              10.487
  C-T1        A (sf)               10.478
  D-T1        BBB (sf)             31.681
  E-T1        BB (sf)               6.387


OZLM LTD VI: Moody's Lowers Rating on Class E-S Notes to Caa1
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by OZLM VI, Ltd.:

US$14,400,000 Class E-S Secured Deferrable Floating Rate Notes
(current outstanding balance of $15,146,559) due 2031 (the "Class
E-S Notes"), Downgraded to Caa1 (sf); previously on April 17, 2020
B3 (sf) Placed Under Review for Possible Downgrade

The Class E-S Notes are referred to herein as the "Downgraded
Notes."

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

US$37,500,000 Class C-S Secured Deferrable Floating Rate Notes Due
2031 (the "Class C-S Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$33,000,000 Class D-S Secured Deferrable Floating Rate Notes Due
2031 (the "Class D-S Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class C-S and D-S Notes are referred to herein, collectively,
as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C-S, D-S, and E-S Notes issued by the CLO.
The CLO, originally issued in April 2014 and refinanced in April
2018 is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
April 2023.

RATINGS RATIONALE

The downgrade on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3284, compared to 2841 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2983 reported in the July
2020 trustee report [3]. 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
21.8% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $584.3 million, or $15.7 million less than the
deal's ramp-up target par balance.

Moody's noted that the OC tests for the Class D-S notes, as well as
the interest diversion test were recently reported as failing[4],
which could result in repayment of senior notes or in a portion of
excess interest collections being diverted towards reinvestment in
collateral at the next payment date should the failures continue.
Nevertheless, Moody's noted that the OC tests for the Class A-S,
B-S, and C-S Notes are passing [5].

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $578,425,132

Defaulted Securities: $14,231,903

Diversity Score: 75

Weighted Average Rating Factor: 3299

Weighted Average Life: 5.8 years

Weighted Average Spread: 3.44%

Weighted Average Recovery Rate: 47.33%

Par haircut in O/C tests and interest diversion test: 2.3%

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.


OZLM LTD XXII: Moody's Lowers Rating on Class E Notes to Caa1
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by OZLM XXII, Ltd.:

US$9,600,000 Class E Secured Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on
April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class E Notes are referred to herein as the "Downgraded
Notes."

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

US$28,800,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Confirmed at Baa3 (sf); previously
on April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$24,000,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C, Class D and Class E Notes issued by the
CLO. The CLO, issued 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 will end on January 2023.

RATINGS RATIONALE

The downgrade on the Downgraded 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 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased
and the credit enhancement available to the CLO notes has
declined.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3242, compared to 2823 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2908 reported in the July
2020 trustee report [1]. 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
21.5% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $469.6 million, or $10.4 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $465,015,985

Defaulted Securities: $11,830,901

Diversity Score: 72

Weighted Average Rating Factor: 3272

Weighted Average Life: 5.8 years

Weighted Average Spread: 3.41%

Weighted Average Recovery Rate: 47.3%

Par haircut in O/C tests and interest diversion test: 1.7%

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.


PALMER SQUARE 2020-2: S&P Assigns Prelim BB-(sf) Rating to D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Palmer
Square CLO 2020-2 Ltd./Palmer Square CLO 2020-2 LLC's floating-rate
notes.

The note issuance is a CLO securitization backed by 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 Aug. 13,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

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

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

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

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

  PRELIMINARY RATINGS ASSIGNED

  Palmer Square CLO 2020-2 Ltd./Palmer Square CLO 2020-2 LLC

  Class                Rating           Amount
                                      (mil. $)

  A-1a                 AAA (sf)         244.00
  A-1b                 NR                16.00
  A-2                  AA (sf)           44.00
  B (deferrable)       A (sf)            24.00
  C (deferrable)       BBB- (sf)         20.00
  D (deferrable)       BB- (sf)          14.00
  Subordinated notes   NR                33.90

  NR--Not rated.


PARALLEL LTD 2015-1: Moody's Lowers Rating on Class E Notes to B1
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Parallel 2015-1 Ltd.:

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

US$8,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2027 (current outstanding balance of $8,328,099) (the "Class F
Notes"), Downgraded to Caa2 (sf); previously on April 17, 2020 B2
(sf) Placed Under Review for Possible Downgrade

The Class E Notes, and the Class F Notes are referred to herein,
collectively, as the "Downgraded Notes."

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

US$24,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class D-R Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

The Class D-R Notes are referred to herein as the "Confirmed
Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D-R, the Class E and the Class F Notes issued
by the CLO. The CLO, originally issued in July 2015 and partially
refinanced in January 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 October 2019.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3728, compared to 3116 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2781 reported in the July
2020 trustee report [5]. 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
27.8% as of July 2020. Moody's noted that the OC tests for the
Class E notes, as well as the interest diversion test were recently
reported [3] as failing. Nevertheless, Moody's noted that the OC
tests for the Class D Notes was recently reported [4] 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $286,113,303

Defaulted Securites: $10,386,773

Diversity Score: 60

Weighted Average Rating Factor: 3717

Weighted Average Life: 3.97 years

Weighted Average Spread: 3.51%

Weighted Average Recovery Rate: 47.0%

Par haircut in O/C tests and interest diversion test: 3.8%

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.


PEAKS CLO 2: Moody's Lowers Class E-R Notes to Caa2
---------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Peaks CLO 2, Ltd.:

US$9,000,000 Class C-R Secured Deferrable Floating Rate Notes Due
2031 (the "Class C-R Notes"), Downgraded to A3 (sf); previously on
August 9, 2019, Assigned A2 (sf)

US$11,000,000 Class D-R Secured Deferrable Floating Rate Notes Due
2031 (the "Class D-R Notes"), Downgraded to Ba2 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$11,000,000 Class E-R Secured Deferrable Floating Rate Notes Due
2031 (the "Class E-R Notes"), Downgraded to Caa2 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class C-R Notes, the Class D-R Notes, and the Class E-R Notes
are referred to herein, collectively, as the "Downgraded Notes."

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D-R and Class E-R Notes. The collateralized
loan obligation, originally issued in May 2017 and refinanced in
August 2019, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in July 2023.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3746, compared to 3301 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3237 reported in the July
2020 trustee report [3]. 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
24.0% as of July 2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $145.1 million,
or $4.0 million less than the deal's ramp-up target par balance.
Additionally, based on the July 2020 trustee report [4], Moody's
noted that the OC test for the Class Class E notes and the interest
diversion test were both reported at 105.90%, and failing their
respective trigger levels of 107.10%, and 107.60%.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $ 142,842,900

Defaulted Securites: $3,975,165

Diversity Score: 59

Weighted Average Rating Factor: 3737

Weighted Average Life (WAL): 5.58 years

Weighted Average Spread (WAS): 4.65%

Weighted Average Coupon (WAC): N/A

Weighted Average Recovery Rate (WARR): 43.71%

Par haircut in O/C tests and interest diversion test: $3,172,151

Finally, Moody's notes that it also considered the information in
the July 2020 trustee report [5] which became available immediately
prior to the release of this announcement.

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.


PIKES PEAK 1: Moody's Confirms Ba3 Rating on Class E Notes
----------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Pikes Peak CLO 1:

US$24,250,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Confirmed at Baa3 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on June 3, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class D Notes and the Class E Notes issued by the
CLO. The CLO, issued in June 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 June 2023.

RATINGS RATIONALE

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3219 compared to 2900 reported in the
March 2020 trustee report [2]. Moody's calculation also showed the
WARF was failing the test level of 2875 reported in the July 2020
trustee report [3]. 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 17.9% as of July
2020. Nevertheless, Moody's noted that the OC tests for the Class D
Notes and the Class E Notes, as well as the interest diversion test
were recently reported [4] 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $394,999,058

Defaulted Securities: $2,723,627

Diversity Score: 64

Weighted Average Rating Factor: 3220

Weighted Average Life: 5.9 years

Weighted Average Spread: 3.40%

Weighted Average Recovery Rate: 47.4%

Par haircut in O/C tests and interest diversion test: 0.7%

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.


SARANAC CLO III: Moody's Lowers Class E-R Notes to Caa3
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Saranac CLO III Limited:

US$45,000,000 Class B-R Senior Secured Floating Rate Notes due 2030
(the "Class B-R Notes"), Downgraded to Aa3 (sf); previously on June
03, 2020 Aa2 (sf) Placed Under Review for Possible Downgrade

US$24,500,000 Class C-R Secured Deferrable Floating Rate Notes due
2030 (the "Class C-R Notes"), Downgraded to Baa2 (sf); previously
on April 17, 2020 A2 (sf) Placed Under Review for Possible
Downgrade

US$24,000,000 Class D-R Secured Deferrable Floating Rate Notes due
2030 (current outstanding balance of $24,269,671) (the "Class D-R
Notes"), Downgraded to Ba2 (sf); previously on April 17, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

US$24,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2030 (current outstanding balance of $24,527,505) (the "Class E-R
Notes"), Downgraded to Caa3 (sf); previously on April 17, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

The Class B-R Notes, the Class C-R Notes, Class D-R and the Class
E-R Notes are referred to herein, collectively, as the "Downgraded
Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C-R, D-R and E-R notes, and on June 3, 2020
on the Class B-R notes, issued by the CLO. The CLO, originally
issued in August 2014 and refinanced 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 June 2022.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3584, compared to 3085 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3144 reported in the July
2020 trustee report [3]. 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
24.40% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $363.8 million, or $23.2 million less than the
deal's ramp-up target par balance.

Moody's noted that the OC tests for the Class B-R notes, Class C-R
notes, Class D-R notes and Class E notes, as well as the interest
diversion test were recently reported [4]as failing, which could
result in repayment of senior notes at the next payment date should
the failures continue.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $358,389,805

Defaulted Securites: $5,410,102

Diversity Score: 79

Weighted Average Rating Factor: 3543

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.76%

Weighted Average Recovery Rate (WARR): 48.47%

Par haircut in O/C tests and interest diversion test: $5.4 million

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.


SENECA PARK: Moody's Confirms Caa2 Rating on Class F Notes
----------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Seneca Park CLO, Ltd.:

US$40,500,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$8,000,000 Class F Secured Deferrable Floating Rate Notes due
2026 (the "Class F Notes"), Confirmed at Caa2 (sf); previously on
June 3, 2020 Caa2 (sf) Placed Under Review for Possible Downgrade

The Class E Notes and the Class F Notes are referred to herein,
together, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Confirmed Notes issued by the CLO. The CLO,
originally issued in June 2014 and partially refinanced in April
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
July 2018.

RATINGS RATIONALE

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3577, compared to 3232 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2573 reported in the July
2020 trustee report [1]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately 23%
as of July 2020. Nevertheless, Moody's noted that the OC tests for
the Class A/B, Class C, Class D and Class E Notes, as well as the
interest diversion test were recently reported [1] as passing.
Furthermore, Moody's noted that the deal has benefited from
deleveraging of the senior notes following amortization of the
underlying portfolio.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $274,351,386

Defaulted Securites: $1,237,774

Diversity Score: 46

Weighted Average Rating Factor: 3593

Weighted Average Life: 3.1 years

Weighted Average Spread: 3.26%

Weighted Average Coupon: 1.0%

Weighted Average Recovery Rate: 47.72%

Par haircut in O/C tests and interest diversion test: 3.42%

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.


SLM PRIVATE 2007-A: Fitch Affirms BB+ Rating on Class C-2 Debt
--------------------------------------------------------------
Fitch Ratings has affirmed 36 tranches from 11 SLM Private Credit
Student Loan Trust transactions, affirmed one tranche from SLM
Private Education Loan Trust transactions, and seven tranches from
two Navient Private Education Loan Trust. The affirmations reflect
the available credit enhancement commensurate at each bond's
corresponding rating level.

SLM Private Credit Student Loan Trust 2004-A  

  - Class A-3 78443CBH6; LT AAsf; Affirmed

SLM Private Credit Student Loan Trust 2003-B  

  - Class A-3 78443CAN4; LT A-sf; Affirmed

  - Class A-4 78443CAP9; LT A-sf; Affirmed

  - Class B 78443CAQ7; LT BBBsf; Affirmed

  - Class C 78443CAR5; LT CCsf; Affirmed

SLM Private Credit Student Loan Trust 2003-A  

  - Class A-3 78443CAJ3; LT A-sf; Affirmed

  - Class A-4 78443CAK0; LT A-sf; Affirmed

  - Class B 78443CAG9; LT BBB+sf; Affirmed

  - Class C 78443CAH7; LT CCsf; Affirmed

SLM Private Credit Student Loan Trust 2003-C  

  - Class A-3 78443CBA1; LT A-sf; Affirmed

  - Class A-4 78443CBB9; LT A-sf; Affirmed

  - Class A-5 78443CBC7; LT A-sf; Affirmed

  - Class B 78443CBD5; LT BBBsf; Affirmed

  - Class C 78443CBE3; LT CCsf; Affirmed

SLM Private Credit Student Loan Trust 2006-B  

  - Class A-5 78443CCU6; LT Asf; Affirmed

  - Class A-5W 78443CCY8; LT Asf; Affirmed

  - Class B 78443CCV4; LT BBB+sf; Affirmed

  - Class C 78443CCW2; LT BBB-sf; Affirmed

Navient Private Education Loan Trust 2015-A  

  - Class A-2A 63939EAB9; LT AAAsf; Affirmed

  - Class A-2B 63939EAC7; LT AAAsf; Affirmed

  - Class A3 63939EAD5; LT AAAsf; Affirmed

  - Class B 63939EAE3; LT AAsf; Affirmed

Navient Private Education Loan Trust 2016-A  

  - Class A-2A 63939NAB9; LT AAAsf; Affirmed

  - Class A-2B 63939NAC7; LT AAAsf; Affirmed

  - Class B 63939NAD5; LT AAsf; Affirmed

SLM Private Credit Student Loan Trust 2004-B  

  - Class A-3 78443CBN3; LT AAAsf; Affirmed

  - Class A-4 78443CBP8; LT AAsf; Affirmed

  - Class B 78443CBQ6; LT Asf; Affirmed

SLM Private Credit Student Loan Trust 2007-A  

  - Class A-4 78443DAD4; LT A-sf; Affirmed

  - Class B 78443DAF9; LT BBBsf; Affirmed

  - Class C-1 78443DAH5; LT BB+sf; Affirmed

  - Class C-2 78443DAJ1; LT BB+sf; Affirmed

SLM Private Education Loan Trust 2013-B  

  - Class B 78447VAD0; LT AAAsf; Affirmed

SLM Private Credit Student Loan Trust 2006-C  

  - Class A-5 78443JAE9; LT AA-sf; Affirmed

  - Class B 78443JAF6; LT Asf; Affirmed

  - Class C 78443JAG4 LT BBB-sf; Affirmed

SLM Private Credit Student Loan Trust 2005-A  

  - Class A-3 78443CBU7; LT AAAsf; Affirmed

  - Class A-4 78443CBV5; LT A+sf; Affirmed

  - Class B 78443CBW3; LT A-sf; Affirmed

SLM Private Credit Student Loan Trust 2006-A  

  - Class A-5 78443CCL6; LT A+sf; Affirmed

  - Class B 78443CCM4; LT Asf; Affirmed

  - Class C 78443CCN2; LT BBBsf; Affirmed

SLM Private Credit Student Loan Trust 2005-B  

  - Class A-4 78443CCB8; LT A+sf; Affirmed

  - Class B 78443CCC6; LT A-sf; Affirmed

TRANSACTION SUMMARY

Due to coronavirus pandemic, forbearance levels increased
drastically in the past quarter, ranging from 7.8% to 16.6% for all
deals, supporting delinquency and default performance that have
remained stable as a consequence. While cure rate for loans in
forbearance remains to be assessed, Fitch incorporated increased
default stress assumptions for all the trust reflecting the
coronavirus baseline scenario.

KEY RATING DRIVERS

Collateral Performance: All trusts are collateralized by private
student loans, originated by SLM Corp. (BB+/Negative/B) and Navient
Corp. (BB-/Negative/B). Loans in the SLM trusts were originated
under the Signature Education Loan Program, LAWLOANS program, MBA
Loans program, and MEDLOANS program. SLM 2007-A, SLM PE trusts and
Navient PE trusts also included loans originated under the Direct
to Consumer and Private Credit Consolidation programs. SLM PE and
Navient PE also comprise Navient's Smart Option program, launched
in 2009.

Fitch's remaining default projections was revised to account for
the impact on asset performance caused by the economic consequences
of the coronavirus pandemic. They are as follows:

SLM 2003-A: 9.1%

SLM 2003-B: 9.2%

SLM 2003-C: 9.2%

SLM 2004-A: 9.0%

SLM 2004-B: 9.3%

SLM 2005-A: 11.1%

SLM 2005-B: 11.1%

SLM 2006-A: 11.7%

SLM 2006-B: 12.8%

SLM 2006-C: 12.8%

SLM 2007-A: 14.1%

SLM 2013-B: 8.9%

Navient 2015-A: 14.7%

Navient 2016-A: 14.4%

The recovery assumption is 18.0% for all transactions, unchanged
from previous surveillance reviews.

For SLM 2003-A, SLM 2003-B, SLM 2003-C, SLM 2004-A, SLM 2004-B, SLM
2005-A, and SLM 2005-B, Fitch applied a low default stress multiple
in the multiple range from Fitch's Private Student Loan Criteria,
resulting in a 3.5x multiple at 'AAAsf'. For SLM 2006-A, SLM
2006-B, SLM 2006-C, 2007-A, 2013-B, Navient 2015-A, and Navient
2016-A, Fitch applied a medium/low default stress multiple of 3.75x
multiple at 'AAAsf'. The assumed multiples are unchanged from the
previous surveillance review.

Payment Structure: For all transactions, available CE is sufficient
to provide loss coverage in line with the assigned rating category.
CE is provided by a combination of overcollateralization (OC; the
excess of the trust's asset balance over the bond balance), excess
spread, and subordination of more junior notes. As reflected in the
assigned ratings, the class C notes for SLM 2003-A, 2003-B and
2003-C are currently under collateralized. All other deals are at
or above their OC floor level.

Operational Capabilities: Navient Solutions LLC is the servicer for
all the loans in the trusts. Fitch has reviewed the servicing
operations of Navient and considers it to be an effective private
student loan servicer. Fitch has confirmed with the servicer the
availability of a business continuity plan to minimize disruptions
in the collection process. In addition, Navient created a
short-term coronavirus forbearance program to postpone payments for
at least one month to borrowers seeking relief who are affected by
the recent pandemic.

Coronavirus Impact: Fitch has made assumptions about the spread of
the coronavirus and the economic impact of the related containment
measures. Under the coronavirus baseline (rating) scenario, Fitch
assumes a global recession in 1H20, driven by sharp economic
contractions in major economies with a rapid spike in unemployment.
Recovery begins in 3Q20, but incomes remain depressed through 2022.
Under the coronavirus baseline (rating) scenario, when setting the
base case default assumptions, Fitch incorporated a short-term
stress by using a 5% Constant Default Rate and calculated a
weighted average with a sustainable long-term CDR, resulting in a
revised CDR assumption for all transactions.

The risk of negative rating actions will increase in a more
sustained stress, as contemplated in Fitch's coronavirus downside
scenario. As a downside scenario, Fitch considers a more severe and
prolonged period of stress with a halting recovery beginning in
2Q21. Fitch completed a rating sensitivity by increasing the
initial base case default rate by 40%. Under this scenario, ratings
for the outstanding notes could be downgraded by one to two rating
categories.

RATING SENSITIVITIES

Rating sensitivities provide greater insight into the model-implied
sensitivities the transaction faces when one or two risk factors
are stressed while holding others equal. The modeling process first
uses the estimation and stress of base-case default and recovery
assumptions to reflect asset performance in a stressed environment.
Second, structural protection is analyzed with Fitch's GALA Model.
The results should only be considered as one potential outcome, as
the transaction is exposed to multiple risk factors that are all
dynamic variables.

Please note that tranches rated 'CCCsf' or below are not included
in these sensitivities.

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

SLM 2003-A

Expected impact on the note rating of increased defaults (class
A-3/A-4/B):

Current Ratings: 'A-sf'/'A-sf'/'BBB+sf';

Decrease base case defaults by 10%: 'A+sf'/'A+sf'/'Asf';

Decrease base case defaults by 25%: 'AAsf'/'AAsf'/'AA-sf';

Decrease base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'.

SLM 2003-B

Expected impact on the note rating of increased defaults (class
A-3/A-4/B):

Current Ratings: 'A-sf'/'A-sf'/'BBBsf';

Decrease base case defaults by 10%: 'BBB+'/'BBB+sf'/'BBB+sf';

Decrease base case defaults by 25%: 'Asf'/'Asf'/'A-sf';

Decrease base case defaults by 50%: 'AA+sf'/'AA+sf'/'AAsf'.

SLM 2003-C

Expected impact on the note rating of increased defaults (class
A-3/A-4/A-5/B):

Current Ratings: 'A-sf'/'A-sf'/'A-sf'/'BBBsf';

Decrease base case defaults by 10%:
'BBB+'/'BBB+sf'/'BBB+sf'/'BBBsf';

Decrease base case defaults by 25%: 'Asf'/'Asf'/'Asf'/'BBB+sf';

Decrease base case defaults by 50%: 'AAsf'/'AAsf'/'AAsf'/'AA-sf'.

SLM 2004-A

Expected impact on the note rating of increased defaults (class
A-3):

Current Ratings: 'AAsf';

Decrease base case defaults by 10%: 'AA+';

Decrease base case defaults by 25%: 'AAAsf';

Decrease base case defaults by 50%: 'AAAsf'.

SLM 2004-B

Expected impact on the note rating of increased defaults (class
A-3/A-4/B):

Current Ratings: 'AAAsf'/'AAsf'/'Asf';

Decrease base case defaults by 10%: 'AAAsf'/'AA+sf'/'AAsf';

Decrease base case defaults by 25%: 'AAAsf'/'AAAsf'/'AA+sf';

Decrease base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'.

SLM 2005-A

Expected impact on the note rating of decreased defaults (class
A-3/A-4/B):

Current Ratings: 'AAAsf'/'A+sf'/'A-sf';

Decrease base case defaults by 10%: 'AAAsf'/'AA-sf'/'A+sf';

Decrease base case defaults by 25%: 'AAAsf'/'AA+sf'/'AA-sf';

Decrease base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'.

SLM 2005-B

Expected impact on the note rating of increased defaults (class
A-4/B):

Current Ratings: 'A+sf'/'A-sf';

Decrease base case defaults by 10%: 'A+sf'/'Asf';

Decrease base case defaults by 25%: 'AAsf'/'A+sf';

Decrease base case defaults by 50%: 'AAAsf'/'AA+sf'.

SLM 2006-A

Expected impact on the note rating of increased defaults (class
A-5/B/C):

Current Ratings: 'A+sf'/'Asf'/'BBBsf';

Decrease base case defaults by 10%: 'A+sf'/'Asf'/'A-sf';

Decrease base case defaults by 25%: 'AAsf'/'A+sf'/'A+sf';

Decrease base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'.

SLM 2006-B

Expected impact on the note rating of increased defaults (class
A-5/B/C):

Current Ratings: 'Asf'/'BBB+sf'/'BBB-sf';

Decrease base case defaults by 10%: 'A+sf'/'A-sf'/'A-sf';

Decrease base case defaults by 25%: 'AAsf'/'A+sf'/'A+sf';

Decrease base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'.

SLM 2006-C

Expected impact on the note rating of increased defaults (class
A-5/B/C):

Current Ratings: 'AA-sf/'Asf'/'BBB-sf';

Decrease base case defaults by 10%: 'AAAsf'/'AAsf'/'A-sf';

Decrease base case defaults by 25%: 'AAAsf'/'AAAsf'/'Asf';

Decrease base case defaults by 50%: 'AAAsf'/'AAAsf'/'AA+sf'.

SLM 2007-A

Expected impact on the note rating of increased defaults (class
A-4/B/C-1/C-2):

Current Ratings: 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf';

Decrease base case defaults by 10%: 'AA-'/'Asf'/'BBBsf'/'BBBsf';

Decrease base case defaults by 25%: 'AA+sf'/'AA-sf'/'A-sf'/'A-sf';

Decrease base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAsf'/'AAsf'.

Navient 2015-A

Expected impact on the note rating of increased defaults (class
A-2A/A-2B/A-3/B):

Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf';

Decrease base case defaults by 10%: 'AAA'/'AAAsf'/'AAAsf'/'A+sf';

Decrease base case defaults by 25%:
'AAAsf'/'AAAsf'/'AAAsf'/'AAsf';

Decrease base case defaults by 50%:
'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf'.

Navient 2016-A

Expected impact on the note rating of increased defaults (class
A-2A/A-2B/B):

Current Ratings: 'AAAsf'/'AAAsf'/'AAsf';

Decrease base case defaults by 10%: 'AAAsf'/'AAAsf'/'A+sf';

Decrease base case defaults by 25%: 'AAAsf'/'AAAsf'/'AAsf';

Decrease base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'.

SLM 2013-B

An upside scenario was not run due to the notes being at their
highest achievable rating of 'AAAsf'.

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

SLM 2003-A

Expected impact on the note rating of increased defaults (class
A-3/A-4/B):

Current Ratings: 'A-sf'/'A-sf'/'BBB+sf';

Increase base case defaults by 10%: 'A+sf'/'A+sf'/'Asf';

Increase base case defaults by 25%: 'Asf'/'Asf'/'A-sf';

Increase base case defaults by 50%: 'BBB+sf'/'BBB+sf'/'BBBsf'.

Expected impact on the note rating of reduced recoveries (class
A-3/A-4/B):

Current Ratings: 'A-sf'/'A-sf'/'BBB+sf';

Reduce base case recoveries by 10%: 'AA-sf'/'AA-sf'/'A+sf';

Reduce base case recoveries by 20%: 'AA-sf'/'AA-sf'/'A+sf';

Reduce base case recoveries by 30%: 'A+sf'/'A+sf'/'A+sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/A-4/B):

Current Ratings: 'A-sf'/'A-sf'/'BBB+sf';

Increase base case defaults and reduce base case recoveries each by
10%: 'A+sf'/'A+sf'/'Asf';

Increase base case defaults and reduce base case recoveries each by
25%: 'Asf'/'Asf'/'A-sf';

Increase base case defaults and reduce base case recoveries each by
50%: 'BBB+sf'/'BBB+sf'/'BBBsf'.

SLM 2003-B

Expected impact on the note rating of increased defaults (class
A-3/A-4/B):

Current Ratings: 'A-sf'/'A-sf'/'BBBsf';

Increase base case defaults by 10%: 'A-sf'/'A-sf'/'BBB+sf';

Increase base case defaults by 25%: 'BBB+sf'/'BBB+sf'/'BBBsf';

Increase base case defaults by 50%: 'BBB-sf'/'BBB-sf'/'BB+sf'.

Expected impact on the note rating of reduced recoveries (class
A-3/A-4/B):

Current Ratings: 'A-sf'/'A-sf'/'BBBsf';

Reduce base case recoveries by 10%: 'Asf'/'Asf'/'A-sf';

Reduce base case recoveries by 20%: 'Asf'/'Asf'/'A-sf';

Reduce base case recoveries by 30%: 'Asf'/'Asf'/'A-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/A-4/B):

Current Ratings: 'A-sf'/'A-sf'/'BBBsf';

Increase base case defaults and reduce base case recoveries each by
10%: 'A-sf'/'A-sf'/'BBB+sf';

Increase base case defaults and reduce base case recoveries each by
25%: 'BBBsf'/'BBBsf'/'BBBsf';

Increase base case defaults and reduce base case recoveries each by
50%: 'BB+sf'/'BB+sf'/'BBsf'.

SLM 2003-C

Expected impact on the note rating of increased defaults (class
A-3/A-4/A-5/B):

Current Ratings: 'A-sf'/'A-sf'/'A-sf'/'BBBsf'.

Increase base case defaults by 10%:
'BBB+sf'/'BBB+sf'/'BBB+sf'/'BBB+sf';

Increase base case defaults by 25%:
'BBBsf'/'BBBsf'/'BBBsf'/'BBB-sf';

Increase base case defaults by 50%:
'BB+sf'/'BB+sf'/'BB+sf'/'BBsf'.

Expected impact on the note rating of reduced recoveries (class
A-3/A-4/A-5/B):

Current Ratings: 'A-sf'/'A-sf'/'A-sf'/'BBBsf';

Reduce base case recoveries by 10%: 'A-sf'/'A-sf'/'A-sf'/'BBB+sf';

Reduce base case recoveries by 20%: 'A-sf'/'A-sf'/'A-sf'/'BBB+sf';

Reduce base case recoveries by 30%: 'A-sf'/'A-sf'/'A-sf'/'BBB+sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/A-4/A-5/B):

Current Ratings: 'A-sf'/'A-sf'/'A-sf'/'BBBsf';

Increase base case defaults and reduce base case recoveries each by
10%: 'BBB+sf'/'BBB+sf'/'BBB+sf'/'BBBsf';

Increase base case defaults and reduce base case recoveries each by
25%: 'BBBsf'/'BBBsf'/'BBBsf'/'BBB-sf';

Increase base case defaults and reduce base case recoveries each by
50%: 'BB+sf'/'BB+sf'/'BB+sf'/'BB-sf'.

SLM 2004-A

Expected impact on the note rating of increased defaults (class
A-3):

Current Ratings: 'AAsf';

Increase base case defaults by 10%: 'AAsf';

Increase base case defaults by 25%: 'AA-sf';

Increase base case defaults by 50%: 'Asf'.

Expected impact on the note rating of reduced recoveries (class
A-3):

Current Ratings: 'AAsf';

Reduce base case recoveries by 10%: 'AA+sf';

Reduce base case recoveries by 20%: 'AA+sf';

Reduce base case recoveries by 30%: 'AAsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3):

Current Ratings: 'AAsf';

Increase base case defaults and reduce base case recoveries each by
10%: 'AAsf';

Increase base case defaults and reduce base case recoveries each by
25%: 'A+sf';

Increase base case defaults and reduce base case recoveries each by
50%: 'A-sf'.

SLM 2004-B

Expected impact on the note rating of increased defaults (class
A-3/A-4/B):

Current Ratings: 'AAAsf'/'AAsf'/'Asf';

Increase base case defaults by 10%: 'AAAsf'/'AA-sf'/'Asf';

Increase base case defaults by 25%: 'AAAsf'/'A+sf'/'Asf';

Increase base case defaults by 50%: 'AAAsf'/'A-sf'/'A-sf'.

Expected impact on the note rating of reduced recoveries (class
A-3/A-4/B):

Current Ratings: 'AAAsf'/'AAsf'/'Asf';

Reduce base case recoveries by 10%: 'AAAsf'/'AAsf'/'Asf';

Reduce base case recoveries by 20%:'AAAsf'/'AAsf'/'Asf';

Reduce base case recoveries by 30%:'AAAsf'/'AA-sf'/'Asf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/A-4/B):

Current Ratings: 'AAAsf'/'AAsf'/'Asf';

Increase base case defaults and reduce base case recoveries each by
10%: 'AAAsf'/'AA-sf'/'Asf';

Increase base case defaults and reduce base case recoveries each by
25%: 'AAAsf'/'Asf'/'Asf';

Increase base case defaults and reduce base case recoveries each by
50%: 'AAAsf'/'A-sf'/'BBB+sf'.

SLM 2005-A

Expected impact on the note rating of increased defaults (class
A-3/A-4/B):

Current Ratings: 'AAAsf'/'A+sf'/'A-sf';

Increase base case defaults by 10%: 'AAAsf'/'Asf'/'A-sf';

Increase base case defaults by 25%: 'AAAsf'/'A-sf'/'BBB+sf';

Increase base case defaults by 50%: 'AAAsf'/'BBBsf'/'BBB-sf'.

Expected impact on the note rating of reduced recoveries (class
A-3/A-4/B):

Current Ratings: 'AAAsf'/'A+sf'/'A-sf';

Reduce base case recoveries by 10%: 'AAAsf'/'A+sf'/'A-sf';

Reduce base case recoveries by 20%: 'AAAsf'/'A+sf'/'A-sf';

Reduce base case recoveries by 30%: 'AAAsf'/'A+sf'/'A-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/A-4/B):

Current Ratings: 'AAAsf'/'A+sf'/'A-sf';

Increase base case defaults and reduce base case recoveries each by
10%: 'AAAsf'/'Asf'/'A-sf';

Increase base case defaults and reduce base case recoveries each by
25%: 'AAAsf'/'A-sf'/'BBBsf';

Increase base case defaults and reduce base case recoveries each by
50%: 'AAAsf'/'BBBsf'/'BB+sf'.

SLM 2005-B

Expected impact on the note rating of increased defaults (class
A-4/B):

Current Ratings: 'A+sf'/'A-sf';

Increase base case defaults by 10%: 'Asf'/'BBB+sf';

Increase base case defaults by 25%: 'A-sf'/'BBBsf';

Increase base case defaults by 50%: 'BBBsf'/'BB+sf'.

Expected impact on the note rating of reduced recoveries (A-4/B):

Current Ratings: 'A+sf'/'A-sf';

Reduce base case recoveries by 10%: 'Asf'/'A-sf';

Reduce base case recoveries by 20%: 'Asf'/'BBB+sf';

Reduce base case recoveries by 30%: 'Asf'/'BBB+sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-4/B):

Current Ratings:'A+sf'/'A-sf';

Increase base case defaults and reduce base case recoveries each by
10%: 'A+sf'/'A-sf';

Increase base case defaults and reduce base case recoveries each by
25%: 'Asf'/'BBB+sf';

Increase base case defaults and reduce base case recoveries each by
50%: 'BBB+sf'/'BB+sf'.

SLM 2006-A

Expected impact on the note rating of increased defaults (class
A-5/B/C):

Current Ratings: 'A+sf'/'Asf'/'BBBsf';

Increase base case defaults by 10%: 'Asf'/'BBB+sf'/'BBBsf';

Increase base case defaults by 25%: 'BBB+sf'/'BBBsf'/'BBB-sf';

Increase base case defaults by 50%: 'BBB-sf'/'BB+sf'/'BBsf'.

Expected impact on the note rating of reduced recoveries (class
A-5/B/C):

Current Ratings: 'A+sf'/'Asf'/'BBBsf';

Reduce base case recoveries by 10%: 'Asf'/'A-sf'/'BBBsf';

Reduce base case recoveries by 20%: 'Asf'/'BBB+sf'/'BBBsf';

Reduce base case recoveries by 30%: 'Asf'/'BBB+sf'/'BBBsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-5/B/C):

Current Ratings: 'A+sf'/'Asf'/'BBBsf';

Increase base case defaults and reduce base case recoveries each by
10%: 'A-sf'/'BBB+sf'/'BBBsf';

Increase base case defaults and reduce base case recoveries each by
25%: 'BBB+sf'/'BBB-sf'/'BB+sf';

Increase base case defaults and reduce base case recoveries each by
50%: 'BBB-sf'/'BBsf'/'BB-sf'.

SLM 2006-B

Expected impact on the note rating of increased defaults (class
A-5/B/C):

Current Ratings: 'Asf'/'BBB+sf'/'BBB-sf';

Increase base case defaults by 10%: 'A-sf'/'BBBsf'/'BBB-sf';

Increase base case defaults by 25%: 'BBB+sf'/'BBB-sf'/'BBB-sf';

Increase base case defaults by 50%: 'BBB-sf'/'BBsf'/'BBsf'.

Expected impact on the note rating of reduced recoveries (class
A-5/B/C):

Current Ratings: 'Asf'/'BBB+sf'/'BBB-sf';

Reduce base case recoveries by 10%: 'Asf'/'BBB+sf'/'BBB-sf';

Reduce base case recoveries by 20%: 'Asf'/'BBB+sf'/'BBB-sf';

Reduce base case recoveries by 30%: 'Asf'/'BBB+sf'/'BBB-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-5/B/C):

Current Ratings: 'Asf'/'BBB+sf'/'BBB-sf';

Increase base case defaults and reduce base case recoveries each by
10%: 'A-sf'/'BBBsf'/'BBB-sf';

Increase base case defaults and reduce base case recoveries each by
25%: 'BBBsf'/'BBB-sf'/'BB+sf';

Increase base case defaults and reduce base case recoveries each by
50%: 'BB+sf'/'BB-sf'/'BB-sf'.

SLM 2006-C

Expected impact on the note rating of increased defaults (class
A-5/B/C):

Current Ratings: 'AA-sf/'Asf'/'BBB-sf';

Increase base case defaults by 10%: 'AA-sf'/'Asf'/'BBB-sf';

Increase base case defaults by 25%: 'AA-sf'/'Asf'/'BB+sf';

Increase base case defaults by 50%: 'A+sf'/'BBB+sf'/'BBsf'.

Expected impact on the note rating of reduced recoveries (class
A-5/B/C):

Current Ratings: 'AA-sf/'Asf'/'BBB-sf';

Reduce base case recoveries by 10%: 'AA-sf'/'Asf'/'BBB-sf';

Reduce base case recoveries by 20%: 'AA-sf'/'Asf'/'BBB-sf';

Reduce base case recoveries by 30%: 'AA-sf'/'Asf'/'BBB-sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-5/B/C):

Current Ratings: 'AA-sf/'Asf'/'BBB-sf';

Increase base case defaults and reduce base case recoveries each by
10%: 'AA-sf'/'Asf'/'BBB-sf';

Increase base case defaults and reduce base case recoveries each by
25%: 'AA-sf'/'Asf'/'BB+sf';

Increase base case defaults and reduce base case recoveries each by
50%: 'Asf'/'BBB+sf'/'B+sf'.

SLM 2007-A

Expected impact on the note rating of increased defaults (class
A-4/B/C-1/C-2):

Current Ratings: 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf';

Increase base case defaults by 10%:'A-sf'/'BBBsf'/'BB+sf'/'BB+sf';

Increase base case defaults by 25%:'A-sf'/'BBBsf'/'BBsf'/'BBsf';

Increase base case defaults by 50%:'BBBsf'/'BB+sf'/'B-sf'/'B-sf'.

Expected impact on the note rating of reduced recoveries (class
A-4/B/C-1/C-2):

Current Ratings: 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf';

Reduce base case recoveries by 10%:'A-sf'/'BBBsf'/'BB+sf'/'BB+sf';

Reduce base case recoveries by 20%:'A-sf'/'BBBsf'/'BB+sf'/'BB+sf';

Reduce base case recoveries by 30%:'A-sf'/'BBBsf'/'BB+sf'/'BB+sf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-4/B/C-1/C-2):

Current Ratings: 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf';

Increase base case defaults and reduce base case recoveries each by
10%: 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf';

Increase base case defaults and reduce base case recoveries each by
25%: 'BBB+sf'/'BBBsf'/'BBsf'/'BBsf';

Increase base case defaults and reduce base case recoveries each by
50%: 'BBB-sf'/'BBsf'/'CCCsf'/'CCCsf'.

SLM 2013-B

Expected impact on the note rating of increased defaults (class
B):

Current Ratings: 'AAAsf';

Increase base case defaults by 10%: 'AAAsf';

Increase base case defaults by 25%: 'AAAsf';

Increase base case defaults by 50%: 'AAAsf'.

Expected impact on the note rating of reduced recoveries (class
B):

Current Ratings: 'AAAsf';

Reduce base case recoveries by 10%: 'AAAsf';

Reduce base case recoveries by 20%: 'AAAsf';

Reduce base case recoveries by 30%: 'AAAsf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class B):

Current Ratings: 'AAAsf';

Increase base case defaults and reduce base case recoveries each by
10%: 'AAAsf';

Increase base case defaults and reduce base case recoveries each by
25%: 'AAAsf';

Increase base case defaults and reduce base case recoveries each by
50%: 'AAAsf'.

Navient 2015-A

Expected impact on the note rating of increased defaults (class
A-2A/A-2B/A-3/B):

Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf';

Increase base case defaults by 10%:
'AAAsf'/'AAAsf'/'AA+sf'/'A-sf';

Increase base case defaults by 25%:
'AAAsf'/'AAAsf'/'AA-sf'/'BBB+sf';

Increase base case defaults by 50%: 'AAsf'/'AAsf'/'Asf'/'BBB-sf'.

Expected impact on the note rating of reduced recoveries (class
A-2A/A-2B/A-3/B):

Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf';

Reduce base case recoveries by 10%:'AAAsf'/'AAAsf'/'AA+sf'/'Asf';

Reduce base case recoveries by 20%:'AAAsf'/'AAAsf'/'AA+sf'/'Asf';

Reduce base case recoveries by 30%:'AAAsf'/'AAAsf'/'AA+sf'/'Asf'.

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2A/A-2B/A-3/B):

Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf';

Increase base case defaults and reduce base case recoveries each by
10%: 'AAAsf'/'AAAsf'/'AA+sf'/'A-sf';

Increase base case defaults and reduce base case recoveries each by
25%: 'AAAsf'/'AAAsf'/'AA-sf'/'BBB+sf';

Increase base case defaults and reduce base case recoveries each by
50%: 'AAsf'/'AAsf'/'Asf'/'BBB-sf'.

Navient 2016-A

Expected impact on the note rating of increased defaults (class
A-2A/A-2B/B):

Current Ratings: 'AAAsf'/'AAAsf'/'AAsf';

Increase base case defaults by 10%:'AAsf'/'AAsf'/'A-sf'

Increase base case defaults by 25%: 'AA-'/'AA-'/'BBB+';

Increase base case defaults by 50%: 'A'/'A'/'BBB-'.

Expected impact on the note rating of reduced recoveries (class
A-2A/A-2B/B):

Current Ratings: 'AAAsf'/'AAAsf'/'AAsf';

Reduce base case recoveries by 10%: 'AA+sf'/'AA+sf'/'Asf';

Reduce base case recoveries by 20%: 'AA+sf'/'AA+sf'/'Asf';

Reduce base case recoveries by 30%: 'AA+sf'/'AA+sf'/'Asf.'

Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2A/A-2B/B):

Current Ratings: 'AAAsf'/'AAAsf'/'AAsf';

Increase base case defaults and reduce base case recoveries each by
10%: 'AAsf'/'AAsf'/'A-sf';

Increase base case defaults and reduce base case recoveries each by
25%: 'A+sf'/ 'A+sf'/ 'BBB+sf';

Increase base case defaults and reduce base case recoveries each by
50%: 'A-sf'/'A-sf'/'BB+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

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).


SP-STATIC CLO 1: S&P Rates Class E Notes 'BB- (sf)'
---------------------------------------------------
S&P Global Ratings assigned its ratings to SP-Static CLO 1
Ltd./SP-Static CLO 1 LLC's 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 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 said, "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."

  RATINGS ASSIGNED

  SP-Static CLO 1 Ltd./SP-Static CLO 1 LLC

  Class                Rating      Amount (mil. $)
  A                    AAA (sf)             252.00
  B                    AA (sf)               44.00
  C (deferrable)       A (sf)                29.20
  D (deferrable)       BBB- (sf)             22.80
  E (deferrable)       BB- (sf)              12.00
  Subordinated notes   NR                    36.00

  NR--Not rated.



STARWOOD MORTGAGE 2020-3: S&P Rates Nine Classes of Certs BB (sf)
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Starwood Mortgage
Residential Trust 2020-3's mortgage pass-through certificates.

The certificate issuance is an RMBS securitization backed by fixed-
and adjustable-rate residential mortgage loans (some with
interest-only features) secured by first liens on single-family
residences, planned unit developments, condominiums, and two-four
family residential properties.

S&P said, "Since we assigned preliminary ratings and published our
presale report on Aug. 3, 2020, the sponsor (Starwood Non-Agency
Lending LLC) removed 14 mortgage loans from the collateral pool due
to payments in full. Such loans are not reflected in the final
collateral pool (1,050 mortgage loans), though they were included
in the collateral pool and characteristics at the time we assigned
preliminary ratings. The 'AAA' loss coverage requirement for the
final pool was determined to be 24.55%, whereas the 'AAA' loss
coverage requirement for the preliminary ratings pool was 24.35%.

"As a result of dropping these loans and the resultant increase in
'AAA' loss coverage, the sponsor resized the structure. After
analyzing the revised bond sizes and credit enhancement, we
assigned ratings in line with our preliminary ratings.

"In addition, since we assigned our preliminary ratings, the
sponsor split the B-3 certificate into B-3-1 and B-3-2
certificates, both of which are not rated. The sponsor also added
four sets of exchangeable certificates to the B-1, B-2, B-3-1, and
B-3-2 certificates. We assigned ratings on such exchangeable
certificates commensurate with our ratings on the related exchange
certificates."

The ratings reflect S&P's view of:

-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this
transaction;
-- The geographic concentration; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and the 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. S&P said, "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."

  RATINGS ASSIGNED

  Starwood Mortgage Residential Trust 2020-3

  Class      Rating(i)    Amount ($)
  A-1        AAA (sf)     363,014,000
  A-2        AA (sf)      21,551,000
  A-3        A (sf)       35,200,000
  M-1        BBB (sf)     22,029,000
  B-1        BB (sf)      16,762,000
  B-1-A      BB (sf)      16,762,000(ii)
  B-1-AX     BB (sf)        Notional(iii)
  B-1-B      BB (sf)      16,762,000(ii)
  B-1-BX     BB (sf)        Notional(iii)
  B-1-C      BB (sf)      16,762,000(ii)
  B-1-CX     BB (sf)        Notional(iii)
  B-1-D      BB (sf)      16,762,000(ii)
  B-1-DX     BB (sf)        Notional(iii)
  B-2        B (sf)       11,255,000
  B-2-A      B (sf)       11,255,000(ii)
  B-2-AX     B (sf)         Notional(iii)
  B-2-B      B (sf)       11,255,000(ii)
  B-2-BX     B (sf)         Notional(iii)
  B-2-C      B (sf)       11,255,000(ii)
  B-2-CX     B (sf)         Notional(iii)
  B-2-D      B (sf)       11,255,000(ii)
  B-2-DX     B (sf)         Notional(iii)
  B-3-1      NR            5,915,000
  B-3-1-A    NR            5,915,000(ii)
  B-3-1-AX   NR             Notional(iii)
  B-3-1-B    NR            5,915,000(ii)
  B-3-1-BX   NR             Notional(iii)
  B-3-1-C    NR             5,915,00(ii)
  B-3-1-CX   NR             Notional(iii)
  B-3-1-D    NR             5,915,00(ii)
  B-3-1-DX   NR             Notional(iii)
  B-3-2      NR            3,184,510
  B-3-2-A    NR            3,184,510(ii)
  B-3-2-AX   NR             Notional(iii)
  B-3-2-B    NR            3,184,510(ii)
  B-3-2-BX   NR             Notional(iii)
  B-3-2-C    NR            3,184,510(ii)
  B-3-2-CX   NR             Notional(iii)
  B-3-2-D    NR            3,184,510(ii)
  B-3-2-DX   NR             Notional(iii)
  A-IO-S     NR             Notional(iv)
  XS         NR             Notional(iv)
  A-R        NR             N/A

(i)The ratings address the ultimate payment of interest and
principal.
(ii)Represents the maximum initial class principal balance for such
class of exchangeable certificates.
(iii)These classes are notional amount certificates and do not have
class principal balances.
(iv)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
N/A--Not applicable.
NR--Not rated.



TGIF FUNDING 2017-1: S&P Lowers Notes Ratings to 'B (sf)'
---------------------------------------------------------
S&P Global Ratings lowered its ratings on TGIF Funding LLC's
(TGIF's) series 2017-1 class A-1 and A-2 notes to 'B (sf)' from 'B+
(sf)'. The ratings remain on CreditWatch, where S&P placed them
with negative implications on May 14, 2020. The downgrades follow a
full review based on TGIF's continued weakened performance through
June 29, 2020. The transaction is a securitization of restaurant
company TGIF's existing and future franchise agreements and related
franchisee royalties and fees, royalties on existing and future
company-owned restaurants, license revenue, and existing and future
intellectual property.

The ratings were originally placed on CreditWatch with negative
implications on March 24, 2020, amid the temporary widespread
elimination of dine-in sales for the casual dining sector due to
mandated dining room closures caused by the COVID-19 pandemic. The
continued CreditWatch listing implies a 50% probability of a
further downgrade on the notes within 90 days should the
transaction's performance continue to deteriorate due to COVID-19,
compounded with the notion that consumers may be slow to return
even after more stringent social distancing precautions are lifted.
On May 14, 2020, the bonds were downgraded to 'B+' based on
continued weak performance and the revision of our business risk
profile, which factors in the brand's deteriorating operating
performance, relatively small operating scale in the intensely
competitive casual dining segment, profitability decline, and
increased leverage. Though the casual dining segment has been
struggling to drive growth for several years, TGIF has
underperformed its peers.

S&P said, "Though the pandemic has placed significant stress on the
restaurant industry broadly, we believe TGIF will continue to face
near-term revenue stress that is particularly severe. TGIF is
heavily reliant on sales from dine-in customers, and it has been
demonstrating negative same-store sales figures for three years
even before COVID-19 mandated closures eliminated dine-in sales
channels. While we recognize TGIF's diversified revenue streams,
including licensing for frozen foods and other sales channels of
pick-up and delivery, this has not significantly offset the
continued loss of dine-in revenue even as mandated restrictions are
being lifted. Going forward, we believe that dine-in restaurants
may continue to struggle, with consumers being slow to revert even
after social distancing requirements become less restrictive."

Based on the June 2020 servicer report, the total number of stores
decreased to 775 from 796 in March 2020 and from 894 at the
transaction's closing three years ago. Many of these closures were
part of management's strategy to close underperforming stores. The
strategy was initiated after TGIF demonstrated 12 consecutive
quarters of negative same-store sales. Because of COVID-related
restrictions, 150 of the 775 stores are temporarily closed as of
Aug. 7, 2020.

S&P said, "In our cash flow model, we updated figures reflecting
lower units and same-store sales, based on the June 2020 servicer
report, and assumed no growth from the current trailing-12-month
systemwide sales. Our model-implied minimum base-case debt service
coverage ratio (DSCR) was 1.07x, down from 1.27x in May 2020, and
our model-implied minimum downside DSCR was below 1.00x. As per our
criteria, the cash flow results implied a weak resiliency score,
indicating a rating downgrade.

"Additionally, we examined near-term liquidity. The near-term risks
to the structure are somewhat mitigated by the interest reserve
account that is sized to cover three months of interest. The
interest reserve account is currently undrawn. We ran a breakeven
analysis and determined that the notes can withstand a 31%
reduction in collections, without assuming any manager advances or
fee waivers, before notes would experience an interest shortfall
over the coming six months." Nevertheless, further declines in
same-store sales, units, and average unit volume will continue to
place downward pressure on the transaction, which may lead to a
sustained weakening of the DSCR and can drive a further rating
reduction.

The transaction is currently in rapid amortization due to
systemwide sales dropping below the trigger level of $1.5 billion,
to a reported $1.4 billion for the past 12 months ending June 29,
2020. The rapid amortization event superseded the cash-trapping
event in the priority of payments, although the 1.64x DSCR is less
than the 1.75x threshold.

S&P sid, "One of our concerns in the short term is liquidity of the
manager. Even though we assume that a system of franchise
restaurants could continue to generate cash flow following a
bankruptcy of the manager, we believe that certain disruption risk
could arise if there is a transition to the back-up servicer. The
transaction produced enough cash for debt service during the
exceptionally stressful second quarter of 2020; however, the
management fee was waived. If it were not, there would not have
been sufficient funds to pay it. As of Aug. 10, 2020, management
has reported sufficient cash liquidity on the books for the near
term, but this is not a sustainable practice. We believe that going
forward, the resumption of royalty payments, as well as an increase
in sales, should drive stronger debt service coverage levels.

"We will continue to monitor the transaction's liquidity along with
the overall trend in the transaction's DSCR as we assess the notes'
ratings. We expect to resolve the CreditWatch placement as we learn
more about the severity and duration of COVID-19's impact on TGIF
as a whole, as well as the liquidity and cash flow stability of
TGIF series 2017 1 notes."

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 said, "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."

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

-- Health and safety


TICP CLO II-2: Moody's Lowers Rating on Class E Notes to Caa3
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by TICP CLO II-2, Ltd.:

US$31,250,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Downgraded to Ba1 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$26,450,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class D Notes"), Downgraded to B1 (sf); previously
on June 3, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

US$4,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Downgraded to Caa3 (sf); previously
on June 3, 2020 Caa1 (sf) Placed Under Review for Possible
Downgrade

The Class C Notes, the Class D Notes, and the Class E Notes are
referred to herein, collectively, as the "Downgraded Notes."

These actions conclude the review for downgrade initiated on June
3, 2020 on the Class C, Class D, and Class E Notes. The
collateralized loan obligation, originally issued in April 2018 is
a managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2020.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3364 compared to 3166 reported in the
March 2020 trustee report [2]. Moody's calculation also showed the
WARF was failing the test level of 3115 reported in the July 2020
trustee report [3]. 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 19.8% as of July
2020.

Moody's calculated the total collateral par balance, including
recoveries from defaulted securities, at $463.9 million, and
Moody's calculated the OC ratios (excluding haircuts) for the Class
C, Class D, and Class E Notes as of July 2020 at 110.25%, 103.73%
and 102.65%, respectively. Moody's noted that the OC test for the
Class D was recently reported as failing, which could result in
repayment of senior notes or in a portion of excess interest
collections being diverted towards reinvestment in collateral at
the next payment date should the failures continue.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $456,078,795

Defaulted Securities: $21,798,728

Diversity Score: 70

Weighted Average Rating Factor: 3361

Weighted Average Life (WAL): 4.21 years

Weighted Average Spread (WAS): 3.17%

Weighted Average Coupon (WAC): N/A

Weighted Average Recovery Rate (WARR): 47.94%

Par haircut in O/C tests and interest diversion test: $3,530,885

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.


TICP CLO III-2: Moody's Lowers Rating on Class F Notes to Caa3
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by TICP CLO III-2, Ltd.:

US$29,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Downgraded to B1 (sf); previously
on June 3, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

US$7,150,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2028 (the "Class F Notes"), Downgraded to Caa3 (sf); previously
on June 3, 2020 Caa1 (sf) Placed Under Review for Possible
Downgrade

The Class E Notes and the Class F Notes are referred to herein,
collectively, as the "Downgraded Notes."

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

US$29,700,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D Notes"), Confirmed at Baa3 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

The Class D Notes are referred to herein, as the "Confirmed
Notes."

These actions conclude the review for downgrade initiated on June
3, 2020 on the Class D, Class E, and Class F Notes. The
collateralized loan obligation, originally issued in April 2018 is
a managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2020.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3420 compared to 3170 reported in the
March 2020 trustee report [2]. Moody's calculation also showed the
WARF was failing the test level of 3125 reported in the July 2020
trustee report [3]. 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 20.9% as of July
2020. Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $464.8 million,
and Moody's calculated the OC ratios (excluding haircuts) for the
Class D, Class E and Class F Notes as of July 2020 at 112.69%,
105.29% and 103.61%, respectively.

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

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $456,712,896

Defaulted Securities: $18,180,849

Diversity Score: 68

Weighted Average Rating Factor: 3416

Weighted Average Life: 4.13 years

Weighted Average Spread: 3.23%

Weighted Average Coupon: N/A

Weighted Average Recovery Rate: 47.82%

Par haircut in O/C tests and interest diversion test: 1.14%

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.


VENTURE XXVI CLO: Moody's Lowers Rating on Class E Notes to Ba3
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Venture XXVI CLO, Limited:

US$25,700,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Downgraded to Ba3 (sf); previously
on April 17, 2020 Ba2 (sf) Placed Under Review for Possible
Downgrade

The Class E Notes are referred to herein as the "Downgraded
Notes."

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

US$28,875,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

The Class D Notes are referred to herein as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D and Class E Notes issued by the CLO. The
CLO, originally issued in February 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 January 2022.

RATINGS RATIONALE

The downgrade on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 2932, compared to 2707 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2645 reported in the July
2020 trustee report [1]. 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
15.38% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $507.2 million, or $17.8 million less than the
deal's ramp-up target par balance. Moody's noted that the interest
diversion test was recently reported [1] as failing, which could
result in a portion of excess interest collections being diverted
towards reinvestment in collateral at the next payment date should
the failures continue. Nevertheless, Moody's noted that the OC
tests for the Class D and Class E Notes, were recently reported [1]
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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $500,810,074

Defaulted Securites: $15,520,054

Diversity Score: 106

Weighted Average Rating Factor: 2957

Weighted Average Life: 4.86 years

Weighted Average Spread: 3.68%

Weighted Average Recovery Rate: 46.92%

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.


VISTA POINT 2020-2: DBRS Finalizes BB Rating on Class B-1 Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2020-2 (the
Certificates) to be issued by Vista Point Securitization Trust
2020-2 (VSTA 2020-2 or the Trust):

-- $151.7 million Class A-1 at AAA (sf)
-- $16.8 million Class A-2 at AA (high) (sf)
-- $24.9 million Class A-3 at A (sf)
-- $11.8 million Class M-1 at BBB (sf)
-- $11.7 million Class B-1 at BB (sf)
-- $10.0 million Class B-2 at B (low) (sf)

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

The AAA (sf) rating on the Class A-1 Certificates reflects 36.25%
of credit enhancement provided by subordinate certificates. The AA
(high) (sf), A (sf), BBB (sf), BB (sf), and B (low) (sf) ratings
reflect 29.20%, 18.75%, 13.80%, 8.90%, and 4.70% 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 516 mortgage loans with a total
principal balance of $238,003,315 as of the Cut-Off Date (July 1,
2020).

This is the second securitization by the aggregator Vista Point
Mortgage, LLC (Vista Point). Vista Point acquired the mortgage
loans from several mortgage originators, including Hometown Equity
Mortgage, LLC doing business as (dba) the Lender (the Lender;
44.5%), and other originators each comprising less than 15.0% of
the mortgage loans by balance. DBRS Morningstar conducted a review
of Vista Point's residential mortgage platform and believes the
company is an acceptable mortgage loan aggregator. DBRS Morningstar
did not perform an operational risk review of the originators.
However, DBRS Morningstar had a brief high-level conference call
with the management team of the Lender, the largest originator by
balance, where the team provided an overview of the origination
practices. Although new in Non-QM origination, the management team
at the Lender has been originating agency and other mortgage loans
for over 18 years.

All acquired mortgage loans are underwritten and funded by the
originators on a delegated basis pursuant to either Vista Point
proprietary guidelines or approved originator underwriting
guidelines. The mortgages were acquired pursuant to Vista Point's
PrimePoint (non-investor) and InvestPoint (investor) programs as
described in the report.

Although the non-investor mortgage loans were generally originated
to satisfy the Consumer Financial Protection Bureau's (CFPB)
Ability-to-Repay (ATR) rules, they were made to borrowers who
generally do not qualify for an agency, government, or
private-label non-agency prime jumbo products for various reasons.
In accordance with the QM/ATR rules, 37.8% of the loans are
designated as Non-QM. Approximately 62.2% of the loans are made to
investors for business purposes including 56.5% of loans
underwritten to property-level cash flows (DSCR). The business
purpose loans are not subject to the QM/ATR rules.

The pool has a concentrated geographic composition with California
representing 67.4% of the pool. In addition, approximately 47.8% by
balance are loans backed by properties located in the top three
metropolitan statistical areas (MSAs), all of which are in Southern
California.

Vista Point is the Sponsor and the Servicing Administrator of the
transaction. The Sponsor, Depositor, and Servicing Administrator
are affiliates or the same entity.

Specialized Loan Servicing LLC (SLS) will service all loans within
the pool.

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 a 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 (including the Class B-3 and XS
Certificates) issued by the Trust to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.

On or after the earlier of (1) the three-year anniversary of the
Closing Date or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Controlling Holder 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 (optional redemption). The Controlling Holder, as
of the Closing Date, will be an affiliate of the Sponsor with at
least 50% common ownership with the Sponsor. After such a purchase,
the Controlling Holder 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.

On any date following the date on which the aggregate stated
principal balance of the mortgage loans is less than or equal to
10% of the Cut-Off Date balance, the Servicing Administrator will
have the option to terminate the transaction by purchasing all of
the mortgage loans and any real-estate owned (REO) property from
the issuer at a price equal to the sum of the aggregate stated
principal balance of the mortgage loans (other than any REO
property) plus accrued interest thereon, the lesser of the fair
market value of any REO property and the stated principal balance
of the related loan, and any outstanding and unreimbursed advances,
accrued and unpaid fees, and expenses that are payable or
reimbursable to the transaction parties (optional termination). An
optional termination is conducted as a qualified liquidation.

The Servicer will fund advances of delinquent principal and
interest (P&I advances) on any mortgage until such loan becomes 90
days delinquent under the Mortgage Bankers Association (MBA)
method. The Servicer is also obligated to make advances in respect
of taxes, insurance premiums, and reasonable costs incurred during
servicing and disposal of properties. However, the Servicer will
not be required to make P&I advance for any mortgage loan under a
forbearance plan during the related forbearance period. That said,
the Servicer will continue to make P&I advances at the end of the
forbearance period to the extent the related mortgagor fails to
make required payments then due and remains less than 90 days
delinquent.

Of note, if the Servicer defers or capitalizes the repayment of any
amounts owed by a borrower in connection with the borrower's loan
modification, the Servicer is entitled to reimburse itself from the
principal collections for any previously made advances of the
capitalized principal amount at the time of such modification.

The Sponsor will also have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 or more days MBA
Delinquent or, if a loan is under forbearance plan related to the
impact of the Coronavirus Disease (COVID-19), on any date from and
after the date on which the loan becomes more than 90 days MBA
Delinquent following the end of the forbearance period or any REO
property acquired, provided that the aggregate principal balance of
such mortgage loans and REO properties repurchased by the Sponsor
may not exceed 10.0% of the total loan balance as of the Cut-Off
Date.

Unlike the prior transaction by Vista Point (Vista Point
Securitization Trust 2020-1), which used a sequential-pay cash flow
structure across the entire capital stack (though similar to other
previously issued non-QM deals), this transaction incorporates a
sequential-pay cash flow structure with a pro-rata distribution
among the senior tranches subject to certain performance triggers
related to cumulative losses or delinquencies exceeding a specified
threshold (Trigger Event). After a Trigger Event, principal
proceeds can be used to cover interest shortfalls on the Class A-1
and Class A-2 Certificates (IIPP) before being applied sequentially
to amortize the balances of the senior and subordinated
certificates. Additionally, the excess interest can be used to
cover realized losses and prior-period bond writedown amounts first
before being allocated to unpaid cap carryover amounts to Class A-1
down to Class B-2.

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

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

As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies and loans on forbearance plans, slower voluntary
prepayment rates, and a potential near-term decline in the values
of the mortgaged properties. Such deteriorations may adversely
affect borrowers' ability to make monthly payments, refinance their
loans, or sell properties in an amount sufficient to repay the
outstanding balance of their loans.

In connection with the economic stress assumed under its moderate
scenario, (see "Global Macroeconomic Scenarios: July Update,"
published on July 22, 2020), for the non-QM asset class, DBRS
Morningstar applies more severe market value decline (MVD)
assumptions across all rating categories than what it previously
used. Such MVD assumptions are derived through a fundamental home
price approach based on the forecasted unemployment rates and GDP
growth 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 non-QM asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes loans originated to (1) borrowers
with recent credit events, (2) self-employed borrowers, or (3)
higher loan-to-value ratio (LTV) borrowers may be more sensitive to
economic hardships resulting from higher unemployment rates and
lower incomes. Borrowers with prior credit events have exhibited
difficulties in fulfilling payment obligations in the past and may
revert to spotty payment patterns in the near term. Self-employed
borrowers are potentially exposed to more volatile income sources,
which could lead to reduced cash flows generated from their
businesses. Higher LTV borrowers, with lower equity in their
properties, generally have fewer refinance opportunities and
therefore slower prepayments. In addition, certain pools with
elevated geographic concentrations in densely populated urban MSAs
may experience additional stress from extended lockdown periods and
the slowdown of the economy.

In addition, for this transaction, as permitted by the Coronavirus
Aid, Relief, and Economic Security (CARES) Act, signed into law on
March 27, 28 borrowers (approximately 5.7% by balance) either have
completed forbearance plans, have been approved for forbearance
plans, or are in the process of being reviewed for forbearance
plans because the borrowers reported financial hardship related to
the coronavirus impact. As of July 28, 2020, 18 borrowers (3.1% of
the pool balance) have completed their forbearance plans, having
repaid all forborne amounts. Four borrowers (about 1.0% by balance)
were offered modifications and received a payment deferral (a total
of $23,569 or about 0.01% of the pool balance) due to the
previously granted coronavirus-related forbearance plans. Those
four borrowers have since declined the deferral modification and
are continuing to make their payments. Five borrowers (about 1.1%
by balance) have applied for forbearance in April, though they have
not submitted the required documentation and made their regular
payments. One borrower (about 0.4% by balance) has had the
forbearance request approved but elected to make monthly payments
through the Cut-Off Date.

SLS, in collaboration with Vista Point, is generally offering
borrowers a three-month payment forbearance plan. Beginning in
month four, the borrower can repay all or some of the missed
mortgage payments at once, deferring the unpaid missed payments, or
opts to go on a repayment plan to catch up on missed payments for
several, typically six months. During the repayment period, the
borrower needs to make regular payments and additional amounts to
catch up on the missed payments.

DBRS Morningstar had a conference call with Vista Point regarding
its approach to the forbearance loans and understood that Vista
Point, in collaboration with the Servicer, developed and recently
implemented a review process to evaluate borrowers' requests for
payment relief. As a part of the review, the borrower must submit a
completed mortgage assistance application, which includes detailed
financial information, income documents, and hardship related
documentation. The process helps to ensure borrowers that genuinely
need payment relief may receive such relief and those that can make
payments but use the payment relief to conserve cash may not. SLS
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, SLS, in collaboration with Vista
Point, may offer a repayment plan or other forms of payment relief,
such as deferral of the unpaid principal and interest amounts or a
loan modification, in addition to pursuing other loss mitigation
options.

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

- Increasing delinquencies on the AAA (sf) and AA (high) (sf)
rating levels for the first 12 months.

- Increasing delinquencies on the A (sf) and below rating levels
for the first nine months.

- Assuming no voluntary prepayments for the first 12 months for
the AAA (sf) and AA (high) (sf) rating levels.

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

For more information regarding rating methodologies and the
coronavirus, please see the following DBRS Morningstar press
releases: 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: July Update,
published on July 22, 2020.

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


VISTA POINT 2020-2: S&P Rates Class B-2 Certs 'B (sf)'
------------------------------------------------------
S&P Global Ratings assigned its ratings to Vista Point
Securitization Trust 2020-2's (VSTA 2020-2's) mortgage pass-through
certificates.

Since S&P assigned its preliminary ratings on July 29, 2020, an
additional eight classes of exchangeable certificates, including
four classes of interest-only (IO) exchangeable certificates, are
also being issued.

The certificate issuance is an RMBS securitization backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with IO periods) generally secured
by single-family residential properties, planned-unit developments,
condominiums, and two- to four-family residential properties to
prime and nonprime borrowers. The loans are primarily nonqualified
mortgage loans.

VSTA 2020-2 is Vista Point Mortgage LLC's (Vista Point's) second
RMBS transaction rated by S&P Global Ratings. Vista Point, a wholly
owned subsidiary of Vista Point Financial Holdings LLC, was
established in November 2018 and is headquartered in Irvine, Calif.
The company is a mortgage loan aggregator that purchases closed
residential non-qualified mortgage loans primarily through its
PrimePoint and InvestPoint product platforms for owner-occupied and
investor-purpose loans, respectively, or approved originator
underwriting guidelines. Vista Point completed its first loan
purchase in March 2019. The Vista Point platform is majority owned
by funds managed by Elliott Management Corp., a global
multi-strategy investment firm, in partnership with Vista Point
management.

The ratings reflect S&P Global Ratings' view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty framework;

-- The transaction's geographic concentration;

-- The mortgage aggregator, Vista Point Mortgage LLC; and

-- The impact that the economic stress brought on by the COVID-19
virus is likely to 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 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.

  RATINGS ASSIGNED

  Vista Point Securitization Trust 2020-2

  Class    Rating(i)        Amount ($)
  A-1      AAA (sf)        151,727,000
  A-2      AA (sf)          16,779,000
  A-3      A (sf)           24,871,000
  M-1      BBB (sf)         11,781,000
  B-1      BB (sf)          11,663,000
  B-2      B (sf)            9,996,000
  B-3      NR               11,816,315
  B-3A     NR               11,816,315
  B-3AX    NR               11,816,315 (ii)
  B-3B     NR               11,816,315
  B-3BX    NR               11,816,315 (ii)
  B-3C     NR               11,816,315
  B-3CX    NR               11,816,315 (ii)
  B-3D     NR               11,816,315
  B-3DX    NR               11,816,315 (ii)
  A-IO-S   NR                 Notional(iii)
  XS       NR                 Notional(iii)
  R        NR                      N/A

(i)The ratings address the ultimate payment of interest and
principal. They do not address payment of the cap carryover
amounts.
(ii)The class B-3AX, B-3BX, B-3CX, and B-3DX certificates are
notional amount certificates and do not have class principal
balances
(iii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
NR--Not rated.
N/A--Not applicable.


VOYA CLO 2020-2: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Voya CLO
2020-2 Ltd.'s floating-rate notes.

The note issuance is a CLO transaction backed by broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term loans
that are governed by collateral quality tests. The notes are
managed by Voya Alternative Asset Management LLC, a Voya Investment
Management company.

The preliminary ratings are based on information as of Aug. 12,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

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

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

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

  PRELIMINARY RATINGS ASSIGNED

  Voya CLO 2020-2 Ltd./Voya CLO 2020-2 LLC

  Class                 Rating         Amount (mil. $)
  A-1                   AAA (sf)                231.00
  A-2                   AAA (sf)                 17.00
  B                     AA (sf)                  56.00
  C                     A (sf)                   24.00
  D                     BBB- (sf)                22.00
  E                     BB- (sf)                 12.00
  Subordinated notes    NR                       33.90

  NR--Not rated.


WACHOVIA BANK 2004-C11: S&P Cuts Class K Certs Rating to 'B (sf)'
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class J and K
commercial mortgage pass-through certificates from Wachovia Bank
Commercial Mortgage Trust's series 2004-C11, a U.S. CMBS
transaction, to 'A (sf)' and 'B (sf)', respectively, from 'AA+
(sf)' and 'BB+ (sf)', and removed them from CreditWatch, where they
were placed with negative implications on June 3, 2020.

S&P said, "We had placed our ratings on CreditWatch negative
because of our concerns regarding COVID-19's potential impact on
the performance of the collateral property and the retail sector
overall, along with the related ambiguity concerning the duration
of the demand disruption. We also noted that anchor tenant leases
to Sears, J.C. Penney, and Belk Men's were scheduled to expire in
August 2020."

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 said, "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, "The downgrades on classes J and K reflect our view of
the added credit and liquidity risks posed to the long-duration
loan (scheduled to mature in March 2034) by the retail demand
disruption due to the ongoing pandemic, as well as our
re-evaluation of the University Mall securing the sole remaining
loan in the transaction. Our value of the property has declined
24.1% since our last review on April 27, 2020, driven largely by
the application of a higher S&P Global Ratings' capitalization rate
that we believe better captures the challenges now facing the mall
sector and a lower S&P Global Ratings' sustainable net cash flow
(NCF) of $1.7 million, down 6.3% from the last review due mainly to
excluding the revenue for tenants that have vacated. Based on our
revised valuation of $16.4 million, or $28 per sq. ft., the S&P
Global Ratings' loan-to-value ratio (LTV) was 79.6% (up from 61.1%
at our last review)." In addition, we considered recent updates
provided by the borrower and the master servicer during the past
few months, which include:

-- While the entire retail mall has been open and operational
since May, it remains subject to statewide orders and social
distancing guidelines, and all stores are limiting their customer
counts to 50% of their fire marshal capacity.

-- Former tenant My Eye Doctor (0.5% of the collateral sq. ft. and
1.4% of its previous underwritten rent) vacated the property due to
COVID-19. Former tenant GNC (0.3% of the collateral sq. ft. and
1.1% of its previous underwritten rent) also vacated due to its
bankruptcy event. S&P has marked both of these spaces as vacant in
its current property-level analysis.

Anchor tenants Sears, J.C. Penney, and Belk Men's, whose leases
were scheduled to expire in August 2020, all renewed through August
2025. However, we marked these spaces as vacant in our current
property-level analysis, given our continued view of these anchors
as troubled. We note in particular that Sears is physically vacant
at the property, while J.C. Penney, which is in Chapter 11
bankruptcy, is actively undergoing store closures and was most
recently reported as being an acquisition target of Sycamore
Partners, which is rumored to be planning on some combination of
rebranding/liquidating of J.C. Penney locations. S&P Global Ratings
recently discontinued its 'D' rating on J.C. Penney.

The borrower needed to work with some tenants on temporary rent
deferrals--mainly for portions of their rents due in April, May,
and/or June 2020. It is our understanding that tenants have started
repaying the deferred rents almost immediately, though, and that
the July 2020 rent collections have approached near-normalized
levels.

The special servicer, CWCapital Asset Management LLC, denied the
borrower's request for a waiver of debt payments, but approved its
request to have excess property cash flow from June and July 2020
applied to cover April and May 2020 operating shortfalls. However,
the loan remained current during the four-month period from April
through July 2020.

The 2020 operating budget showed flat forecasted NCF, in line with
the historical performance.

As of the July 17, 2020, trustee remittance report, the transaction
was backed solely by the $13.0 million University Mall loan, down
from 54 loans totaling $1.04 billion at issuance. The loan is
scheduled to mature in March 2034, and it appears on the master
servicer's (Wells Fargo Bank N.A.'s) watchlist for not repaying
upon its earlier March 2019 anticipated repayment date (ARD). The
loan is secured by a 591,598-sq.-ft.-enclosed regional shopping
mall built in 1980 in Tuscaloosa, Ala.

S&P said, "In our current analysis, we reviewed the May 2020 rent
roll, the 2019 borrower's operating statement, and the
above-mentioned updates. In addition to making the aforementioned
adjustments to our April 2020 property-level analysis, we increased
our capitalization rate to 10.5% (up 200 basis points from the last
review). This is to account for cash flow volatility due to
declining and weakening trends within the retail mall sector, the
specific property's weaker anchor tenant profile, and 2019 in-line
sales of $310 per sq. ft., as calculated by S&P Global Ratings.
Based on the May 2020 rent roll, and considering the recent
above-mentioned vacancies, physical occupancy at the mall was
68.7%. The near-term tenant rollover schedule, as calculated by us,
is as follows: 2020 (~1% of the net rentable area), 2021 (-8%),
2022 (-6%), and 2023 (-14%, mainly reflecting anchor tenant Belk
Women's).

"We will continue to monitor the transaction against the evolving
economic backdrop, and should there be any meaningful changes to
our performance expectations, will issue research- and/or
ratings-related updates as necessary."

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

-- Health and safety.


WELLS FARGO 2016-NXS6: Fitch Affirms B- Rating on Class F Debt
--------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial
Mortgage Trust 2016-NXS6. Fitch has also revised the Rating Outlook
to Negative from Stable on two classes.

WFCM 2016-NXS6

  - Class A-1 95000KAY1; LT AAAsf; Affirmed  

  - Class A-2 95000KAZ8; LT AAAsf; Affirmed  

  - Class A-3 95000KBA2; LT AAAsf; Affirmed  

  - Class A-4 95000KBB0; LT AAAsf; Affirmed  

  - Class A-S 95000KBD6; LT AAAsf; Affirmed  

  - Class A-SB 95000KBC8; LT AAAsf; Affirmed  

  - Class B 95000KBG9; LT AA-sf; Affirmed  

  - Class C 95000KBH7; LT A-sf; Affirmed  

  - Class D 95000KAJ4; LT BBB-sf; Affirmed  

  - Class E 95000KAL9; LT BB-sf; Affirmed  

  - Class F 95000KAN5; LT B-sf; Affirmed  

  - Class X-A 95000KBE4; LT AAAsf; Affirmed  

  - Class X-B 95000KBF1; LT AA-sf; Affirmed  

  - Class X-D 95000KAA3; LT BBB-sf; Affirmed  

  - Class X-E 95000KAC9; LT BB-sf; Affirmed  

KEY RATING DRIVERS

Increased Loss Expectations: Although overall pool performance
remains generally stable, loss expectations have increased due to
several Fitch Loans of Concern (FLOC). Fitch has identified 12
FLOCs (22.8%) due to deteriorating performance or expected
performance declines from the coronavirus pandemic. Five (16.1%)
are within the top 15. There are four loans (7.5%) in special
servicing, all of which are recent transfers and have cited
hardships stemming from the coronavirus pandemic and associated
economic shutdown.

Fitch Loans of Concern: The largest FLOC, The Falls (4.7%), is
secured by an 840,000-sf regional mall/lifestyle center located in
Miami, FL. The mall is operated by Simon Property Group. The center
is anchored by Macy's (29% of net rentable area (NRA), lease
expires July 2027). Former anchor tenant Bloomingdale's went dark
in January 2020. The borrower is currently in negotiations to
backfill the space. Occupancy is expected to fall to 69.5% with the
loss of Bloomingdale's. YE 2019 NOI DSCR was 3.24x. The servicer
noted there are no immediate plans to close the Macy's at the
subject. Tenant sales at YE 2019 were $684 psf including Apple and
$439 psf excluding Apple.

Cassa Times Square Mixed Use (4.6%) is the sixth largest loan and
the largest specially serviced loan. The loan is secured by an
86-key independent boutique hotel with 11,500 sf of retail on the
lower level located in Manhattan. The loan transferred to special
servicing in May 2020 for imminent monetary default. The borrower
had previously noted performance issues as a result of the
coronavirus. The special servicer is still in the process of
obtaining information before determining the next course of
action.

Sixty Soho (3.6%) is the ninth largest loan in the pool. The loan
is secured by a 97-key, full-service hotel located in the Soho
neighborhood of Manhattan. The property operates as an independent
boutique hotel. The loan is currently 90+ days delinquent having
missed the April, May, June, and July payments. However, as of the
July 2020 distribution date, the loan has not transferred to the
special servicer. The borrower has notified the master servicer of
coronavirus-related hardships. As of the December 2019 Smith Travel
Research (STR) report, the property was operating with occupancy,
ADR, and RevPAR penetration rates of 116.5%, 100%, and 116.5%,
respectively.

Hyatt House Philadelphia/King of Prussia (3.2%) is the eleventh
largest loan in the pool. The loan is secured by a 147-key limited
service hotel located in King of Prussia, PA, approximately 20
miles southeast of Philadelphia. The property is across the street
from the King of Prussia Mall, the second largest mall in the
United States. The hotel's franchise agreement with Hyatt expires
in 2033, seven years after the loan's maturity. At issuance it was
noted there was a sizable amount of new supply coming online,
however, a majority of the hotels were not considered direct
competitors. As of the TTM period ending May 2020, the property was
operating with occupancy, ADR, and RevPAR penetration rates of
117%, 111.6% and 130.7%, respectively.

Peachtree Mall (2.4%) is the thirteenth largest loan in the pool.
The loan is secured by the 620,000-sf portion of an 822,000-sf
regional mall located in Columbus, GA, approximately 100 miles
southwest of Atlanta. The collateral anchors are Macy's, which has
lease expiration in September 2022 and JC Penney, which recently
renewed its lease for an additional five years through November
2024. Dillard's is a non-collateral anchor. The loan was designated
as a FLOC due to declining performance, including lower tenant
sales and near-term rollover risks. In-line tenant sales have
declined to $350 psf at YE 2019 from $409 psf at issuance. As of
March 2020, the collateral was 94.6% occupied and YE 2019 NOI DSCR
was 1.69x.

The final FLOC in the top 15 is Hilton Head Village (2.2%). The
loan is secured by a retail center located in Bluffton, SC,
approximately five miles from the island of Hilton Head. The
largest tenants at the property include Marshall's (27% of NRA,
lease expires January 2022), Bed Bath & Beyond (22.3% of NRA, lease
expires January 2021) and Old Navy (15.6% of NRA, lease expires
July 2025). Rollover risk in 2022 is solely attributed to Bed Bath
and Beyond; according to the special servicer the tenant plans on
extending for five years. Negotiations remain ongoing. As of March
2020, the property was 98.3% occupied and the YE 2019 NOI DSCR was
1.37x.

The remaining FLOCs were flagged for expected performance declines
given the increased pressure on property performance from the
coronavirus pandemic. Three specially serviced loans (2.8%) are all
secured by hotel properties and have all transferred between June
and July 2020; all of the borrowers have cited performance issues
related to the coronavirus. The special servicer continues to
gather information and work through relief requests/workout
strategies.

Limited Improvement in Credit Enhancement (CE): There have been
limited increases in CE since Fitch's last rating action. As of the
July 2020 distribution date, the pool's aggregate principal balance
has been reduced by 2.75% to $736.3 million from $757.1 million at
issuance. There are three loans (1.95%) that have fully defeased.
There are 10 loans (52.5%) that are full term IO. There are 14
loans (13.9%) that are structured with a partial IO period, four of
which are still in their IO periods. There have been no realized
losses to date.

Alternative Loss Considerations: Fitch's analysis included an
additional stressed scenario whereby a 25% loss was applied to the
maturity balance of the Peachtree Mall loan. This additional
sensitivity scenario took into consideration declining performance,
declining tenant sales and the potential for an outsized loss on
the loan. This scenario has no impact on the ratings or outlooks.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail, and multifamily properties have materialized as a
result of reductions in travel and tourism, temporary property
closures and lack of clarity on the potential duration of the
pandemic. The pandemic has prompted the closure of several hotel
properties in gateway cities as well as malls, entertainment
venues, and individual stores. In the current pool, there are 18
loans (26.7%) that are secured by retail properties and nine loans
(12.9%) that are secured by hotel properties. Fitch's base case
analysis applied an additional NOI stress to nine retail loans
(10%) and eight hotel loans (12.2%) that did not meet certain
performance thresholds.

RATING SENSITIVITIES

The Negative Outlook on classes E, X-E, and F reflect the potential
for downgrades given an increase in loss expectations driven by the
heightened number of specially serviced loans and FLOCs.
Additionally, property-level cash flow concerns, particularly for
hotel and retail properties, as a result of the economic slowdown
related to the coronavirus have also been factored into Fitch's
analysis. Retail and lodging represent 26.7% and 12.9%,
respectively. The Stable Rating Outlooks on classes A-1 through D
reflect increasing CE, continued amortization and generally stable
loss expectations, despite the increase in FLOCs.

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 classes B and C would likely occur with significant
improvement in CE and/or defeasance. However, adverse selection,
increased concentrations or the underperformance of a particular
loan(s) may limit the potential for future upgrades. An upgrade to
class D is considered unlikely and would be limited based on the
sensitivity to concentrations or the potential for future
concentrations. Classes would not be upgraded above 'Asf' if there
is a likelihood for interest shortfalls. Upgrades to classes E and
F are not likely until the later years of the transaction, and only
if the performance of the remaining pool is stable and/or
properties vulnerable to the coronavirus return to pre-pandemic
levels, and there is sufficient CE to the class.

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 senior A-1, A-2, A-3, A-4, A-SB and A-S classes,
along with class B are not expected given the position in the
capital structure and sufficient CE, but may occur if interest
shortfalls occur or losses increase considerably. A downgrade to
classes C and D may occur should several loans transfer to special
servicing and/or as pool losses significantly increase. A downgrade
to classes E and F is likely should the performance of the FLOCs
fail to stabilize and/or as losses materialize and CE becomes
eroded.

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.


WELLS FARGO 2017-C40: Fitch Lowers Rating on Class G Debt to CCC
----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 14 classes of
Wells Fargo Commercial Mortgage Trust 2017-C40, Series 2017-C40.

WFCM 2017-C40

  - Class A-1 95000YAU9; LT AAAsf; Affirmed

  - Class A-2 95000YAV7; LT AAAsf; Affirmed

  - Class A-3 95000YAX3; LT AAAsf; Affirmed

  - Class A-4 95000YAY1; LT AAAsf; Affirmed

  - Class A-S 95000YBB0; LT AAAsf; Affirmed

  - Class A-SB 95000YAW5; LT AAAsf; Affirmed

  - Class B 95000YBC8; LT AA-sf; Affirmed

  - Class C 95000YBD6; LT A-sf; Affirmed

  - Class D 95000YAC9; LT BBB-sf; Affirmed

  - Class E 95000YAE5; LT BB+sf; Affirmed

  - Class F 95000YAG0; LT BB-sf; Affirmed

  - Class G 95000YAJ4; LT CCCsf; Downgrade

  - Class X-A 95000YAZ8; LT AAAsf; Affirmed

  - Class X-B 95000YBA2; LT AA-sf; Affirmed

  - Class X-D 95000YAA3; LT BBB-sf; Affirmed

KEY RATING DRIVERS

Increased Loss Expectations: The downgrade reflects increased loss
expectations since issuance, primarily attributable to the social
and market disruption caused by the effects of the coronavirus
pandemic and related containment measures. Fitch has designated 16
Fitch Loans of Concern (FLOCs; 35.2% of the pool, which includes
eight loans (14.1%) in special servicing, all of which are new
transfers in the last few months due to the coronavirus. Six of the
top 15 loans are FLOCs (24.5%).

Coronavirus Exposure: Loans secured by retail properties comprise
38.2% of the pool, including three regional malls in the top 15
(14.4%). The pool's retail component has a weighted average debt
service coverage ratio of 2.67x. Loans secured by hotel properties
comprise 16.5% of the pool, including the fourth and 13th largest
loans; both of which are currently in specially servicing. These
hotel loans had generally exhibited stable performance prior to the
coronavirus pandemic. The pool's hotel component has a weighted
average DSCR of 1.91x. Additional coronavirus-related stresses were
applied to nine hotel loans (16.5%) and 10 retail loans (7.6%);
these additional stresses contributed to the Negative Rating
Outlooks on classes D through F.

Fitch Loans Of Concern: The largest FLOC is Mall of Louisiana (7.2%
of the pool). The loan is secured by the inline space within a 1.5
million sf super-regional mall located in Baton Rouge, LA.
Non-collateral tenants include Dillard's, Dillard's Men & Home, JC
Penney, Macy's and Sears. The largest collateral tenants are AMC
Theatres (9.6% NRA) and Dick's Sporting Goods (9.5% NRA). Per the
March 2020 sales report, inline sales for the trailing twelve
months (T12) were $414 psf (excluding Apple) compared with $461 psf
at YE 2018 and $438 psf at issuance. At issuance, it was noted that
most inline stores had demonstrated declining sales. Leases
representing 24.5% of the NRA are scheduled to expire in the next
12 months.

The second largest FLOC is SAVA Holdings IHG Portfolio (5.3%). The
loan is secured by three Texas hotels: The Candlewood Suites DFW
South, Holiday Inn Express DFW Airport and Staybridge Suites Plano.
All of the hotels were developed by the sponsor between 2007 and
2008. YE 2019 NOI declined 17.7% from YE2018. The servicer
confirmed that a large number of rooms were taken offline across
the portfolio in 2019 related to required property
improvement-plans. The loan was structured with PIP reserves in
place at issuance. The loan transferred to special servicing in
April 2020 for imminent default after the borrower requested
coronavirus relief. A loan forbearance request is currently under
review by the servicer. The loan remains current.

The third largest FLOC is Wilshire Pacific Plaza (4.7%). The
property is a six-story office building totaling 107,737 sf located
in the Brentwood District of West Los Angeles. The property has a
diverse tenant mix, which includes medical offices, dental offices,
law firms, private equity firms, and a ground floor bank branch. At
issuance, the largest tenant was Open Road Films, LLC, which was
headquartered at the property (11.8% of NRA) until its bankruptcy
in 2018. Occupancy declined to 70% as of June 2019 from 93% at
issuance. Recent leasing activity has improved occupancy slightly
to 75% as of March 2020. Leases representing 5.2% of the NRA are
scheduled to roll in 2020 and 18.7% in 2021. The loan remains
current.

The fourth largest FLOC is Hilton Garden Inn Chicago/North Loop
(2.8%). The loan is secured by a 191-key, limited-service hotel,
located in the North Loop area of Downtown Chicago, one block west
of Michigan Avenue. The loan was transferred to special servicing
in April 2020 for imminent default. According to the special
servicer, the borrower has not been communicative and may be
exploring bankruptcy. The loan is 90+ days delinquent. YE 2019 NOI
DSCR was 1.89x, down from 1.95x at YE2018.

Minimal Changes to Credit Enhancement: The pool has amortized by
1.8% of the original pool balance since issuance. No loans have
been repaid. Thirteen loans (43.2% of the pool) are interest-only
for the full term. An additional 17 loans (25.3%) were structured
with a partial interest-only period at issuance; as of the July
2020 remittance, three partial interest-only loans representing
11.8% of the pool had not yet begun amortizing. Three loans (3.2%)
are scheduled to mature in 2022, with the remainder of the pool
maturing in 2027.

Alternative Loss Consideration: Given the upcoming tenant roll,
market location, regional mall nature of the collateral and
declining sales, Fitch's analysis included an additional
sensitivity on the Mall of Louisiana loan, which assumed a
potential outsize loss of 20% on the balloon balance. While not
directly contributing to the Negative Outlook, Fitch remains
concerned about the performance and loan's refinanceability given
the declining performance since issuance.

RATING SENSITIVITIES

The Outlooks on classes A-1 through C, and X-A and X-B remain
Stable.

The Outlooks on classes D, E and X-D have been revised to Negative
from Stable.

The Outlooks on classes F remain Negative.

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

Factors that lead to upgrades would include significantly improved
performance coupled with paydown and/or defeasance. An upgrade to
classes B and C could occur with stabilization of the FLOCs, but
would be limited as concentrations increase. Classes would not be
upgraded above 'Asf' if there is likelihood of interest shortfalls.
Upgrades of classes D, E and F would only occur with significant
improvement in credit enhancement and stabilization of the FLOCs.
An upgrade to classes G is not likely unless performance of the
FLOCs improves and if performance of the remaining pool is stable.

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

Factors that lead to downgrades include an increase in pool level
losses from underperforming or specially serviced loans. Downgrades
to the classes rated 'AAAsf' are not considered likely due to
position in the capital structure, but may occur at 'AAAsf' or
'AAsf' should interest shortfalls occur.

Downgrades to classes B and C may occur if pool performance
declines or loss expectations increase. Downgrades to classes D, E
and F may occur if loans in special servicing remain unresolved or
if performance of the FLOCs fail to stabilize. Classes with
distressed ratings may be downgraded as losses are realized.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


WELLS FARGO 2020-C57: Fitch to Rate Class K-RR Certs 'B-(EXP)sf'
----------------------------------------------------------------
Fitch Ratings has issued a presale report on Wells Fargo Commercial
Mortgage Trust 2020-C57 commercial mortgage pass-through
certificates, series 2020-C57.

WFCM 2020-C57

  - 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 AA+(EXP)sf Expected Rating  

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

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

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

  - Class A-S-X2; LT AA+(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 BB+(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:

  -- $23.4 million class A-1 'AAAsf'; Outlook Stable;

  -- $38 million class A-SB 'AAAsf'; Outlook Stable;

  -- $80 millionab class A-3 'AAAsf'; Outlook Stable;

  -- $0 classb A-3-1 'AAAsf'; Outlook Stable;

  -- $0 classb A-3-2 'AAAsf'; Outlook Stable;

  -- $0 classb A-3-X1 'AAAsf'; Outlook Stable;

  -- $0 classb A-3-X2 'AAAsf'; Outlook Stable;

  -- $248.2 millionab class A-4 'AAAsf'; Outlook Stable;

  -- $0 classb A-4-1 'AAAsf'; Outlook Stable;

  -- $0 classb A-4-2 'AAAsf'; Outlook Stable;

  -- $0 classb A-4-X1 'AAAsf'; Outlook Stable;

  -- $0 classb A-4-X2 'AAAsf'; Outlook Stable;

  -- $389.6 milliond class X-A 'AAAsf'; Outlook Stable;

  -- $75 milliond class X-B 'A-sf'; Outlook Stable;

  -- $28.7 millionb class A-S 'AA+sf'; Outlook Stable;

  -- $0 classb A-S-1 'AA+sf'; Outlook Stable;

  -- $0 classb A-S-2 'AA+sf'; Outlook Stable;

  -- $0 classb A-S-X1 'AA+sf'; Outlook Stable;

--$0 classb A-S-X2 'AA+sf'; Outlook Stable;

  -- $15.4 million class B 'AA-sf'; Outlook Stable;

  -- $30.8 million class C 'A-sf'; Outlook Stable;

  -- $12.7millioncde class X-D 'BBBsf'; Outlook Stable;

  -- $12.7millionce class D 'BBBsf'; Outlook Stable;

  -- $14.6 millioncef class E-RR 'BBB-sf'; Outlook Stable;

  -- $10.5 millionef class F-RR 'BBB-sf'; Outlook Stable;

  -- $5.6 millionef class G-RR 'BB+sf'; Outlook Stable;--$6.3
millionef class H-RR 'BBsf'; Outlook Stable;

  -- $6.3 millionef class J-RR 'BB-sf'; Outlook Stable;

  -- $7.7 millionef class K-RR 'B-sf'; Outlook Stable;

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

  -- $5.6 millionef class L-RR;

  -- $26.6 millionef class M-RR

(a) The initial certificate balance of classes A-3 and A-4 is
unknown and expected to be $328.2 million in aggregate plus or
minus 5%. The certificate balances will be determined based on the
final pricing of those classes of certificates. The expected class
A-3 balance range is $0 to $160 million and the expected class A-4
balance range is $168.2 million to $328.2 million. Fitch's
certificates balances for classes A-3 and A-4 are assumed at the
midpoint of the range for each class.

(b) Exchangeable Certificates. The class A-3, class A-4 and class
A-S certificates are exchangeable certificates. Each class of
exchangeable certificates may be exchanged for the corresponding
classes of exchangeable certificates, and vice versa. The dollar
denomination of each of the received classes of certificates must
be equal to the dollar denomination of each of the surrendered
classes of certificates. The class A-3 may be surrendered (or
received) for the received (or surrendered) classes A-3-1, A-3-2,
A-3-X1, and A-3-X2. The class A-4 may be surrendered (or received)
for the received (or surrendered) class A-4-1, A-4-2, A-4-X1, and
A-4-X2. The class A-S may be surrendered (or received) for the
received (or surrendered) class A-S-1, A-S-2, A-S-X1, and A-S-X2.
The ratings of the exchangeable classes would reference the ratings
on the associated referenced or original classes.

(c) The initial certificate balance of class D, class X-D and class
E-RR certificates are subject to change based on final pricing of
all certificates and the final determination of the Class D-RR,
E-RR, F-RR, G-RR, H-RR, J-RR, K-RR, L-RR and M-RR certificates
(collectively, the horizontal risk retention certificates) that
will be retained by the retaining sponsor through a third-party
purchaser as part of the U.S. risk retention requirements.

(d) Notional amount and IO.

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

(f) Non-offered horizontal credit-risk retention interest.

The expected ratings are based on information provided by the
issuer as of Aug. 11, 2020.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 40 loans secured by 71
commercial properties having an aggregate principal balance of
$560.5 million as of the cut-off date. The loans were contributed
to the trust by Wells Fargo Bank, National Association, LMF
Commercial, LLC (f/k/a Rialto Mortgage Finance, LLC), UBS AG and
Ladder Capital Finance LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 40.2% of the properties
by balance, cash flow analysis of 88.9% and asset summary reviews
on 100.0% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes the COVID-19 disease) pandemic may have
an adverse impact on near-term revenue (i.e., bad debt expense,
rent relief) and operating expenses (i.e., sanitation costs) for
some properties in the pool. Delinquencies may occur in the coming
months as forbearance programs are put in place, although the
ultimate impact on credit losses will depend heavily on the
severity and duration of the negative economic impact of the
coronavirus pandemic, and to what degree fiscal interventions by
the U.S. federal government can mitigate the impact on consumers.
Per the offering documents, all of the loans are current and not
subject to any forbearance or modification requests.

KEY RATING DRIVERS

Fitch Leverage Exceeds that of Recent Transactions: The pool has
higher leverage than other recent Fitch-rated multiborrower
transactions. The pool's Fitch LTV of 116.4% is higher than the YTD
2020 average of 98.5% and the 2019 average of 103.0%. The pool's
Fitch DSCR of 1.12x is lower than the YTD 2020 average of 1.30x and
the 2019 average of 1.26x.

Significant Hotel Concentrations: Loans secured primarily by hotel
properties account for 21.4% of the pool, which includes the
Doubletree New York Times Square West Leased Fee (stand-alone
credit opinion of 'BBB-sf'). This is higher than the 2019 and YTD
2020 averages of 12.0% and 9.5%, respectively. Retail properties
account for 11.0% of the pool, which is lower than the 2019 and YTD
2020 averages of 23.6% and 16.8%, respectively. Fitch considers the
hotel and retail asset types to have the greatest downside risk
among all of the commercial asset types, in light of the pandemic;
however, all property types will have greater vulnerability to
disruptions caused by the coronavirus.

Above Average Volatility: The pool's weighted average volatility
score is 3.37, which is above the 2019 and YTD 2020 averages of
3.20 and 3.16, respectively. Three hotel loans (9.8%) in the pool
have been assigned the highest volatility score of '5' and 13 loans
(32.3%) have been assigned a volatility of '4'. The majority of the
loans (48.6%) received a volatility score of '3'. Asset volatility
scores and probability of default are directly related: a lower
asset volatility score results in a lower probability of default.
Asset volatility scores range from 1-5, with one the least volatile
and 5 the most volatile.

Concentrated Pool: The top 10 loans constitute 56.9% of the pool,
which is greater than the YTD 2020 average of 55.1% and the 2019
average of 51.0%. The number one loan, PGH17 Self Storage
Portfolio, is secured by a portfolio of self-storage properties and
represents 10.0% of the pool. The loan concentration index of 449
is greater than the YTD 2020 and 2019 averages of 417 and 379,
respectively. Additionally, the sponsor concentration index of 458
is greater than the YTD 2020 and 2019 averages of 441 and 403,
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 a
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: 'AA+sf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /
'BB+sf' / 'BBsf' / 'BB-sf'

10% NCF Decline: 'AAsf' / 'A+sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' /
'BB+sf' / 'BB-sf' /' Bsf'

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

30% NCF Decline: 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf' / 'CCCsf' /
'CCCsf' / 'CCCsfv' / 'CCCsf'

Factors that Could, Individually or Collectively, Lead to a
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: 'AA+sf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /
'BB+sf' / 'BBsf' / 'BB-sf'

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

Best/Worst Case Rating Scenario

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

BEST/WORST CASE RATING SCENARIO

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


WIND RIVER 2014-3: Moody's Lowers Rating on F-R2 Notes to Caa1
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Wind River 2014-3 CLO Ltd.:

US$17,750,000 Class E-R2 Secured Deferrable Floating Rate Notes due
2031 (the "Class E-R2 Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$6,000,000 Class F-R2 Secured Deferrable Floating Rate Notes due
2031 (the "Class F-R2 Notes"), Downgraded to Caa1 (sf); previously
on April 17, 2020 B3 (sf) Placed Under Review for Possible
Downgrade

The Class E-R2 Notes and the Class F-R2 Notes are referred to
herein, collectively, as the "Downgraded Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Downgraded Notes issued by the CLO. The CLO,
originally issued in January 2015 partially refinanced in June 2017
and October 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in October 2023.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3495, compared to 3029 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3042 reported in the July
2020 trustee report [3]. 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
18.7% as of July 2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $388.8 million,
or $11.2 million less than the deal's ramp-up target par balance.
According to the July 2020 trustee report [4] the OC tests for the
Class D-R2 Notes, Class E-R2 Notes, and the interest diversion
test, which is equivalent to the OC test for the Class F-R2 notes,
were reported at 107.73%, 102.52%, and 100.82%, and failing their
respective trigger levels of 108.20%, 103.70%, and 103.00%.

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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $377,540,745

Defaulted Securities: $17,918,316

Diversity Score: 63

Weighted Average Rating Factor: 3460

Weighted Average Life (WAL): 5.63 years

Weighted Average Spread (WAS): 3.64%

Weighted Average Recovery Rate (WARR): 47.68%

Par haircut in O/C tests and interest diversion test: 3.47%

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 Downgraded 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.


ZAIS CLO 11: Moody's Lowers Rating on Class E Notes to B1
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by ZAIS CLO 11, Limited:

US$24,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2032 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on
April 17 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$19,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2032 (the "Class E Notes"), Downgraded to B1 (sf); previously on
April 17 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class D and E Notes are referred to herein, collectively, as
the "Downgraded Notes."

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

US$21,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due
2032 (the "Class C Notes"), Confirmed at A2 (sf); previously on
June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

The Class C Notes are referred to herein, as the "Confirmed
Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Downgraded Notes and on June 3, 2020 on the
Confirmed Notes, respectively, issued by the CLO. The CLO,
originally issued in December 2018, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in January 2024.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3367, compared to 2919 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2846 reported in the July
2020 trustee report [3]. 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
17.9% as of July 2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $381.7 million,
or $18.3 million less than the deal's ramp-up target par balance.
Moody's noted that the interest diversion test was recently
reported [4] as failing, which could result in a portion of excess
interest collections being diverted towards reinvestment in
collateral at the next payment date should the failure continue.
Nevertheless, Moody's noted that all the OC tests were recently
reported [5] 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $371,305,218

Defaulted Securites: $10,379,158

Diversity Score: 74

Weighted Average Rating Factor: 3216

Weighted Average Life: 6.0 years

Weighted Average Spread: 4.05%

Weighted Average Recovery Rate: 46.5%

Par haircut in O/C tests and interest diversion test: 0.5%

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.


ZAIS CLO 9: Moody's Lowers Rating on Class E Notes to B1
--------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by ZAIS CLO 9, Limited:

US$32,300,000 Class D Deferrable Mezzanine Floating Rate Notes due
2031 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on
April 17 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$22,9000,000 Class E Deferrable Mezzanine Floating Rate Notes
(current outstanding balance $23,821,564) due 2031 (the "Class E
Notes"), Downgraded to B1 (sf); previously on April 17 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

The Class D and E Notes are referred to herein, collectively, as
the "Downgraded Notes."

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

US$20,000,000 Class B-1 Senior Secured Floating Rate Notes Due 2031
(the "Class B-1 Notes"), Confirmed at Aa2 (sf); previously on June
3, 2020 Aa2 (sf) Placed Under Review for Possible Downgrade

US$38,000,000 Class B-2 Senior Secured Fixed Rate Notes Due 2031
(the "Class B-2 Notes"), Confirmed at Aa2 (sf); previously on June
3, 2020 Aa2 (sf) Placed Under Review for Possible Downgrade

US$26,800,000 Class C Deferrable Mezzanine Floating Rate Notes Due
2031 (the "Class C Notes"), Confirmed at A2 (sf); previously on
June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

The Class B-1, B-2, and C Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Downgraded Notes and on June 3, 2020 on the
Confirmed Notes, respectively, issued by the CLO. The CLO,
originally issued in July 2018, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in July 2023.

RATINGS RATIONALE

The downgrades on the Downgraded 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 2020, 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 declined, and
expected losses on certain notes have increased.

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

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3458, compared to 2896 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3136 reported in the July
2020 trustee report [3]. 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
20.5% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $473.8 million, or $26.2 million less than the
deal's ramp-up target par balance.

Moody's noted that the OC tests for the Class D and E notes as well
as the interest diversion test were recently reported [4] as
failing, which could result in repayment of senior notes or in a
portion of excess interest collections being diverted towards
reinvestment in collateral at the next payment date should the
failures continue. Nevertheless, Moody's noted that the OC tests
for the Class B and C Notes, were recently reported [5] 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."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $458,943,517

Defaulted Securites: $38,979,857

Diversity Score: 84

Weighted Average Rating Factor: 3312

Weighted Average Life: 6.0 years

Weighted Average Spread: 3.96%

Weighted Average Recovery Rate: 46.9%

Par haircut in O/C tests and interest diversion test: 2.4%

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.


[*] DBRS Puts Ratings on 577 Classes on 158 CMBS Deals Under Review
-------------------------------------------------------------------
DBRS, Inc. placed its ratings for 577 classes within 158 U.S.
commercial mortgage-backed securities (CMBS) transactions Under
Review with Negative Implications. DBRS Morningstar ratings that
are placed Under Review with Negative Implications are typically
confirmed or downgraded by a subsequent rating committee. The
appendix to this press release provides a listing of all 577
classes included in these rating actions, including any
interest-only (IO) classes that reference the principal and
interest bonds placed Under Review.

The Affected Ratings are Available at https://bit.ly/3kwstfo

These rating actions are the result of DBRS Morningstar's stress
analysis as outlined in its June 29, 2020, commentary entitled
"CMBS Conduit Exposure to Coronavirus Disease (COVID-19)
Implications." As further described in that commentary, DBRS
Morningstar developed a ratings baseline scenario and sensitivity
analyses for its rated conduit and agency multiborrower
transactions to account for the impact of the coronavirus pandemic
on projected losses for those transactions.

In the analysis for these rating actions, DBRS Morningstar applied
the baseline scenario net cash flow (NCF) haircuts to the prior
year-end figure, or, if not available, the issuer's NCF figure with
the DBRS Morningstar NCF haircut, for the underlying loans
(excluding loans that were in special servicing prior to March 1,
2020). Loans that had a scenario-adjusted debt service coverage
ratio (DSCR) at 0.95 times (x) or lower were subject to a scenario
liquidation, with the liquidation frequency determined by the
corresponding property type's minimum default probability level as
estimated by the CMBS Insight model. Loans in special servicing
prior to March 1, 2020, were scenario liquidated in the analysis as
further described in the commentary.

In cases where DBRS Morningstar assigned a higher probability of
default (POD) to loans in the most recent surveillance review than
the baseline scenario analysis produced, DBRS Morningstar generally
accepted the higher POD in the stress analysis for these rating
actions.

This stress analysis suggests hotel, retail, and student housing
property types represent the largest proportion of scenario losses,
with significantly smaller concentrations in office and multifamily
property types. When broken down by vintage, the analysis tagged a
higher proportion of bonds from the 2014 to 2016 vintages for
review, with those transactions collectively representing 40.2% of
the classes placed Under Review with Negative Implications. The
bonds with 2017 to 2018 vintages exhibited the next highest
concentration, with 80 classes representing 13.9% of those affected
by these rating actions.

DBRS Morningstar expects the deepest and most prolonged impact of
the pandemic to be observed within the hotel and retail property
types, as reflected in the higher baseline scenario NCF haircuts
for those property types of -40% for full-service hotels, -30% for
limited-service hotels, and -26% for retail property types, as
compared with respective NCF haircuts of -10% and -5% for office
and multifamily. Student housing property types were subject to a
-15% haircut. As the country continues to grapple with hot spots
and the virus's resurgence in areas previously deemed on the path
to stabilization, both business and leisure travel will continue to
be significantly affected and stricter social distancing
requirements will continue to limit foot traffic for
brick-and-mortar retail.

DBRS Morningstar's North American CMBS analytical team will
continue to review the transactions affected by these rating
actions to evaluate the increased risk factors that have emerged
amid the effects of the coronavirus pandemic. As information (e.g.,
updated property-level financials, rent rolls, new valuations for
specially serviced loans, and workout and/or modification
specifics) becomes available, DBRS Morningstar will address the
Under Review with Negative Implication rating actions over the near
to moderate term. DBRS Morningstar typically endeavors to resolve
an Under Review rating action within 90 days, but the circumstances
surrounding these rating actions such as the unknown length of the
pandemic-related downturn may result in a prolonged resolution
period.

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


[*] S&P Places Ratings on 13 Cls From 3 US RMBS Deals on Watch Neg.
-------------------------------------------------------------------
S&P Global Ratings placed its ratings on 13 classes from three U.S.
RMBS transactions issued by Galton Funding Mortgage Trust on
CreditWatch with negative implications. The CreditWatch negative
placements reflect interest shortfalls we have observed in May,
June, and July trustee reports and the potential impact on
creditworthiness should this trend continue.

Borrowers in these pools were offered forbearance and subsequent
deferments for COVID-19-related hardships. Because of these
deferments, the servicer advanced its own funds to enable the trust
to make principal and interest payments to security holders in the
manner provided by the transactions' waterfalls. Subsequently, the
servicer recouped the advanced funds the following month, when such
forborne mortgage payments were deferred to the end of the loan
term. The funds recouped by the servicer left an insufficient
amount of interest funds remaining to pay the trust's current
period's interest obligation on the securities in full. As a
result, certain tranches rated 'A- (sf)' and below experienced
interest shortfalls.

S&P said, "In reviewing ratings on classes with outstanding
interest shortfalls, we apply our interest shortfall criteria as
stated in "Structured Finance Temporary Interest Shortfall
Methodology" published Dec. 15, 2015, which impose a maximum rating
threshold on classes that have incurred interest shortfalls
resulting from credit or liquidity erosion. In applying the
criteria, we first look to see if the applicable class receives
additional compensation beyond the imputed interest due as direct
economic compensation for the delay in interest payment (such as
securities with capitalized interest). In instances where the class
does not receive additional compensation for outstanding interest
shortfalls, like the classes impacted in this review, our analysis
focus on our expectations regarding the length of the interest
payment interruptions to assign the rating on the class."

"For example, under our criteria, if a class experiences an
interest shortfall in May, and is not repaid, or not expected to be
repaid, in full until December (seven months duration), the
applicable maximum potential rating, per the criteria, would be
'BBB-'."

  MPR AND INTEREST SHORTFALL PERIODS

  MPR    Maximum amount of time until full interest repayment
  AA+    


[*] S&P Puts Ratings on Student Housing Projects on Watch Negative
------------------------------------------------------------------
S&P Global Ratings placed its ratings on 16 U.S. higher education
privatized (off balance sheet, or OBS) student housing projects on
CreditWatch with negative implications.

The CreditWatch placement reflects that there is a 50% likelihood
of a downgrade within the next 90 days due to the continuing
uncertainties the COVID-19 pandemic has caused for enrollment and
housing occupancy. S&P could revise the CreditWatch if occupancies
are better than anticipated, coupled with other factors that result
in stronger debt service coverage (DSC).

"Although the outlook on most of the student housing projects we
rate is negative, the CreditWatch placement reflects our belief
that the pressure from potential loss of revenues is greater for
these projects in the near term, and current challenges and
uncertainty present risks that may not be consistent with the
existing rating profile. We expect that, in some cases, there could
be multiple-notch rating downgrades. We consider the impact of the
pandemic to be a social--public health and safety--issue, related
to our environmental, social, and governance factors," S&P said.

After colleges and universities closed campuses for the health and
safety of their communities in March, most residence halls were
left empty for the remainder of the year, and many schools provided
students with refunds for housing and dining costs. As an extension
of this practice, many schools extended those refunds to cover
their OBS student housing projects. In some other cases, student
housing projects made those refunds themselves. In almost all
cases, rental revenues for spring and summer have been much lower
than budgeted. As summer classes have continued to be taught
remotely, summer rental revenues have been lost, for the most part.
In addition, fall 2020 enrollments and housing occupancies remain
in question. As colleges and universities make decisions about
whether students will return to campus for in-person instruction,
student housing is faced with additional prospective revenue losses
this fall. Although all of these projects face continued
uncertainty and stress, some are better positioned financially than
others, whether due to historically strong demand that has led to
greater reserves, or demonstrated extraordinary support from their
sponsor institutions.

"The CreditWatch placement reflects our view that these projects
could generate weaker rental revenues in fall 2020, which could
cause DSC levels to be inconsistent with the current rating. We
could lower the ratings as a result of these challenges. We will
continue to monitor the impact of this action and anticipate
updating the ratings and outlook for these projects within the next
90 days," S&P said.

"We could revise the CreditWatch if occupancies are better than
anticipated, resulting in stronger DSC," the rating agency said.

As of Aug. 5, 2020, S&P Global Ratings maintains 60 public ratings
on privatized student housing projects in the U.S. Since most of
these projects' bonds are secured solely by project cash flows
non-recourse to the sponsor institution, they rely upon student
occupancy and rental revenue generation, and are most vulnerable to
missed revenues. Significant occupancy losses in fall 2020 could
affect even facilities that have experienced strong occupancy
historically and received demonstrated financial support from their
sponsor institutions. The effects on these projects could be
disproportionate, as the situation may vary from campus to campus.


"For all issuers, an extended COVID-19 duration, and
correspondingly more severe economic fallout, has the potential to
result in diminished occupancies in student housing that, in the
long term, could be inconsistent with current rating levels, in our
opinion. We will review all ratings individually with respect to a
project's specific exposure to, and ability to mitigate against,
declining occupancy and loss of rental revenue," S&P said.

For these projects, S&P Global Ratings will be evaluating, among
other things, the following credit factors over the next 90 days:

-- The support, if any, that has been provided by the sponsor
institution;

-- Status of fall 2020 mode of operations at sponsor institutions,
and what this means for current expectations of project occupancy;

-- The timing of each project's debt service payments and its
ability to pay debt service in full and on time from operations;

-- The impact of lost rental revenue or prorated rental refunds on
fiscal 2020 financial results, if applicable;

-- Fiscal 2020 DSC levels and any usage of reserves--and if so,
which funds and how much;

-- Current balances in reserve funds (operations contingency,
surplus funds, reserve and replacement funds, debt service reserve
funds, etc.);

-- For new construction projects, any delays resulting in negative
financial impact on the project;

-- Fall 2020 occupancy levels and fiscal 2021 financial
projections; and

-- Management teams' strategies for addressing potential revenue
declines.

A list of Affected Ratings can be viewed at:

          https://bit.ly/2XybiQu


[*] S&P Takes Actions on 236 Classes From 27 US Cash Flow CLO Deals
-------------------------------------------------------------------
S&P Global Ratings took various rating actions on 236 classes of
notes from 27 U.S. cash flow CLO transactions.

These CLO transactions had one or more tranches placed on
CreditWatch with negative implications following the outbreak of
the pandemic in the U.S. S&P's actions resolve these CreditWatch
placements

The rating actions follow the application of its global corporate
CLO criteria and our credit and cash flow analysis of each
transaction. S&P's analysis of the transactions entailed a review
of their performance, and the ratings list table below highlights
key performance metrics behind specific rating changes.

The majority of the CLOs in the current batch are broadly
syndicated loan (BSL) CLOs still in their reinvestment period. One
of the CLOs, California Street CLO IX L.P., is a Modifiable and
Splittable/Combinable Tranche (MASCOT) transaction. These notes are
exchangeable within each class as governed in the CLO's documents.
These extra notes will carry the same rating of that class, and
will have a zero balance until exchanged. As a result, the number
of notes and ratings in such CLOs are higher; for instance,
California Street CLO IX L.P. has 58 extra ratings for the entire
transaction.

S&P said, "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 default scenarios. In addition, our analysis
considered the transactions ability to pay timely interest and/or
ultimate principal to each of our rated tranches. The results of
the cash flow analysis and other qualitative factors, as
applicable, demonstrated in our view that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions following
the rating actions."

While each tranche's indicative cash flow results were one primary
factor, S&P also incorporated various considerations into its
decisions to lower, affirm, or limit the ratings when reviewing the
indicative ratings suggested by our projected cash flows. Some of
these considerations may include:

-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral;

-- Existing subordination or overcollateralization and recent
trends;

-- Cushion available for coverage ratios and comparative analysis
with other CLO tranches with similar ratings;

-- Exposure to assets in stressed industries and/or stressed
market values;

-- Exposure to assets whose ratings are currently on CreditWatch
negative;

-- Risk of imminent default; and

-- Additional sensitivity runs to account for any of the above.

The downgrades primarily reflect the cash flow results but also
incorporate some of the forward-looking and qualitative
considerations mentioned above.

Ratings lowered to the 'CCC' category reflect S&P's view based on
forward-looking analysis on existing 'CCC' exposure that the
previous credit enhancement has deteriorated--or is likely to
deteriorate--such that the class is vulnerable and dependent on
favorable market conditions.

S&P said, "The affirmations indicate our opinion that the current
enhancement available to those classes is commensurate with their
current ratings. We have limited the upgrade of some tranches if
the CLO's reinvestment period has not ended, as the collateral
manager for these transactions would typically have time to
reinvest and change the credit risk profile of the transaction."

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 said, "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 will continue to review whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and take rating actions as it deems necessary.

A list of Affected Ratings can be viewed at:

          https://bit.ly/33XDhNQ



[*] S&P Takes Various Actions on 66 Classes From 5 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 66 classes from five
U.S. RMBS transactions issued between 2002 and 2004. All of these
transactions are backed by prime jumbo collateral. The review
yielded one upgrade, 18 downgrades, 31 affirmations, and 16
withdrawals.

ANALYTICAL CONSIDERATIONS

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 said, "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, "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.

"We incorporate various considerations into our decisions to raise,
lower, or affirm ratings when reviewing the indicative ratings
suggested by our 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;
-- Available subordination and/or overcollateralization; and
-- Erosion of credit support.

RATING ACTIONS

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes.

"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 majority of the downgrades reflect our view that the payment
allocation triggers are passing, which allow principal payments to
be made to more subordinate classes and erode projected credit
support for the affected classes. Additionally, we have seen higher
reported delinquencies when compared to those reported during the
previous review dates." As a result, the increased delinquencies
have had an adverse impact on the performance of the mortgage loans
and increased our projected losses.

The downgrade on class D-B-1 from CSFB Mortgage Backed Trust Series
2004-1 was based on our assessment of interest shortfalls during
recent remittance periods. The lowered rating was derived by
applying our interest shortfall criteria, which designates a
maximum potential rating to this class. In applying the criteria,
this class does not receive additional compensation beyond the
imputed interest due as direct economic compensation for the delay
in interest payment and, therefore, S&P used the maximum length of
time until full interest is reimbursed as part of our analysis to
assign the rating.

S&P said, "We withdrew our ratings on 13 classes from three
transactions due to the small number of loans remaining in the
related group. Once a pool has declined to a de minimis amount,
their future performance becomes more difficult to project. As
such, we believe there is a high degree of credit instability that
is incompatible with any rating level. Additionally, we applied our
principal-only criteria, "Methodology For Surveilling U.S. RMBS
Principal-Only Strip Securities For Pre-2009 Originations,"
published Oct. 11, 2016, on two classes, and we applied our
interest-only criteria, "Global Methodology For Rating
Interest-Only Securities," published April 15, 2010, on one class,
which resulted in rating withdrawals."

A list of Affected Ratings can be viewed at:

           https://bit.ly/3iE5Pju



                            *********

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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