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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 23, 2020, Vol. 24, No. 235

                            Headlines

ACIS CLO 2017-7: Moody's Confirms Ba3 Rating on Class E Notes
AMERICAN CREDIT 2020-3: DBRS Finalizes B Rating on Class F Notes
AMSR TRUST 2020-SFR3: DBRS Finalizes BB(low) Rating on F Certs
APEX CREDIT 2017: Moody's Lowers Rating on Class E Notes to B1
APIDOS CLO XI: Moody's Lowers Class F-RR Notes to Caa2

APIDOS CLO XXI: Moody's Lowers Class E-R Notes to Caa2
ARCH STREET: Moody's Lowers Rating on Class F-R Notes to Caa2
AREIT TRUST 2019-CRE3: DBRS Confirms B(low) Rating on Cl. F Certs
ARES XLIII: Moody's Lowers Rating on Class E Notes to B1
ARES XXXIX: Moody's Confirms Ba3 Rating on Class E-R Notes

ARES XXXVIII: Moody's Lowers $19MM Cl. E-R Notes to B1
ATLAS SENIOR XI: Moody's Confirms Ba3 Rating on Class E Notes
BANK 2018-BNK14: Fitch Affirms B- Rating on Class X-G Certs
BRAVO RESIDENTIAL 2020-NQM1: DBRS Gives Prov. B Rating on B2 Notes
BRAVO RESIDENTIAL 2020-NQM1: Fitch Rates Class B-2 Notes 'Bsf'

CATAMARAN CLO 2013-1: Moody's Confirms $10.5MM Cl. F-R Notes at B3
CBAM LTD 2018-8: Moody's Confirms Ba3 Rating on Class E Notes
CBAM LTD 2019-10: Moody's Confirms Ba3 Rating on Class E Notes
CBAM LTD 2019-11: Moody's Confirms Ba3 Rating on Class E Notes
CIFC FUNDING 2013-III-R: Moody's Cuts Class E Notes to Caa1

CIFC FUNDING 2014-II-R: Moody's Confirms Class B-2 Notes at Ba3
CITIGROUP COMMERCIAL 2013-GCJ11: Fitch Affirms B Rating on F Certs
CLEAR CREEK: Moody's Confirms Ba3 Rating on $13.5MM Cl. E-R Notes
COMM 2014-CCRE20: Fitch Affirms B- Rating on Class F Certs
CONSECO FINANCE 2000-E: Moody's Cuts Class B-1 Debt Rating to Caa1

CRESTLINE DENALI XVI: Moody's Cuts Class E Notes to B1
DBJPM 2020-C9: Fitch to Rate Class G Certs 'B-(EXP)sf'
DEWOLF PARK: Moody's Confirms Ba3 Rating on Class E Notes
DIVIDEND 15 SPLIT CORP: DBRS Cuts Preferred Shares Rating to Pfd-4
ELLINGTON CLO III: Moody's Lowers $11MM Cl. F Notes to Ca

FORTRESS CREDIT IX: S&P Affirms BB- (sf) Rating on Class E Notes
GLS AUTO 2020-3: DBRS Finalizes BB(low) Rating on Class E Notes
GS MORTGAGE 2016-GS3: Fitch Lowers Rating on F Certs to CCCsf
HALCYON LOAN 2015-2: Moody's Lowers Rating on Class F Notes to Ca
HALCYON LOAN 2018-1: Moody's Confirms Ba3 Rating on Class D Notes

JAMESTOWN CLO VI-R: Moody's Confirms B3 Rating on Cl. E Notes
JAMESTOWN CLO X: Moody's Lowers Rating on Class E Notes to Caa2
JP MORGAN 2007-LDP12: Fitch Affirms CCCsf Rating on Class A-J Debt
JP MORGAN 2010-C2: S&P Lowers Class H Certs Rating to CCC- (sf)
JP MORGAN 2011-C3: Fitch Lowers Rating on 2 Tranches to CCsf

JP MORGAN 2018-WPT: DBRS Confirms B(low) Rating on 2 Classes
JP MORGAN 2020-CL1: Fitch to Rate Class F Notes 'B(EXP)'
LUNAR AIRCRAFT 2020-1: Fitch Cuts Class C Notes to Bsf
MADISON PARK XIX: Moody's Confirms B3 Rating on Class E-R Notes
MADISON PARK XXV: Moody's Confirms B2 Rating on $8MM Cl. E Notes

MAN GLG 2018-1: Moody's Confirms B2 Rating on Class E-R Notes
MANHATTAN WEST 2020-1MW: DBRS Gives Prov. BB Rating on HRR Certs
MARBLE POINT XI: Moody's Cuts $22.5MM Class E Notes to B1
MARBLE POINT XIV: Moody's Cuts $24.2MM Class E Notes to B1
MOFT 2020-B6: DBRS Gives Prov. B(high) Rating on Class D Certs

MORGAN STANLEY 2015-C25: Fitch Affirms B- Rating on Class F Certs
MP CLO VII: Moody's Lowers $28.9MM Cl. E-RR Notes to B1
MP CLO VIII: Moody's Confirms Ba3 Rating on $25MM Cl. E-R Notes
NASSAU LTD 2018-II: Moody's Confirms Ba3 Rating on Class E Notes
OCTAGON INVESTMENT 32: Moody's Confirms Ba3 Rating on Class E Notes

OCTAGON LOAN: Moody's Confirms Ba3 Rating on Class E-RR Notes
OCWEN MASTER 2020-T1: S&P Rates Class E-T1 Notes 'BB (sf)'
OZLM IX: Moody's Lowers Class E-RR Notes to Caa1
OZLM VII: Moody's Lowers $5.7MM Cl. E-R Notes to Caa2
OZLM VIII: Moody's Lowers $11.4MM Cl. E-RR Notes to Caa1

REALT 2016-2: Fitch Affirms Bsf Rating on Class G Certs
SANTANDER CONSUMER 2020-B: Fitch to Rate Class F Debt 'B(EXP)sf'
SARANAC CLO V: Moody's Lowers Class E-R Notes to Caa2
SCF EQUIPMENT 2020-1: Moody's Gives B3 Rating on Class F Notes
SIERRA TIMESHARE 2020-2: Fitch Gives BB Rating on Class D Notes

SOUND POINT IV-R: Moody's Lowers Rating on Class F Notes to Caa1
SOUND POINT VII-R: Moody's Cuts $10MM Class F Notes to B3
STACR REMIC 2020-DNA4: DBRS Gives Prov. B(high) Rating on 2 Classes
STWD LTD 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes
TREMAN PARK: Moody's Cuts $6.25MM Class F-RR Notes to Caa1

TRICON AMERICAN 2016-SFR1: DBRS Gives BB(low) Rating on F Certs
US AUTO 2020-1: Moody's Gives B3 Rating on Class D Notes
VENTURE XXIII: Moody'S Confirms Ba3 Rating on Class E-R Notes
WELLS FARGO 2016-C36: Fitch Lowers Rating on 2 Tranches to CCC
WFRBS COMMERCIAL 2012-C6: Moody's Cuts Class E Certs to Ba3

WHITEHORSE IX: Moody's Lowers Rating on Class F Notes to Ca
WHITEHORSE X: Moody's Lowers Rating on Class F Notes to Caa3
YORK CLO-5: Moody's Lowers Rating on Class F Notes to Caa1
[*] Fitch Takes Action on 70 Tranches From 7 US Preferred CDOs
[*] S&P Takes Actions on 178 Classes From 31 US Cash Flow CLO Deals

[*] S&P Takes Various Actions on 83 Classes From 14 U.S. RMBS Deals

                            *********

ACIS CLO 2017-7: Moody's Confirms Ba3 Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by ACIS CLO 2017-7 Ltd.:

US$26,250,000 Class D Secured Deferrable Floating Rate Notes due
2027 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$15,500,000 Class E Secured Deferrable Floating Rate Notes due
2027 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on
April 17, 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 review for downgrade initiated on April
17, 2020 on the Class D and Class E Notes. The CLO, originally
issued 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 May 2019.

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, deleveraging of the
senior notes, 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 3402 compared to 2998 reported in the
March 2020 trustee report [2]. Moody's calculation also showed the
WARF was failing the test level of 2877 reported in the July 2020
trustee report [3]. Nevertheless, the Class A-1 and Class A-2 notes
have been paid down by $119.8 million or 45.93% collectively since
the end of the reinvestment period in May 2019 and each of the OC
tests has improved since that time.

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: $278,549,831

Defaulted Securites: $1,695,185

Diversity Score: 56

Weighted Average Rating Factor: 3393

Weighted Average Life: 3.95 years

Weighted Average Spread: 3.18%

Weighted Average Recovery Rate: 48.2%

Par haircut in O/C tests and interest diversion test: 1.98%

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
August 2020.


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

-- $225,740,000 Class A Notes at AAA (sf)
-- $64,080,000 Class B Notes at AA (sf)
-- $108,050,000 Class C Notes at A (sf)
-- $53,880,000 Class D Notes at BBB (sf)
-- $33,200,000 Class E Notes at BB (low) (sf)
-- $25,050,000 Class F Notes at B (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 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 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
originations, 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 represents the 32nd securitization
completed by ACA since 2011 and offers both senior and subordinate
rated securities. The receivables securitized in ACAR 2020-3 are
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 the 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.


AMSR TRUST 2020-SFR3: DBRS Finalizes BB(low) Rating on F Certs
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Single-Family Rental Pass-Through Certificates (the Certificates)
issued by AMSR 2020-SFR3 Trust:

-- $85.0 million Class A at AAA (sf)
-- $33.7 million Class B at AAA (sf)
-- $11.0 million Class C at AA (high) (sf)
-- $15.4 million Class D at A (high) (sf)
-- $23.4 million Class E-1 at BBB (high) (sf)
-- $27.1 million Class E-2 at BBB (low) (sf)
-- $25.6 million Class F at BB (low) (sf)
-- $27.8 million Class G at B (low) (sf)

The AAA (sf) ratings on the Class A and B Certificates reflect
70.71% and 59.09% of credit enhancement, respectively, provided by
subordinated notes in the pool. The AA (high) (sf), A (high) (sf),
BBB (high) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf)
ratings reflect 55.30%, 50.00%, 41.92%, 32.58%, 23.74%, and 14.14%
of credit enhancement, respectively.

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

The Certificates are supported by the income streams and values
from 1,337 single-family residential rental properties and six
townhomes. The properties are distributed across 14 states and 38
metropolitan statistical areas (MSAs) in the United States. DBRS
Morningstar maps an MSA based on the ZIP code provided in the data
tape, which may result in different MSA stratifications than those
provided in offering documents. As measured by broker price opinion
(BPO) value, 73.6% of the portfolio is concentrated in three
states: Florida (32.6%), Georgia (21.3%), and North Carolina
(19.7%). The average postrenovation price per property that the
securitization asset company paid to acquire the properties is
$220,595, and the average value is $203,066. The average age of the
properties is roughly 27 years. The majority of the properties have
three or more bedrooms. The Certificates represent a beneficial
ownership in an approximately five-year, fixed-rate, interest-only
loan with an initial aggregate principal balance of approximately
$290.1 million.

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

DBRS Morningstar finalized its provisional ratings on each class of
Certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses DBRS
Morningstar's single-family rental subordination model and is based
on DBRS Morningstar's published criteria. (For more details, see
www.dbrsmorningstar.com.) DBRS Morningstar developed property-level
stresses for the analysis of single-family rental assets. DBRS
Morningstar finalized its provisional ratings on each class based
on the level of stresses each class can withstand and whether such
stresses are commensurate with the applicable rating level. DBRS
Morningstar's analysis includes estimated base-case net cash flows
(NCFs) by evaluating the gross rent, concession, vacancy, operating
expenses, and capital expenditure data. The DBRS Morningstar NCF
analysis resulted in a minimum debt service coverage ratio of
higher than 1.0 times (x).

Furthermore, DBRS Morningstar reviewed the third-party participants
in the transaction, including the property manager, servicer, and
special servicer, and the BPO providers. These transaction parties
are acceptable to DBRS Morningstar. (For more details, see the
Property Manager and Servicer Summary section in the rating
report.) DBRS Morningstar also conducted a legal review and found
no material rating concerns. (For details, see the Scope of
Analysis section in the rating report.)

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


APEX CREDIT 2017: Moody's Lowers Rating on Class E Notes to B1
--------------------------------------------------------------
Moody's Investors Service has assigned a rating to one class of CLO
refinancing notes issued by Apex Credit CLO 2017 Ltd. (f/k/a JFIN
CLO 2017 Ltd.).

Moody's rating action is as follows:

US$44,371,675 Class A-F-R Senior Secured Fixed Rate Notes due 2029
(the "Refinancing Notes"), Assigned Aaa (sf)

Additionally, Moody's has downgraded the ratings on the following
outstanding notes issued by the Issuer on the original closing
date:

US$29,250,000 Class C Secured Deferrable Floating Rate Notes due
2029 (the "Class C Notes"), Downgraded to A3 (sf); previously on
June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

US$23,625,000 Class D Secured Deferrable Floating Rate Notes due
2029 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$23,625,000 Class E Secured Deferrable Floating Rate Notes due
2029 (the "Class E Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

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

The downgrade actions conclude the reviews for downgrade initiated
on April 17, 2020 on the Class D Notes and the Class E Notes, and
on June 3, 2020 on the Class C Notes issued by the Issuer.

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.

The Issuer is a managed cash flow collateralized loan obligation.
The issued notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. At least 90% of
the portfolio must consist of senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans and unsecured loans.

Apex Credit Partners LLC will continue to 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 remaining eleven-month
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

The Issuer has issued the Refinancing Notes on August 17, 2020 in
connection with the refinancing of one class of secured notes,
originally issued on February 24, 2017. On the Refinancing Date,
the Issuer used proceeds from the issuance of the Refinancing Notes
to redeem in full the Refinanced Original Notes. On the Original
Closing Date, the issuer also issued five other classes of secured
notes, and two classes of subordinated notes, which remain
outstanding.

In addition to the issuance of the Refinancing Notes, the
refinancing resulted in extending the non-call period with respect
to the Refinancing Notes.

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 3701[2], compared to 3074 reported in
the March 2020 trustee report. Moody's calculation also showed the
WARF was failing the test level of 2633 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 26.75% as of July
2020. Furthermore, Moody's calculated the over-collateralization
ratios (excluding haircuts) for the Class C Notes, Class D Notes,
and Class E Notes as of July 2020 at 120.52%, 113.19%, and 106.57%,
respectively. Moody's noted that the OC tests for the Class D Notes
and Class E Notes, as well as the interest diversion test, were
recently reported [4] as failing, which resulted in repayment of
senior notes and deferral of current interest on the Class E
Notes.

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 August 2020.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: $432,326,668

Defaulted par: $19,689,565

Diversity Score: 83

Weighted Average Rating Factor: 3638

Weighted Average Spread: 3.81%

Weighted Average Recovery Rate: 46.54 %

Weighted Average Life: 4.52 years

Par haircut in O/C tests and interest diversion test: 4.3%

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 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
August 2020.

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

The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing 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 securities.


APIDOS CLO XI: Moody's Lowers Class F-RR Notes to Caa2
------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Apidos CLO XI:

US$5,950,000 Class F-RR Deferrable Floating Rate Notes due 2030
(the "Class F-RR Notes"), Downgraded to Caa2 (sf); previously on
June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade

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

This action concludes the review for downgrade initiated on June 3,
2020 on the Class F-RR Notes issued by the CLO. The CLO, originally
issued in January 2013 and refinanced in November 2016 and
September 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 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.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3236 compared to 2873 reported in the
March 2020 trustee report [2]. Moody's calculation also showed the
WARF was failing the test level of 2916 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 18.2% as of August
2020. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $392.9
million, or $7.1 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:

Performing par and principal proceeds balance: $390,233,773

Defaulted Securities: $6,948,110

Diversity Score: 83

Weighted Average Rating Factor: 3222

Weighted Average Life: 5.5 years

Weighted Average Spread: 3.32%

Weighted Average Recovery Rate: 47.6%

Par haircut in O/C tests and interest diversion test: 0.6%

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 Rating:

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 this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


APIDOS CLO XXI: Moody's Lowers Class E-R Notes to Caa2
------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Apidos CLO XXI:

US$9,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes due
2027 (the "Class E-R Notes"), Downgraded to Caa2 (sf); previously
on June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade

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

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

US$32,200,000 Class C-R Mezzanine Deferrable Floating Rate Notes
due 2027 (the "Class C-R Notes"), Confirmed at Baa3 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$25,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes
due 2027 (the "Class D-R Notes"), Confirmed at Ba3 (sf); previously
on June 3, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class C-R Notes and the Class D-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 C-R, Class D-R and the Class E-R Notes issued
by the CLO. The CLO, originally issued in June 2015 and refinanced
in July 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in July 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 3255, compared to 2885 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3135 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
16.6% as of August 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $491.1 million, or $8.9 million less than the deal's
ramp-up target par balance. Nevertheless, Moody's noted that the OC
tests for the Class C-R, Class D-R and Class E-R 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:

Performing par and principal proceeds balance: $488,451,635

Defaulted Securities: $7,683,498

Diversity Score: 80

Weighted Average Rating Factor: 3212

Weighted Average Life: 4.7 years

Weighted Average Spread: 3.31%

Weighted Average Recovery Rate: 47.9%

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
August 2020.


ARCH STREET: Moody's Lowers Rating on Class F-R Notes to Caa2
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Arch Street CLO, Ltd.:

US$22,750,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due 2028 (current outstanding balance of $23,070,655.69) (the
"Class D-R Notes"), Downgraded to Ba1 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$21,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2028 (current outstanding balance of $21,828,953.49) (the "Class
E-R Notes"), Downgraded to B1 (sf); previously on April 17, 2020
Ba3 (sf) Placed Under Review for Possible Downgrade

US$5,500,000 Class F-R Secured Deferrable Floating Rate Notes due
2028 (current outstanding balance of $5,802,851.97) (the "Class F-R
Notes"), Downgraded to Caa2 (sf); previously on April 17, 2020 B3
(sf) Placed Under Review for Possible Downgrade

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

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

US$20,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2028 (the "Class C-R Notes"), Confirmed at A2 (sf);
previously on April 17, 2020 A2 (sf) Placed Under Review for
Possible Downgrade

The Class C-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 C-R Notes, 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 September 2016 and refinanced in October 2018,
is a managed cashflow CLO. The notes are collateralized primarily
by a portfolio of broadly syndicated senior secured corporate
loans. The transaction's reinvestment period will end in 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 ratings on the Confirmed Notes.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3807 compared to 3109 reported in the
March 2020 trustee report [2]. Moody's calculation also showed the
WARF was failing the test level of 3053 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 26.51% as of July
2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $382.6 million,
or $17.4 million less than the deal's ramp-up target par balance.
Moody's noted that the OC tests for the Class C-R, the Class D-R
and the class E-R 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. Moody's also
noted that interest is currently being deferred on the Class D-R,
the Class E-R and the Class F-R Notes.

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

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

Performing par and principal proceeds balance: $380,237,430

Defaulted Securities: $11,078,751

Diversity Score: 69

Weighted Average Rating Factor: 3750

Weighted Average Life: 4.41 years

Weighted Average Spread: 3.96%

Weighted Average Recovery Rate: 46.89%

Par haircut in O/C tests and interest diversion test: 4.68%

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
August 2020.


AREIT TRUST 2019-CRE3: DBRS Confirms B(low) Rating on Cl. F Certs
-----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of the
Commercial Mortgage Pass-Through Certificates, Series 2019-CRE3
(the Certificates) issued by AREIT 2019-CRE3 Trust:

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

DBRS Morningstar assigned Negative trends to Classes E and F, given
the elevated risk profile of multiple loans in the transaction. The
pool consists of six hospitality properties, comprising 21.6% of
the pool balance and including two loans in the top 10, which have
been negatively affected by the ongoing Coronavirus Disease
(COVID-19) pandemic. Four of the six loans have received some form
of loan modification or forbearance and may face additional
headwinds in the execution of stated business plans at issuance due
to the effects of the pandemic. The remaining classes in the
transaction have Stable trends.

In its analysis of the transaction, DBRS Morningstar applied the
probability of default (POD) adjustments to loans with confirmed
issues partially related to the stressed real estate environment
caused by the coronavirus pandemic. Because of the transitional
nature of the underlying collateral, proposed business plans that
are necessary to bring the assets to stabilization may be delayed
and, in some cases, borrowers have requested relief from the
Issuer.

At issuance, the collateral consisted of 30 floating-rate mortgage
loans secured by 31 mostly transitional real estate properties with
a cut-off balance totaling $717.9 million, excluding approximately
$93.9 million of future funding commitments. Most loans are in a
period of transition with plans to stabilize and improve asset
value. During the Permitted Funded Companion Participation
Acquisition Period, the Issuer may acquire future funding
commitments without being subject to rating agency confirmation. As
of the July 2020 remittance report, the original 30 loans remain in
the pool with approximately $29.9 million of future funding
commitments released to individual borrowers as of June 2020.

As of the July 2020 remittance, 15 loans, representing 49.8% of the
pool, are on the servicer's watchlist with no loans in special
servicing. Nine of these 15 loans are secured by transitional
multifamily properties that have been flagged for occupancy below
80%; however, as these properties generally had a renovation and
lease-up business plans, the in-place occupancy rates are
expectedly low and, as such, DBRS Morningstar does not believe
there is elevated risk associated with these loans as the
individual borrowers are executing their respective business plans.
The other six loans on the servicer's watchlist are secured by
hospitality properties, which are being monitored due to the
broader lodging industry's exposure to the coronavirus pandemic. Of
these six loans, four have been granted a loan modification or
forbearance and one loan, SIXTY Hotel LES (3.1% of the pool
balance), is reported as 60 to 89 days delinquent. DBRS Morningstar
analyzed these loans with elevated PODs to reflect concerns with
the hospitality industry and the potential for delayed
stabilization. For additional information on these loans, please
see the respective loan commentaries on the DBRS Viewpoint
platform.

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


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

US$44,000,000 Class D Mezzanine Deferrable Floating Rate Notes due
2029 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$32,000,000 Class E Mezzanine Deferrable Floating Rate Notes due
2029 (the "Class E Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class D and Class E 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 D and the Class E Notes issued by the CLO.
The CLO, issued in May 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 April 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 3462, compared to 3043 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2813 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
17.0% as of August 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $782.6 million, or $17.4 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:

Performing par and principal proceeds balance: $777,477,994

Defaulted Securities: $11,899,924

Diversity Score: 75

Weighted Average Rating Factor: 3435

Weighted Average Life: 5.8 years

Weighted Average Spread: 3.38%

Weighted Average Recovery Rate: 48.2%

Par haircut in O/C tests and interest diversion test: 0.67%

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
August 2020.


ARES XXXIX: Moody's Confirms Ba3 Rating on Class E-R Notes
----------------------------------------------------------
Moody's Investors Service has confirmed the rating on the following
notes issued by Ares XXXIX CLO Ltd.:

US$18,800,000 Class E-R Mezzanine Deferrable Floating Rate Notes
Due 2031 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

This action concludes the review for downgrade initiated on April
17, 2020 on the Class E-R Notes issued by the CLO. The CLO,
originally issued in July 2016 and refinanced in April 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

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 3465, compared to 3024 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
16.6% as of August 2020. Nevertheless, according to the July 2020
trustee report [4], 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 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:

Performing par and principal proceeds balance: $487,128,809

Defaulted Securities: $6,187,796

Diversity Score: 77

Weighted Average Rating Factor: 3429

Weighted Average Life: 5.7 years

Weighted Average Spread: 3.41%

Weighted Average Recovery Rate: 48.3%

Par haircut in O/C tests and interest diversion test: 1.1%

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 Rating:

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 this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


ARES XXXVIII: Moody's Lowers $19MM Cl. E-R Notes to B1
------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Ares XXXVIII CLO Ltd.:

US$26,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes
due 2030 (the "Class D-R Notes"), Downgraded to Ba1 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$19,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes
due 2030 (the "Class E-R Notes"), Downgraded to B1 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D-R Notes and Class E-R Notes issued by the
CLO. The CLO, originally issued in December 2015 and refinanced in
March 2018, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
April 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 (ELs) on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3444, compared to 3038
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 3080 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
16.3% as of August 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $392.7 million, or $7.3 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:

Performing par and principal proceeds balance: $390,725,928

Defaulted Securities: $5,290,945

Diversity Score: 77

Weighted Average Rating Factor (WARF): 3409

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.40%

Weighted Average Recovery Rate (WARR): 48.4%

Par haircut in O/C tests and interest diversion test: 0.91%

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.


ATLAS SENIOR XI: Moody's Confirms Ba3 Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned a rating to one class of CLO
refinancing notes issued by Atlas Senior Loan Fund XI, Ltd.

Moody's rating action is as follows:

US$32,500,000 Class A-1F-R Senior Secured Fixed Rate Notes due 2031
(the "Refinancing Notes"), Assigned Aaa (sf)

Additionally, Moody's has confirmed the ratings on the following
outstanding notes issued by the Issuer on the original closing
date:

US$31,000,000 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$24,000,000 Class E Senior 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 D Notes and the Class E Notes are referred to herein,
collectively, as the "Confirmed Notes."

These confirmations conclude the reviews for downgrade initiated on
April 17, 2020 on the Class D Notes and the Class E Notes issued by
the Issuer.

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.

The Issuer is a managed cash flow collateralized loan obligation.
The issued notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. At least 90% of
the portfolio must consist of senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans and unsecured loans.

Crescent Capital Group LP will continue to 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 remaining three-year reinvestment
period. Thereafter, subject to certain restrictions, the Manager
may reinvest unscheduled principal payments and proceeds from sales
of credit risk assets.

The Issuer has issued the Refinancing Notes on August 19, 2020 in
connection with the refinancing of one class of secured notes,
originally issued on June 28, 2018. On the Refinancing Date, the
Issuer used proceeds from the issuance of the Refinancing Notes to
redeem in full the Refinanced Original Notes. On the Original
Closing Date, the issuer also issued seven other classes of secured
notes, and one class of subordinated notes, which remain
outstanding.

In addition to the issuance of the Refinancing Notes, the
refinancing resulted in extension of the non-call period with
respect to the Refinancing Notes.

Moody's has confirmed the ratings on the Confirmed Notes based on
its conclusion 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,
despite the credit quality deterioration stemming from the
coronavirus outbreak.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3204, compared to 2790 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
20.1% as of August 2020. Moody's noted that the interest diversion
test was recently reported as failing, which resulted in a portion
of excess interest collections being diverted towards reinvestment
in collateral based on the July 2020 trustee report [1]. The
continued failure of the interest diversion test will result in
additional excess interest being diverted towards reinvestment in
collateral or repayment of the notes in accordance to the note
payment sequence.

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: $483,926,927

Defaulted Securities: $10,970,604

Diversity Score: 76

Weighted Average Rating Factor: 3194

Weighted Average Life: 6.0 years

Weighted Average Spread: 3.48%

Weighted Average Recovery Rate: 47.4%

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 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
August 2020.


BANK 2018-BNK14: Fitch Affirms B- Rating on Class X-G Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 17 classes of BANK 2018-BNK14 commercial
mortgage pass-through certificates. Fitch has also revised the
Rating Outlooks on two classes to Negative from Stable.

BANK 2018-BNK14

  - Class A-1 06035RAN6; LT AAAsf; Affirmed

  - Class A-2 06035RAP1; LT AAAsf; Affirmed

  - Class A-3 06035RAR7; LT AAAsf; Affirmed

  - Class A-4 06035RAS5; LT AAAsf; Affirmed

  - Class A-S 06035RAU0; LT AAAsf; Affirmed

  - Class A-SB 06035RAQ9; LT AAAsf; Affirmed

  - Class B 06035RAV8; LT AA-sf; Affirmed

  - Class C 06035RAW6; LT A-sf; Affirmed

  - Class D 06035RAX4; LT BBBsf; Affirmed

  - Class E 06035RAZ9; LT BBB-sf; Affirmed

  - Class F 06035RBB1; LT BB-sf; Affirmed

  - Class G 06035RBD7; LT B-sf; Affirmed

  - Class X-A 06035RBH8; LT AAAsf; Affirmed

  - Class X-B 06035RAT3; LT AA-sf; Affirmed

  - Class X-D 06035RAA4; LT BBB-sf; Affirmed

  - Class X-F 06035RAC0; LT BB-sf; Affirmed

  - Class X-G 06035RAE6; LT B-sf; Affirmed

KEY RATING DRIVERS

Increased Loss Expectations: Despite a majority of the pool
exhibiting relatively stable performance, loss expectations have
increased since issuance primarily due to the four specially
serviced assets/Fitch Loans of Concern (8.11%) and coronavirus
related performance concerns.

Specially Serviced Assets/Fitch Loans of Concern: The largest FLOC
is the 12th largest loan in the pool, Doubletree Grand Naniloa
Hotel (3.59%), which is secured by a 388-key hotel property located
in Hilo, HI. The loan is currently 90 days delinquent. In June
2020, the loan transferred to the special servicer for imminent
monetary default at the borrower's request as a result of the
coronavirus pandemic. As of the TTM months ending March 31, 2020,
the Debt Service Coverage Ratio was 0.80x and the occupancy was
72%. According to servicer commentary, the borrower has signed a
pre-negotiation letter and is working to provide requested
information to assess proposed debt relief terms with the
servicer.

Shoppes at Chino Hills (2.57%), is secured by a 378,500-sf
lifestyle center located in Chino Hills, CA, approximately 35 miles
east of Los Angeles. The loan transferred to the special servicer
in July 2020 for payment default and is currently 60 days
delinquent. As of the March 2020 rent roll, the property was 93%
occupied, down from 96% at YE 2019. The servicer reported DSCR was
1.60x as of March 2020. Approximately 27% of the NRA has leases
scheduled to expire in 2021, including two of the four largest
tenants: Jacuzzi Brands (9% NRA) and Old Navy (4% NRA). Given the
recent transfer, no further information regarding the loan status
was available.

Anderson Towne Center (1.24%) is secured by a 347,500-sf retail
center located in Cincinnati, OH. The largest tenants are Macys
(34% NRA, expires January 2029) and AMC (14.5% NRA, expires
December 2031). The property is also shadow anchored by a Kroger
supermarket. Macy's has been at the property since 1967 and
executed a 10-year lease renewal in January 2018. At issuance it
was noted Macy's sales figures had been declining; from $130 psf in
2015 to $106 psf in 2017. As of YE 2019, the property was 94%
occupied and DSCR was 1.39x. The loan transferred to the special
servicer in June 2020 for imminent monetary default, but no further
information was provided.

Hyatt Place Raleigh Midtown (0.72%) is secured by a 127-key limited
service hotel property located in Raleigh, NC. The loan is
currently 60 days delinquent. The loan transferred to the special
servicer in July 2020 due to imminent monetary default. As of the
TTM ending March 31, 2020, the DSCR 1.47x and the occupancy was
65%. Given the recent transfer, no other information was
available.

Minimal Improvements in Credit Enhancement: There have been limited
improvements in credit enhancement since issuance. The pool has
paid down approximately 1.3%, to $1.362 billion from $1.379 billion
at issuance. The pool is projected to pay down by 7.8% at maturity.
There are 22 loans (59.5%) that are full term interest only, and an
additional 14 loans (16.5%) that are structured with partial
interest only periods. Twenty-five loans (22.4%) are amortizing
balloons and one loan (1.6%) is fully amortizing. No loans have
defeased and there have been no realized losses to date.

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

RATING SENSITIVITIES

The Negative Rating Outlooks on class G (and IO Class X-G) is
primarily due to increased loss expectations as a result of various
performance concerns and four specially serviced loans/FLOCs.
Downgrades of one category or more are possible should performance
deteriorate further and/or as further loans transfer to special
servicing. Additionally, property-level cash flow concerns,
particularly of hotel and retail properties, as a result of the
economic slowdown stemming from the coronavirus pandemic have also
been factored into Fitch's analysis. The Stable Rating Outlooks on
classes A-1 through F reflect increasing credit enhancement,
continued amortization and stable performance for a majority of the
loans in the pool.

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

Sensitivity Factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Upgrades to classes B and C would likely occur with significant
improvement in credit enhancement and/or defeasance. However,
adverse selection, increased concentrations or the underperformance
of particular loan(s) may limit the potential for future upgrades.
An upgrade to class G 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 were likelihood for interest shortfalls.

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

Sensitivity Factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades to the senior A-1, A-2, A-3, A-SB, and A-4 classes,
along with class A-S are not expected given the position in the
capital structure, but may occur should interest shortfalls occur.
A downgrade to class G may occur should the FLOCs performance fail
to stabilize, if additional loans transfer to special servicing or
performance deteriorates for other loans in the pool.

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).


BRAVO RESIDENTIAL 2020-NQM1: DBRS Gives Prov. B Rating on B2 Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Mortgage
Pass-Through Notes, Series 2020-NQM1 (the Notes) to be issued by
BRAVO Residential Funding Trust 2020-NQM1 (BRAVO 2020-NQM1 or the
Trust):

-- $254.7 million Class A-1 at AAA (sf)
-- $25.8 million Class A-2 at AA (sf)
-- $23.4 million Class A-3 at A (sf)
-- $18.5 million Class M-1 at BBB (sf)
-- $12.3 million Class B-1 at BB (sf)
-- $9.1 million Class B-2 at B (sf)

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

The AAA (sf) rating on the Class A-1 Certificates reflects 30.35%
of credit enhancement provided by subordinate certificates. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 23.30%,
16.90%, 11.85%, 8.50%, and 6.00% of credit enhancement,
respectively.

This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and nonprime first-lien residential mortgages
funded by the issuance of the Mortgage-Backed Notes, Series
2020-NQM1 (the Notes). The Notes are backed by 806 loans with a
total principal balance of $365,740,207 as of the Cut-Off Date
(June 30, 2020). A portion of the loans in this pool were included
in COLT 2017-2 Mortgage Loan Trust (COLT 2017-2) and COLT 2018-1
Mortgage Loan Trust (COLT 2018-1) that were collapsed and cleaned
up previously. The remaining loans were acquired by affiliates of
the sponsor.

The mortgage loans were originated by First Guaranty Mortgage
Corporation (FGMC; 39.1%), Caliber Home Loans, Inc. (Caliber;
28.8%), Loanstream Mortgage (Loanstream; 21.6%), and various other
originators, each comprising less than 10.0% of the mortgage
loans.

Although a portion of the mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for agency, government, or private label nonagency prime
jumbo products for various reasons. In accordance with the CFPB
Qualified Mortgage (QM) rules, 1.4% of the loans by balance are
designated as QM Safe Harbor, 9.4% as QM Rebuttable Presumption or
Higher Priced QM and 74.0% as non-QM. QM/ATR exempt loans consist
of loans made to investors for business purposes (14.0%), and loans
originated by Quontic Bank (1.1%), a Community Development
Financial Institution (CDFI). While CDFI loans are not required to
adhere to the ATR rules, the CDFI loans included in this pool were
made to mostly creditworthy borrowers with a weighted-average (WA)
credit score of 728.

There will be no advancing of delinquent principal or interest on
any mortgage loan by the servicers or any other party to the
transaction; however, the servicers are obligated to make advances
in respect of taxes and insurance, the cost of preservation,
restoration and protection of mortgaged properties, and any
enforcement or judicial proceedings, including foreclosures and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.

On or after the date when the aggregate principal balance of the
mortgage loans and any REO properties is reduced to 30% of the
Cut-Off Date balance, the holder of the Trust Certificates has the
option to purchase all of the outstanding loans and REO properties
at a price equal to the outstanding balance plus accrued and unpaid
interest, including any fees, expenses, indemnification amounts,
and unpaid extraordinary trust expenses.

This transaction employs a cash flow structure that is similar to
many non-QM securitizations. The transaction contains a
sequential-pay cash flow structure with a pro rata principal
distribution among the senior tranches. Principal proceeds can be
used to cover interest shortfalls on the Notes as the more senior
classes are paid in full. Furthermore, excess spread can be used to
cover realized losses first before being allocated to unpaid Cap
Carryover Amounts.

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an economic contraction, leading to
sharp increases in unemployment rates and income reductions for
many consumers. DBRS Morningstar anticipates that delinquencies may
continue to raise 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 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, loans on forbearance plans, and a potential
near-term decline in the values of the mortgaged properties. Such
deteriorations may adversely affect borrowers' ability to make
monthly payments, refinance their loans, or sell properties in an
amount sufficient to repay the outstanding balance of their loans.

In connection with the economic stress assumed under its moderate
scenario (see "Global Macroeconomic Scenarios: 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 forecast unemployment rates and GDP
growth outlined in the aforementioned moderate scenario. In
addition, for pools with loans on forbearance plans, DBRS
Morningstar may assume higher loss expectations above and beyond
the coronavirus assumptions. Such assumptions translate to higher
expected losses on the collateral pool and correspondingly higher
credit enhancement.

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

In addition, for this transaction, as permitted by the Coronavirus
Aid, Relief, and Economic Security (CARES) Act, signed into law on
March 27, 20.7% (as of June 30, 2020) of the borrowers had been
granted forbearance or deferral plans because of financial hardship
related to the coronavirus. As of July 28, 2020, 63.6% of those
borrowers, who requested coronavirus-related financial assistance,
have made required monthly payments during the related forbearance
or deferral period. The Servicers, in collaboration with the
Controlling Holder, are generally offering borrowers a three-month
payment deferral plan or a three-month payment forbearance plan.
For the payment deferral plan, the related Servicer rolls the
borrower's next due date forward by three (3) months and defers the
P&I payments due during the deferral period as a non-interest
bearing deferred amount (such deferred amount will not be due until
the maturity date, payoff of the mortgage, or the sale of the
related mortgaged property). For the payment forbearance plan, the
related Servicer forbears the borrower's payments due for the next
three months, but such amounts are still due in month four and will
be reported as delinquent during the forbearance period. Prior to
the end of the applicable deferral or forbearance period, the
Servicers will contact each related borrower to identify the
options available to address related forborne payment amounts. As a
result, the Servicers, in conjunction with or at the direction of
the Controlling Holder, may offer a repayment plan or other forms
of payment relief, such as deferral of the unpaid P&I amounts or a
loan modification, in addition to pursuing other loss mitigation
options.

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

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

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

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

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

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


BRAVO RESIDENTIAL 2020-NQM1: Fitch Rates Class B-2 Notes 'Bsf'
--------------------------------------------------------------
Fitch rates the residential mortgage-backed notes to be issued by
BRAVO Residential Funding Trust 2020-NQM1.

RATING ACTIONS

Bravo Residential Funding Trust 2020-NQM1

Class A-1;  LT AAAsf New Rating; previously AAA(EXP)sf

Class A-2;  LT AAsf New Rating;  previously AA(EXP)sf

Class A-3;  LT Asf New Rating;   previously A(EXP)sf

Class M-1;  LT BBBsf New Rating; previously BBB(EXP)sf

Class B-1;  LT BBsf New Rating;  previously BB(EXP)sf

Class B-2;  LT Bsf New Rating;   previously B(EXP)sf

Class B-3;  LT NRsf New Rating;  previously NR(EXP)sf

Class AIOS; LT NRsf New Rating;  previously NR(EXP)sf

Class FB;   LT NRsf New Rating;  previously NR(EXP)sf

Class SA;   LT NRsf New Rating;  previously NR(EXP)sf

Class XS;   LT NRsf New Rating;  previously NR(EXP)sf

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 (Non-QM), while for the remaining 24%, the
Ability-to-Repay (ATR) rule does not apply (17%) or the loans are
Safe Harbor QM (SHQM) or Higher Priced QM (HPQM) (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 (ERF) 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
30-year fixed rate mortgage and five-year adjustable rate mortgage
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 $1.0 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 34.0% 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 debt service coverage ratio (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 credit enhancement amount less than Fitch's
loss expectations. Fitch stressed the available excess cash flow
with its payment forbearance assumptions of 40% delinquency for six
months and no advancing scenario. To the extent that the collateral
weighted average coupon (WAC) 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 (R&W) to the loans in the
trust. The rep and warranty (R&W) 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.

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 (ASF) 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.


CATAMARAN CLO 2013-1: Moody's Confirms $10.5MM Cl. F-R Notes at B3
------------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Catamaran CLO 2013-1 Ltd.:

US$31,300,000 Class D-R Deferrable Floating Rate Notes due 2028
(the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$24,100,000 Class E-R Deferrable Floating Rate Notes due 2028
(the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on April
17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$10,500,000 Class F-R Deferrable Floating Rate Notes due 2028
(current outstanding balance of $10,958,363.34) (the "Class F-R
Notes"), Confirmed at B3 (sf); previously on April 17, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

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

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D-R, Class E-R and Class F-R Notes issued by
the CLO. The CLO, originally issued in June 2013 and refinanced in
December 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in 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 (OC) 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 (WARF) was reported at 3398, compared to 3001
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2961 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
21.37% as of July 2020. Nevertheless, Moody's noted that the OC
tests for the Class B-R, Class C-R and Class D-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: $465,721,235

Defaulted Securites: $15,589,834

Diversity Score: 70

Weighted Average Rating Factor (WARF): 3354

Weighted Average Life (WAL): 4.10 years

Weighted Average Spread (WAS): 3.35%

Weighted Average Coupon (WAC): 4.50%

Weighted Average Recovery Rate (WARR): 47.15%

Par haircut in O/C tests and interest diversion test: 2.8%

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.


CBAM LTD 2018-8: Moody's Confirms Ba3 Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by CBAM 2018-8, Ltd.:

US$25,000,000 Class C Deferrable Floating Rate Notes due 2029 (the
"Class C Notes"), Confirmed at A2 (sf); previously on April 17,
2020 A2 (sf) Placed Under Review for Possible Downgrade

US$32,000,000 Class D 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

US$25,500,000 Class E Deferrable Floating Rate Notes due 2029 (the
"Class E Notes"), Confirmed at Ba3 (sf); previously on April 17,
2020 Ba3 (sf) Placed Under Review for Possible Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Confirmed Notes issued by the CLO. The CLO,
originally issued in October 2018, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in October 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 3167, compared to 2854 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2987 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 July 2020.

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

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

Par amount and principal proceeds balance: $479,431,676

Defaulted Securities: $16,482,995

Diversity Score: 66

Weighted Average Rating Factor: 3175

Weighted Average Life: 6.0 years

Weighted Average Spread: 3.56%

Weighted Average Recovery Rate: 46.2%

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; 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
August 2020.


CBAM LTD 2019-10: Moody's Confirms Ba3 Rating on Class E Notes
--------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by CBAM 2019-10, Ltd.:

US$25,750,000 Class D Deferrable Floating Rate Notes due 2032 (the
"Class D Notes"), Confirmed at Baa3 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$25,500,000 Class E Deferrable Floating Rate Notes due 2032 (the
"Class E Notes"), Confirmed at Ba3 (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 "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Confirmed Notes issued by the CLO. The CLO,
originally issued in April 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

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 3089, compared to 2831 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2964 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
12.7% as of July 2020.

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

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

Par amount and principal proceeds balance: $392,808,597

Defaulted Securities: $7,870,178

Diversity Score: 68

Weighted Average Rating Factor: 3101

Weighted Average Life: 6.0 years

Weighted Average Spread: 3.67%

Weighted Average Recovery Rate: 46.0%

Par haircut in O/C tests and interest diversion test: 0.9%

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; 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
August 2020.


CBAM LTD 2019-11: Moody's Confirms Ba3 Rating on Class E Notes
--------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by CBAM 2019-11, Ltd.:

US$32,000,000 Class D Deferrable Floating Rate Notes due 2032 (the
"Class D Notes"), Confirmed at Baa3 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$27,500,000 Class E Deferrable Floating Rate Notes due 2032 (the
"Class E Notes"), Confirmed at Ba3 (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 "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Confirmed Notes issued by the CLO. The CLO,
originally issued in November 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 2024.

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 2834, compared to 2533 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2749 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 7.5%
as of July 2020.

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

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

Par amount and principal proceeds balance: $494,798,857

Defaulted Securities: $7,300,967

Diversity Score: 63

Weighted Average Rating Factor: 2832

Weighted Average Life: 6.3 years

Weighted Average Spread: 3.48%

Weighted Average Recovery Rate: 46.1%

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 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; 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
August 2020.


CIFC FUNDING 2013-III-R: Moody's Cuts Class E Notes to Caa1
-----------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by CIFC Funding 2013-III-R, Ltd.:

US$7,600,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Downgraded to Caa1 (sf); previously
on June 3, 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$26,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Confirmed at Baa3 (sf);
previously on June 3, 2020, Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,400,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on June 3, 2020, Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class C Notes and Class D 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 C Notes, the Class D Notes and the Class E
Notes issued by the CLO. The CLO 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 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 3321, compared to 2,933 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 [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
18.07% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $393.7 million, or $6.3 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 reported
as passing in the July 2020 trustee report [4].

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

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

Performing par and principal proceeds balance: $390,931,842

Defaulted Securites: $7,910,089

Diversity Score: 78

Weighted Average Rating Factor: 3260

Weighted Average Life: 5.74 years

Weighted Average Spread: 3.40%

Weighted Average Recovery Rate: 47.37%

Par haircut in O/C tests and interest diversion test: 0.51%

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
August 2020.


CIFC FUNDING 2014-II-R: Moody's Confirms Class B-2 Notes at Ba3
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by CIFC Funding 2014-II-R, Ltd.:

US$48,400,000 Class B-1 Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class B-1 Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$48,400,000 Class B-2 Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class B-2 Notes"), Confirmed at Ba3 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Confirmed Notes issued by the CLO. The CLO, issued
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
April 2022.

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 (OC) 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 (WARF) was reported at 3284, compared to 2906
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 3011 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
18.47% as of July 2020. Nevertheless, Moody's noted that the OC
tests for the notes, as well as the interest diversion test was
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:

Performing par and principal proceeds balance: $786,135,712

Defaulted Securities: $7,149,060

Diversity Score: 77

Weighted Average Rating Factor (WARF): 3258

Weighted Average Life (WAL): 5.77 years

Weighted Average Spread (WAS): 3.37%

Weighted Average Recovery Rate (WARR): 47.47%

Par haircut in O/C tests and interest diversion test: 1.0%

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.


CITIGROUP COMMERCIAL 2013-GCJ11: Fitch Affirms B Rating on F Certs
------------------------------------------------------------------
Fitch Ratings affirms 11 classes of Citigroup Commercial Mortgage
Trust, commercial mortgage pass-through certificates, series
2013-GCJ11.

CGCMT 2013-GCJ11

  - Class A-3 17320DAE8; LT AAAsf; Affirmed

  - Class A-4 17320DAG3; LT AAAsf; Affirmed

  - Class A-AB 17320DAJ7; LT AAAsf; Affirmed

  - Class A-S 17320DAN8; LT AAAsf; Affirmed

  - Class B 17320DAQ1; LT AAsf; Affirmed

  - Class C 17320DAS7; LT Asf; Affirmed

  - Class D 17320DAU2; LT BBB-sf; Affirmed

  - Class E 17320DAW8; LT BBsf; Affirmed

  - Class F 17320DAY4 LT Bsf; Affirmed

  - Class X-A 17320DAL2; LT AAAsf; Affirmed

  - Class X-B 17320DBE7; LT Asf; Affirmed

KEY RATING DRIVERS

Stable Credit Enhancement and Increased Defeasance: The
affirmations are due to overall stable credit enhancement and the
continued stable performance of the majority of the loans in the
pool. Defeasance continues to increase, and 20 loans (32.5% of the
current pool balance) have been defeased compared to 13 loans
(20.8%) at the prior rating action. As of the August 2020
distribution date, the pool's aggregate principal balance paid down
34.8% to $787.1 million from $1.2 billion at issuance.

Slight Increase in Loss Projections: While the pool has continued
to exhibit relatively stable performance, loss expectations have
increased slightly. As of YE 2019, aggregate pool-level NOI
improved 0.9% from 2018 for non-defeased loans reporting full-year
2018 and 2019 financials. One loan (1.1%) is in special servicing,
one loan (0.6%) is 60 days delinquent, and two loans (9.6%) are 90+
days delinquent. There have been no realized losses since issuance
and interest shortfalls are currently affecting class G.

Fitch Loans of Concern: Six loans (19.1%) have been designated as
Fitch Loans of Concern compared to three loans (12.4%) at the prior
rating action.

The largest FLOC is Empire Hotel & Retail (8.5%), a mixed-use
hotel/retail property on the Upper West Side of Manhattan. Prior to
the coronavirus pandemic, the property experienced declining cash
flow due to renovations that took one-half of the hotel rooms off
line through YE 2016 and the soft hotel market in New York City. As
of August 2020, the hotel is closed until January 2021. While the
retail portion of the property remains operational, most of the
property's cash flow is generated by the hotel's operations. The
loan is currently 90+ days delinquent. Per the YE 2019 financials,
the NOI debt service coverage ratio was 0.91x and the property was
85% occupied.

Other FLOCs include Residence Inn Boston Harbor (5.0%), a 168-key
hotel in Boston with a large decline in NOI due to coronavirus;
9440 Santa Monica (2.2%), an office property in Beverly Hills, CA
with upcoming tenant roll and occupancy and cash flow that are
stabilizing after a major tenant downsized their space; Fairfield
Inn - Anchorage (1.1%), a 106-key hotel in Anchorage, AK that has
transferred to special servicing in July 2020 due to payment
default and is 90 days delinquent; and two smaller hotels (2.3%)
with coronavirus exposure.

Coronavirus Exposure: The pool contains nine loans (16.0%) secured
by traditional hotels and one loan secured by a mixed use property
with a large hotel component (8.5%) with a weighted-average NOI
DSCR of 1.52x. Retail properties account for 12.7% of the pool
balance and have weighted average NOI DSCR of 1.60x. Cash flow
disruptions continue as a result of property and consumer
restrictions due to the spread of the coronavirus. Fitch's base
case analysis applied an additional NOI stress to seven hotel and
four retail loans due to their vulnerability to the coronavirus
pandemic. These additional stresses contributed to the Negative
Outlook on class F.

Maturity Concentration: The maturity concentration for the pool is
as follows: two loans (6.2%) in 2022 and 56 (93.8%) loans in 2023.

RATING SENSITIVITIES

The Negative Outlook on class F reflects the potential for a
near-term rating change should the performance of the FLOCs,
specifically the Empire Hotel & Retail, deteriorate. It also
reflects concerns with hotel and retail properties due to decline
in travel and commerce as a result of the coronavirus pandemic. The
Stable Outlooks on all other classes reflect the overall stable
performance of the pool, significant paydown and defeasance and
expected continued amortization.

Factors that lead to upgrades would include stable to improved
asset performance coupled with paydown and/or defeasance.

Upgrades of classes B, C, and X-B may occur with additional
improvement in credit enhancement and/or defeasance but would be
limited should the deal be susceptible to a concentration whereby
the underperformance of FLOCs could cause this trend to reverse. An
upgrade to class D would also take into account these factors, but
would be limited based on sensitivity to concentrations or the
potential for future concentration.

Classes would not be upgraded above 'Asf' if there is a likelihood
for interest shortfalls. An upgrade to classes E and F is not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable and if there is
sufficient credit enhancement, which would occur if the non-rated
class G is not eroded, the senior classes payoff, and if the Empire
Hotel & Retail loan is paid off or liquidated without an outsized
loss. While coronavirus-related stresses continue to impact the
pool, upgrades are unlikely.

Factors that lead to downgrades include an increase in pool level
losses from underperforming or specially serviced loans.

Downgrades to the senior classes, A-3, A-4, A-B, A-S, X-A, B, C,
and X-B, are not likely due to the high credit enhancement and
large amount of defeasance, but may occur at 'AAAsf' or 'AAsf'
should interest shortfalls occur. Downgrades to class D would occur
should overall pool losses increase and/or one or more large loans,
such as the Empire Hotel & Retail loan, have an outsized loss which
would erode credit enhancement.

Downgrades to classes E and F would occur should loss expectations
increase due to an increase in specially serviced loans and loan
delinquencies. The Negative Outlook on class F may be revised back
to Stable if performance of the FLOCs improves and/or properties
vulnerable to the coronavirus stabilize once the pandemic is over.

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

BEST/WORST CASE RATING SCENARIO

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

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

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).


CLEAR CREEK: Moody's Confirms Ba3 Rating on $13.5MM Cl. E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Clear Creek CLO, Ltd.:

US$16,500,000 Class D-R Secured Deferrable Floating Rate Notes due
2030 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$13,500,000 Class E-R Secured Deferrable Floating Rate Notes due
2030 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on
April 17, 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 April
17, 2020 on the Confirmed Notes issued by the CLO. The CLO,
originally issued in March 2015 and refinanced in October 2017, is
a managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end on October 2022.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's noted that the OC tests for the Class
A/B, Class C, Class D and Class E Notes reported in the June 2020
trustee report [1] as passing. 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 (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the June 2020 trustee report [2], the weighted average
rating factor (WARF) was reported at 3209 compared to 2843 reported
in the February 2020 trustee report [3]. Moody's calculation also
showed the WARF was failing the test level of 2859 reported in the
June 2020 trustee report [4]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
17.3% as of July 2020.

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: $293,984,936

Defaulted Securities: $2,875,195

Diversity Score: 88

Weighted Average Rating Factor (WARF): 3221

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.24%

Weighted Average Recovery Rate (WARR): 47.94%

Par haircut in O/C tests and interest diversion test: 1.1%

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
August 2020.


COMM 2014-CCRE20: Fitch Affirms B- Rating on Class F Certs
----------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Deutsche Bank Securities,
Inc's COMM 2014-CCRE20 Mortgage Trust commercial mortgage trust
pass-through certificates. Fitch also revised the Rating Outlooks
on two classes to Negative from Stable.

RATING ACTIONS

COMM 2014-CCRE20

Class A-2 12592LBF8; LT AAAsf Affirmed; previously at AAAsf

Class A-3 12592LBH4; LT AAAsf Affirmed; previously at AAAsf

Class A-4 12592LBJ0; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 12592LBG6; LT AAAsf Affirmed; previously at AAAsf

Class AM 12592LBL5; LT AAAsf Affirmed; previously at AAAsf

Class B 12592LBM3; LT AA+sf Affirmed; previously at AA+sf

Class C 12592LBP6; LT A-sf Affirmed; previously at A-sf

Class D 12592LAN2; LT BBB-sf Affirmed; previously at BBB-sf

Class E 12592LAQ5; LT BB-sf Affirmed; previously at BB-sf

Class F 12592LAS1; LT B-sf Affirmed; previously at B-sf

Class PEZ 12592LBN1; LT A-sf Affirmed; previously at A-sf

Class X-A 12592LBK7; LT AAAsf Affirmed; previously at AAAsf

Class X-B 12592LAA0; LT AA+sf Affirmed; previously at AA+sf

Class X-C 12592LAC6; LT BBB-sf Affirmed; previously at BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: Fitch's loss projections have
increased since the last rating action, primarily attributable to
the social and market disruption caused by the effects of the
coronavirus pandemic and related containment measures. Fitch has
designated 11 loans (28.8% of the pool) as Fitch Loans of Concern
(FLOCs). This includes seven loans (15.5%) in special servicing,
most of which have transferred since the last rating action. Seven
of the Top 15 loans are FLOCs (24.2%).

Fitch Loans of Concern: The largest FLOC is Harwood Center (5.60%
of the pool), which is also the largest loan in special servicing.
The loan is secured by an urban office property located in Dallas,
Texas. The loan transferred to special servicing in May 2020 due to
imminent monetary default and remains current. Occupancy has
declined significantly due to recent lease rollover and downsizing.
As of March 2020, the property was 69% occupied, down from 91% at
year-end (YE) 2019, and the NOI DSCR fell to 0.69x from 1.51x at YE
2019 in the same period. Leases representing 15.8% of the NRA are
scheduled to roll over the next two years. The borrower recently
indicated it is no longer able to fund tenant improvement
obligations, and the special servicer has not specified a workout
strategy at this time.

The second largest FLOC is Culver City Creative Office (4.97% of
the pool). The collateral consists of 10 office buildings totaling
157,491 sq. ft. located in a larger office park near Interstate-10
and Interstate-405 in Los Angeles County. The loan has been flagged
for concentrated lease roll in the near term. Leases representing
40% of the NRA are scheduled to roll by YE2021. Historical
occupancy has been strong, and NOI has improved year-over-year
since issuance. While this loan is flagged as a FLOC, there is no
modeled loss given the low leverage point.

The third largest FLOC is Beverly Connection (4.29% of the pool).
The loan is secured by a two-level anchored retail shopping center
and five-story, 1,342-space, parking structure located in the West
Hollywood submarket, Los Angeles, California, at the southeast
corner of Beverly Boulevard and La Cienega Boulevard. The largest
tenants are Target (29.9% NRA through January 2029), Marshalls
(10.2% NRA through September 2021) and Ross Dress for Less (9.0%
NRA through January 2021). The loan, which has missed the July and
August 2020 payments, is in collections, according to servicer
commentary. The YE2019 financial statement has not been received,
but the annualized September 2019 NOI DSCR was 1.64x on an IO
basis.

The fourth largest FLOC and second largest specially serviced loan
is Crowne Plaza Houston Katy Freeway (2.93% of the pool). The
collateral is a full-service hotel located in Houston, Texas that
was built in 1981 and renovated in 2012. The loan transferred to
special servicing in May 2020 after the borrower requested debt
service payment relief due to the pandemic. The loan is due for the
April 2020 and subsequent payments, and forbearance has not yet
been granted. The NOI DSCR declined to 0.70x as of YE 2019 from
1.65x at YE 2017, indicating the property faced performance
challenges prior to the coronavirus outbreak.

The fifth largest FLOC and third largest specially serviced loan is
Doubletree Beachwood (2.44% of the pool). The collateral is a
full-service hotel located in Beachwood, Ohio that was originally
converted from a Hilton to a DoubleTree by Hilton in 2013. The loan
transferred to special servicing in April 2019 due to imminent
default after several years of underperformance. A receiver was
appointed in November 2019 and the special servicer is pursuing
foreclosure. At YE 2018, the NOI DSCR fell to 0.45x from 1.05x at
YE 2017. The YE2019 financial statements have not been received.

Increasing Credit Enhancement: As of the August 2020 remittance,
the aggregate pool balance has been reduced by 13.6% to $1.02
billion from $1.18 billion at issuance. Since Fitch's last rating
action, one loan (0.70% of the pool balance at the last rating
action) has repaid. Twelve loans (17.04% of the pool) are defeased,
compared with 10 loans (9.12 % of the pool) at Fitch's last rating
action. No loans are scheduled to mature prior to 2024.

Coronavirus Exposure: Within the pool, there are 20 non-defeased
loans secured by retail properties (29.3%), with a weighted average
NOI DSCR of 1.86x. There are no traditional regional malls secured
in the deal. There are eight non-defeased loans secured by hotel
properties (22.8% of pool), with a weighted average NOI DSCR of
2.95x. Additional coronavirus-related stresses were applied to nine
retail loans (9%) and one non-specially serviced hotel loan (2.6%);
these additional stresses contributed to the Negative Outlooks on
classes D, E, and F.

The hotel sector as a whole is expected to experience significant
declines in RevPAR in the near term due to travel disruptions from
the coronavirus pandemic. Additionally, retail properties are
expected to face cash flow disruption as tenants may not be able to
pay rent or as leases with upcoming expiration dates are not
renewed given that many retailers are closed for business.

RATING SENSITIVITIES

The Outlooks on classes A-2 through C and X-A through X-B remain
Stable. The Outlooks for classes D and X-C have been revised to
Negative from Stable. The Outlooks for classes E and F remain
Negative.

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

Factors that lead to upgrades would include stable to improved
asset performance coupled with pay down and/or defeasance. An
upgrade to classes B and C could occur with continued paydown and
improved pool performance, but would be limited as concentrations
increase. Classes would not be upgraded above 'Asf' if there is
likelihood of interest shortfalls. An upgrade of class D could
occur with significant improvement in credit enhancement and
stabilization of the FLOCs. Upgrades of 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 performance
levels, and there is sufficient credit enhancement to the classes.

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

Factors that lead to downgrades include an increase in pool level
losses from underperforming loans. Downgrades to the classes rated
'AAAsf' are not considered likely due to the position in the
capital structure but may occur at 'AAAsf' or 'AA+sf' should
interest shortfalls occur. Downgrades to classes C and D are
possible should additional defaults occur or loss expectations
increase. Downgrades to classes E and F are possible should pool
performance decline or FLOCs fail to stabilize.

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


CONSECO FINANCE 2000-E: Moody's Cuts Class B-1 Debt Rating to Caa1
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of Class B-1
issued by Conseco Finance Home Improvement Loan Trust 2000-E. The
collateral backing this deal consists of second lien mortgage
loans.

The complete rating action is as follows:

Issuer: Conseco Finance Home Improvement Loan Trust 2000-E

Cl. B-1, Downgraded to Caa1 (sf); previously on Dec 6, 2010
Confirmed at B3 (sf)

RATINGS RATIONALE

The rating downgrade of Class B-1 from Conseco Finance Home
Improvement Loan Trust 2000-E is due to the deterioration in deal
performance and the reduction in credit enhancement available to
this bond. As of the July 2020 remittance date, Class B-1 is
undercollateralized by $124,401 as losses are not allocated to
reduce its balance. Furthermore, since interest accrues on the
non-loss adjusted ending balance of Class B-2 and interest and
interest shortfalls on Classes B-1 and B-2 are paid from available
funds prior to principal on Class B-1, Moody's expects Class B-1 to
become further undercollateralized. The action also reflects the
recent performance as well as Moody's updated loss expectations on
the underlying pool.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of US RMBS from the collapse in the
US economic activity in the second quarter and a gradual recovery
in the second half of the year.

However, that outcome depends on whether governments can reopen
their economies while also safeguarding public health and avoiding
a further surge in infections. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's regards
the coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.

The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

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

Down

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

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of this transaction.


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

US$22,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Downgraded to Ba1 (sf); previously
on April 17, 2020 Baa3 (sf) Placed Under Review for Downgrade

US$18,000,000 Class E Secured Deferrable Floating Rate Notes due
2030 (the "Class E Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Downgrade

The Class D and Class E 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 D and Class E Notes issued by the CLO. The
CLO, issued in March 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in January 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 3488 compared to 2929 reported in the
March 2020 trustee report [2]. Moody's calculation also showed the
WARF was failing the test level of 2994 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 20.4% 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.

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: $386,727,794

Defaulted Securities: $5,150,167

Diversity Score: 82

Weighted Average Rating Factor: 3480

Weighted Average Life: 5.7 years

Weighted Average Spread: 3.44%

Weighted Average Recovery Rate: 48.6%

Par haircut in O/C tests and interest diversion test: 0.35%

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
August 2020.


DBJPM 2020-C9: Fitch to Rate Class G Certs 'B-(EXP)sf'
------------------------------------------------------
Fitch Ratings has assigned the following expected ratings and
Rating Outlooks to DBJPM 2020-C9 Mortgage Trust commercial mortgage
pass-through certificates series 2020-C9:

DBJPM 2020-C9

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  -- $5.23 million class A-1 'AAAsf'; Outlook Stable;

  -- $104.9 million class A-2 'AAAsf'; Outlook Stable;

  -- $61.7 million class A-3 'AAAsf'; Outlook Stable;

  -- $4.9 million class A-SB 'AAAsf'; Outlook Stable;

  -- $67.,8 million class A-4 'AAAsf'; Outlook Stable;

  -- $174.9 million class A-5 'AAAsf'; Outlook Stable;

  -- $491.4 million class X-A 'AAAsf'; Outlook Stable;

  -- $71.9 million class A-M 'AAAsf'; Outlook Stable;

  -- $22.5 million class B 'AA-sf'; Outlook Stable;

  -- $22.5 class C 'A-sf'; Outlook Stable;

  -- $22.5 million class X-B 'AA-sf'; Outlook Stable;

  -- $24 million class X-D 'BBB-sf'; Outlook Stable;

  -- $13.5 class X-F 'BB-sf'; Outlook Stable;

  -- $6 million class X-G 'B-sf'; Outlook Stable;

  -- $15.7 million class D 'BBBsf'; Outlook Stable;

  -- $8.2 million class E 'BBB-sf'; Outlook Stable;

  -- $13.5 million class F 'BB-sf'; Outlook Stable;

  -- $6 million class G 'B-sf'; Outlook Stable.

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

  -- $19.5 million class H;

  -- $19.5 million class X-H;

  -- $25 million class RR Certificates;

  -- $6.6 million class RR Interest.

The Risk Retention Certificates and Risk Retention Interest
represent a vertical risk retention interest equal to approximately
5.0% of the pool balance. Neither the Risk Retention Certificates
nor the Risk Retention Interest are being offered.

Classes A-1, A-2, A-3, A-SB, A-4, A-5, X-A, A-M, B and C are
publically offered, while classes X-B, X-D, X-F, X-G, X-H, D, E, F,
G and H are being offered pursuant to Rule 144A.

Classes X-A, X-B, X-D, X-F, X-G and X-H are IO classes and the
stated balances for the IO classes represent the notional amounts.

The expected ratings are based on information provided by the
issuer as of August 17, 2020.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 31 loans secured by 146
commercial properties having an aggregate principal balance of
$630.8 million as of the cut-off date. The loans were contributed
to the trust by German American Capital Corporation, JPMorgan Chase
Bank, National Association, Goldman Sachs Mortgage Company, and
BSPRT CMBS Finance, LLC.

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 and
rent relief) and operating expenses (i.e., sanitation costs) for
some properties in the pool. Delinquencies may occur in the coming
months as forbearance programs are put in place, although the
ultimate impact on credit losses will depend heavily on the
severity and duration of the negative economic impact of the
coronavirus pandemic, and to what degree fiscal interventions by
the U.S. federal government can mitigate the impact on consumers.
Per the offering documents, all the loans are current.

The sponsor of Southcenter Mall submitted a request in early April
2020 for payment relief for at least four months, the ability for
the property manager to negotiate lease amendments and scale
operations, waive certain events of default relating to scale of
property operations and a waiver of the DSCR and debt yield trigger
events. The sponsor was granted a six-month waiver through Nov. 22,
2020 on the DSCR covenants related to the loan and all other
requests were denied by the lender. The sponsor of Dunkin' Donuts
East 14th Street requested a deferment on its debt service payments
as its sole tenant modified its rent payment schedule through May
2020, but this request was denied. As of the cut-off date, the
mortgage remains current on debt service.

KEY RATING DRIVERS

Fitch Leverage Lower than Recent Transactions: The pool has lower
leverage than other recent Fitch-rated multi-borrower transactions.
The pool's Fitch LTV of 88.1% is well below the YTD 2020 and 2019
averages of 98.5% and 103.0%, respectively. The pool's Fitch DSCR
of 1.46x is well above the YTD 2020 and 2019 averages of 1.30x and
1.26x, respectively.

Credit Opinion Loans: The pool includes eight loans, representing
45.0% of the deal, that received investment-grade credit opinions.
This is a significantly higher concentration than the YTD 2020 and
2019 averages of 28.6% and 14.2%, respectively. Agellan Portfolio
(9.7% of pool) received a stand-alone credit opinion of 'A-sf*', BX
Industrial Portfolio (7.9% of pool), 1633 Broadway (6.3% of pool),
Kings Plaza (3.2% of pool ), Chase Center Tower I (2.9% of pool),
Chase Center Tower II (2.5% of pool), all received a stand-alone
credit opinion of 'BBB-sf*', MGM Grand & Mandalay Bay (7.9% of
pool) received a stand-alone credit opinion of 'BBB+sf*'and
Southcenter Mall (4.6% of pool) received a stand-alone credit
opinion of 'AAAsf*'.

Concentrated Pool: The top 10 loans comprise 62.1% of the pool,
which is greater than the YTD 2020 and 2019 averages of 55.1% and
51.0%, respectively. The loan concentration index (LCI) of 516 is
greater than the YTD 2020 and 2019 averages of 417 and 379,
respectively.

RATING SENSITIVITIES

This section provides insight into the sensitivity of ratings when
one assumption is modified, while holding others equal. For U.S.
CMBS, the sensitivity reflects the impact of changes to property
net cash flow in up- and down-environments. The results below
should only be considered as one potential outcome, as the
transaction is exposed to multiple dynamic risk factors. It should
not be used as an indicator of possible future performance.

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

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

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

10% NCF Decline: 'AAsf' / 'Asf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' /
'Bsf' /' CCCsf';

20% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'Bsf' /
'CCCsf' /' CCCsf';

30% NCF Decline: 'A-sf' / 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf' /
'CCCsf' / '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 below
indicates the model implied rating sensitivity to changes to the
same one variable, Fitch NCF:

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

20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'AA-sf' / 'Asf' /
'BBBsf'/ 'BBB-sf'.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


DEWOLF PARK: Moody's Confirms Ba3 Rating on Class E Notes
---------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Dewolf Park CLO, Ltd.:

US$36,500,000 Class D Secured Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on
June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$30,000,000 Class E Secured Deferrable Floating Rate Notes due
2030 (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 Confirmed Notes issued by the CLO. The CLO,
originally issued in August 2017, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in October 2022.

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 (OC) 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 (WARF) was reported at 3341, compared to 2912
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2997 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%
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.

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: $596,659,187

Defaulted Securites: $1,484,755

Diversity Score: 76

Weighted Average Rating Factor (WARF): 3351

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.40%

Weighted Average Recovery Rate (WARR): 46.84%

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

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
August 2020.


DIVIDEND 15 SPLIT CORP: DBRS Cuts Preferred Shares Rating to Pfd-4
------------------------------------------------------------------
DBRS Limited downgraded the Preferred Shares (the Preferred Shares)
issued by Dividend 15 Split Corp. II (the Company) to Pfd-4 from
Pfd-3 (low). The Company holds a portfolio of common shares listed
on the Toronto Stock Exchange (the Portfolio), which are issued by
the following 15 companies: Bank of Montreal, The Bank of Nova
Scotia, BCE Inc., CI Financial Corp., Canadian Imperial Bank of
Commerce, Enbridge Inc., Manulife Financial Corporation, National
Bank of Canada, Royal Bank of Canada, Sun Life Financial Inc.,
TELUS Corporation, Thomson Reuters Corporation, The
Toronto-Dominion Bank, TransAlta Corporation, and TC Energy Corp.
Up to 15% of the net asset value (NAV) of the Portfolio may be
invested in equity securities of issuers other than the companies
listed above. Quadravest Capital Management Inc. actively manages
the Portfolio. The Company has the ability to write covered call
options in respect of some or all of the common shares held in the
Portfolio to generate additional income and supplement the
dividends received on the Portfolio.

On May 22, 2020, DBRS Morningstar placed the Preferred Shares Under
Review with Negative Implications. The Preferred Shares have
experienced a considerable reduction in downside protection since
February 2020 as a result of the rapid decline in the NAV of the
portfolio in response to the stock market sell-off, which was
triggered by the worldwide spread of Coronavirus Disease (COVID-19)
and various geopolitical events. With this downgrade, the rating of
the Preferred Shares has been removed from Under Review with
Negative Implications.

As at July 15, 2020, the downside protection available to the
Preferred Shares was 21.2%. The dividend coverage ratio was
approximately 0.8 times (x). Holders of the Preferred Shares
continue to receive fixed cumulative monthly cash distributions of
$0.04792 per Preferred Share, yielding 5.75% annually on the
original issue price of $10.00. Distributions to the Class A Shares
have been suspended since March 2020 because they have not met the
NAV test of 1.5x.

DBRS Morningstar downgraded the rating on the Preferred Shares
based on longer-term trends being established for the NAV. Although
the downside protection has experienced some recovery in the past
three months, its current level combined with a dividend coverage
below 1.0, are commensurate with a Pfd-4 rating.

CORONAVIRUS-RELATED ANALYTICAL CONSIDERATIONS

This rating action was based on factors that included additional
analysis and, where appropriate, additional assumptions were
applied to expected performance as a result of the global efforts
to contain the spread of the coronavirus. On April 16, 2020, the
DBRS Morningstar Sovereigns group published its outlook on the
impact on key economic indicators for the 2020–22-time frame.

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


ELLINGTON CLO III: Moody's Lowers $11MM Cl. F Notes to Ca
---------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Ellington CLO III, Ltd.:

US$35,500,000 Class D Secured Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Downgraded to Ba2 (sf), previously on
June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$40,000,000 Class E Secured Deferrable Floating Rate Notes due
2030 (the "Class E Notes"), Downgraded to Caa3 (sf), previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$11,000,000 Class F Secured Deferrable Floating Rate Notes due
2030 (the "Class F Notes"), Downgraded to Ca (sf), previously on
June 3, 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 "Downgraded Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class D Notes, the Class E Notes, and the Class F
Notes issued by the CLO. The CLO, 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 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 (ELs) on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 5476, compared to 4655
reported in the March 2020 trustee report [4]. Moody's calculation
also showed the WARF was failing the test level of 4657 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
68.5% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $348.6 million, or $51.4 million less than the
deal's ramp-up target par balance. Moody's noted that the OC tests
for the Classes A/B, Class C, Class D and Class E notes were
recently reported[3] as failing, which resulted in repayment of
senior notes and deferral of current interest on the Class C, Class
D, Class E, and Class F Notes on the last payment date in July.

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: $320,017,622

Defaulted Securities: $74,546,766

Diversity Score: 42

Weighted Average Rating Factor (WARF): 5387

Weighted Average Life (WAL): 5.06 years

Weighted Average Spread (WAS): 4.72%

Weighted Average Recovery Rate (WARR): 46.97%

Par haircut in O/C tests: 1.5%

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; 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.


FORTRESS CREDIT IX: S&P Affirms BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1F-R1 and
A-1F-R2 replacement notes from Fortress Credit Opportunities IX CLO
Ltd., a CLO originally issued in 2017 that is managed by FCOD CLO
Management LLC. S&P withdrew its ratings on the original class A-1F
notes following payment in full on the Aug. 17, 2020, refinancing
date. At the same time, S&P affirmed its ratings on the class A-1L,
A-1R, A-1T, B, C, D, and E notes.

On the Aug. 17, 2020, refinancing date, the proceeds from the class
A-1F-R1 and A-1F-R2 replacement note issuances were used to redeem
the original class A-1F notes as outlined in the transaction
document provisions. Therefore, S&P withdrew its ratings on the
original notes in line with their full redemption, and it is
assigning ratings to the replacement notes.

The replacement notes are being issued via a supplemental
indenture, which outlines the terms of the replacement notes.

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

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

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

  RATINGS ASSIGNED

  Fortress Credit Opportunities IX CLO Ltd.
  Replacement class          Rating        Amount (mil $)
  A-1F-R1                    AAA (sf)               11.00
  A-1F-R2                    AAA (sf)               89.00

  RATINGS AFFIRMED

  Fortress Credit Opportunities IX CLO Ltd.
  Class                      Rating
  A-1L                       AAA (sf)
  A-1R                       AAA (sf)
  A-1T                       AAA (sf)
  B                          AA (sf)
  C                          A- (sf)
  D                          BBB- (sf)
  E                          BB- (sf)
  
  RATINGS WITHDRAWN

  Fortress Credit Opportunities IX CLO Ltd.
                             Rating
  Original class       To              From
  A-1F                 NR              AAA (sf)

  NR--Not rated.


GLS AUTO 2020-3: DBRS Finalizes BB(low) Rating on Class E Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by GLS Auto Receivables Issuer Trust 2020-3
(the Issuer):

-- $164,560,000 Class A Notes at AAA (sf)
-- $44,690,000 Class B Notes at AA (sf)
-- $50,890,000 Class C Notes at A (low) (sf)
-- $34,050,000 Class D Notes at BBB (low) (sf)
-- $30,500,000 Class E Notes at BB (low) (sf)

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

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

-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve 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) pandemic.

-- 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 21.75% based on
the expected Cut-Off Date pool composition.

(3) The transaction assumptions include an increase to 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 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 Global Lending Services
LLC (GLS or the Company) and the strength of the overall Company
and its management team.

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

(5) The capabilities of GLS with regard to originations,
underwriting, and servicing.

-- DBRS Morningstar performed an operational review of GLS 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 GLS 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 GLS 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 GLS, 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."

GLS 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 55.10% of initial hard
credit enhancement provided by subordinated notes in the pool
(45.15%), the reserve account (1.50%), and OC (8.45%). The ratings
on Class B, Class C, Class D, and Class E Notes reflect 42.50%,
28.15%, 18.55%, and 9.95% 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.


GS MORTGAGE 2016-GS3: Fitch Lowers Rating on F Certs to CCCsf
-------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed 13 classes of
GS Mortgage Securities Trust 2016-GS3 Commercial Mortgage
Pass-Through Certificates series 2016-GS3.

GSMS 2016-GS3

  - Class A-1 36251PAA2; LT AAAsf; Affirmed  

  - Class A-2 36251PAB0; LT AAAsf; Affirmed  

  - Class A-3 36251PAC8; LT AAAsf; Affirmed  

  - Class A-4 36251PAD6; LT AAAsf; Affirmed  

  - Class A-AB 36251PAE4; LT AAAsf; Affirmed  

  - Class A-S 36251PAH7; LT AAAsf; Affirmed  

  - Class B 36251PAJ3; LT AA-sf; Affirmed  

  - Class C 36251PAL8; LT A-sf; Affirmed  

  - Class D 36251PAM6; LT BBB-sf; Affirmed  

  - Class E 36251PAR5; LT Bsf; Downgrade  

  - Class F 36251PAT1; LT CCCsf; Downgrade  

  - Class PEZ 36251PAK0; LT A-sf; Affirmed  

  - Class X-A 36251PAF1; LT AAAsf; Affirmed  

  - Class X-B 36251PAG9; LT AA-sf; Affirmed  

  - Class X-D 36251PAP9; LT BBB-sf; Affirmed  

KEY RATING DRIVERS

Increased Loss Expectations/ High Concentration of Fitch Loans of
Concern: The downgrades and Negative Rating Outlooks reflect an
increase in Fitch's loss expectations, primarily due to the
performance deterioration on an increasing number of Fitch Loans of
Concern, including those in special servicing (11.5%) many of which
have been impacted by the slowdown in economic activity related to
the coronavirus. Fitch has designated 17 loans (42.3% of pool) as
FLOCs, which includes the three loans that have transferred to
special servicing since March 2020.

Fitch Loans of Concern/Specially Serviced Loans: The largest FLOC
and the fourth largest loan in the pool, The Falls (6.7%), is
secured by an 839,507-sf single story open-air lifestyle center
located in Miami, FL. The property is anchored by Macy's (29% of
NRA, lease expires July 2027) with other large tenants including
Regal Cinemas, Fresh Market, and American Girl. Bloomingdale's
vacated and terminated their lease in March 2020 with no further
rent obligations. Per the borrower, Lifetime Fitness will be a
replacement tenant for Bloomingdale's but the lease has not been
fully executed and has not been submitted for Lender approval.

Additional tenants that vacated in 2019 and 2020 include Brio
Tuscan Grill, Charming Charlie, Gymboree, Regis, motherhood
maternity, Williams Sonoma, TGI Fridays, and Love Culture.
Occupancy as of March 2020 without Bloomingdale's is approximately
69%. The property has minimal near-term rollover with 2.7% in 2020,
1.6% in 2021, and 13.0% in 2022. The YE 2019 NOI debt service
coverage ratio is 3.24x compared to 3.39x at YE2 018. Tenant sales
at YE 2019 were $684 psf including Apple and $439 psf excluding
Apple.

The second largest FLOC and the fifth largest loan in the pool,
Hamilton Place (5.8%), was transferred to the special servicer in
April 2020 for imminent monetary default at the borrower's request
due to the coronavirus pandemic. The loan is secured by a
super-regional mall, sponsored by CBL Properties located in
Chattanooga, TN, with a total square footage of 1,163,079 sf, of
which 391,041 sf of in-line space serves as loan collateral.

The mall is anchored by Dillard's, Belk, JCPenney, Barnes and
Noble, and Forever 21. As of April 2020, overall mall occupancy was
98%; collateral occupancy was 94% compared to 91% at issuance. A
total sales report was not provided but individual stores did
report sales and are generally trending downward for larger
tenants. Sales for Barnes and Noble dropped from $202 psf in 2015
to $189 psf as of TTM April 2019; Express dropped from $213 psf as
of TTM July 2016 to $174 psf as of TTM July 2019; Victoria's Secret
dropped from $750 psf in 2014 to $436 psf for TTM January 2020.

Sales for American Eagle Outfitters increased from $558 psf in 2013
to $668 psf as of TTM March 2020 and H&M increased from $108 at YE
2018 to $127 at YE 2019. CBL, the sponsor, bought the Sears store
in 2017 and has redeveloped the space with The Cheesecake Factory
opening on a new parcel in the Sears parking lot, and a Dick's
Sporting Goods and Dave and Buster's opening in March 2020. NOI
DSCR as of YE 2019 was 1.84 compared to 1.97x at YE 2018. The mall
has reopened with certain restrictions; however, Fitch expects
performance to continue to be impacted by the pandemic. The loan is
categorized as current.

The third largest FLOC and the eighth largest loan in the pool,
Hilton Irvine (4.9%), transferred to the special servicer in March
2020 for imminent monetary default at the borrower's request due to
the coronavirus pandemic. The loan is secured by a 306-room
full-service hotel located in Irvine, CA adjacent to John Wayne
Airport. The TTM March 2020 occupancy is 73%, ADR is $145, and
RevPar is $106 with penetration rates of 98.4%, 92.4%, and 91.4%,
respectively. The NOI DSCR as of YE 2019 was 1.65x down from 1.77x
at YE 2018 and 1.94x at YE 2017.

The other FLOCs in the top 15 include Cool Springs Commons (3.6%)
located in Brentwood, TN approximately 15 miles south of the
Nashville CBD. There is uncertainty whether the largest tenant
Community Health Systems (65% of NRA) will renew their lease that
expires in January 2021. Two Embassy Suites hotels located in Cary,
NC (3.5%) and Portland, OR (2.8%) have both requested relief due to
the coronavirus and are working with the lender towards a potential
solution. Shoppes at Rio Grande (2.9%) located in Edinburg, TX with
the largest tenants including JCPenney, Burlington, and Academy
Sports has also requested relief due to the coronavirus.

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

Loans backed by retail properties represent 17 loans (32.4% of the
pool), including four (18.7%) in the top 15. Two of the retail
loans are backed by regional malls, which have exposure to
JCPenney, Macy's, Dillard's, Belk, and previously Bloomingdale's.

Hotel properties account for five loans (14.1% of the pool),
including three (11.3%) in the top 15. Three loans (11.9%) are
secured by multifamily properties. Fitch's base case analysis
applied additional stresses to three hotels and seven retail loans
due to their vulnerability to the coronavirus pandemic. These
additional stresses contributed to the downgrades of classes E and
F and the Negative Rating Outlooks on classes A-S, B, C, D, E, X-A,
X-B, X-D, and PEZ.

Minimal Credit Enhancement Improvement/Limited Amortization: As of
the July 2020 distribution date, the pool's aggregate principal
balance has been paid down by 2.3% to $1.044 billion from $1.068
billion at issuance.

The pool is scheduled to amortize by 8.8% of the initial pool
balance through maturity. Of the current pool, nine loans (44.5%)
are full-term interest-only, and two loans (2.9%) have partial-term
interest-only periods remaining. One loan (1.4%) has been
defeased.

Upcoming Maturities: Two loans (7.3% of the pool) mature in
February 2021, and all remaining loans mature in 2026.

RATING SENSITIVITIES

The Stable Rating Outlooks on classes A-1 through A-AB reflect the
high credit enhancement and expected continued amortization. The
Negative Rating Outlooks on classes A-S through E, X-A, X-B, X-D
and PEZ reflect the potential for downgrades due to concerns
surrounding the ultimate impact of the coronavirus pandemic and the
performance concerns associated with the FLOCs, which include three
specially serviced loans.

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

Sensitivity factors that could lead to upgrades would include
stable to improved asset performance, particularly on the FLOCs,
coupled with additional paydown and/or defeasance. Upgrades to the
'A-sf' and 'AA-sf' rated classes are not expected but would likely
occur with significant improvement in CE and/or defeasance and/or
the stabilization to the properties impacted from the coronavirus
pandemic. Upgrade of the 'BBB-sf' rated class 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
of interest shortfalls. The 'Bsf' and distressed classes are
unlikely to be upgraded absent significant performance improvement
on the FLOCs and substantially higher recoveries than expected on
the specially serviced loans/assets.

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

Sensitivity factors that lead to downgrades include an increase in
pool-level losses from underperforming or specially serviced
loans/assets. Downgrades to the senior 'AAAsf' rated classes are
not likely due to the significant CE and senior position in the
capital structure, but may occur should interest shortfalls impact
these classes. A downgrade of one category to the junior 'AAAsf'
rated class (class A-S) is possible should expected losses for the
pool increase significantly and/or should all of the loans
susceptible to the coronavirus pandemic suffer losses.

Downgrades to the 'AA-sf', 'A-sf' and 'BBB-sf' rated classes are
possible should performance of the FLOCs continue to decline,
should additionally loans transfer to special servicing and/or
should loans susceptible to the coronavirus pandemic not stabilize.
Downgrades to the 'Bsf' rated class would occur should loss
expectations increase due to a continued decline in the performance
of the FLOCs, an increase in specially serviced loans or the
disposition of a specially serviced loan at a high loss.

The Negative Rating Outlooks on classes A-S through E, X-A, X-B,
X-D and PEZ may be revised back to Stable if performance of the
FLOCs improves and/or properties vulnerable to the coronavirus
pandemic eventually stabilize. The 'CCCsf' rated class could be
further downgraded should losses become more certain or be
realized.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


HALCYON LOAN 2015-2: 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 2015-2
Ltd.:

US$19,250,000 Class D-1-R Secured Deferrable Floating Rate Notes
due 2027 (the "Class D-1-R Notes"), Downgraded to Ba1 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$13,500,000 Class D-2-R Secured Deferrable Floating Rate Notes
due 2027 (the "Class D-2-R Notes"), Downgraded to Ba1 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$26,000,000 Class E Secured Deferrable Floating Rate Notes due
2027 (current outstanding balance of $26,940,634) (the "Class E
Notes"), Downgraded to Caa1 (sf); previously on June 3, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

US$10,000,000 Class F Secured Deferrable Floating Rate Notes due
2027 (current outstanding balance of $10,440,669) (the "Class F
Notes"), Downgraded to Ca (sf); previously on June 3, 2020 Caa3
(sf) Placed Under Review for Possible Downgrade

The Class D-1-R, Class D-2-R, Class E, 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 Class D-1-R Notes, Class D-2-R Notes, Class E Notes,
and Class F Notes issued by the CLO. The CLO, originally issued in
June 2015 and partially refinanced in October 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in July 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.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3429, compared to 3238 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2733 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
23.9% as of July 2020.

Furthermore, Moody's calculated the over-collateralization ratios
(excluding haircuts) for the Class D Notes, Class E Notes, and
Class F Notes as of July 2020 at 110.64%, 102.14%, and 99.16%,
respectively. Moody's noted that the OC tests for the Class D and E
notes was recently reported [1] as failing, which could result in
continued repayment of senior notes and deferral of current
interest payments on the Class E Notes and Class F Notes.

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

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

Par amount and principal proceeds balance: $320,594,182

Defaulted Securities: $35,859,683

Diversity Score: 58

Weighted Average Rating Factor: 3517

Weighted Average Life: 3.63 years

Weighted Average Spread: 3.58%

Weighted Average Coupon (WAC): 4.50%

Weighted Average Recovery Rate: 46.6%

Par haircut in O/C tests and interest diversion test: 2.6%

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
August 2020.


HALCYON LOAN 2018-1: Moody's Confirms Ba3 Rating on Class D Notes
-----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Halcyon Loan Advisors Funding 2018-1
Ltd.:

US$29,500,000 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$19,000,000 Class D Senior 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 and the Class D 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 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 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 3023, compared to 2749 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2951 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
13.5% as of July 2020. Nevertheless, Moody's noted that the OC
tests for the Class A, the Class B, the Class C and the 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:

Performing par and principal proceeds balance: $463,577,972

Defaulted Securities: $9,737,789

Diversity Score: 80

Weighted Average Rating Factor: 3029

Weighted Average Life: 5.9 years

Weighted Average Spread: 3.54%

Weighted Average Recovery Rate: 47.3%

Finally, Moody's notes that it also considered the information in
the August 2020 trustee report [4] 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
August 2020.


JAMESTOWN CLO VI-R: Moody's Confirms B3 Rating on Cl. E Notes
-------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Jamestown CLO VI-R Ltd.:

US$48,750,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Confirmed at Baa3 (sf); previously
on April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$35,625,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

US$15,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class E Notes"), Confirmed at B3 (sf); previously on
April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade

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

These actions conclude the review 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 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 April 2022.

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 (OC) 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 (WARF) was reported at 3239, compared to 2893
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2911 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
15.8% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $731.3 million, or $18.7 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 [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:

Performing par and principal proceeds balance: $724,962,634

Defaulted Securities: $15,209,056

Diversity Score: 76

Weighted Average Rating Factor (WARF): 3199

Weighted Average Life (WAL): 5.73 years

Weighted Average Spread (WAS): 3.42%

Weighted Average Recovery Rate (WARR): 47.0%

Par haircut in O/C tests and interest diversion test: 0.9%

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
August 2020.


JAMESTOWN CLO X: Moody's Lowers Rating on Class E Notes to Caa2
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Jamestown CLO X Ltd.:

US$24,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class D Notes"), Downgraded to B1 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

US$9,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Downgraded to Caa2 (sf); previously
on April 17, 2020 B3 (sf) Placed Under Review for Possible
Downgrade

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

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

US$42,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class C Notes"), Confirmed Baa3 (sf); previously on
April 17, 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 April
17, 2020 on the Class C, Class D, and Class E Notes issued by the
CLO. The CLO, issued 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 will end on July 2021.

RATINGS RATIONALE

The downgrades 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 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 3186, compared to 2783 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2561 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
16.28% as of July 2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $588.6 million,
or $11.4 million less than the deal's ramp-up target par balance.
Nevertheless, Moody's noted that the OC tests for the Class C and
Class D Notes as well as the interest diversion test 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:

Performing par and principal proceeds balance: $585,010,984

Defaulted Securities: $7,718,067

Diversity Score: 75

Weighted Average Rating Factor: 3163

Weighted Average Life: 6 years

Weighted Average Spread: 3.36%

Weighted Average Recovery Rate: 46.8%

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
August 2020.


JP MORGAN 2007-LDP12: Fitch Affirms CCCsf Rating on Class A-J Debt
------------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of J.P. Morgan Chase Mortgage
Securities Trust 2007-LDP12.

RATING ACTIONS

J.P. Morgan Chase Mortgage Securities Trust 2007-LDP12

Class A-J 46632HAL5; LT CCCsf Affirmed; previously CCCsf

Class B 46632HAM3; LT Dsf Affirmed; previously Dsf

Class C 46632HAN1; LT Dsf Affirmed; previously Dsf

Class D 46632HAP6; LT Dsf Affirmed; previously Dsf

Class E 46632HAQ4; LT Dsf Affirmed; previously Dsf

Class F 46632HAR2; LT Dsf Affirmed; previously Dsf

Class G 46632HAS0; LT Dsf Affirmed; previously Dsf

Class H 46632HAU5; LT Dsf Affirmed; previously Dsf

Class J 46632HAW1; LT Dsf Affirmed; previously Dsf

Class K 46632HAY7; LT Dsf Affirmed; previously Dsf

Class L 46632HBA8; LT Dsf Affirmed; previously Dsf

Class M 46632HBC4; LT Dsf Affirmed; previously Dsf

Class N 46632HBE0; LT Dsf Affirmed; previously Dsf

Class P 46632HBG5; LT Dsf Affirmed; previously Dsf

Class Q 46632HBJ9; LT Dsf Affirmed; previously Dsf

Class T 46632HBL4; LT Dsf Affirmed; previously Dsf

KEY RATING DRIVERS

Loss Expectations Remain High: Specially serviced loans/assets
comprise 67.2% of the remaining pool. The resolution and timing for
these specially serviced loans/assets, which are either in the
foreclosure process or real-estate owned (REO), remain uncertain at
this time.

The largest loan in special servicing, Oheka Castle (60.7%
combined), is bifurcated into an A and B note. The loan is secured
by a 32-room full-service hotel located in Huntington, NY. The
property operates largely as a special events venue, namely
weddings, and catering facility. The loan originally transferred to
special servicing in 2012 after it failed to pay off at its initial
2012 maturity. The loan was modified and returned to the master
servicer in 2013; terms of the modification included an A/B note
split, maturity date extension to 2017, and the implementation of
cash management. The loan re-transferred to special servicing in
2015 as the borrower failed to deposit funds into the cash
management account per the modification agreement. The special
servicer is proceeding with the foreclosure process and a receiver
was put in place in January 2019. Per a special servicer update,
the borrower has filed counter-claims and litigation remains
ongoing at this time.

The other specially serviced asset in the pool is Petco (6.5%). The
asset was taken REO in July 2019. The property is a 22,000 single
tenant retail store located in Toledo, OH. The property is 100%
leased to Petco through October 2020. According to the special
servicer, Petco has indicated they want to renew, and negotiations
on the terms of the agreement are underway.

Additionally, the Hampton Inn - Waco loan (11.8%) is currently 60
days delinquent having missed the May, June, and July 2020
payments. The borrower has notified the master servicer of
coronavirus-related hardships. The loan has not transferred to
special servicing as of the July distribution date.

Decreasing Credit Enhancement: Credit enhancement has been eroded
since Fitch's last rating action. A portfolio of four REO assets
was liquidated for better than expected recoveries, although losses
were absorbed by classes B and C. As of the July 2020 distribution
date, the pool has paid down by 98.2% to $45 million from $2.5
billion at issuance. There are no defeased loans. The remaining
four fully amortizing loans all mature in 2027. Realized losses to
date total $284.8 million or 11.4% of the original pool balance.
Additionally, the pool is undercollateralized due to a workout
delayed reimbursement advance of $2.0 million.

Coronavirus Exposure: Given the high percentage of specially
serviced/REO assets, Fitch expects the coronavirus to have limited
effect on the remaining pool, though, the economic decline may
delay the liquidation of any REO assets. Additionally, of the four
non-specially serviced loans, three (27.3%) are secured by hotel
properties. One of the three is currently 60 days delinquent having
cited performance issues related to the coronavirus.

RATING SENSITIVITIES

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

An upgrade to class A-J is possible should the specially serviced
loans/assets liquidate with significantly better recoveries than
expected and performing loans continue to pay down the class
balance.

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

A downgrade to class A-J is possible with updated information
regarding the valuation and disposition of the specially serviced
loans/assets, particularly the Oheka Castle loan, and as losses
become imminent.

ESG CONSIDERATIONS

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


JP MORGAN 2010-C2: S&P Lowers Class H Certs Rating to CCC- (sf)
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class C, D, E, F, G,
and H commercial mortgage pass-through certificates from J.P.
Morgan Chase Commercial Mortgage Securities Trust 2010-C2, a U.S.
CMBS transaction. At the same time, S&P Global Ratings affirmed its
ratings on classes A-3, B, and X-A from the same transaction.
Lastly, S&P Global Ratings removed the ratings on seven classes
from CreditWatch, where they were placed with negative implications
on June 3, 2020.

S&P Global Ratings had placed its ratings on classes B through H on
CreditWatch negative because it viewed them as being at an
increased risk of experiencing monthly payment disruption or
reduced liquidity support due to their exposure to specific
outsized loans of concern secured by lodging or retail properties,
the two property types most affected by the demand disruption posed
by the ongoing pandemic. Specially, this transaction is exposed to
loans that matures in 2020 and 2021; and of the eight remaining
loans in the transaction, six ($362.9 million, 97.1%) are with the
specially servicer.

As part of its review, while S&P Global Ratings primarily focused
on lodging and retail-backed loans, it also analyzed loans secured
by properties that exhibited performance deterioration prior to the
pandemic, and where it believes the pandemic will result in further
deterioration in the property's performance. In these cases, it
revised the S&P Global Ratings' net cash flow (NCF) and/or
capitalization rate for the property. S&P Global Ratings details
some of the larger loans where it made such adjustments below.  The
downgrades on classes C through H reflect S&P Global Ratings'
revised valuations on the five-largest loans, four of which are
secured by mall properties, in the transaction, which comprise
95.9% of the pooled trust balance: Arizona Mills ($147.4 million,
39.4%), Greece Ridge Center ($63.4 million, 17.0%), The Shops at
Sunset Place ($60.8 million, 16.3%), Bryan Tower ($59.5 million,
15.9%), and Valley View Mall ($27.1 million, 7.3%). In addition,
S&P Global Ratings downgraded classes D, E, and F further than the
model-indicated ratings because it considered the classes'
susceptibility to reduced liquidity support from the specially
serviced loans. Further, the downgrades on classes F, G, and H
reflect S&P Global Ratings' view that the risk of default and
losses on these classes has increased under the uncertain market
conditions. Following the July 2020 trustee remittance report, two
loans, The Shops at Sunset Place and Bryan Tower, transferred to
the special servicer due to imminent default. In its analysis, S&P
Global Ratings considered the additional special servicing fees as
well as the potential for an appraisal subordinate entitlement
reduction (ASER) to be implemented on the specially serviced Valley
View Mall and Greece Ridge Center loans. Based on its calculation,
S&P Global Ratings assessed that due to the additional special
servicing fees from the recently transferred loans, classes G and H
are likely to experience interest shortfalls, while classes D, E,
and F are susceptible to shortfalls from ASER amounts.

The affirmations on classes A-3 and B reflect S&P Global Ratings'
view that the current ratings are in line with the model-indicated
ratings.

S&P Global Ratings affirmed its 'AAA (sf)' rating on the class X-A
IO certificates based on its criteria for rating IO securities, in
which the rating on the IO security would not be higher than that
of the lowest-rated reference class. The notional amount on class
X-A references classes A-1, A-2, and A-3.

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

TRANSACTION SUMMARY

As of the July 2020 trustee remittance report, the collateral pool
balance was $373.9 million, which is 34.0% of the pool balance at
issuance. The pool currently includes eight loans, down from 30
loans at issuance. As of the July 2020 trustee remittance report,
four loans ($242.7 million, 64.9%) were with the special servicer,
C-III Asset Management LLC (C-III), and two ($120.2 million, 32.2%)
were on the master servicer's watchlist, both of which were
subsequently transferred to special servicing in mid-July 2020. To
date, the transaction has not experienced any principal losses.

Using adjusted servicer-reported numbers, the rating agency
calculated, for the eight remaining loans in the pool, a 1.32x S&P
Global Ratings' weighted average debt service coverage (DSC) and
93.4% S&P Global Ratings' weighted average loan-to-value (LTV)
ratio using an 9.44% S&P Global Ratings' weighted average
capitalization rate.

Details on the loans with material revised S&P Global Ratings' NCF
and valuation:

Arizona Mills (39.4% of the pooled trust balance): The loan is
secured by a 1.2 million-sq.-ft. regional mall in Tempe, Ariz. The
loan transferred to the special servicer in May 2020 due to
imminent default. The loan matured on July 1, 2020. The special
servicer indicated that the loan was modified, and the modification
terms included extending the loan's maturity to July 2021. While
the borrower was delinquent on its May and June 2020 debt service
payments, it has since bought the loan current. As of the March
2020 rent roll, the property was 81.1% occupied. Some of the major
tenants at the property include Harkins Theater (92,320 sq. ft.),
Burlington Coat Factory (80,426 sq. ft.), Legoland (65,013 sq.
ft.), Conns (40,057 sq. ft.), and Tilt (37,348 sq. ft.). There is
also a vacant anchor space previously occupied by J.C. Penney.
While the servicer-reported NCF has been relatively
stable-to-slightly decreasing in the past three years--$27.1
million (2017), $27.8 million (2018), and $26.9 million (2019) --
S&P Global Ratings considered the higher vacancy, increased tenant
bankruptcies, and store closures. Accordingly, using the March 2020
rent roll, S&P Global Ratings revised its NCF to $20.2 million,
8.4% lower than the last review. It also increased its S&P Global
Ratings' capitalization rate to 9.00% (up from 7.75% in the last
review) to reflect the challenges facing the mall and the overall
sector. This yields an S&P Global Ratings' value of $224.5 million
and a 65.7% S&P Global Ratings' LTV on the loan.

Greece Ridge Center, The Shops at Sunset Place, and Valley View
Mall (aggregate 40.5% of the pooled trust balance): The three
regional malls collateralizing these three loans were highlighted
in S&P Global Ratings' research commentary, "Shop With Caution –
CMBS Mall Loans Worth Watching," published Jan. 8, 2020. In
addition, in March 2020, S&P Global Ratings reviewed the
performance of these loans and downgraded several classes in this
transaction following its review because it revised its NCFs
downward and cap rates upward for these three loans. Due to the
challenges facing these malls and the overall sector, which S&P
Global Ratings believes have been accelerated by COVID-19, it has
increased the S&P Global Ratings' capitalization rates further for
Greece Ridge Center to 9.75% from 9.00% in the March 2020 review,
The Shops at Sunset Place to 10.00% from 9.25%, and Valley View
Mall to 12.75% from 9.25%, while maintaining the S&P Global
Ratings' NCF that it has determined for these loans from its March
2020 review: Greece Ridge Center ($5.9 million), The Shops at
Sunset Place ($4.1 million), and Valley View Mall ($2.5 million).
This yields an S&P Global Ratings' LTV of over 100% for each of the
three loans.  

Bryan Tower (15.9% of the pooled trust balance): The loan is
secured by a 40-story, 1.1 million-sq.-ft. office property located
in Dallas, Texas. The loan transferred to the special servicer in
mid-July 2020 due to imminent maturity default. The loan matures in
October 2020. The loan was previously on the master servicer's
watchlist due to a low reported occupancy (57.0% as of March 2020).
In addition, the largest tenant at the property, Baylor Healthcare
(278,000 sq.-ft.), is expected to vacate the property upon the Aug.
31, 2020, lease expiry. The special servicer indicated that $5.9
million is in reserve to mitigate the rollover risk, and the
borrower is actively marketing the vacant spaces at the property.
Instead of adjusting S&P Global Ratings' NCF assumption, it
increased the S&P Global Ratings' capitalization rate to 8.50% from
8.00% to account for NCF volatility in the near term. This yielded
an S&P Global Ratings' value of $86.9 million and a 68.5% S&P
Global Ratings' LTV on the loan.

CREDIT CONSIDERATIONS

As of the July 17, 2020, trustee remittance report, four loans were
reported with the special servicer, C-III. In addition, following
the July 2020 trustee remittance report, The Shops at Sunset Place
and Bryan Tower transferred to the special servicer. S&P Global
Ratings will continue to monitor the developments of the recently
transferred loans.

With the exception of the Arizona Mills loan, which was recently
modified, the remaining loans with the special servicer are in
various stages of resolution. Details of the larger specially
serviced loans are as follows:

-- The Greece Ridge Center loan is the second-largest loan in the
pool, is with the special servicer, and has a total reported
exposure of $64.7 million. The loan, which has a 60 days'
delinquent payment status, is secured by 1.0 million sq. ft. of a
1.6 million-sq.-ft. regional mall in Greece, N.Y., which is five
miles from downtown Rochester. C-III stated that it entered into a
short-term three-month forbearance ending July 31, 2020, with the
borrower.

-- The Valley View Mall loan is the third-largest loan in the pool
and with the special servicer. The loan has a total reported
exposure of $27.5 million and a reported nonperforming matured
balloon payment status. The loan matured on July 1, 2020, and is
secured by 343,617 sq. ft. of a 598,213-sq.-ft. regional mall in La
Crosse, Wis. C-III stated that discussions for possible
resolutions, including a receiver appointment for the property and
a deed in lieu, are ongoing with the borrower. S&P Global Ratings'
analysis accounted for the possibility that an appraisal reduction
amount may be implemented upon receipt of an updated appraisal
value because, while reported occupancy rate was in the mid-90s to
high 90s at the property, the reported NCF has declined steeply in
the last two years: by 11.9% to $4.8 million in 2018 and by 53.9%
to $2.2 million in 2019.

The remaining loan with the special servicer represents less than
1.3% of the total pool trust balance.

S&P Global Ratings will continue to monitor the transaction against
the evolving economic backdrop, and should there be any meaningful
changes to its 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.

  RATINGS LOWERED AND REMOVED FROM WATCH NEGATIVE

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2
  Commercial mortgage pass-through certificates
                      Rating
  Class     To                 From      
  C         A+ (sf)            AA- (sf)/Watch Neg
  D         BBB- (sf)          A (sf)/Watch Neg
  E         B+ (sf)            BBB+ (sf)/Watch Neg
  F         CCC (sf)           BB- (sf)/Watch Neg
  G         CCC- (sf)          B- (sf)/Watch Neg
  H         CCC- (sf)          CCC (sf)/Watch Neg
     
  RATING AFFIRMED AND REMOVED FROM WATCH NEGATIVE     

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2
  Commercial mortgage pass-through certificates
                      Rating
  Class     To                 From      
  B         AA+ (sf)           AA+ (sf)/Watch Neg

  RATINGS AFFIRMED

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2
  Commercial mortgage pass-through certificates

  Class     Rating
  A-3       AAA (sf)     
  X-A       AAA (sf)


JP MORGAN 2011-C3: Fitch Lowers Rating on 2 Tranches to CCsf
------------------------------------------------------------
Fitch Ratings has downgraded seven and affirmed two classes of J.P.
Morgan Chase Commercial Mortgage Securities Corp., commercial
mortgage pass-through certificates, series 2011-C3. In addition,
Fitch has affirmed two classes of J.P. Morgan Chase Commercial
Mortgage Securities Corp. 2011-RR1.

JPMCC 2011-C3

  - Class A-4 46635TCG5; LT AAAsf; Affirmed  

  - Class B 46635TAU6; LT Asf; Downgrade  

  - Class C 46635TAX0; LT BBBsf; Downgrade  

  - Class D 46635TBA9; LT BBsf; Downgrade  

  - Class E 46635TBD3; LT CCCsf; Downgrade  

  - Class G 46635TBK7; LT CCsf; Downgrade  

  - Class H 46635TBN1; LT CCsf; Downgrade  

  - Class J 46635TBR2; LT CCsf; Downgrade  

  - Class X-A 46635TAN2; LT AAAsf; Affirmed  

JPMCC 2011-RR1

  - Class A-4A 46635WAA3; LT AAAsf; Affirmed  

  - Class A-4B 46635WAC9; LT AAAsf; Affirmed  

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades of classes B, C, D, E,
G, H and J in JPMCC 2011-C3 reflect increased loss expectations and
refinance concerns on the two specially serviced regional mall
loans, Holyoke Mall and Sangertown Square (combined, 43.2% of
pool). The coronavirus pandemic is expected to exacerbate already
existing pre-pandemic performance deterioration on these
properties. Both mall loans, which were 60+ days delinquent as of
July 2020, are sponsored by The Pyramid Companies and have upcoming
maturities in February 2021 and January 2021, respectively. In
addition, The Galleria Office Towers loan (21%) was flagged as a
Fitch Loan of Concern due to declining occupancy from the loss of
two tenants. The property also has WeWork and energy sector
exposure.

The specially serviced Holyoke Mall loan (33.4%) is secured by a
1.3 million-sf portion of a 1.5 million-sf regional mall located in
Holyoke, MA. The loan transferred to special servicing in May 2020
due to imminent payment default. Collateral occupancy declined to
74.1% as of the March 2020 rent roll from 88.1% at YE 2017 after
Babies "R" Us (2.7% of NRA), Sears (13.5%), and A.C. Moore (1.7%)
vacated in 2018 and Forever 21 downsized its space by 37,319 sf
(2.8%) in July 2018. Best Buy (3.8%) and JCPenney (11.2%) extended
their leases through January 2025 and October 2025, respectively.
Comparable in-line sales were $421 psf (excluding Apple) as of TTM
September 2018 based on the most recent available reporting. The
servicer-reported YE 2019 NOI debt service coverage ratio (DSCR)
fell to 1.21x from 1.35x at YE 2018 and 1.44x at YE 2017. The loan
matures in February 2021.

The Galleria Office Towers loan (21.0%) is secured by three
adjacent office buildings totaling 1.1 million-sf and located in
downtown Houston, TX. Property occupancy declined to 68.4% as of
the February 2020 rent roll from 75.2% at YE 2018 following the
departures of UBS Financial Services (4.4% of NRA) and Merrill
Lynch Wealth Management (4.3%) in March 2019 and May 2019,
respectively. As of the February 2020 rent roll, 10 additional
tenants representing approximately 21% of the NRA had exposure to
the oil and gas sectors. WeWork also occupied an additional 11.3%
of the NRA. The servicer-reported NOI DSCR was 1.26x as of YE 2019,
compared with 1.49x at YE 2018 and 1.31x at YE 2017. The loan
matures in March 2021.

The specially serviced Sangertown Square loan (9.8%) is secured by
an 894,127 sf-regional mall located in New Hartford, NY. The loan
transferred to special servicing in May 2020 due to imminent
payment default. While collateral occupancy was 93.6% as of the
March 2020 rent roll, JCPenney (16.8% of collateral NRA) has
announced its plans to close the store at the subject by September
2020. Further, Macy's (15.6%) also has an upcoming lease expiration
in January 2021. Collateral occupancy will decrease to 76.8% after
JCPenney vacates and would decrease further to 61.2% if Macy's
vacated upon their lease expiration.

Fitch's request to the servicer for lease renewal updates and
co-tenancy details remains outstanding. The servicer-reported YE
2019 NOI DSCR fell to 1.21x from 1.48x at YE 2014 due to Sears'
departure in 2015. Boscov's backfilled the vacant former Sears
space a few months later; however, Sears paid approximately $1.2
million in expense reimbursements annually, whereas Boscov's
currently pays none. Comparable in-line sales were reported as $326
psf as of TTM September 2018. The loan matures in January 2021.

Increased Credit Enhancement: As of the July 2020 distribution
date, the pool's aggregate principal balance has been reduced by
63.6% to $543.9 million from $1.493 billion at issuance, or by
17.4% since Fitch's last rating action. Two loans, 111 Windsor
Place and IAC Portfolio, paid off in June and July 2020,
respectively. Realized losses to date total $16.4 million, of which
$11.1 million in losses resulted from the disposition of the
specially serviced Turnpike Mall loan in June 2019. Three loans
(7.4%) are fully defeased. All remaining loans are currently
amortizing. The entire pool is scheduled to mature between November
2020 and March 2021. Interest shortfalls totaling $188,460 are
currently affecting the NR class.

Re-Securitization: The JPMCC 2011-RR1 transaction is a
re-securitization of the ownership interest in class A-4 in the
underlying JPMCC 2011-C3 transaction. The affirmation of classes
A-4A and A-4B in the JPMCC 2011-RR1 re-securitization is based upon
the affirmation of class A-4 at 'AAAsf' in the underlying JPMCC
2011-C3 transaction.

The Rating Outlook of the senior class A-4A of the
re-securitization was revised to Stable from Negative due to
increased credit enhancement from loan payoffs and scheduled
amortization in the underlying transaction. CE for class A-4A is
provided by class A-4B and the structural support of the underlying
transaction. The Rating Outlook of class A-4B of the
re-securitization is maintained at Negative as it is directly tied
to class A-4, which has a Negative Outlook, in the underlying
transaction. CE for class A-4B is provided by the structural
support of the underlying transaction.

Concentrated Pool: The pool is concentrated with only 14 of the
original 45 loans remaining. The largest loan, Holyoke Mall,
accounts for 33.4% of the pool, while the top five loans account
for 81.6% of the pool. Due to the concentrated nature of the pool,
Fitch performed a sensitivity analysis that grouped the remaining
loans based on their loan structural features, collateral quality
and performance, and then ranked them by their perceived likelihood
of repayment. The ratings and Outlooks reflect this sensitivity
analysis.

Coronavirus Exposure: Five non-defeased loans (48.7%) are secured
by retail properties, including the two specially serviced regional
malls. The weighted average NOI DSCR for the retail loans is 1.28x;
these retail loans could sustain a decline in NOI of 20.4% before
DSCR falls below 1.0x. There is one hotel loan (3.5%), which
reported a NOI DSCR of 1.92x as of YE 2019 and could sustain a
decline in NOI of 47.9% before DSCR falls below 1.0x.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes A4, B, C, D and X-A in
JPMCC 2011-C3 and class A-4B in JPMCC 2011-RR1 reflect the
potential for further downgrade due to refinance concerns
associated with the FLOCs and the ultimate impact of the
coronavirus pandemic. The Stable Rating Outlook on class A-4A in
JPMCC 2011-RR1 reflects the increased CE since Fitch's last rating
action and expected continued paydown from maturing loans and
scheduled amortization.

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

Upgrades are currently not expected given Fitch's Negative Outlook
on retail mall performance, the negative impact of the coronavirus
pandemic and Fitch's expectation that the two specially serviced
loans will not pay off at their upcoming 2021 maturities.
Sensitivity factors that lead to upgrades of classes B, C and D
would include payoff of these specially serviced loans and/or
modifications or loan workouts that result in better recoveries
than currently expected. Upgrades to classes E, G, H and J would
only occur if losses were no longer considered possible or
probable. Classes would not be upgraded above 'Asf' if there is
likelihood for interest shortfalls which could occur with a
significant reduction in servicing advancing if appraisal values
decline.

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 'AAAsf' category may occur should interest
shortfalls occur, loss expectations increase significantly or the
FLOCs experience outsized losses. Downgrades to the 'BBsf', 'BBBsf'
and 'Asf' categories would occur should loss expectations increase,
the FLOCs experience outsized losses and/or the loans vulnerable to
the coronavirus pandemic not stabilize. Downgrades to the
distressed 'CCsf' and 'CCCsf' rated classes would occur with
increased certainty of losses or as losses are realized.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
further downgrades.

BEST/WORST CASE RATING SCENARIO

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The JPMCC 2011-RR1 class A-4A and A-4B notes are a
re-securitization of the JPMCC 2011-C3 class A-4 notes. The ratings
and Outlooks on class A4-B in JPMCC 2011-RR1 are driven by the
rating and Outlook on the underlying class A-4 in JPMCC 2011-C3.

ESG CONSIDERATIONS

JPMCC 2011-C3 and JPMCC 2011-RR1 both have ESG Relevance Scores of
4 for exposure to social impacts due to the underlying JPMCC
2011-C3 transaction's exposure to two regional malls that are
underperforming as a result of a sustained structural shift in
consumer preference to shopping, which has a negative impact on the
credit profile, and is relevant to the Rating Outlooks.

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


JP MORGAN 2018-WPT: DBRS Confirms B(low) Rating on 2 Classes
------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of the
Commercial Mortgage Pass-Through Certificates, Series 2018-WPT
issued by J.P. Morgan Chase Commercial Mortgage Securities Trust
2018-WPT (the Issuer):

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

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

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

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

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

The subject loan is secured by the fee and leasehold interests in a
portfolio of 147 properties, comprising nearly 9.9 million square
feet (sf) of office and flex space, located in four states across
the United States. Built between 1972 and 2013, the portfolio
includes 88 office properties (6.5 million sf) and 59 flex
buildings (3.4 million sf). Located across Pennsylvania, Florida,
Minnesota, and Arizona, the collateral encompasses five distinct
metropolitan statistical areas (MSAs) and more than 15 submarkets.
The largest concentration of portfolio properties is found in the
Philadelphia MSA with 69 properties totaling 40.3% of the mortgage
balance at issuance, followed by the Tampa MSA (34 properties;
16.5% of the original loan balance), the Minneapolis MSA (19
properties; 13.0% of the original loan balance), the Phoenix MSA
(14 properties; 12.9% of the original loan balance), and the
Southern Florida MSA (11 properties; 17.3% of the original loan
balance). Although none of the subject properties are located in
what DBRS Morningstar would consider urban markets, the assets are
generally located within dense suburban markets that benefit from
favorable accessibility and close proximity to their respective
central business districts.

At issuance, total loan proceeds of $1.275 billion ($129 per square
foot (psf)) were used to pay off $827.5 million ($84 psf) of
existing debt and an existing credit line totaling $227.6 million
($23 psf), redeem a preferred equity interest held by Square Mile
Capital Management LLC, fund upfront reserves of approximately
$32.9 million, pay initial public offering-related expenses, defer
LP distribution and asset management fees, and cover closing costs.
The mortgage loan was split into (1) a floating-rate component of
approximately $255.0 million, with a two-year initial term and
three one-year extension options and (2) a five-year fixed-rate
loan totaling $1.02 billion, comprising the $850.0 million trust
balance and three companion loans totaling $170.0 million. The
companion loans were secured across three other DBRS
Morningstar-rated deals, BMARK 2018-5, BMARK 2018-6, and BMARK
2018-7, as well as a fourth deal, BMARK 2018-8, which was not rated
by DBRS Morningstar. In July 2020, the sponsor submitted an
unscheduled principal payment (curtailment) of $2.967 million,
which paid down Class A-FL by that amount and lowered the whole
loan balance to $1.272 billion from $1.275 billion. Class A-FL
decreased to $84.4 million from $92.4 million at issuance.

As of August 1, 2020, the portfolio exhibited a physical occupancy
of 88.0%, which is essentially unchanged from the 88.6% reported at
issuance. Furthermore, the portfolio's average occupancy remained
favorable throughout the Great Recession, ranging from 88.5% to
91.6% between 2008 and 2010. Since 2005, the portfolio has averaged
around 90% and has remained at or above 88.0% during this time
period. Much of the portfolio's stable performance is attributable
to its highly granular rent roll with more than 500 tenants, none
of which accounts for more than 4.2% of the total net rentable area
(NRA). The portfolio's top five tenants, representing a combined
13.4% of the NRA, include many large corporations such as United
Healthcare Services, Inc. (419,543 sf); Aetna Life Insurance
Company (323,943 sf); Siemens Medical Solutions USA, Inc. (241,297
sf); Kroll Ontrack, LLC (195,879 sf); and Dell Marketing L.P.
(141,290 sf). Eleven of the top 20 tenants have investment-grade
ratings, which account for 17.7% of the NRA. In all,
investment-grade tenants lease 2.9 million sf (29.4% of the NRA)
across the entire portfolio, and DBRS Morningstar considers seven
of these tenants occupying 261,963 sf (2.7% of the NRA) to be
long-term credit tenants.

The loan sponsor is Workspace Property Trust, L.P. (Workspace), a
privately held, full-service commercial real estate company
specializing in the acquisition, development, management, and
operation of office and flex properties. Led by a management team
with more than 75 years of combined real estate experience, the
company acquired 39 of the assets in January 2016 and the remaining
108 assets in October 2016. Liberty Property Trust held the subject
properties prior to Workspace's acquisitions. A portion of the
portfolio was previously securitized in the JPMCC 2016-WPT
transaction.

The DBRS Morningstar net cash flow (NCF) derived at issuance was
re-analyzed for the subject rating action to confirm its
consistency with the "DBRS Morningstar North American Commercial
Real Estate Property Analysis Criteria." The resulting NCF figure
was $104.7 million and a cap rate of 8.75% was applied, resulting
in a DBRS Morningstar Value of approximately $1.2 billion, a
variance of -25.8% from the appraised value at issuance of $1.6
billion. The DBRS Morningstar Value implies an LTV of 104.8%, as
compared with the LTV on the issuance appraised value of 77.8%. The
NCF figure applied as part of the analysis represents a -7.3%
variance from the Issuer's NCF, primarily driven by tenant
improvements and leasing costs, rent markdowns, reimbursements, and
the management fee. As of YE2019, the servicer reported a NCF
figure of $105.9 million, a +1.2% variance from the DBRS
Morningstar NCF figure.

The cap rate applied is at the middle end of the range of DBRS
Morningstar Cap Rate Ranges for office properties, reflective of
the highly concentrated portfolio located in predominately
secondary markets. In addition, the 8.75% cap rate applied is above
the implied cap rate of 6.91% based on the Issuer's underwritten
NCF and appraised value.

DBRS Morningstar made negative qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling -5.00%
to account for cash flow volatility, property quality, and market
fundamentals. DBRS Morningstar also adjusted the LTV for each class
downward by 50 basis points to account for the somewhat weak
property release provisions, which stipulate release premiums of
110.0% and 115.0% if released to an affiliated entity.
Additionally, any prepayment of principal will be applied first to
the reduction of the floating rate components in sequential order
and second to the reduction of the fixed-rate loan in sequential
order.

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

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


JP MORGAN 2020-CL1: Fitch to Rate Class F Notes 'B(EXP)'
--------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
the notes issued by JPMorgan Chase Bank, National Association,
Chase Auto Credit Linked Notes, Series 2020-1 (Chase Auto
2020-CL1).

RATING ACTIONS

Chase Auto 2020-CL1

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

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

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

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

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

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

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

TRANSACTION SUMMARY

Fitch expects to rate the class B through F notes for JPMorgan
Chase Bank, N.A.'s (JPMCB) first auto credit-linked note
transaction, Chase Auto Credit Linked Notes, Series 2020-1 (Chase
Auto 2020-CL1). The class A certificates will be retained by the
issuer and are not rated (NR) by Fitch. The notes will be unsecured
general obligations of JPMCB (rated AA/F1+/Negative by Fitch) and
directly linked to the bank's Issuer Default Rating (IDR). The
transaction will be serviced by JPMCB, through their Chase Auto
unit.

Upon closing, there will be no transfer or sale of assets; instead,
the referenced collateral, originated and serviced by Chase Auto,
will remain on the balance sheet of the bank as unencumbered
assets. Funds received from the issuance of the notes will be
available to JPMCB as generally available funds. As of the cutoff
date, the reference prime retail auto loan portfolio consisting of
82,824 reference obligations with a reference portfolio notional
amount of $1,809,729,816.

The transaction will transfer credit risk to noteholders via a
hypothetical tranched credit default swap, which will reference the
pool of fixed-rate auto loans. Principal payments on the notes will
be based on the actual payments received on the pool, and interest
will be paid monthly based on the fixed coupon of each class of
notes. Both principal and interest payments are unsecured
obligations of JPMCB.

Given the structure and dependence on JPMCB, Fitch's ratings on the
notes are capped at the lower of 1) the quality of the auto loan
reference pool and credit enhancement (CE) available through
subordination and 2) JPMCB's Fitch IDR.

KEY RATING DRIVERS

Collateral - Strong Prime Credit Quality: The Chase Auto 2020-CL1
statistical referenced pool has a weighted average (WA) FICO score
of 769 and scores above 750 total 61.1%. The WA LTV is low at
95.4%, WA APR is 4.86%, WA seasoning is 19.75 months, and the pool
has strong vehicle brand, model and geographic diversification.
Original terms greater than 60 months total 91.1%, and 73-to
84-month loans total 35.6%, and used vehicles 40.6%, which is
consistent with JPMCB historical originations.

Forward-Looking Approach to Derive Base Case Loss Proxy - Stable
Portfolio/Securitization Performance: JPMCB's managed portfolio
performance has been strong since 2013 through mid-2020, with low
losses and delinquencies. Normalizing trends have been observed
recently, including slowly rising losses, consistent with the
broader auto market. Fitch considered current market conditions
amid the coronavirus pandemic and included recessionary and peer
prime auto loan static portfolio proxy performance, along with
prior JPMCB and peer proxy ABS performance, to derive a cumulative
net loss (CNL) proxy of 1.10%.

Coronavirus Causing Economic Shock: Fitch has assumptions on the
spread of coronavirus and economic impact of related containment
measures. As a base case scenario, Fitch assumes a global recession
starting in 1H20 with sharp economic contractions in major
economies with unemployment having now spiked high, followed by a
recovery that begins in 3Q20 as the health crisis subsides. Under
this scenario, Fitch's initial base case CNL proxy was derived
utilizing 2006-2008 recessionary static managed portfolio and prior
ABS performance.

As a downside (sensitivity) scenario, Fitch considers a more severe
and prolonged period of stress with an inability to begin
meaningful recovery until beyond 2021. Under the downside case,
Fitch also doubled the initial CNL proxy (see the Expected Rating
Sensitivity section). Under this scenario, the notes could be
downgraded by up to two categories.

Payment Structure - Only Note Subordination for CE: Initial hard CE
totals 4.68%, 3.58%, 2.48%, 1.92% and 1.54% for classes B, C, D, E
and F, respectively, entirely consisting of subordinated note
balances. There is no additional enhancement provided, including no
excess spread. Initial CE is sufficient to withstand Fitch's base
case CNL proxy of 1.10% at the applicable rating loss multiples.

Seller/Servicer Operational Review - Stable
Origination/Underwriting/Servicing: JPMCB (including Chase Auto)
demonstrate adequate abilities as originator, underwriter and
servicer, as evidenced by historical portfolio delinquency, loss
experience and prior securitization performance. Fitch deems JPMCB
(and thus Chase Auto) capable to service this series.

Pro rata Pay Structure (Negative): Auto loan cash flows are
allocated among the class B through E notes based on a pro rata pay
structure, with the retained class A certificates (retained by
JPMCB) receiving a pro rata allocation payment and the subordinate
class F and R notes to remain unpaid until all other classes are
paid in full.

In addition, lower-rated subordinated classes will be locked out of
principal entirely if the transaction CNL exceeds a set CNL
schedule. The lockout feature helps maintain subordination for a
longer period should CNL occur earlier in the life of the deal.
This feature redirects subordinate principal to classes of higher
seniority sequentially, except class A certificates. Further, if
the pool CNL exceeds 2.50%, the transaction switches from pro rata
and pays fully sequentially, including for the class A
certificates.

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, class F and R notes
are locked out of payments until other classes of notes are paid in
full, leading to a floor amount of subordination of 1.92% below the
class E notes at issuance.

Excessive Counterparty Exposure: The excessive exposure in the
transaction arises due to JPMCB's role providing a material degree
of credit support to the transaction. Noteholders will not have
recourse to the reference portfolio or to the cash generated by the
assets. Instead, the transaction relies on JPMCB to make interest
payments based on the note rate, and principal payments based on
the performance of the reference pool. The monthly payment due will
be deposited by JPMCB into a segregated trust account held at U.S.
Bank N.A. (AA-/F1+) (the securities administrator) for the benefit
of the notes. If JPMCB fails to make a payment to noteholders, it
is deemed an event of default. Given this dependence on the bank,
ratings on the notes are directly linked to, and capped by, the IDR
of the counterparty, JPMCB (AA/F1+/Negative). Further, JPMCB is the
servicer and will retain the class A certificates.

Highlights

Coronavirus Impact: Fitch acknowledges the uncertainty and fast
changes related to the coronavirus pandemic and its impact on
global markets, including the U.S. economy, such as higher
unemployment with a huge jump in jobless claims. Fitch has
evaluated JPMCB's business continuity plan and considers it
adequate to minimize disruptions in the collection process.
Assuming only a temporary disruption, portfolio delinquencies and
losses could pick up as a result of reduced income or temporary job
losses. The risk of negative rating actions will increase in a more
sustained or severe scenario.

Increased Risk in Pro Rata Structure: This synthetic credit-linked
note structure's payments are determined based on the performance
of the pool of auto loans, and therefore, shared similarities with
auto loan ABS transactions. However, ABS transactions are generally
all fully sequential, with senior notes receiving principal payment
in full prior to payment on the subordinate notes. In this
transaction, subordinate notes class B through E receive principal
payments pro rata, prior to a sequential pay event that may or may
not be triggered based on CNL performance.

As detailed further in the cash flow modeling and rating
sensitivities sections, this pro rata structure poses significant
risk to the note payments. While Fitch's ratings are based on a
loss timing expectation that defaults will occur earlier in the
transaction life, a delay of overall losses and sustained pro rata
payments will reduce the loss coverage multiples provided by the
structure.

JPMCB as Servicer/Calculation Agent: JPMCB will be the servicer
performing servicing in line with the procedures that it
customarily employs in servicing receivables for its own
account/portfolio. JPMCB is also the calculation agent, and those
calculations provided will not be verified by a third party.

COVID-19 Related Extensions: The transaction does not contemplate
advancing on the reference obligations, but loan extensions may be
granted. While coronavirus related extensions were excluded from
the final reference pool, they will not be excluded beyond the
cut-off date and may be granted a maximum extension of six months.

RATING SENSITIVITIES

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

Changes in expected loss timing for the transaction may affect the
transaction structure over time, leading to impairments in the
payment of the outstanding notes. In the event that losses suddenly
increase near the end of the transaction, which has primarily paid
down pro rata with no increase in CE at that time, significant
losses may be incurred to the outstanding notes, which will not
have entered sequential payment, per the performance triggers
outlined herein.

In addition, unanticipated increases in the frequency of defaults
could produce CNL levels higher than the base case and would likely
result in declines of CE and remaining net loss coverage levels
available to the notes. Weakening asset performance is strongly
correlated to increasing levels of delinquencies and defaults that
could negatively affect CE levels. Additionally, unanticipated
declines in recoveries could also result in lower net loss
coverage, which may make certain note ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.

For this transaction, Fitch conducted sensitivity analyses by
stressing the transaction's assumed loss timing, the transaction's
initial base case CNL and recovery rate assumptions, examining the
rating implications on all rated classes of issued notes. The loss
timing sensitivity modifies the base case loss timing curve to
delay the sequential payment triggers to the middle of the
transaction's life while maintaining overall loss levels.

The CNL sensitivity stresses the CNL proxy to the level necessary
to reduce each rating by one full category, to non-investment grade
(BBsf) and to 'CCCsf', based on the break-even loss coverage
provided by the CE structure.

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

Due to the pandemic, the U.S. and the broader global economy
remains under stress, with surging unemployment and pressure on
businesses stemming from federal social distancing guidelines.
Unemployment pressure on the consumer base may result in increased
delinquencies. For sensitivity purposes, Fitch assumed a 2.0x
increase in delinquency stress. The results indicate no adverse
rating impact to the notes. Fitch acknowledges that lower
prepayments and longer recovery lag times due to delayed ability to
repossess and recover on vehicles may result from the pandemic.
However, changes in these assumptions, all else equal, would not
have an adverse impact on modeled loss coverage, and Fitch has
maintained its stressed assumptions.

Loss Timing Sensitivity

As mentioned, prior to the triggering of a sequential payment event
through the CNL schedule, the class B through E notes are paid pro
rata until paid in full. This pro rata paydown presents a risk to
the notes, which may share in any losses incurred and not receive
adequate principal paydown over time. In Fitch's mid-loaded primary
scenario, this trigger activates almost immediately, leading to
higher loss coverage. While Fitch believes a more back-loaded
scenario is less likely, to evaluate the potential structural
challenge, an additional timing scenario was considered in which
20% of the CNL expected to occur in the first two years of the
transaction's life were delayed to the second two years, in a
25%/35%/30%/10% loss curve.

The delayed loss curve leads to the sequential order event
occurring later in the life of the transaction in the class C and D
stress scenarios, causing a significant drop in break-even loss
coverage for these rated classes of notes. In this delayed
scenario, class B still sees sequential payment occurring almost
immediately, although this class would also face a significant
decrease in coverage. Class E and F notes are supported regardless
of timing scenario due to their relative size and the locked-out
nature of the class F and R notes, which do not receive payments
until all other notes are paid in full, regardless of any events
being triggered. In the scenario, class C and D notes would each
potentially drop two notches in their ratings.

The second sensitivity also focuses on stressing the impact of CNLs
outside of base case expectations by a 1.5x and 2.0x multiple
relative to available loss coverage. This analysis provides a good
indication of the rating sensitivity of notes to unexpected
deterioration of a trust's performance. In this example, under the
1.5x scenario, the base case proxy increases to 1.65% and an
implied loss multiple of 2.83x, which would suggest a downgrade to
the 'Asf' range. Under the more severe 2.0x stress, the base case
proxy increases to 2.20%, which results in an implied multiple of
2.12x or downgrade to the 'BBBsf' range.

Due to de-levering and structural features, a typical auto loan ABS
transaction tends to build CE and loss coverage levels over time,
absent any increase to projected defaults/losses beyond
expectations. However, the current transaction, which is based on a
reference pool and is not a standard auto loan ABS transaction,
sees only limited increases in enhancement over the life of the
deal as classes B through E pay down pro rata. The greatest risk of
losses to an auto loan ABS transaction is over the first one to two
years of the transaction, where the benefit of de-levering may be
muted. This analysis does not give explicit credit to the
de-levering and building CE afforded in auto loan ABS
transactions.

Recovery Rate Sensitivity

Recoveries can have a material impact on auto loan pool
performance, particularly in stressed economic environments where
default frequency is higher. This sensitivity analysis evaluates
the impact of stressed recovery rates on the considered structure
and rating impact.

Historically, recovery rates on auto loan collateral have ranged
from 40%70%. Utilizing the base case of 1.10% detailed in the
CNL sensitivities, recovery rate credit under Fitch's primary
scenario is 50%, resulting in a CGD base case proxy of 2.20%.
Applying a 50% haircut to the 50% recovery rate results in a
stressed recovery rate of 25% and a base case CNL proxy of 1.65%
(2.20% x 75% = 1.65%). Under this stressed scenario, the implied
multiple declines to 2.83x (4.67%/1.65% = 2.83x), resulting in an
implied rating of 'Asf'.

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

Conversely, stable to improved asset performance driven by stable
delinquencies and defaults would lead to marginally increasing CE
levels and consideration for potential upgrades. If CNL is 20% less
than the projected proxy, the expected ratings for the subordinate
notes could be maintained for class B (which are capped at the
originator's ratings) and upgraded by one category for class C, D,
E and F notes. However, this upgrade potential is very remote, as
low losses will mean the transaction remains pro rata for longer,
leading to less enhancement build over time.


LUNAR AIRCRAFT 2020-1: Fitch Cuts Class C Notes to Bsf
------------------------------------------------------
Fitch Ratings has downgraded the class A, B, and C notes issued by
Lunar Aircraft 2020-1 Limited and assigned all classes a Negative
Rating Outlook, while removing the Rating Watch Negative.

Lunar Aircraft 2020-1 Limited

  - Class A 55037LAA2; LT BBBsf; Downgrade  

  - Class B 55037LAB0; LT BBsf; Downgrade  

  - Class C 55037LAC8; LT Bsf; Downgrade  

TRANSACTION SUMMARY

The rating actions reflect the termination of purchase agreements
to novate six aircraft in the pool prior to the delivery expiry
date of Nov. 23, 2020 and the resulting higher concentration risks
with less diversification from an aircraft, airline lessee and
regional exposure perspective, all compared with closing. Looking
forward, four aircraft remaining in the pool have leases maturing
in the next twelve months, and were they to be sold, it would
result in further elevated concentration risks with just eight
aircraft left in the pool at that point in time.

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

On July 20, 2020, Fitch placed all classes on RWN due to the
uncertainty surrounding the non-novation of these six aircraft.
Further, on July 30, 2020, a notice confirmed the redemption of
these aircraft and stated that the applicable amount attributable
to each undelivered aircraft will be used to prepay the notes
without premium.

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

Furthermore, recessionary timing was brought forward to start
immediately at this point in time. This scenario further stresses
airline credits, asset values and lease rates immediately while
incurring remarketing and repossession cost and downtime, at each
relevant rating stress level. Previously, Fitch assumed that the
first recession commenced six months from either the transaction
closing date or date of subsequent reviews.

DVB Aircraft Asset Management (DVB AAM; not rated [NR] by Fitch) is
the servicer of Lunar. Fitch deems the servicer DVB AAM to be
adequate to service ABS based on its experience as a lessor,
overall servicing capabilities and historical ABS performance to
date. In a recent corporate update call, DVB AAM informed Fitch
that there have been no material changes to their business or
management/operational teams in 2020.

KEY RATING DRIVERS

Non-Novation of Six Aircraft and Resulting Higher Concentration
Risks

With six aircraft not novating into the pool, this now leaves the
total count of aircraft at 12, down from 18 at close. The remaining
12 aircraft results in notably lower diversification with higher
exposure and credit risk to the following: individual aircraft
assets; weaker airline lessee credits backing the leases; higher
reliance on lease cash flows from the remaining aircraft; elevated
risks around the aircraft values; and higher regional and country
exposures, which are credit negatives for the transaction.

Deteriorating Airline Lessee Credit

The credit profiles of the airline lessees in the pools have
further deteriorated due to the impact of the coronavirus on all
global airlines in 2020, resulting in lower lessee rating
assumptions utilized for this review. The proportion of airline
lessees in the Lunar pool assumed to be at 'CCC' Issuer Default
Ratings or lower increased to 73.1% from 31.9% at close in February
2020.

For this review, newly-assumed 'CCC' credit airlines include
IndiGo, PT Lion Mentari Airlines (d/b/a Lion Air), Cebu Pacific
Air, Inc., XiamenAir (formerly known as Xiamen Airlines) and SkyUp
Airlines LLC. Tiger Airways Australia Pty Ltd (d/b/a Tigerair
Australia) was assumed to immediately default (consistent with 'D'
IDR assumption) in this analysis, as the former parent Virgin
Australia is in the process of acquisition by Bain Capital and it
was announced they will be suspending the Tigerair Australia
brand.

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

Asset Quality and Appraised Pool Value

The 12 aircraft pool is now comprised of 100% liquid
young-to-mid-life NB aircraft, which is generally viewed
positively, with no widebody aircraft in the pool. Fitch recognizes
that there continues to be elevated uncertainty around base and
market values in the current environment with downward pressure in
the short to medium term even on NBs. Fitch took this into
consideration during this review.

The latest aircraft appraisals received were as of August 2019 (as
per at closing). Collateral Verifications, International Bureau of
Aviation and Morten Beyer & Agnew provided appraisals for Lunar.
The remaining 12 asset pool adjusted portfolio value totals $265.5
million. Fitch utilized the average excluding highest of the three
appraisal base values, and further depreciated aircraft values to
the most recent collection period for this review. This approach
resulted in a Fitch-modeled value of $239.5 million, which is 9.8%
lower versus the $265.5 million appraised value as stated in the
July 2020 servicer report for the remaining 12 aircraft.

Transaction Performance to Date

Lease collections and transaction cash flows have trended down
since March 2020. The transaction received $3.2 million and $3.3
million in lease payments in the May and June collection periods,
notably down from $4.1 million in April, and peak $8.6 million
monthly collections in March 2020. Lunar payments flowed down the
last waterfall step to pay the junior maintenance reserve account
after paying the scheduled class A and B principal payments in the
latest collection period. The debt-service coverage ratio will be
available after the sixth payment date.

The notes have now paid down to an aggregate principal balance of
$215.7 million following the redemption of balances related to the
six aircraft not novated, which totaled a paydown of $180.0
million, and the adjusted base values of the remaining aircraft
total $265.5 million from $487.0 million in the June collection
period. Fitch views this paydown of notes as a credit positive for
the transaction, although offset by the increased concentration
risks remaining as previously mentioned.

Most of DVB's customers have requested some form of rental relief,
consistent across peer aircraft ABS pools due to disruptions
related to the coronavirus pandemic. Fitch modeled lease deferrals
for certain airlines on deferral plans, and for all other airlines,
assumed three months of lease deferrals with contractual lease
payments resuming thereafter, plus additional repayment of deferred
amounts over a six-month period, consistent with recent reviews of
transactions of peer lessors.

Fitch Modeling Assumptions

Nearly all servicer-driven Fitch assumptions for DVB are consistent
with prior rating review at close. Please refer to the published
presale for further information on these assumptions and stresses.

Leases for four aircraft are expected to end within the next 12
months. For these near-term maturities, Fitch assumed these NB
aircraft will remain on ground for three additional months on top
of lessor-specific remarketing downtime assumptions to account for
potential remarketing challenges in placing this aircraft with a
new lessee in the current distressed environment.

With the grounding of global fleets and significant reduction in
air travel, maintenance revenue and costs will be affected and are
expected to decline due to airline lessee credit issues and
grounded aircraft. Maintenance revenues were reduced by 50% over
the next immediate 12 months for this review, and such missed
payments were assumed to be recouped in the following 12 months
thereafter. Maintenance costs over the immediate six months were
assumed to be incurred as reported. Costs were reduced by 50% in
the following month, and thereafter, such reduction decreases on a
straight-line basis up to 0% over the subsequent 12-month period.
Over the following 12 months, deferred costs in prior periods were
assumed to be repaid every month in addition to the scheduled
maintenance costs.

RATING SENSITIVITIES

The Negative Outlook on the notes reflects the potential for
further negative rating actions due to concerns over the ultimate
impact of the coronavirus pandemic, the resulting concerns
associated with airline performance and aircraft values, and other
assumptions across the aviation industry due to the severe decline
in travel and grounding of airlines.

At close, Fitch conducted multiple rating sensitivity analyses to
evaluate the impact of changes to a number of the variables in the
analysis. The performance of aircraft operating lease
securitizations is affected by various factors, which in turn,
could have an impact on the assigned ratings. Due to the
correlation between global economic conditions and the
travel/airline industries, the ratings can be affected by the
strength of the global macro-environment over the remaining term of
this transaction.

In the initial rating analysis, Fitch found the transaction to
exhibit sensitivity to the timing and severity of assumed
recessions. Fitch also found that greater default probability of
the leases has a material impact on the ratings. Furthermore, the
timing and degree of technological advancement in the commercial
aviation space, and the resulting impact on aircraft values, lease
rates and utilization would have a moderate impact on the ratings.

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

Up: Base Assumptions with Stronger Residual Value Realization:

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

At this point, future upgrades beyond current ratings would not be
considered due to a combination of the sector rating cap, industry
cyclicality, weaker lessee mix present in ABS pools and uncertainty
around future lessee mix, along with the negative impact due to the
coronavirus on the global travel/airline sectors and, ultimately,
ABS transactions.

In this "Up" scenario, RV recoveries at time of sale are assumed to
be 70% of their depreciated MVs, higher than the base case scenario
of 50% for certain aircraft. Net cash flow increases by
approximately $17.8 million at the 'Asf' rating category. All
series of notes are able to pay in full under the 'Asf', rating
stress level.

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

Down: Base Assumptions with Extended Downtime of Six Months

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

Under this scenario, leases that mature during the first recession
were assumed six months of additional jurisdictional downtime. Net
cash flow declines by approximately $3.1 million at the 'Asf'
rating category. The series A and B notes are able to pass under
the 'Asf' rating stress level, and the series C notes are able to
pass under the 'BBBsf' rating stress.

Down: Base Assumptions with Aircraft Sales After Near-Term Lease
Maturity and All 'CCC' Assumption

To account for potential lower asset count, Fitch ran a sensitivity
scenario to assess the impact on the transaction should the
near-term maturities in the next 12 months be sold and the
portfolio left with less aircraft by count, potentially eight
aircraft in the pool by the end of August 2021. There were four
such narrowbody aircraft totaling approximately 37% of the
portfolio. Additionally, to account for further weakening of
credits, all lessees were assumed 'CCC', with the exception of
Tigerair Australia, which remained at 'D'. It is important to note
that the age of these aircraft being sold in this downside stress
scenario are younger than has been typically observed historically
for sales.

Under this scenario, assuming 75% RV due to their younger age, net
cash flow declines by approximately $13.5 million at the 'Asf'
rating category, and class A is able to pass at the 'Asf' rating
stress. The class B is able to pass at the 'BBsf' rating stress,
and the class C is not able to pass at the 'Bsf' rating stress.

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).


MADISON PARK XIX: Moody's Confirms B3 Rating on Class E-R Notes
---------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Madison Park Funding XIX, Ltd.:

US$37,400,000 Class C-R Deferrable Floating Rate Notes Due January
2028 (the "Class C-R Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$28,500,000 Class D-R Deferrable Floating Rate Notes Due January
2028 (the "Class D-R Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$12,100,000 Class E-R Deferrable Floating Rate Notes Due January
2028 (the "Class E-R Notes"), Confirmed at B3 (sf); previously on
April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade

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

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

RATINGS RATIONALE

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 3532, compared to 2962 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3004 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
25.7% as of July 2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $607.1 million.
Nevertheless, Moody's noted that the OC tests for the Class C-R
Notes, Class D-R Notes as well as the interest diversion test
(equivalent to the OC test for the Class E-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: $602,131,227

Defaulted Securities: $11,181,285

Diversity Score: 75

Weighted Average Rating Factor: 3604

Weighted Average Life: 5.53 years

Weighted Average Spread: 3.55%

Weighted Average Recovery Rate: 47.09%

Par haircut in O/C tests and interest diversion test: 2.69%

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
August 2020.


MADISON PARK XXV: Moody's Confirms B2 Rating on $8MM Cl. E Notes
----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Madison Park Funding XXV, Ltd.:

US$31,000,000 Class B Deferrable Floating Rate Notes due 2029 (the
"Class B Notes"), Confirmed at A2 (sf); previously on June 3, 2020
A2 (sf) Placed Under Review for Possible Downgrade

US$38,200,000 Class C Deferrable Floating Rate Notes due 2029 (the
"Class C Notes"), Confirmed at Baa3 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$26,800,000 Class D Deferrable Floating Rate Notes due 2029 (the
"Class D Notes"), Confirmed at Ba3 (sf); previously on April 17,
2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$8,000,000 Class E Deferrable Floating Rate Notes due 2029 (the
"Class E Notes"), Confirmed at B2 (sf); previously on April 17,
2020 B2 (sf) Placed Under Review for Possible Downgrade

The Class B Notes, the Class C Notes, 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 April
17, 2020 on the Class C, Class D and Class E Notes and on June 3,
2020 on the Class B Notes issued by the CLO. The CLO, originally
issued in May 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end on April 2022.

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 (OC) 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 (WARF) was reported at 3496, compared to 2941
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2922 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
24.3% as of July 2020. Moody's calculated the OC ratios (excluding
haircuts) for the Class B, Class C, Class D, as well as the
reinvestment OC test as of July 2020 at 122.97%, 114.02%, 108.49%
and 106.94%, 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: $596,792,934

Defaulted Securities: $4,400,332

Diversity Score: 76

Weighted Average Rating Factor (WARF): 3502

Weighted Average Life (WAL): 5.6 years

Weighted Average Spread (WAS): 3.59%

Weighted Average Coupon (WAC): 4.50%

Weighted Average Recovery Rate (WARR): 46.49%

Par haircut in O/C tests and interest diversion test: 2.17%

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.


MAN GLG 2018-1: Moody's Confirms B2 Rating on Class E-R Notes
-------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Man GLG US CLO 2018-1 Ltd.:

US$32,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class C-R Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$25,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class D-R Notes"), Confirmed at Ba3 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

US$6,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class E-R Notes"), Confirmed at B2 (sf);
previously on April 17, 2020 B2 (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 "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C-R, Class D-R, and Class E-R Notes issued by
the CLO. The CLO, originally issued in April 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 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 2993, compared to 2709 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
11.92% as of July 2020. Nevertheless, according to the July 2020
trustee report [1], the OC tests for the Class C-R Notes, Class D-R
Notes, and the interest diversion test were reported at 112.60%,
106.45%, and 105.07%, respectively, and passing their respective
trigger levels of 109.30%, 105.00%, and 104.50%.

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: $476,523,167

Defaulted Securities: $17,685,858

Diversity Score: 78

Weighted Average Rating Factor: 2875

Weighted Average Life: 5.87 years

Weighted Average Spread: 3.32%

Weighted Average Recovery Rate: 46.8%

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
August 2020.


MANHATTAN WEST 2020-1MW: DBRS Gives Prov. BB Rating on HRR Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates (the Certificates) to
be issued by Manhattan West 2020-1MW Mortgage Trust (the Issuer):

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

All trends are Stable.

The Class X balance is notional.

The Manhattan West 2020-1MW Mortgage Trust
single-asset/single-borrower transaction is collateralized by a
trophy Class A office building in the Hudson Yards submarket of
Manhattan, New York. DBRS Morningstar takes a positive view on the
credit characteristics of the collateral, which was completed in
July 2019 and is a component of Brookfield Property Partners'
larger "Manhattan West" mixed-use development project.

The building benefits from long-term, institutional-grade tenancy
with a weighted-average (WA) remaining lease term of over 17 years,
which DBRS Morningstar believes should largely shield the property
from any short- or medium-term dislocations in the Manhattan office
market resulting from the ongoing Coronavirus Disease (COVID-19)
pandemic. Furthermore, the building's superior asset quality and
convenient location between Related's Hudson Yards development and
Penn Station make the remaining vacant square footage
(approximately 128,000 sf; 6.6% of NRA) an attractive option for a
variety of tenants.

DBR Investments Co. Limited (23.1%), Citi Real Estate Funding Inc.
(23.1%), Wells Fargo Bank, National Association (23.1%), JPMorgan
Chase Bank, National Association (17.8%), and Barclays Capital Real
Estate Inc. (12.9%) are expected to originate the seven-year loan
that pays fixed-rate interest of 2.59% on an interest-only basis
through the initial maturity of the loan, contingent upon final
pricing.

The $1.8 billion whole loan is composed of six senior A notes
totaling $1.150 billion, five junior B notes totaling $350 million,
a senior mezzanine loan totaling $100 million, and junior mezzanine
loan totaling $200 million. Five of six senior A notes and all of
the junior B notes are being securitized in this transaction. Both
mezzanine loans are being held by third parties. The whole loan
proceeds are being used to refinance existing construction
financing held by a syndicate of banks scheduled to mature in April
2021, return equity to the sponsor, fund up-front reserves, and pay
closing costs.

The property is well-located in a prime location in the Hudson
Yards submarket of Manhattan, with good commuter rail and subway
hubs positioned to the east and west of the building, respectively.
The Hudson Yards submarket has also become one of the most
desirable office locations in Manhattan as major space users have
opted to move west and sign major leases. Completed in 2019, the
collateral is a 70-story trophy, Class A LEED Gold certified
building with sweeping panoramic views of the Hudson River to the
west, midtown to the east, and the financial district to the south.
DBRS Morningstar considers One Manhattan West to be among a small
group of ultra-Class A office buildings financed in the public debt
markets, and concluded the building's property quality to be
"Excellent." The building features high ceilings and efficient
floor plates that are almost column-free, which allows for
significant natural light and flexible office layouts.

Nearly a quarter (22.6%) of the building's concluded in-place base
rent is derived from investment-grade tenants that qualified for
long-term credit tenant (LTCT) treatment in our concluded net cash
flow (NCF). Furthermore, approximately 80% of the base rent is
derived from institutional tenants not explicitly rated
investment-grade, including Skadden (AmLaw Top 5) and E&Y (Big 4
Accounting).

In addition to institutional-grade tenancy, there is virtually zero
lease rollover during the seven-year loan term. The WA remaining
lease term at the property is 17.43 years, which results in a
stable, long-term cash flow stream with contractual rent increases
built into many of the leases. The earliest scheduled lease
expirations of any of the major tenants (Skadden, E&Y, Accenture,
NHL, McKool Smith, and W.P. Carey), which together are responsible
for 94.5% of base rent, is almost eight full years after loan
maturity.

The subject has a WA occupied in-place rent of $93.19 psf, which is
well below the appraisal WA market rent of $112.25 psf.
Additionally, each of the top three tenants is below-market based
on the appraiser's concluded rent for its space. The lack of lease
rollover provides for minimal opportunity to capture the upside
during the seven-year loan term, but the property will likely
benefit in the long run from increased rental revenue as leases
expire and roll to market.

The transaction benefits from strong, experienced institutional
sponsorship in the form of a joint venture (JV) partnership between
Brookfield Property Partners L.P. (BPY) and the Qatar Investment
Authority. BPY, together with its affiliate Brookfield Asset
Management, is one of the largest commercial landlords in New York
City. BPY's core office portfolio includes interests in 134 Class A
office buildings in gateway markets around the world totaling 72.6
million sf.

The ongoing coronavirus pandemic continues to pose challenges and
risks to virtually all major CRE property types, and has created an
element of uncertainty around future demand for office space, even
in gateway markets that have historically been highly liquid.
Despite the disruptions and uncertainty, the collateral has largely
been unaffected. No tenants have requested rent relief or are
currently subject to any kind of rent deferral, and the Sponsor
collected 100% of July rent at the property.

The Borrower Sponsor for the transaction, a JV partnership between
Brookfield Property Partners L.P. and the Qatar Investment
Authority, is partially using loan proceeds to repatriate $355.58
million of equity. DBRS Morningstar views cash-out refinancing
transactions as less favorable than acquisition financings because
sponsors typically have less incentive to support a property
through times of economic stress if less of their own cash equity
is at risk. Based on the appraiser's as-is valuation of $2.525
billion, the sponsor will have approximately $725 million of
unencumbered market equity remaining in the transaction.

The property's tenancy is heavily concentrated, with the top three
tenants (Skadden, E&Y, and Accenture) accounting for 74.5% of the
building's NRA and 76.8% of base rent while the building's top five
tenants collectively account for 87.7% of the NRA and 91.1% of base
rent.

While the DBRS Morningstar trust LTV is moderate at 84.56%, the
leverage increases substantially to an all-in DBRS Morningstar LTV
of 101.48% when both the senior and junior mezzanine loans are
factored in, which collectively total $300 million.

The mortgage loan is IO through the full seven years of its
seven-year term and does not benefit from deleveraging through
amortization.

Class 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.


MARBLE POINT XI: Moody's Cuts $22.5MM Class E Notes to B1
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Marble Point CLO XI Ltd.:

US$31,250,000 Class D Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$22,500,000 Class E Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class E Notes"), Downgraded to B1 (sf); previously on
April 17, 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 "Downgraded Notes."

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

RATINGS RATIONALE

The downgrades 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 expected losses (ELs) on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3199, compared to 3039
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2926 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
13.61% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $477.7 million, or $22.3 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:

Performing par and principal proceeds balance: $474,118,831

Defaulted Securities: $11,992,830

Diversity Score: 62

Weighted Average Rating Factor (WARF): 3101

Weighted Average Life (WAL): 5.65 years

Weighted Average Spread (WAS): 3.49%

Weighted Average Recovery Rate (WARR): 47.17%

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.


MARBLE POINT XIV: Moody's Cuts $24.2MM Class E Notes to B1
----------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Marble Point CLO XIV Ltd.:

US$24,900,000 Class D Mezzanine Deferrable 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$24,200,000 Class E Mezzanine Deferrable 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 Notes and the Class E 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 D and the Class E Notes issued by the CLO.
The CLO, 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 (ELs) on certain notes have increased. The actions
also reflect the basis risk resulting from the mismatch of the
CLO's floating-rate assets and fixed rate notes.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3207, compared to 2960
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2863 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
13.50% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $386.1 million, or $13.9 million less than the
deal's ramp-up target par balance.

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

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

Par amount and principal proceeds balance: $383,649,506

Defaulted Securities: $9,671,548

Diversity Score: 60

Weighted Average Rating Factor (WARF): 3158

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.59%

Weighted Average Recovery Rate (WARR): 46.9%

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 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.


MOFT 2020-B6: DBRS Gives Prov. B(high) Rating on Class D Certs
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-6 (the
Certificates) to be issued by MOFT 2020-B6 Mortgage Trust (MOFT
2020-B6 or the Trust):

-- Class A at A (low) (sf)
-- Class B at BBB (low) (sf)
-- Class C at BB (low) (sf)
-- Class D at B (high) (sf)

All trends are Stable.

The collateral for MOFT 2020-B6 includes certain components of a
$200.0 million first-lien mortgage loan on a 314,352 square foot
(sf) Class A office building in Sunnyvale, California. The 10-year,
fixed-rate loan is interest-only through the full loan term. Jay
Paul Company constructed the asset collateralizing the transaction
(commonly referred to as Building Six) in 2020 and leases it 100.0%
to Google LLC (Google) through January 2029. Google's parent
company, Alphabet Inc., is rated investment grade. The asset is a
component of the larger Moffett Park office campus, an
approximately 519-acre office park formerly owned by Lockheed
Martin Corporation (Lockheed) that has been redeveloped over the
past 15 years to include and now house some of the world's leading
software, technology, and creative tenants including Amazon.com,
Inc. (Amazon); Microsoft Corporation (Microsoft); Yahoo! Inc.
(Yahoo); and Facebook, Inc. (Facebook). The collateral is one of
six identical buildings that are 100.0% leased to Google. Together,
the six buildings comprise the 1.9 million sf Moffett Place campus
within the greater Moffett Park development.

The borrower sponsor for this transaction is an affiliate of Jay
Paul Company, which is a privately held real estate development
firm founded in 1975 and based in San Francisco. Jay Paul Company
focuses on the acquisition and development of high-end
build-to-suit office projects for large Silicon Valley technology
firms. The sponsor has developed over 13 million sf of
institutional office space for clients including Apple Inc.
(Apple), Amazon, Facebook, Microsoft, Nokia Corporation, and
Tencent Holdings Ltd. Several other sponsor-owned Moffett Park
buildings have been securitized in previous DBRS Morningstar-rated
transactions, such as MOFT Trust 2020-ABC and MFTII 2019-B3B4
Mortgage Trust. The collateral is one of 25 buildings developed by
the sponsor within the Moffett Park office campus.

The whole loan comprises eight pari passu senior notes with an
aggregate principal balance of $133.1 million and two junior notes
with an aggregate principal balance of $66.9 million for a total
whole loan balance of $200.0 million. The Trust consists of the two
junior notes in addition to two of the nine senior notes, excluding
the controlling senior note, for a total trust balance of $67.4
million. The remaining $132.6 million in senior notes will not be
securitized by the Trust and will be contributed to future
transactions.

DBRS Morningstar's outlook on the stability of Class A office space
in and around San Francisco and further into Silicon Valley has
historically been positive, given that the region is home to many
of the world's largest and fastest-growing technology companies
including Google; Facebook; Amazon; Apple; Microsoft; Uber
Technologies, Inc.; and Twitter. However, the ongoing Coronavirus
Disease (COVID-19) pandemic continues to pose challenges and risks
to virtually all major commercial real estate (CRE) property types.
Many technology companies have been at the forefront of
establishing long-term remote-working policies as Twitter recently
announced plans to allow employees to work remotely on a permanent
basis and Facebook announced that as many as 50.0% of its employees
could be working remotely within the next five to 10 years. In
addition, Google recently announced its intention to allow
employees to work remotely through July 2021 in response to the
ongoing coronavirus pandemic, but has not yet announced plans to
implement such change on a permanent basis. The uncertainty
surrounding such changes poses a potential threat to office demand
in the technology-dominated San Francisco and Silicon Valley area,
which could otherwise be balanced by continued growth of the area's
technology sector and historically low vacancy rates.

The Moffett Park campus has been one of Silicon Valley's most
successful corporate campus developments and has grown to include
more than 9.0 million sf of office space occupied by world-renowned
leaders in the technology industry, including but not limited to
Google, Amazon, Microsoft, Lockheed, and Yahoo. The campus is
particularly attractive to Google, which has its global corporate
headquarters just a few miles away and leases a combined 1.9
million sf of space within the Moffett Place subcampus of the
greater Moffett Park. Google also leases the nearby Moffett Federal
Airfield from the National Aeronautics and Space Administration to
conduct robotic and aeronautical research. The airport doubles as a
private airport for Google's fleet of corporate jets.

DBRS Morningstar takes a favorable view on Google's continued
expansion and investment in its growing footprint at Moffett Place,
which indicates its commitment to increase presence and staffing in
the area. DBRS Morningstar views large expansions by high
investment-grade tenants like Google to be credit positive and
believes that this enhances a building's long-term cash flow
stability.

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

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


MORGAN STANLEY 2015-C25: Fitch Affirms B- Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of
America Merrill Lynch Trust, commercial mortgage pass-through
certificates, series 2015-C25. In addition, Fitch has maintained
the Negative Rating Outlook on class F and revised the Outlook on
class E to Negative from Stable.

MSBAM 2015-C25

  - Class A-2 61765TAB9; LT AAAsf; Affirmed  

  - Class A-3 61765TAD5; LT AAAsf; Affirmed  

  - Class A-4 61765TAE3; LT AAAsf; Affirmed  

  - Class A-5 61765TAF0; LT AAAsf; Affirmed  

  - Class A-S 61765TAK9; LT AAAsf; Affirmed  

  - Class A-SB 61765TAC7; LT AAAsf; Affirmed  

  - Class B 61765TAL7; LT AA-sf; Affirmed  

  - Class C 61765TAM5; LT A-sf; Affirmed  

  - Class D 61765TAN3; LT BBB-sf; Affirmed  

  - Class E 61765TAP8; LT BB-sf; Affirmed  

  - Class F 61765TAR4; LT B-sf; Affirmed  

  - Class X-A 61765TAG8; LT AAAsf; Affirmed  

  - Class X-B 61765TAH6; LT AAAsf; Affirmed  

  - Class X-D 61765TAJ2; LT BBB-sf; Affirmed  

KEY RATING DRIVERS

Stable Overall Performance; Increased Loss Expectations Due to
Coronavirus Pandemic Concerns: While overall pool performance
remains stable, loss expectations have increased since Fitch's
prior rating action primarily due to additional stresses applied to
loans expected to be affected in the near term from the coronavirus
pandemic. Twenty-one loans (34.0% of pool), including two loans
(1.9%) in special servicing, were designated Fitch Loans of
Concern. Thirteen (22.6%) were designated FLOCs primarily due to
exposure to the coronavirus pandemic in the near term.

Fitch Loans of Concern: The largest non-coronavirus specific FLOC,
Villas at Dorsey Ridge (4.8%), is secured by a 238-unit multifamily
property in Hanover, MD (approximately 10 miles southwest of
Baltimore and 20 miles northeast of Washington D.C.). The loan was
designated a FLOC due to performance declines since issuance
stemming from declines in occupancy and unit rents and increases in
operating expenses. Occupancy declined to 95% as of the May 2020
rent roll from 97% at issuance. Unit rents declined to $1,899 per
unit as of the May 2020 rent roll from $1.938 per unit at
issuance.

Operating expenses increased to $1.85 million at YE 2019 from $1.65
million at issuance. As a result, servicer-reported NOI DSCR was
1.46x as of the YTD March 2020 and 1.39x at YE 2019 based on
interest-only payments, as the loan was in its initial five-year
interest-only period through July 2020. Based on fully amortizing
principal and interest payments, the servicer-reported NOI DSCR
would be 1.07x as of the YTD March 2020 and 1.03x at YE 2019. This
is down from 1.21x at issuance. While the loan has remained current
during its initial five-year interest-period and amidst the
coronavirus pandemic, the switch to fully amortizing principal and
interest payments in August 2020 could affect the borrower's
ability to make mortgage payments.

The second largest non-coronavirus specific FLOC, Lycoming Crossing
Shopping Center (1.9%), is secured by 135,999 sf shadow anchored
(Target) shopping center in Muncy Township, PA, approximately 165
miles from Philadelphia, PA. While the loan returned to the master
servicer from special servicing in December 2018 after a
forbearance agreement and lien being discharged, the loan still
faces performance concerns. Bed Bath & Beyond (previously 15% NRA)
did not renew its lease upon its January 2020 expiration. Also,
Dress Barn (previously 5.5% NRA) closed its store at this location
at the end of 2019.

As a result of these vacancies, occupancy has declined to 77% from
97% at YE 2019. Servicer-reported NOI DSCR has also declined to
1.09x as of the YTD March 2020 and 1.54x at YE 2019 based on
interest-only payments, as the loan is in its initial five-year
interest only period through August 2020. Based on fully amortizing
principal and interest payments, the servicer-reported NOI DSCR
would be 0.84x as the YTD March 2020 and 1.19x at YE 2019. This is
down from 1.36x at issuance. While the loan is current, the switch
to fully amortizing principal and interest payments in September
2020, coupled with the ongoing impact from the coronavirus pandemic
could affect the borrower's ability to keep this loan current.

Specially Serviced Loans: The largest specially serviced loan,
Staybridge Suites DFW Airport - Irving, TX (1.0%), is secured by a
100 key extended stay hotel in Irving, TX. The loan, which is 90
days delinquent, transferred to special servicing in June 2020 due
to the borrower requesting loan forbearance amidst the coronavirus
pandemic. The borrower is reviewing a bring current statement and
forbearance structure. At YE 2019, occupancy and servicer-reported
NOI DSCR were 75% and 1.63x, respectively.

Minimal Change to Credit Enhancement: There has been minimal change
to credit enhancement since issuance. As of the July 2020
distribution date, the pool's aggregate balance has been reduced by
3.9% to $1.133 billion from $1.179 billion at issuance. Fifty-six
of the original 57 loans remain in the pool. One loan with a $12.2
million balance at disposition was prepaid during its open period
since Fitch's prior review. Two loans (1.5%) are fully defeased,
and one loan (1.3%) is partially defeased. Four loans (21.9%) are
full-term, interest-only, and 33 loans (56.1%) have a partial-term,
interest-only component of which 21 have begun to amortize.

Pool/Maturity Concentration: The top 10 loans comprise 54.4% of the
pool. Based on the loans' scheduled maturity balances, the pool is
expected to amortize 10.1% during the term. Loan maturities are
concentrated in 2025 (86.8%); 1.3% matures in 2020, 1.2% in 2022,
10.1% in 2024 and 0.6% in 2030. Based on property type, the largest
concentrations are office at 23.0%, retail at 21.8% and multifamily
at 19.2%.

Exposure to Coronavirus Pandemic: Nine loans (13.0%) are secured by
hotel properties. The weighted average NOI DSCR for all hotel loans
is 2.01x. These hotel loans could sustain a weighted average
decline in NOI of 51% before DSCR falls below 1.00x. Seventeen
loans (21.8%) are secured by retail properties. The weighted
average NOI DSCR for all retail loans is 1.78x.

These retail loans could sustain a weighted average decline in NOI
of 44% before DSCR falls below 1.00x. Additional coronavirus
specific base case stresses were applied to eight hotel loans
(12.0%) including Roosevelt New Orleans Waldorf Astoria (6.7%),
nine retail loans (7.1%) including Coastal Equities Retail
Portfolio (5.2%) and Lycoming Crossing Shopping Center (1.9%) and
two multifamily/student housing loans (3.7%). These additional
stresses contributed to the Negative Outlooks on classes E and F.

RATING SENSITIVITIES

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

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

Factors that lead to upgrades would include stable to improved
asset performance coupled with paydown and/or defeasance. Upgrades
of classes B and C would likely occur with significant improvement
in CE and/or defeasance; however, increased concentrations, further
underperformance of FLOCs and decline in performance of loans
expected to be affected by the coronavirus pandemic could cause
this trend to reverse.

Upgrades of class D are considered unlikely and would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if there
is a likelihood for interest shortfalls.

Upgrades of classes E and F are not likely due to performance
concerns with loans expected to be affected by the coronavirus
pandemic in the near term, but could occur if performance of the
FLOCs improves and/or if there is sufficient CE, which would likely
occur if the non-rated class is not eroded and the senior classes
pay-off.

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

Factors that lead to downgrades include an increase in pool level
losses from underperforming or specially serviced loans. Downgrades
of classes A-1 through C are not likely due to the position in the
capital structure, increasing credit enhancement and the stable
overall performance of the pool.

Downgrades of classes D through F could occur if additional loans
become FLOCs, with further underperformance of the FLOCs and
decline in performance and lack of recovery of loans expected to be
affected by the coronavirus pandemic in the near term.

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


MP CLO VII: Moody's Lowers $28.9MM Cl. E-RR Notes to B1
-------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by MP CLO VII, Ltd.:

US$28,900,000 Class E-RR Mezzanine Deferrable Floating Rate Notes
due 2028 (the "Class E-RR Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

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

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

US$33,200,000 Class D-RR Mezzanine Deferrable Floating Rate Notes
due 2028 (the "Class D-RR Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

The Class D-RR 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-RR Notes and E-RR Notes issued by the CLO.
The CLO, originally issued in May 2015, partially refinanced in
December 2017 and refinanced 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 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 (ELs) 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 (OC) 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 (WARF) was reported at 3286, compared to 3097
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 3040 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
16.2% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $518.1 million, or $21.9 million less than the
deal's ramp-up target par balance when the deal was refinanced in
September 2018. 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: $516,687,776

Defaulted Securities: $8,456,162

Diversity Score: 63

Weighted Average Rating Factor (WARF): 3249

Weighted Average Life (WAL): 4.63 years

Weighted Average Spread (WAS): 3.53%

Weighted Average Recovery Rate (WARR): 47.5%

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 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.


MP CLO VIII: Moody's Confirms Ba3 Rating on $25MM Cl. E-R Notes
---------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by MP CLO VIII, Ltd.:

US$27,500,000 Class D-R Senior 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

US$25,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2027 (the "Class E-R Notes"), Confirmed at Ba3 (sf);
previously on April 17, 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 April
17, 2020 on the Class D-R and E-R Notes issued by the CLO. The CLO,
originally issued in August 2015 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 ended in October 2019.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's noted that the OC tests for the Class
A/B, Class C, Class D and Class E Notes were recently reported [1]
as passing. 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
(OC) levels. Consequently, Moody's has confirmed the ratings on the
Confirmed Notes.

According to the July 2020 trustee report [2], the weighted average
rating factor (WARF) was reported at 3177, compared to 2997
reported in the March 2020 trustee report [3]. Moody's calculation
also showed the WARF was failing the test level of 3015 reported in
the July 2020 trustee report [4]. 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 July 2020.

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

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

Par amount and principal proceeds balance: $457,066,776

Defaulted Securities: $6,673,791

Diversity Score: 59

Weighted Average Rating Factor (WARF): 3150

Weighted Average Life (WAL): 4.0 years

Weighted Average Spread (WAS): 3.32%

Weighted Average Recovery Rate (WARR): 47.3%

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 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.


NASSAU LTD 2018-II: 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-II Ltd.:

US$29,400,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Confirmed at A2 (sf); previously on
June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

US$38,700,000 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$30,300,000 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, 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 April
17, 2020 on the Class D and Class E Notes, and on June 3, 2020 on
the Class C Notes issued by the CLO. 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 on
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.

According to the July 2020 trustee report [1], the weighted average
rating factor was reported at 3596, compared to 2961 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3000 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
25.0% as of July 2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $586.4 million,
or $13.6 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 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
[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:

Performing par and principal proceeds balance: $578,746,206

Defaulted Securities: $20,010,601

Diversity Score: 87

Weighted Average Rating Factor: 3561

Weighted Average Life: 5.77 years

Weighted Average Spread: 3.97%

Weighted Average Recovery Rate: 47.5%

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 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
August 2020.


OCTAGON INVESTMENT 32: Moody's Confirms Ba3 Rating on Class E Notes
-------------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Octagon Investment Partners 32, Ltd.:

US$27,500,000 Class D Secured Deferrable Mezzanine 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

US$22,500,000 Class E Secured Deferrable Junior Floating Rate Notes
due 2029 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 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 review for downgrade initiated on April
17, 2020 on the Class D Notes and Class E Notes issued by the CLO.
The CLO, issued in August 2017, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in July 2022.

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 3095, compared to 2764 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2906 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
14.1% as of August 2020. Nevertheless, Moody's noted that all 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:

Performing par and principal proceeds balance: $486,721,288

Defaulted Securities: $5,163,674

Diversity Score: 78

Weighted Average Rating Factor: 3054

Weighted Average Life: 5.96 years

Weighted Average Spread: 3.56%

Weighted Average Recovery Rate: 47.10%

Par haircut in OC tests and interest diversion test: 0.60%

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
August 2020.


OCTAGON LOAN: Moody's Confirms Ba3 Rating on Class E-RR Notes
-------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Octagon Loan Funding, Ltd.:

US$14,800,000 Class D-RR Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-RR Notes"), Confirmed at Baa3 (sf),
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,700,000 Class E-RR Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class E-RR Notes"), Confirmed at Ba3 (sf),
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class D-RR Notes and the Class E-RR 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 D-RR Notes and the Class E-RR Notes issued by
the CLO. The CLO, originally issued in September 2014, partially
refinanced in May 2017, and fully refinanced 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 on November 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 3048, compared to 2750 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2945 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
13.15% as of July 2020. Nevertheless, Moody's noted that all the OC
tests, as well as the interest diversion test 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:

Performing par and principal proceeds balance: $388,444,224

Defaulted Securities: $5,684,776

Diversity Score: 78

Weighted Average Rating Factor: 3013

Weighted Average Life: 6.1 years

Weighted Average Spread: 3.51%

Weighted Average Recovery Rate: 47.18%

Par haircut in O/C tests and interest diversion test: 0.15%

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
August 2020.


OCWEN MASTER 2020-T1: S&P Rates Class E-T1 Notes 'BB (sf)'
----------------------------------------------------------
S&P Global Ratings assigned its ratings to Ocwen Master Advance
Receivables Trust's advance receivables-backed notes for series
2020-T1.

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

The 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
S&P's stressed cash flow modeling scenarios consistent with the
ratings; and

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

The 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.

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

US$9,500,000 Class E-RR Secured Deferrable Floating Rate Notes due
2031 (current outstanding balance of $9,974,596) (the "Class E-RR
Notes"), Downgraded to Caa1 (sf); previously on previously on June
3, 2020, B3 (sf) Placed Under Review for Possible Downgrade

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

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

US$31,750,000 Class C-RR Senior Secured Deferrable Floating Rate
Notes Due 2031, Confirmed at Baa3 (sf); previously on June 3, 2020,
Baa3 (sf) Placed Under Review for Possible Downgrade

U.S. 26,250,000 Class D-RR Secured Deferrable Floating Rate Notes
due 2031 (the "Class D-RR Notes"), Confirmed at Ba3 (sf);
previously on previously on June 3, 2020, Ba3 (sf) Placed Under
Review for Possible Downgrade

The Class D-RR Notes and Class C-RR 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 C-RR Notes, Class D-RR Notes, and Class E-RR
Notes issued by the CLO. The CLO, originally issued in December
2014 and refinanced 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

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 3302, compared to 2885 reported in
the March 2020 trustee report [2]. Moody's also notes that the WARF
was failing the test level of 2975 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 22.7% as of August
2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $487.6 million,
or $12.4 million less than the deal's ramp-up target par balance.
Moody's noted that the OC tests for the Class D-RR notes, as well
as the reinvestment overcollateralization test were recently
reported as failing [4], which resulted in repayment of senior
notes on the July payment date. Nevertheless, Moody's noted that
the OC tests for the Class C-RR Notes was 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: $482,788,438

Defaulted Securites: $12,290,939

Diversity Score: 73

Weighted Average Rating Factor: 3322

Weighted Average Life: 5.8 years

Weighted Average Spread: 3.46%

Weighted Average Recovery Rate: 47.18%

Par haircut in O/C tests and interest diversion test: 2.78%

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
August 2020.


OZLM VII: Moody's Lowers $5.7MM Cl. E-R Notes to Caa2
-----------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by OZLM VII, Ltd.:

US$32,600,000 Class D-R Secured Deferrable Floating Rate Notes due
2029 (current outstanding balance of $33,254,800) (the "Class D-R
Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

US$5,700,000 Class E-R Secured Deferrable Floating Rate Notes due
2029 (current outstanding balance of $5,970,713) (the "Class E-R
Notes"), Downgraded to Caa2 (sf); previously on April 17, 2020 B3
(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 "Downgraded Notes."

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

US$37,900,000 Class C-R-R Senior Secured Deferrable Floating Rate
Notes due 2029 (the "Class C-R-R Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C-R-R Notes, the Class D-R Notes and the
Class E-R Notes issued by the CLO. The CLO, originally issued in
June 2014, partially refinanced in April 2017, and fully refinanced
in July 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in July 2021.

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 (ELs) 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 (OC) 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 (WARF) was reported at 3316, compared to 2871
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 [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. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $580.9 million, or $19.1 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: $574,830,988

Defaulted Securities: $14,652,061

Diversity Score: 73

Weighted Average Rating Factor (WARF): 3342

Weighted Average Life (WAL): 4.83 years

Weighted Average Spread (WAS): 3.45%

Weighted Average Recovery Rate (WARR): 47.29%%

Par haircut in O/C tests and interest diversion test: 3.01%

Finally, Moody's notes that it also considered the information in
the July 2020 trustee report [1] 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.


OZLM VIII: Moody's Lowers $11.4MM Cl. E-RR Notes to Caa1
--------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by OZLM VIII, Ltd.:

US$11,400,000 Class E-RR Secured Deferrable Floating Rate Notes due
2029 (current outstanding balance of $11,963,260.96) (the "Class
E-RR Notes"), Downgraded to Caa1(sf); previously on April 17, 2020
B3 (sf) Placed Under Review for Possible Downgrade

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

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

US$36,900,000 Class C-RR Senior Secured Deferrable Floating Rate
Notes due 2029 (the "Class C-RR Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$31,500,000 Class D-RR Secured Deferrable Floating Rate Notes due
2029 (the "Class D-RR Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class C-RR Notes and the Class D-RR 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-RR, Class D-RR and Class E-RR Notes issued
by the CLO. The CLO, originally issued in September 2014, partially
refinanced in May 2017, and refinanced 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 on October 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
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 (OC) 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 (WARF) was reported at 3280, compared to 2843
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2930 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
22.5% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $587.9 million, or $12.1 million less than the
deal's ramp-up target par balance. Moody's noted that the OC tests
for the Class D 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.

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: $582,286,241

Defaulted Securities: $13,592,938

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3281

Weighted Average Life (WAL): 5.75 years

Weighted Average Spread (WAS): 3.42%

Weighted Average Recovery Rate (WARR): 47.2%

Par haircut in O/C tests and interest diversion test: 2.6%

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.


REALT 2016-2: Fitch Affirms Bsf Rating on Class G Certs
-------------------------------------------------------
Fitch Ratings has affirmed eight classes of Real Estate Asset
Liquidity Trust's (REALT) 2016-2 commercial mortgage passthrough
certificates. All amounts are in Canadian Dollars (CAD). The Rating
Outlooks on classes A through G of the certificates are Stable.

RATING ACTIONS

REAL-T 2016-2

Class A-1 75585RNQ4; LT AAAsf Affirmed;  previously AAAsf

Class A-2 75585RNR2; LT AAAsf Affirmed;  previously AAAsf

Class B 75585RNZ4;   LT AAsf Affirmed;   previously AAsf

Class C 75585RPA7;   LT Asf Affirmed;    previously Asf

Class D 75585RPB5;   LT BBBsf Affirmed;  previously BBBsf

Class E 75585RPC3;   LT BBB-sf Affirmed; previously BBB-sf

Class F 75585RPD1;   LT BBsf Affirmed;   previously BBsf

Class G 75585RPE9;   LT Bsf Affirmed;    previously Bsf

KEY RATING DRIVERS

Stable Loss Expectations: Affirmations are based on overall stable
loss expectations due to most of the underlying collateral
performing in line with issuance expectations. No loans have
transferred to special servicing. As of the July 2020 distribution
period, there are a total of 11 loans (or 25.5%) on the servicer's
watchlist for forbearance modification, high vacancy and upcoming
maturity. One loan (2.6%) has been designated as a Fitch Loan of
Concern (FLOC) for ongoing litigation and high vacancy.

NPR Commerce Place & YKC East Yellowknife (2.8%) was flagged as a
FLOC during Fitch's prior rating action in 2019 due to the
subject's largest tenant, The Government of Northwest Territories,
having multiple leases with the subject. One of the tenant's leases
(NRA 29%) was scheduled to expire in December 2019. According to
the subject's March 2020 rent roll, GWNT has renewed its rolling
lease at the subject and, under the new five-year lease, GWNT pays
$47 psf annually. The loan is no longer considered a FLOC.

Minimal Change in Credit Enhancement: There has been minimal change
in credit enhancement (CE) since issuance due to minimal
defeasance, maturities and prepayments. Of the nondefeased
collateral in the pool, 35 loans (77.6%) have some form of recourse
to the sponsor and/or borrower. As of the July 2020 distribution
date, the pool's aggregate principal balance had been reduced by
11.7% to $372.2 million, down from $421.5 million at issuance, with
45 loans remaining. Between August 2020 and July 2021, seven loans
(22.1%) are scheduled to mature. There are no full or partial
interest-only loans in the pool.

Exposure to Coronavirus: Of the nondefeased collateral in the pool,
there are three loans (6.43% of the pool) that have a weighted
average NOI debt service coverage ratio (DSCR) of 3.05x and which
are secured by hotel properties. Eleven loans (24.6%), which have a
weighted average NOI DSCR of 1.61x, are secured by retail
properties. Twelve loans (28.5%), which have a weighted average NOI
DSCR of 1.50x, are secured by multifamily properties. Fitch's base
case analysis applies additional stresses to one hotel loan, one
multifamily loan and seven retail loans given the significant
declines in property-level cashflow expected in the short term due
to the decrease in travel and tourism and property closures
resulting from the coronavirus pandemic. The additional stresses
did not impact the ratings; however, concerns with the potential
impact of the pandemic did impact the potential for upgrades.

Loans in Forbearance: According to servicer watchlist comments,
seven loans (18.3%) have been granted forbearance relief in
response to the pandemic. This includes top 15 loans Villarboit
Retail North Bay (6.5%), 480 Hespeler Road (3.8%) and The Opus
Hotel (3.4%).

Fitch Loan of Concern:

The 17th largest loan in the pool, The Duke of Devonshire (2.6%),
is securitized by a 105 key, assisted senior living property
located in Ottawa, Ontario. The sponsor is Chartwell Retirement
Residences, which assumed the loan from the original borrower, Duke
of Devonshire Retirement Residence Inc., at issuance and provides
full recourse for the loan. As of the December 2019 rent roll, the
property was 54% occupied, down from 95% at issuance. The subject's
YE19 NOI has fallen to $1.3 million, down from underwritten NOI at
issuance of $3.6 million. Over the same period, NOI DSCR fell to
0.67x from 1.75x. According to the borrower, the decline in
occupancy is due to high rental rates relative to the subject's
market. The subject's rental packages included high-quality medical
care, and the borrower plans to unbundle these services to make
asking rent more competitive. Additionally, the property will
reduce staff and develop a new sales strategy to improve
performance. Furthermore, a lawsuit commenced between Chartwell and
Duke of Devonshire Retirement Residence Inc. regarding
inconstancies in the rent roll when the loan was assumed.
Litigation is currently in discovery.

RATING SENSITIVITIES

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

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

  -- Factors that could 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 and increased concentrations coupled with further
underperformance of the FLOC or loans expected to be negatively
impacted by the coronavirus pandemic could cause this trend to
reverse.

  -- Upgrades to classes D and E would also take into account these
factors but would be limited based on sensitivity to concentrations
or the potential for future concentration. Classes would not be
upgraded above 'Asf' if there was a likelihood of interest
shortfalls.

  -- Upgrades to classes F and G are not likely until the later
transaction years 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 negative
rating action/downgrade:

  -- Factors that could lead to downgrades include an increase in
pool level losses from underperforming or specially serviced
loans.

  -- Downgrades to the 'Asf', 'AAsf' and 'AAAsf' categories are not
likely due to their position in the capital structure but may occur
at the 'AAsf' and 'AAAsf' categories should interest shortfalls
occur.

  -- Downgrades to classes D and E would occur if overall pool
losses increase and/or one or more large loans have an outsized
loss, which would erode CE.

  -- Downgrades to classes F and G would occur should loss
expectations increase due to an increase in specially serviced
loans and/or the loans vulnerable to the pandemic do not
stabilize.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
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 rating categories.

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.

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).


SANTANDER CONSUMER 2020-B: Fitch to Rate Class F Debt 'B(EXP)sf'
----------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to
Santander Consumer Auto Receivables Trust 2020-B. The social and
market disruptions caused by the coronavirus pandemic and related
containment measures have negatively affected the U.S. economy. To
account for the potential impact on SCART 2020-B, Fitch's base case
cumulative net loss proxy was derived by taking into account
adjusted 2006-2009 recessionary static-managed portfolio
performance resulting from an elevated unemployment environment,
along with more recent managed vintage performance.

Santander Consumer Auto Receivables Trust 2020-B

  - Class A-1; ST F1+(EXP)sf Expected Rating   

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

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

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

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

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

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

  - Class E LT BB(EXP)sf Expected Rating   

  - Class F LT B(EXP)sf Expected Rating   

KEY RATING DRIVERS

Collateral Performance — Strong Credit Quality: 2020-B has a
weighted-average FICO score of 750 with over 78.5% of scores above
675 and the remaining 21.5% in the 630 to 675 range. Vehicle type
and model concentrations are consistent with those of prior
transactions and peer issuers, although a noticeable decline in
exposure to cars remains at only 5.9% of the pool. The
transaction's WA LTV is 98.0% and WA seasoning is only two months.

Payment Structure — Sufficient Credit Enhancement: Initial hard
CE totals 25.40%, 20.35%, 14.45%, 9.80%, 8.65% and 4.50% for
classes A, B, C, D, E and F, respectively. Excess spread is
expected to be 1.42% per annum. Loss coverage for each class of
notes is sufficient to cover respective multiples of Fitch's base
case CNL proxy of 4.25%.

Forward-Looking Approach to Derive Base Case Proxy: Fitch
considered economic conditions and future expectations by assessing
key macroeconomic and wholesale market conditions when deriving the
series loss proxy. Santander Consumer USA Inc. began originating
auto loans through the Chrysler Capital origination channel in
2013, and, therefore, empirical data are somewhat limited. Fitch
supplemented the Chrysler Capital data with recessionary proxy data
from Chrysler vehicles and the overall Santander origination
platforms to derive a loss expectation.

Coronavirus Causing Economic Shock: Fitch has made assumptions
about the spread of the coronavirus and the economic impact of
related containment measures. As a base case scenario, Fitch
assumed a global recession in 1H20 driven by sharp economic
contractions in major economies with a rapid spike in unemployment,
followed by a recovery that begins in 3Q20 as the health crisis
subsides. Under this scenario, Fitch's initial base case CNL proxy
was derived using the 2006-2009 recessionary and the more-recent
2016-2018 vintage performance.

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

Seller/Servicer Operational Review — Consistent
Origination/Underwriting/Servicing: SC demonstrates adequate
abilities as originator, underwriter and servicer, as evidenced by
historical portfolio and securitization performance. Fitch rates
Santander Holdings USA, Inc., majority owner of SC,
'BBB+/F2'/Negative. Fitch deems SC capable to service this
transaction.

RATING SENSITIVITIES

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

  -- Stable-to-improved asset performance driven by stable
delinquencies and defaults would lead to increasing CE levels and
consideration for potential upgrades. If CNL is 20% less than the
projected proxy, the expected ratings for the subordinate notes
could be upgraded by up to two categories.

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
Deloitte & Touche LLP. The third-party due diligence described in
Form 15E focused on 150 loans from the statistical data file. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


SARANAC CLO V: Moody's Lowers Class E-R Notes to Caa2
-----------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by SARANAC CLO V LIMITED:

US$27,000,000 Class C-R Secured Deferrable Floating Rate Notes due
2029 (the "Class C-R Notes"), Downgraded to A3 (sf); previously on
April 17, 2020 A2 (sf) Placed Under Review for Possible Downgrade

US$20,000,000 Class D-R Secured Deferrable Floating Rate Notes due
2029 (the "Class D-R Notes") (current outstanding balance of
$20,564,339.60), Downgraded to Ba1 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$18,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2029 (the "Class E-R Notes") (current outstanding balance of
$18,836,931.32), 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 reviews for downgrade initiated on April
17, 2020 on the Class C-R, Class D-R and Class E-R Notes issued by
the CLO. The CLO, originally issued in November 2013 and refinanced
in August 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end on July 2021.

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 3493, compared to 2931 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2950 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
24.4% as of July 2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $320.6 million,
or $19.4 million less than the deal's ramp-up target par balance.
Moody's noted that the OC tests for the Class C-R, Class D-R and
Class E-R notes, as well as the interest diversion test was
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.

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: $316,912,121

Defaulted Securites: $10,991,383

Diversity Score: 77

Weighted Average Rating Factor: 3540

Weighted Average Life: 4.6 years

Weighted Average Spread: 3.75%

Weighted Average Recovery Rate: 48.58%

Par haircut in O/C tests and interest diversion test: 2.6%

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
August 2020.


SCF EQUIPMENT 2020-1: Moody's Gives B3 Rating on Class F Notes
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
Equipment Contract Backed Notes, Series 2020-1, Class A-1, Class
A-2, Class A-3, Class B, Class C, Class D, Class E, and Class F
(Series 2020-1 notes or the notes) issued by SCF Equipment Leasing
2020-1 LLC and SCF Equipment Leasing Canada 2020-1 Limited
Partnership. Stonebriar Commercial Finance LLC (unrated,
Stonebriar) along with its Canadian counterpart - Stonebriar
Commercial Finance Canada Inc. (unrated) are the originators and
Stonebriar alone is the servicer of the assets backing this
transaction.

The issuers are wholly-owned, limited purpose subsidiaries of
Stonebriar and Stonebriar Commercial Finance Canada Inc. The assets
in the pool consist of loan and lease contracts, secured primarily
by railcars, corporate aircraft, and manufacturing and assembly
equipment. The Series 2020-1 transaction is the seventh
securitization sponsored by Stonebriar and the sixth that Moody's
rates. Stonebriar was founded in 2015 and is led by a management
team with an average of over 25 years of experience in equipment
financing.

The complete rating actions are as follows:

Issuer: SCF Equipment Leasing 2020-1 LLC/SCF Equipment Leasing
Canada 2020-1 Limited Partnership

Class A-1 Notes, Definitive Rating Assigned P-1 (sf)

Class A-2 Notes, Definitive Rating Assigned Aaa (sf)

Class A-3 Notes, Definitive Rating Assigned Aaa (sf)

Class B Notes, Definitive Rating Assigned Aa1 (sf)

Class C Notes, Definitive Rating Assigned A2 (sf)

Class D Notes, Definitive Rating Assigned Baa3 (sf)

Class E Notes, Definitive Rating Assigned Ba3 (sf)

Class F Notes, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

The definitive ratings are based on; the experience of Stonebriar's
management team and the company as servicer; U.S. Bank National
Association (long-term deposits Aa1/ long-term CR assessment
Aa2(cr), short-term deposits P-1, BCA aa3) as backup servicer for
the contracts; the weak credit quality and concentration of the
obligors backing the loans and leases in the pool; the assessed
value of the collateral backing the loans and leases in the pool;
the credit enhancement, including overcollateralization, excess
spread and non-declining reserve account and the sequential pay
structure. The rating also considers the heightened risk owing to
the unprecedented shock that the coronavirus outbreak is causing on
the global economy.

Additionally, it bases its P-1 (sf) rating of the Class A-1 notes
on the cash flows that Moody's expects the underlying receivables
to generate during the collection periods prior to the Class A-1
notes' legal final maturity date on August 20, 2021. At current
size, and assuming no prepayment or defaults, the A-1 tranche can
withstand at least 50% reduction in expected cashflows prior to
maturity without incurring a loss.

At closing the Class A, Class B, Class C, Class D, Class E and
Class F notes benefit from 36.0%, 26.0%, 18.25%, 14.0%, 9.5% and
6.5% of hard credit enhancement, respectively. Hard credit
enhancement for the notes consists of a combination of initial
overcollateralization of 4.50% which will build to a target of
8.00% of the outstanding pool balance with a floor of 5.50% of the
initial pool balance, a 1.50% fully funded, non-declining reserve
account and subordination. The notes will also benefit from excess
spread.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate obligors and related
collateral 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. It is a global health shock, which makes it extremely
difficult to provide an economic assessment. On April 28th, Moody's
revised its baseline growth forecast and now expects real GDP in
the US to contract by 5.7% in 2020.

The equipment loans and leases that will back the notes were
extended primarily to middle market obligors and are secured by
various types of equipment including; aircraft, railcars, and
manufacturing and assembly equipment.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in July 2020.

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

Up

Moody's could upgrade the ratings on the notes if levels of credit
protection are greater than necessary to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or lower than
expected depreciation in the value of the equipment that secure the
obligor's promise of payment. As the primary drivers of
performance, positive changes in the US macro economy and the
performance of various sectors where the obligors operate could
also affect the ratings.

Down

Moody's could downgrade the notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
greater than expected deterioration in the value of the equipment
that secure the obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy.

Other reasons for worse-than-expected performance include poor
servicing, error on the part of transaction parties, inadequate
transaction governance and fraud. Additionally, Moody's could
downgrade the Class A-1 short term rating following a significant
slowdown in principal collections that could result from, among
other reasons, high delinquencies or a servicer disruption that
impacts obligor's payments.


SIERRA TIMESHARE 2020-2: Fitch Gives BB Rating on Class D Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Outlooks to notes issued by
Sierra Timeshare 2020-2 Receivables Funding LLC. The social and
market disruption caused by the coronavirus pandemic and related
containment measures has negatively affected the U.S. economy. To
account for the potential impact, Fitch incorporated conservative
assumptions in deriving the base case cumulative gross default
proxy. The analysis focused on peak extrapolations of 2007-2009 and
2017-2018 vintages, as a starting point. The sensitivity of the
ratings to scenarios more severe than currently expected is
provided in the Rating Sensitivities section below.

Sierra Timeshare 2020-2 Receivables Funding LLC

  - Class A; LT AAAsf New Rating

  - Class B; LT Asf New Rating

  - Class C; LT BBBsf New Rating

  - Class D; LT BBsf New Rating

KEY RATING DRIVERS

Borrower Risk - Strong Collateral Quality: Approximately 69.1% of
Sierra 2020-2 consists of WVRI-originated loans; the remaining
loans were originated by WRDC. Fitch has determined that, on a
like-for-like FICO basis, WRDC's receivables perform better than
WVRI's. The weighted average original FICO score of the pool is
727. Overall, the 2020-2 pool shows an increase in WRDC loans and
moderate shift upward in the FICO-band concentrations for both
platforms relative to the 2019-3 transaction.

Forward-Looking Approach on CGD Proxy - Weakening CGD Performance:
Similar to other timeshare originators, Wyndham Destinations'
delinquency and default performance exhibited notable increases in
the 2007-2008 vintages, stabilizing in 2009 and thereafter.
However, more recent vintages from 2014-2018 have experienced
increasing gross defaults versus vintages back to 2009, partially
driven by increased paid product exits. Fitch's CGD proxy for this
pool is 22.50% (higher than 19.45% in 2019-3). Given the current
economic environment and increasing gross default trends, Fitch
applied a conservative approach to the CGD proxy.

Coronavirus Causing Economic Shock: Fitch has made assumptions
about the spread of coronavirus and the economic impact of the
related containment measures. As a base-case scenario, Fitch
assumes a global recession in 1H20 driven by sharp economic
contractions in major economies with a rapid spike in unemployment,
followed by a recovery that begins in 3Q20 as the health crisis
subsides. Under this scenario, Fitch's initial base case loss proxy
was derived utilizing 2007-2009 recessionary performance along with
recent weaker performing 2017-2018 managed portfolio vintages and
ABS performance.

The CGD proxy accounts for the weaker performance and potential
negative impacts from the severe downturn in the tourism and travel
industries during the pandemic that are highly correlated with the
timeshare sector.

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

Structural Analysis - Higher CE Structure: To compensate for higher
expected defaults and the current economic environment, initial
hard credit enhancement is 75.50%, 45.25%, 22.75% and 12.50% for
class A, B, C and D notes, respectively. Notably higher for class
A, B, C, and D relative to 2019-3, given the higher expected
defaults under Fitch's new baseline scenario. Hard CE comprises
overcollateralization, a reserve account and subordination. Soft CE
is also provided by excess spread and is 10.96% per annum. Loss
coverage for all notes can support default multiples of 3.50x,
2.50x, 1.75x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf',
respectively.

Originator/Seller/Servicer Operational Review - Quality of
Origination/Servicing: Wyndham Destinations has demonstrated
sufficient abilities as an originator and servicer of timeshare
loans. This is evidenced by the historical delinquency and loss
performance of securitized trusts and of the managed portfolio.

RATING SENSITIVITIES

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CGD is 20% less than the projected
proxy, the expected ratings would be maintained for class A notes
at stronger rating multiples. For the class B, C and D notes, the
multiples would increase resulting for potential upgrade of one
rating category, one notch, and one rating category, respectively.

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

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

Hence, Fitch conducts sensitivity analysis by stressing both a
transaction's initial base case CGD and prepayment assumptions and
examining the rating implications on all classes of issued notes.
The CGD sensitivity stresses the CGD proxy to the level necessary
to reduce each rating by one full category, to non-investment grade
(BBsf) and to 'CCCsf' based on the break-even loss coverage
provided by the CE structure. The prepayment sensitivity includes
1.5x and 2.0x increases to the prepayment assumptions representing
moderate and severe stresses, respectively. These analyses are
intended to provide an indication of the rating sensitivity of
notes to unexpected deterioration of a trust's performance.

Additionally, Fitch conducts increases of 1.5x and 2.0x to the CGD
proxy, which represents moderate and severe stresses, respectively.
These analyses are intended to provide an indication of the rating
sensitivity of notes to unexpected deterioration of a trust's
performance. A more prolonged disruption from the pandemic is
accounted for in the severe downside stress of 2.0x and could
result in downgrades of one to three rating categories.

Due to the coronavirus pandemic, the U.S. and the broader global
economy remain under stress, with surging unemployment and pressure
on businesses stemming from government social distancing
guidelines. Unemployment pressure on the consumer base may result
in increases in delinquencies.

For sensitivity purposes, Fitch also assumed a 2.0x increase in
delinquency stress. The results indicated no adverse rating impact
to the notes.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence focused on a
comparison and recalculation of certain characteristics with
respect to 200 sample loans. Fitch considered this information in
its analysis and the findings did not have an impact on its
analysis/conclusions.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


SOUND POINT IV-R: Moody's Lowers Rating on Class F Notes to Caa1
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Sound Point CLO IV-R, Ltd.:

US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes
(the "Class F Notes"), Downgraded to Caa1 (sf); previously on April
17, 2020, B3 (sf) Placed Under Review for Possible Downgrade

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

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

US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes (the "Class D Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020, Baa3 (sf) Placed Under Review for Possible
Downgrade

US$30,000,000 Class E Junior Secured Deferrable Floating Rate Notes
(the "Class E Notes"), Confirmed at Ba3 (sf); previously on April
17, 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 April
17, 2020 on the Class D Notes, the Class E Notes and the Class F
Notes. The CLO, 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 will end on 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 ratings 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 3072, compared to 2613 reported in
the March 2020 trustee report [2]. Moody's analysis also showed the
WARF was failing the test level of 2752 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 15.6% as of July
2020.

Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at about $580.1
million, or about $19.9 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 reported as passing in the
July 2020 trustee report [4].

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

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

Performing par and principal proceeds balance: $578,892,367

Defaulted Securities: $1,855,000

Diversity Score: 80

Weighted Average Rating Factor: 3086

Weighted Average Life: 5.88 years

Weighted Average Spread: 3.60%

Weighted Average Recovery Rate: 47.46%

Par haircut in OC 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
August 2020.


SOUND POINT VII-R: Moody's Cuts $10MM Class F Notes to B3
---------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Sound Point CLO VII-R, Ltd.:

US$10,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class F Notes"), Downgraded to B3 (sf); previously
on April 17, 2020 B1 (sf) Placed Under Review for Possible
Downgrade

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

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

US$30,000,000 Class D Mezzanine 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$20,000,000 Class E Junior 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 D Notes and the Class E Notes, are referred to herein,
collectively, as the "Confirmed Notes."

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

RATINGS RATIONALE

The 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,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) 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 (OC) 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 (WARF) was reported at 2945, compared to 2597
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2768 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
14.3% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $483,921,524 million, or $16,078,476 million less
than the deal's ramp-up target par balance. Nevertheless, Moody's
noted that the OC tests for the 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:

Performing par and principal proceeds balance: $479,846,053

Defaulted Securities: $7,616,305

Diversity Score: 79

Weighted Average Rating Factor (WARF): 2959

Weighted Average Life (WAL): 5.9 years

Weighted Average Spread (WAS): 3.62%

Weighted Average Recovery Rate (WARR): 47.37%

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.


STACR REMIC 2020-DNA4: DBRS Gives Prov. B(high) Rating on 2 Classes
-------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Structured Agency Credit Risk (STACR) REMIC 2020-DNA4 Notes (the
Notes) to be issued by Freddie Mac STACR REMIC Trust 2020-DNA4
(STACR 2020-DNA4):

-- $295.0 million Class M-1 at BBB (sf)
-- $184.0 million Class M-2A at BBB (low) (sf)
-- $184.0 million Class M-2B at BB (sf)
-- $125.0 million Class B-1A at B (high) (sf)
-- $125.0 million Class B-1B at B (low) (sf)
-- $368.0 million Class M-2 at BB (sf)
-- $368.0 million Class M-2R at BB (sf)
-- $368.0 million Class M-2S at BB (sf)
-- $368.0 million Class M-2T at BB (sf)
-- $368.0 million Class M-2U at BB (sf)
-- $368.0 million Class M-2I at BB (sf)
-- $184.0 million Class M-2AR at BBB (low) (sf)
-- $184.0 million Class M-2AS at BBB (low) (sf)
-- $184.0 million Class M-2AT at BBB (low) (sf)
-- $184.0 million Class M-2AU at BBB (low) (sf)
-- $184.0 million Class M-2AI at BBB (low) (sf)
-- $184.0 million Class M-2BR at BB (sf)
-- $184.0 million Class M-2BS at BB (sf)
-- $184.0 million Class M-2BT at BB (sf)
-- $184.0 million Class M-2BU at BB (sf)
-- $184.0 million Class M-2BI at BB (sf)
-- $184.0 million Class M-2RB at BB (sf)
-- $184.0 million Class M-2SB at BB (sf)
-- $184.0 million Class M-2TB at BB (sf)
-- $184.0 million Class M-2UB at BB (sf)
-- $250.0 million Class B-1 at B (low) (sf)
-- $125.0 million Class B-1AR at B (high) (sf)
-- $125.0 million Class B-1AI at B (high) (sf)

Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT,
M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB,
M-2TB, M-2UB, B-1, B-1AR, and B-1AI are Modifiable and Combinable
STACR Notes (MAC Notes). Classes M-2I, M-2AI, M-2BI, and B-1AI are
interest-only MAC Notes.

The BBB (sf), BBB (low) (sf), BB (sf), B (high) (sf), and B (low)
(sf) ratings reflect 3.000%, 2.375%, 1.750%, 1.250%, and 0.750% of
credit enhancement, respectively. Other than the specified classes
above, DBRS Morningstar does not rate any other classes in this
transaction.

STACR 2020-DNA4 is the 21st transaction in the STACR DNA series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Freddie Mac-guaranteed mortgage-backed
securities.

As of the Cut-Off Date, the Reference Pool consists of 157,160
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 60% and less than
or equal to 80%. The mortgage loans were originated on or after
April 2015 and were securitized by Freddie Mac between January 1,
2020, and March 31, 2020.

On the Closing Date, the trust will enter into a Collateral
Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as
the credit protection buyer, will be required to make transfer
amount payments. The trust is expected to use the aggregate
proceeds realized from the sale of the Notes to purchase certain
eligible investments to be held in a custodian account. The
eligible investments are restricted to highly rated, short-term
investments. Cash flow from the Reference Pool will not be used to
make any payments; instead, a portion of the eligible investments
held in the custodian account will be liquidated to make principal
payments to the Noteholders and return amount, if any, to Freddie
Mac upon the occurrence of certain specified credit events and
modification events. The trust will use the net investment earnings
on the eligible investments together with Freddie Mac's transfer
amount payments to pay interest to the Noteholders.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. For STACR DNA
transactions, beginning with the STACR 2018-DNA2 transaction, there
has been a revision to principal allocation. The scheduled
principal in prior transactions was allocated pro rata between the
senior and nonsenior (mezzanine and subordinate) tranches,
regardless of deal performance, while the unscheduled principal was
allocated pro rata subject to certain performance tests being met.
For the more recent transactions, the scheduled and unscheduled
principal will be combined and only be allocated pro rata between
the senior and nonsenior tranches if the performance tests are
satisfied. For the STACR 2020-DNA4 transaction, the minimum credit
enhancement test—one of the three performance tests—has been
set to fail at the Closing Date thus locking out the rated classes
from initially receiving any principal payments until the
subordination percentage grows from 4.00% to 4.50%. Additionally,
the nonsenior tranches will also be entitled to supplemental
subordinate reduction amount if the offered reference tranche
percentage increases above 6.15%. The interest payments for these
transactions are not linked to the performance of the reference
obligations except to the extent that modification losses have
occurred.

The Notes will be scheduled to mature on the payment date in August
2050, but will be subject to mandatory redemption prior to the
scheduled maturity date upon the termination of the CAA.

The sponsor of the transaction will be Freddie Mac. U.S. Bank
National Association (rated AA (high) with a Negative trend and R-1
(high) with a Stable trend by DBRS Morningstar) will act as the
Indenture Trustee, Exchange Administrator, and Custodian.
Wilmington Trust, National Association (rated AA (low) and R-1
(middle) with Stable trends by DBRS Morningstar) will act as the
Owner Trustee.

The Reference Pool consists of approximately 0.2% of the loans have
more than two years of seasoning. The Reference Pool consists of
approximately 1.4% of loans originated under the Home Possible
program. Home Possible is Freddie Mac's affordable mortgage product
designed to expand the availability of mortgage financing to
creditworthy low- to moderate-income borrowers.

If a reference obligation is refinanced under the Enhanced Relief
Refinance Program, then the resulting refinanced reference
obligation may be included in the Reference Pool as a replacement
of the original reference obligation. The Enhanced Relief Refinance
Program provides refinance opportunities to borrowers with existing
Freddie Mac mortgages who are current in their mortgage payments
but whose LTV ratios exceed the maximum permitted for standard
refinance products. The refinancing and replacement of a reference
obligation under this program will not constitute a credit event.

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an economic contraction, leading to
sharp increases in unemployment rates and income reductions for
many consumers. DBRS Morningstar anticipates that delinquencies may
continue to raise in the coming months for many residential
mortgage-backed securities (RMBS) asset classes, some
meaningfully.

As a result of the coronavirus, DBRS Morningstar expects increased
delinquencies, loans on forbearance plans, and a potential
near-term decline in the values of the mortgaged properties. Such
deteriorations may adversely affect borrowers' ability to make
monthly payments, refinance their loans, or sell properties in an
amount sufficient to repay the outstanding balance of their loans.

In connection with the economic stress assumed under the moderate
scenario in its commentary, see "Global Macroeconomic Scenarios:
July Update," published on July 22, 2020, for the
government-sponsored enterprise credit risk transfer (GSE CRT)
asset class DBRS Morningstar applies more severe market value
decline (MVD) assumptions across all rating categories than what it
previously used. DBRS Morningstar derives such MVD assumptions
through a fundamental home price approach based on the forecast
unemployment rates and GDP growth outlined in the aforementioned
moderate scenario. In addition, for pools with loans on forbearance
plans, DBRS Morningstar may assume higher loss expectations above
and beyond the coronavirus assumptions. Such assumptions translate
to higher expected losses on the collateral pool and
correspondingly higher credit enhancement.

In the GSE CRT asset class, while the full effect of the
coronavirus may not occur until a few performance cycles later,
DBRS Morningstar generally believes that loans with layered risk
(low FICO score with high LTV/high debt-to-income ratio) may be
more sensitive to economic hardships resulting from higher
unemployment rates and lower incomes. Additionally, higher
delinquencies might cause a longer lockout period or a redirection
of principal allocation away from outstanding rated classes because
performance triggers failed.

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


STWD LTD 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes
---------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Floating-Rate Notes, Series 2019-FL1 by STWD 2019-FL1, Ltd. (the
Issuer):

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

All trends are Stable.

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

At issuance, the pool consisted of 20 floating-rate mortgages and
one fixed-rate mortgage secured by 38 transitional
properties, with a cut-off balance totaling $1.1 billion, excluding
approximately $116.0 million of future funding commitments. The
transaction is structured with an initial 24-month Reinvestment
Period (ending August 2021), whereby the Issuer may acquire
additional future funding participations and funded companion
participations, with principal repayment proceeds. The transaction
stipulates a $5.0 million threshold on pari passu participation
acquisitions before a RAC is required if there is already a
participation of the underlying loan in the trust. As of the July
2020 remittance, the trust consists of 29 loans with an aggregate
principal balance of $1.099 billion and approximately $140.5
million future funding commitments available. To date, 15 of the
original 21 loans, representing 84.6% of the current transaction
balance, remain in the pool. Two of these loans, Dune Vegas II
(Prospectus ID#13, 1.9% of the current pool) and Winrock II
(Prospectus ID#19, 0.8% of the current pool) have had collateral
releases since issuance as a result of property sales, resulting in
a principal paydown of $17.0 million and $16.7 million,
respectively. There have been 10 newly acquired loans added to the
trust since issuance.

Two loans, The Brown Palace Hotel & Holiday Inn Express Denver
Downtown (Prospectus ID#8, 5.6% of the current pool) and The Hyatt
Regency Houston (Hyatt Regency) (Prospectus ID#9, 5.3% of the
current pool), have recently been granted mortgage relief, stemming
from the outbreak of coronavirus. Both loans received three months
forbearance (through September 2020 and August 2020, respectively),
deferral on monthly FF&E reserve deposits, and extensions on
approved capital expenditure projects, among other terms. To date,
the Brown Palace Hotel and The Hyatt Regency Houston are
operational, while the Holiday Inn Express Denver Downtown remains
closed. DBRS Morningstar is monitoring these loans and has applied
stressed scenarios in its analysis.

According to the July 2020 remittance, there are no loans in
special servicing, but there are two loans (11.1% of the pool) on
the servicer's watchlist. The larger of the two loans, 700
Louisiana and 600 Prairie Street (Prospectus ID#2, 8.7% of the
current pool), was flagged for an upcoming maturity date in
September 2020; however, the borrower has three 12-month extension
options available and the servicer has indicated the borrower will
be exercising its first option. The 1213 Walnut Street loan
(Prospectus ID#26, 2.4% of the current pool) is being monitored
because of an ongoing insurance claim for a major casualty (water
damage) that occurred prior to loan closing. The cost to rectify
was below the restoration threshold per the loan documents, and,
according to an update from the collateral manager, the restoration
work is nearly complete and the final insurance payment has been
received.

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


TREMAN PARK: Moody's Cuts $6.25MM Class F-RR Notes to Caa1
----------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Treman Park CLO, Ltd.:

US$6,250,000 Class F-RR Secured Deferrable Floating Rate Notes due
2028 (the "Class F-RR Notes"), Downgraded to Caa1 (sf); previously
on June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade

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

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

US$34,000,000 Class D-RR Secured Deferrable Floating Rate Notes due
2028 (the "Class D-RR Notes"), Confirmed at Baa3 (sf); previously
on June 3, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$32,250,000 Class E-RR Secured Deferrable Floating Rate Notes due
2028 (the "Class E-RR Notes"), Confirmed at Ba3 (sf); previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class D-RR Notes and the Class E-RR 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 April 2015 and refinanced in
December 2016 and 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 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 (ELs) 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 (OC) 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 (WARF) was reported at 3343, compared to 2949
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 3017 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
19.4% 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 will benefit from
deleveraging of the senior notes following amortization of the
underlying portfolio at the end of the reinvestment period in
October 2020.

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

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

Par amount and principal proceeds balance: $583,977,982

Defaulted Securites: $5,712,850

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3313

Weighted Average Life (WAL): 4.6 years

Weighted Average Spread (WAS): 3.38%

Weighted Average Recovery Rate (WARR): 47.31%

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
August 2020.


TRICON AMERICAN 2016-SFR1: DBRS Gives BB(low) Rating on F Certs
---------------------------------------------------------------
DBRS, Inc. assigned ratings to the following five transactions (the
Covered Transactions) issued by Tricon American Homes (TAH)
trusts:

TAH 2016-SFR1

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

TAH 2017-SFR1

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

TAH 2017-SFR2

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

TAH 2018-SFR1

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

TAH 2019-SFR1

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

These securities are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings on these securities Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about August 21, 2020. In
accordance with MCR's engagement letter covering these securities,
upon withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

The Covered Transactions are single-family rental transactions.

As stated in its May 28, 2020, press release, "DBRS and Morningstar
Credit Ratings Confirm U.S. Single-Family Rental Asset Class
Coverage," DBRS Morningstar applied MCR's "U.S. Single-Family
Rental Securitization Ratings Methodology" to assign these
ratings.

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

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

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

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

-- DBRS Morningstar reviewed key transaction performance
indicators, as applicable, since the closing dates as reflected in
bond factors, loan-to-value (LTV) ratios or credit enhancements,
vacancies, delinquencies, capital expenditures (capex), and
cumulative losses.

RATING AND CASH FLOW ANALYSIS

DBRS Morningstar reviewed MCR's rating analysis on the Covered
Transactions, which used the Morningstar Single-Family Rental
Subordination Model to generate property-level cash flows for the
Covered Transactions. The analytics included calculating the debt
service coverage ratio needed to adequately cover the monthly debt
service in each period under a given rating stress and examining
the sufficiency of the aggregate stressed property liquidation
values to cover the unpaid balance at a given rating level in
accordance with MCR's "U.S. Single-Family Rental Securitization
Ratings Methodology."

OPERATIONAL RISK REVIEW

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

HISTORICAL PERFORMANCE

DBRS Morningstar reviewed the historical performance of the Covered
Transactions as reflected in bond factors, LTVs or credit
enhancements, vacancies, delinquencies, capex, and cumulative
losses and deemed the transactions' performances to be
satisfactory.

THIRD-PARTY DUE DILIGENCE

Several third-party review firms (the TPR firms) performed
due-diligence reviews of the Covered Transactions. DBRS Morningstar
has not conducted reviews of the TPR firms. The scope of the due
diligence generally comprised lease, valuation, title, and
homeowners' association discrepancy reviews. DBRS Morningstar also
relied on the written attestations the TPR firms provided to MCR on
or prior to the closing dates.

R&W FRAMEWORK

DBRS Morningstar conducted reviews of the R&W frameworks for the
Covered Transactions. The reviews covered key considerations, such
as the R&W provider, breach discovery, enforcement mechanism, and
remedy.

CORONAVIRUS DISEASE (COVID-19) ANALYSIS

To reflect the current concerns and conditions surrounding the
coronavirus pandemic, DBRS Morningstar tested the following
additional rating assumptions for single-family rental transactions
to reflect the moderate macroeconomic scenario outlined in its
commentary, "Global Macroeconomic Scenarios: July Update,"
published on July 22, 2020:

-- Vacancy (higher vacancy rate assumptions to account for
potential increases in single-family rental vacancies as a result
of rising unemployment and further economic deterioration).

-- Home prices (an additional property valuation haircut to
account for the potential decline in broader asset markets).

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

SUMMARY

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

DBRS Morningstar's ratings address the timely payment of interest
(other than payment-in-kind bonds) and full payment of principal by
the rated final maturity date in accordance with the terms and
conditions of the related securities.

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

Notes: The principal methodology is the U.S. Single-Family Rental
Securitization Ratings Methodology (May 8, 2020), which can be
found on www.dbrsmorningstar.com under Methodologies & Criteria.


US AUTO 2020-1: Moody's Gives B3 Rating on Class D Notes
--------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by U.S. Auto Funding Trust 2020-1. This is the first
144a auto loan transaction of the year and second in total for U.S.
Auto Sales (U.S. Auto Finance, Inc., unrated). The notes will be
backed by a pool of retail automobile loan contracts originated by
U.S. Auto Sales, Inc. (unrated), an affiliate of U.S. Auto Finance,
Inc. USASF Servicing LLC, an affiliate of U.S. Auto Finance, Inc.,
is the servicer for this transaction and U.S. Auto Finance, Inc. is
the administrator.

The complete rating actions are as follows:

Issuer: U.S. Auto Funding Trust 2020-1

$159,529,000, 2.47%, Class A Notes, Definitive Rating Assigned Baa1
(sf)

$53,937,000, 3.22%, Class B Notes, Definitive Rating Assigned Baa3
(sf)

$17,273,000, 5.94%, Class C Notes, Definitive Rating Assigned Ba3
(sf)

$28,028,000, 9.35%, Class D Notes, Definitive Rating Assigned B3
(sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, the experience and expertise of USASF and U.S. Auto
Finance, Inc. as the servicer and administrator respectively and
the presence of Wells Fargo Bank N.A. (Wells Fargo, Aa1(cr)) as
named backup servicer.

Moody's median cumulative net credit loss expectation for USAUT
2020-1 is 36%. Moody's based its cumulative net credit loss
expectation on an analysis of the quality of the underlying
collateral; managed portfolio performance; the historical credit
loss of similar collateral; the ability of USASF to perform the
servicing functions; and current expectations for the macroeconomic
environment during the life of the transaction.

At closing, the Class A notes, the Class B notes, the Class C notes
and Class D notes are expected to benefit from 53.05%, 36.50%,
31.20% and 22.60% of hard credit enhancement, respectively. Hard
credit enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account and
subordination, except for the Class D notes, which do not benefit
from subordination. The notes may also benefit from excess spread.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of consumer assets 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.

The softening of used vehicle prices due to lower demand will
reduce recoveries on defaulted auto loans, a credit negative.
Furthermore, borrower assistance programs to affected borrowers,
such as extensions, may adversely impact scheduled cash flows to
bondholders.

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

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
July 2020.

Please note that a Request for Comment was published in which
Moody's requested market feedback on potential revisions to one or
more of the methodologies used in determining these Credit Ratings.
If the revised methodologies are implemented as proposed, the
Credit Ratings referenced in this press release might be negatively
affected.

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

Up

Moody's could upgrade the notes if levels of credit enhancement are
higher than necessary to protect investors against current
expectations of portfolio losses. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or appreciation in the value of the vehicles securing an
obligor's promise of payment. Portfolio losses also depend greatly
on the US job market and the market for used vehicles. Other
reasons for better-than-expected performance include changes to
servicing practices that enhance collections or refinancing
opportunities that result in prepayments.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and pool servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud.


VENTURE XXIII: Moody'S Confirms Ba3 Rating on Class E-R Notes
-------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Venture XXIII CLO, Limited:

US$24,100,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D-R Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$15,230,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2028 (the "Class E-R Notes"), Confirmed at Ba3 (sf);
previously on April 17, 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 April
17, 2020 on the Class D-R and Class E-R Notes issued by the CLO.
The CLO, originally issued in July 2016 and refinanced in July
2018, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period ended in
July 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 2975, compared to 2701 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 2801 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
16.49% as of July 2020. Nevertheless, Moody's noted that the OC
tests for the Class D-R Notes and the Class E-R 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:

Performing par and principal proceeds balance: $388,182,192

Defaulted Securities: $7,955,993

Diversity Score: 105

Weighted Average Rating Factor: 3033

Weighted Average Life: 4.8 years

Weighted Average Spread: 3.64%

Weighted Average Recovery Rate: 46.89%

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
August 2020.


WELLS FARGO 2016-C36: Fitch Lowers Rating on 2 Tranches to CCC
--------------------------------------------------------------
Fitch Ratings has downgraded five classes and affirmed 12 classes
of Wells Fargo Commercial Mortgage Trust 2016-C36 commercial
mortgage pass-through certificates.

WFCM 2016-C36

  - Class A-1 95000MBL4; LT AAAsf; Affirmed  

  - Class A-2 95000MBM2; LT AAAsf; Affirmed  

  - Class A-3 95000MBN0; LT AAAsf; Affirmed  

  - Class A-4 95000MBP5; LT AAAsf; Affirmed  

  - Class A-S 95000MBR1; LT AAAsf; Affirmed  

  - Class A-SB 95000MBQ3; LT AAAsf; Affirmed  

  - Class B 95000MBU4; LT AA-sf; Affirmed  

  - Class C 95000MBV2; LT A-sf; Affirmed  

  - Class D 95000MAC5; LT BBB-sf; Affirmed  

  - Class E 95000MAJ0; LT B-sf; Downgrade  

  - Class E-1 95000MAE1; LT BBsf; Downgrade  

  - Class E-2 95000MAG6; LT B-sf; Downgrade  

  - Class EF 95000MAS0; LT CCCsf; Downgrade  

  - Class F 95000MAQ4; LT CCCsf; Downgrade  

  - Class X-A 95000MBS9; LT AAAsf; Affirmed  

  - Class X-B 95000MBT7; LT AA-sf; Affirmed  

  - Class X-D 95000MAA9; LT BBB-sf; Affirmed  

Class X-A, X-B and X-D are interest only.

The class E-1 and E-2 certificates may be exchanged for a related
amount of class E certificates, and the class E certificates may be
exchanged for a rateable portion of class E-1 and E-2 certificates.
Additionally, a holder of class E-1, E-2, F-1 and F-2 certificates
may exchange such classes of certificates (on an aggregate basis)
for a related amount of class EF certificates, and a holder of
class EF certificates may exchange that class EF for a rateable
portion of each class of the class E-1, E-2, F-1 and F-2
certificates. A holder of class E-1, E-2, F-1, F-2, G-1 and G-2
certificates may exchange such classes of certificates (on an
aggregate basis) for a related amount of class EFG certificates,
and a holder of class EFG certificates may exchange that class EFG
for a ratable portion of each class of the class E-1, E-2, F-1,
F-2, G-1 and G-2 certificates.

Fitch does not rate classes F-1, F-2, G-1, G-2, G, EFG, H-1, H-2
and H.

KEY RATING DRIVERS

Increased Loss Expectations: While the majority of the pool
maintains stable performance, loss expectations on the pool have
increased due to the 14 Fitch Loans of Concern (FLOCs; 29.5% of the
pool), including seven loans (21.5%) in special servicing, as well
as overall concerns about the impact of the coronavirus pandemic on
the pool.

Fitch Loans of Concern: Seven of the 14 FLOCs (25.6%) are in the
Top 15 loans in the pool. The largest FLOC is the specially
serviced Gurnee Mills loan (9.0%), which is secured by a 1.7
million sf portion of a 1.9 million sf regional mall located in
Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral
anchors include Burlington Coat Factory, Marcus Cinema and Value
City Furniture. Collateral anchors include Macy's, Bass Pro Shops,
Kohl's and a vacant anchor box that was previously occupied by
Sears. Collateral occupancy at YE 2019 was approximately 79% from
88% in December 2017 and 91% at issuance.

Sears (12% of NRA) vacated during second quarter 2018 and junior
anchor Last Call Neiman Marcus (2.8% of NRA) went dark in first
quarter 2018. Both tenants vacated prior to their scheduled April
2019 and January 2020 respective lease expirations. Comparable
in-line tenant sales were reported to be $348 psf as of YE 2019
compared with $343 psf for YE 2018, $313 psf for YE 2017 and $347
psf at issuance (as of TTM July 2016). The property has been
negatively affected by the coronavirus pandemic, and the loan
transferred to special servicing in June 2020. Per the servicer,
the loan is 60 days delinquent and next steps are being negotiated
with the borrower.

The next largest FLOC is the Conrad Indianapolis loan (3.6%), which
transferred to special servicing related to coronavirus relief
request. The loan is currently 60 days delinquent with forbearance
under consideration. The loan is secured by a 247-room full-service
hotel located in downtown Indianapolis, IN. The servicer reported
YE 2019 NOI DSCR was 1.83x. The hotel reportedly reopened on July
10, after its temporary closure due to the coronavirus pandemic.

The next largest FLOC is the Mall at Turtle Creek loan (3.4%),
which is secured by 329,398-sf of inline space of an enclosed mall
located in Jonesboro, AR (60 miles northwest of Memphis).
Non-collateral anchor tenants include JCPenney, Dillard's and
Target. The largest collateral tenants include Barnes and Noble,
Bed Bath & Beyond, Best Buy and H&M. Although the mall benefits
from limited direct competition, occupancy and tenant sales have
both declined since issuance. Collateral occupancy declined to 84%
as of September 2019 from 90.9% in December 2017 and 90.8% at
issuance. The occupancy decline was primarily due to tenants
vacating at lease expiration. In-line tenant sales have dropped to
$329 psf as of March 2019 from $349 psf at issuance (as of TTM
March 2016).

In March 2020, a tornado went through the Jonesboro area and caused
significant damage to the mall, including collapsing the walls of
the Best Buy store. Local reports indicated that estimated damage
to the mall was at least $100 million. The master and special
servicer have been working with the sponsor on the open and
on-going insurance claim. Some initial insurance proceeds have
reportedly been received by the lender in connection to the claim
and will be allocated to necessary expenses at the property. Fitch
will continue to monitor the status of the property.

The fourth largest FLOC is the Home2Suites - Long Island City loan
(2.9%), which is secured by a 115-room extended stay hotel located
in Long Island City, NY. The property is connected to Manhattan via
public transportation. The servicer reported YE 2019 NOI DSCR was
1.84x for this amortizing loan, a slight increase over YE 2018 at
1.68x and YE 017 at 1.63x. The loan transferred to special
servicing in April 2020 due to the impact of the coronavirus
pandemic. The loan is 90+ days delinquent. However, a three-month
forbearance agreement was executed in June 2020.

The fifth largest FLOC is the Central Park Retail loan (2.3%),
which is secured by a 441,000-sf enclosed anchored retail center
located in Fredericksburg, VA. The property is considered the
dominant retail center in Fredericksburg and the largest tenants
are Hobby Lobby (12% of NRA), Office Depot (7%) and QRC
Technologies (7%). Non collateral anchors include Target, Walmart,
Lowes and PetSmart. As of YE 2019, the servicer reported NOI DSCR
was 1.44x with an occupancy of 94%. Several non-essential tenants
were temporarily closed during the coronavirus pandemic; the loan,
which remains current, transferred to special servicing in June
2020 related to a coronavirus relief request. However, the borrower
has reportedly withdrawn its forbearance request and the loan is
expected to return to the master servicer in the next couple
months.

The next largest FLOC is the Houston Industrial Portfolio loan
(2.2%), which is secured by six cross-collateralized and
cross-defaulted industrial properties totaling 459,485 sf. The
property has substantial exposure to Houston's energy sector and
significant upcoming tenant rollover of approximately 38% of the
NRA. The servicer reported YE 2019 NOI DSCR was 1.49x for this
amortizing loan.

The final top 15 FLOC is the specially serviced Doubletree Dallas
Near the Galleria loan (2.2%), which is secured by a 290-room full
service hotel located in the Galleria submarket of Dallas, TX. The
property completed an almost $10 million two-year PIP in 2018. The
servicer reported YE 2019 NOI DSCR increased to 2.45x from 2.03x in
2018 and 1.33x in 2017. However, performance was negatively
impacted by the coronavirus pandemic. Per the TTM June 2020 STR
report, RevPAR declined 25.9% yoy. The loan, which is 60 days
delinquent, transferred to specially servicing in April 2020.
Forbearance is reportedly under discussion with the servicer.

No other FLOC comprises more than 1% of the pool. Fitch will
continue to monitor performance at all FLOCs going forward.

Minimal Increase in Credit Enhancement: As of the July 2020
distribution date, the pool's aggregate principal balance has paid
down by 3.9% to $824.6 million from $858.2 million at issuance. No
loans have paid off. Two loans are now defeased (1.1%). The pool
has experienced no realized losses since issuance. Twelve loans
(31.9% of pool) are full-term interest only and no loans remain in
partial interest-only periods. At issuance, the pool was scheduled
to amortize by 12.7%.

A small percentage of loans are scheduled to mature in 2021 (4.2%)
while the majority of the pool is scheduled to mature in 2025/2026
(95.9%).

Exposure to Coronavirus Pandemic: Fitch expects significant
economic impacts to certain hotels, retail and multifamily
properties from the coronavirus pandemic due to the reductions in
travel and tourism, temporary property closures and lack of clarity
at this time on the potential duration of the impacts. The pandemic
prompted the closure of several hotel properties in gateway cities,
as well as malls, entertainment venues and individual stores. Loans
backed by retail, hotel and multifamily properties comprise 30.6%,
15%, and 10.9% of the pool balance, respectively. Fitch's base case
analysis applied additional stresses to six retail loans and eight
hotel loans due to their vulnerability to the coronavirus
pandemic.

Alternative Loss Scenario: Fitch ran an additional sensitivity
scenario on the Gurnee Mills loan, which assumed a 50% loss
severity to the maturity balance, to reflect the potential for
outsized losses given the delinquent status of the loan, declining
occupancy and negative impact to the property from the coronavirus
pandemic. The Negative Outlooks on the classes partially reflect
this analysis.

ADDITIONAL CONSIDERATIONS

Credit Opinion Loans: Two loans in the pool, Easton Town Center
(5.5% of pool) and Gas Company Tower & World Trade Center Parking
Garage (1.8%), had investment-grade credit opinions at issuance.

High Retail Concentration: Loans secured by retail properties
represent 30.6% of the pool, including six of the top 15 loans
(25.4% of pool), two of which are secured by regional mall
properties (12.4%).

Co-Op Collateral: The pool contains 10 loans (8.2% of pool) secured
by multifamily co-operative properties, nine of which are located
within the greater New York City metro area. These loans have a
lower default probability.

RATING SENSITIVITIES

The Negative Outlooks on classes A-S, B, C, D, E, E-1, E2, and
interest-only X-B and X-D reflect concerns over the FLOCs,
including seven specially serviced loans as well as the impact of
the coronavirus pandemic on the loans in the pool. The Stable
Outlooks on classes A-1, A-2, A-3, A-4, A-SB and interest-only X-A
reflect the substantial credit enhancement to the classes and
senior position in the capital stack.

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

Sensitivity factors that lead to upgrades would include stable to
improved asset performance, particularly on the FLOCs, coupled with
paydown and/or defeasance. Upgrades of the 'AAsf' and 'Asf'
category would likely occur with significant improvement in credit
enhancement and/or defeasance; however, adverse selection and
increased concentrations or the underperformance of particular
loan(s) could cause this trend to reverse. Upgrades to 'BBBsf'
category are considered unlikely and would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if there
is likelihood for interest shortfalls. The 'BBsf', 'Bsf' and
distressed classes are unlikely to be upgraded absent significant
performance improvement and substantially higher recoveries than
expected on the specially serviced loans/assets.

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

Sensitivity factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced
loans/assets. Downgrades to classes A-1, A-2, A-SB, A-3 and A-4 are
not expected given the position in the capital structure but may
occur should interest shortfalls affect these classes. Downgrades
to the classes on Negative Outlook are possible should performance
of the FLOCs fail to stabilize or continue to decline and
additional loans transfer to special servicing and/or further
losses be realized. The distressed classes could be further
downgraded should losses increase or become more certain.

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 those classes
with Negative Rating Outlooks may be downgraded by more than one
category.

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 transaction has an ESG Relevance Score of 4 for Exposure to
Environmental Impacts related to Exposure to Social Impacts due two
regional malls that are underperforming as a result of changing
consumer preference to shopping. Both exposures have a negative
impact on the credit profile and are highly relevant to the
ratings.

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


WFRBS COMMERCIAL 2012-C6: Moody's Cuts Class E Certs to Ba3
-----------------------------------------------------------
Moody's Investors Service affirmed the ratings on six classes and
downgraded the ratings on two classes in WFRBS Commercial Mortgage
Trust 2012-C6, Commercial Mortgage Pass-Through Certificates,
Series 2012-C6:

Cl. A-4, Affirmed Aaa (sf); previously on Feb 19, 2020 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aaa (sf); previously on Feb 19, 2020 Affirmed Aaa
(sf)

Cl. B, Affirmed Aaa (sf); previously on Feb 19, 2020 Upgraded to
Aaa (sf)

Cl. C, Affirmed Aa3 (sf); previously on Feb 19, 2020 Upgraded to
Aa3 (sf)

Cl. D, Affirmed Baa3 (sf); previously on Feb 19, 2020 Affirmed Baa3
(sf)

Cl. E, Downgraded to Ba3 (sf); previously on Feb 19, 2020 Affirmed
Ba2 (sf)

Cl. F, Downgraded to Caa1 (sf); previously on Feb 19, 2020 Affirmed
B2 (sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Feb 19, 2020 Affirmed
Aaa (sf)

* Reflects interest-only classes

RATINGS RATIONALE

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

The ratings on two P&I classes were downgraded primarily due to a
decline in pool performance, as well as higher anticipated losses
from troubled loans.

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

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 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. Stress on
commercial real estate properties will be most directly stemming
from declines in hotel occupancies (particularly related to
conference or other group attendance) and declines in foot traffic
and sales for non-essential items at retail properties.

Moody's rating action reflects a base expected loss of 4.0% of the
current pooled balance, compared to 3.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.8% of the
original pooled balance, compared to 2.2% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in May 2020.

DEAL PERFORMANCE

As of the July 15, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 30% to $648 million
from $925 million at securitization. The certificates are
collateralized by 76 mortgage loans ranging in size from less than
1% to 10.1% of the pool, with the top ten loans (excluding
defeasance) constituting 33.6% of the pool. Seventeen loans,
constituting 23.2% of the pool, have defeased and are secured by US
government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 27, compared to 29 at Moody's last review.

As of the July 2020 remittance report, loans representing 94% were
current or within their grace period on their debt service
payments.

Eleven loans, constituting 14.4% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

No loans have been liquidated from the pool. Two loans,
constituting 4.6% of the pool, are currently in special servicing,
one of which transferred to special servicing since March 2020.

The largest specially serviced loan is the Lexington Hotel
Portfolio ($16.9 million -- 2.6% of the pool), which is secured by
a 100 room Residence Inn extended-stay hotel and a 126 room
Courtyard Marriott limited-service hotel, both located in West
Chester, Ohio, approximately 20 miles north of CBD Cincinnati.
Property performance has been stable since securitization, and both
properties have generally performed well compared to their
competition. The loan transferred to special servicing in June 2020
due to imminent monetary default in relation to the coronavirus
outbreak, and the borrower has requested relief.

The second largest specially serviced loan is the Commerce Park IV
& V loan ($13.0 million -- 2.0% of the pool), which is secured by
an approximately 229,500 square foot (SF) office park located in
Beachwood, Ohio. The loan transferred to special servicing in
January 2019, and the lender is evaluating alternative options
while dual tracking the foreclosure process. As of December 2018,
the property was 69% leased, compared to 93% at securitization.
Moody's has estimated a moderate loss from this loan.

Moody's has also assumed a high default probability for two poorly
performing loans, constituting 2.7% of the pool, and has estimated
an aggregate loss of $14.7 million (a 48% expected loss on average)
from these specially serviced and troubled loans. The largest
troubled loan is the Hulen Bend Shopping Center loan ($11.4 million
-- 1.8% of the pool) is secured by a 172,000 SF retail center
located in Fort Worth, Texas. The property is now 84% occupied and
anchored by Fitness Connection, which backfilled a space formerly
occupied by Kroger. The other troubled loan is the Holiday Inn
Express Kendall loan ($6.2 million -- 1.0% of the pool) is secured
by a 107 key limited service located in Kendall, Florida. The loan
is on the watchlist as of June 2020. Property performance declined
in 2019 due to a drop in occupancy, to 79% in 2019, compared to 83%
in 2018.

Moody's received full year 2019 operating results for 93% of the
pool, and partial year 2020 operating results for 81% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 81%, compared to 83% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 19% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.0%.

Moody's actual and stressed conduit DSCRs are 1.59X and 1.44X,
respectively, compared to 1.53X and 1.38X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 16.8% of the pool balance.
The largest loan is the National Cancer Research Center Loan ($65.6
million -- 10.1% of the pool), which is secured by a 341,000 SF
Class A office and laboratory research facility located in
Frederick, Maryland. In 2011, the property was built to suit for
the National Cancer Research Center. The property is 100% leased to
the private operator of the research center, Leidos Biomedical
Research, Inc., through September 2021, shortly after loan
maturity. Additionally, the tenant can terminate the lease with 240
days notice if certain conditions are met. However, the tenant must
meet certain conditions to avoid onerous fees with respect to a
lease termination, including significant tenant improvements
installed at the property. Moreover, the loan is structured with a
springing cash flow sweep upon notice from tenant of lease
termination. Moody's used a lit/dark analysis to account for the
single tenant lease rollover risk. The loan benefits from
amortization and has amortized 14% since securitization. Moody's
LTV and stressed DSCR are 101% and 1.13X, respectively, compared to
102% and 1.12X at the last review.

The second largest loan is the Norwalk Town Square Loan ($23.4
million -- 3.6% of the pool), which is secured by a 233,000 SF
anchored retail center in Norwalk, California, located 17 miles
southeast of downtown Los Angeles. The property's infill location
is in close proximity to major thoroughfares I-5, I-605, I-105, and
SR-91. As of March 2020, the property was 90% leased, including
three new leases that commenced in the fourth quarter of 2019. The
lease for the largest tenant, LA Fitness (30,718 SF), is scheduled
to expire in December 2020, and Regency Theaters (26,751 SF) is
scheduled to expire in January 2022. The loan benefits from
amortization and has amortized 14% since securitization. Moody's
LTV and stressed DSCR are 106% and 1.02X, respectively, compared to
82% and 1.28X at the last review.

The third largest loan is the Resort MHC Loan ($19.6 million --
3.0% of the pool), which is secured by secured by a 791-pad, 55+
age-restricted manufacture housing community located in Mesa,
Arizona, approximately 30 miles east of the Phoenix CBD.
Approximately 642 pads are improved with occupant-owned model homes
while 149 are represented by RV sites. As of March 2020, the
property was 100% leased, unchanged from prior reviews. The loan
benefits from amortization and has amortized 14% since
securitization. Moody's LTV and stressed DSCR are 62% and 1.52X,
respectively, compared to 63% and 1.51X at the last review.


WHITEHORSE IX: Moody's Lowers Rating on Class F Notes to Ca
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by WhiteHorse IX, Ltd.:

US$19,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2026 (the "Class E Notes"), Downgraded to Caa1 (sf); previously
on April 17, 2020 B1 (sf) Placed Under Review for Possible
Downgrade

US$8,250,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2026 (current outstanding balance of $8,565,155.21) (the "Class
F Notes"), Downgraded to Ca (sf); previously on April 17, 2020 Caa3
(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 upgraded the ratings on the following notes:

US$32,500,000 Class B-1-R Senior Secured Floating Rate Notes due
2026 (the "Class B-1-R Notes"), Upgraded to Aaa (sf); previously on
January 17, 2019 Upgraded to Aa1 (sf)

US$20,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2026
(the "Class B-2-R Notes"), Upgraded to Aaa (sf); previously on
January 17, 2019 Upgraded to Aa1 (sf)

US$22,750,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (the "Class C Notes"), Upgraded to Aa2 (sf);
previously on July 13, 2017 Affirmed A2 (sf)

The Class B-1-R Notes, Class B-2-R Notes, and Class C Notes are
referred to herein, collectively, as the "Upgraded Notes."

Additionally, Moody's confirmed the rating on the following notes:

US$24,250,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (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 review for downgrade initiated on April
17, 2020 on the Class D, Class E and Class F Notes issued by the
CLO. The CLO, originally issued in July 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 July 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.

The upgrade actions are primarily a result of deleveraging of the
A-R notes and an increase in the transaction's
over-collateralization ratios since August 2019. The Class A-R
notes have been paid down by approximately 67% or $95.6 million
since that time. Based on July 2020 trustee report [1] and August
2019 trustee report [2], the OC ratios for the Class A/B and Class
C notes are currently reported at 159.12% and 132.07%,
respectively, versus August 2019 levels of 139.96% and 125.39%,
respectively.

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 3789, compared to 3368 reported in
the March 2020 trustee report [3]. Moody's calculation also showed
the WARF was failing the test level of 2612 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
30.17% as of July 2020. According to the July 2020 trustee report
[1], the OC test for the Class E notes and the interest diversion
test, which is equivalent to the OC test for the Class F notes,
were recently reported at 99.53% and 95.03% and failing their
respective trigger levels of 103.82% and 102.47%.

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: $172,260,062

Defaulted Securities: $15,013,197

Diversity Score: 41

Weighted Average Rating Factor: 3807

Weighted Average Life: 3.14 years

Weighted Average Spread: 3.50%

Weighted Average Recovery Rate: 48.57%

Par haircut in O/C tests and interest diversion test: 5.31%

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
August 2020.


WHITEHORSE X: Moody's Lowers Rating on Class F Notes to Caa3
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by WhiteHorse X, Ltd.:

US$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2027 (the "Class E Notes"), Downgraded to Caa1 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

US$7,750,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2027 (current outstanding balance of $8,056,038.46) (the "Class
F Notes"), Downgraded to Caa3 (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$27,500,000 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 review for downgrade initiated on April
17, 2020 on the Class D-R, Class E, and Class F Notes issued by the
CLO. The CLO, originally issued in April 2015 and partially
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 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, deleveraging of the
senior notes, 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 3966 compared to 3316 reported in the
March 2020 trustee report [2]. Moody's calculation also showed the
WARF was failing the test level of 2718 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 35.84% as of July
2020. According to the July 2020 trustee report [1], the OC test
for the Class E notes and the interest diversion test, which is
equivalent to the OC test for the Class F notes, were recently
reported at 99.65% and 96.87% respectively, and failing their
respective trigger levels of 104.70% and 103.89%.

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: $258,996,029

Defaulted Securites: $25,135,813

Diversity Score: 50

Weighted Average Rating Factor: 4076

Weighted Average Life: 3.58 years

Weighted Average Spread: 3.63%

Weighted Average Recovery Rate: 47.61%

Par haircut in O/C tests and interest diversion test: 1.89%

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
August 2020.


YORK CLO-5: Moody's Lowers Rating on Class F Notes to Caa1
----------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by York CLO-5 Ltd.:

US$7,500,000 Class F Deferrable Floating Rate Notes Due October
2031 (the "Class F Notes"), Downgraded to Caa1 (sf); previously on
April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade

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

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

US$33,000,000 Class D Deferrable Floating Rate Notes Due October
2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$30,000,000 Class E Deferrable Floating Rate Notes Due October
2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on
April 17, 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 review for downgrade initiated on April
17, 2020 on the Class D Notes, the Class E Notes, and the Class F
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 ended in
October 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 expected losses on certain notes have increased as well.

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 3354, compared to 2877 reported in
the March 2020 trustee report [2]. Moody's calculation also showed
the WARF was failing the test level of 3006 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 $497.2 million,
or $2.8 million less than the deal's ramp-up target par balance.
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: $495,746,857

Defaulted Securities: $2,942,223

Diversity Score: 77

Weighted Average Rating Factor: 3316

Weighted Average Life: 5.75 years

Weighted Average Spread: 3.48%

Weighted Average Recovery Rate: 48.05%

Par haircut in O/C tests and interest diversion test: 0.74%

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
August 2020.


[*] Fitch Takes Action on 70 Tranches From 7 US Preferred CDOs
--------------------------------------------------------------
Fitch Ratings has affirmed the ratings of 69 classes and upgraded
one class from seven collateralized debt obligations. The CDOs have
exposure to trust preferred securities, senior and subordinated
debt issued by real estate investment trusts, corporate issuers,
tranches of structured finance CDOs, and commercial mortgage backed
securities.

Taberna Preferred Funding IV, Ltd./Inc.

  - Class A-1 87330YAB9; LT CCCsf; Affirmed

  - Class A-2 87330YAC7; LT CCsf; Affirmed

  - Class A-3 87330YAD5; LT CCsf; Affirmed

  - Class B-1 87330YAE3; LT Dsf; Affirmed

  - Class B-2 87330YAK9; LT Dsf; Affirmed

  - Class C-1 87330YAF0 LT Csf; Affirmed

  - Class C-2 87330YAG8; LT Csf; Affirmed

  - Class C-3 87330YAH6; LT Csf; Affirmed

  - Class D-1 87330YAJ2; LT Csf; Affirmed

  - Class D-2 87330YAL7 LT Csf; Affirmed

  - Class E 87330XAA3 LT Csf; Affirmed

Taberna Preferred Funding VII, Ltd./Inc.

  - Class A-1LA 873315AA3; LT BBsf; Upgrade

  - Class A-1LB 873315AB1; LT Dsf; Affirmed

  - Class A-2LA 873315AC9; LT Dsf; Affirmed

  - Class A-2LB 873315AD7; LT Csf; Affirmed

  - Class A-3L 873315AE5; LT Csf; Affirmed

  - Class B-1L 873315AF2; LT Csf; Affirmed

  - Class B-2L 873314AA6; LT Csf; Affirmed

Taberna Preferred Funding II, Ltd./Inc.

  - Class A-1A 87330UAA9; LT CCCsf; Affirmed

  - Class A-1B 87330UAB7; LT CCCsf; Affirmed

  - Class A-1C 87330UAC5; LT CCCsf; Affirmed

  - Class A-2 87330UAD3; LT CCsf; Affirmed

  - Class B 87330UAE1; LT Dsf; Affirmed

  - Class C-1 87330UAF8; LT Csf; Affirmed

  - Class C-2 87330UAG6; LT Csf; Affirmed

  - Class C-3 87330UAH4; LT Csf; Affirmed

  - Class D 87330UAJ0; LT Csf; Affirmed

  - Class E-1 87330UAK7; LT Csf; Affirmed

  - Class E-2 87330UAL5; LT Csf; Affirmed

  - Class F 87330UAM3; LT Csf; Affirmed

Taberna Preferred Funding IX, Ltd./Inc.

  - Class A-1LA 87331XAA2; LT BBBsf; Affirmed

  - Class A-1LAD 87331XAB0; LT BBBsf; Affirmed

  - Class A-1LB 87331XAH7; LT Dsf; Affirmed

  - Class A-2LA 87331XAJ3; LT Dsf; Affirmed

  - Class A-2LB 87331XAK0; LT Csf; Affirmed

  - Class A-3LA 87331XAL8; LT Csf; Affirmed

  - Class A-3LB 87331XAM6; LT Csf; Affirmed

  - Class B-1L 87331XAN4; LT Csf; Affirmed

  - Class B-2L 87331WAA4; LT Csf; Affirmed

Taberna Preferred Funding V, Ltd./Inc.

  - Class A-1LA 87331BAA0; LT CCsf; Affirmed

  - Class A-1LAD 87331BAB8 LT CCsf; Affirmed

  - Class A-1LB 87331BAC6 LT Dsf; Affirmed

  - Class A-2L 87331BAD4; LT Csf; Affirmed

  - Class A-3FV 87331BAF9; LT Csf; Affirmed

  - Class A-3FX 87331BAG7; LT Csf; Affirmed

  - Class A-3L 87331BAE2; LT Csf; Affirmed

  - Class B-1L 87331BAH5; LT Csf; Affirmed

  - Class B-2FX 87331CAB6; LT Csf; Affirmed

  - Class B-2L 87331CAA8; LT Csf; Affirmed

Taberna Preferred Funding VI, Ltd./Inc.

  - Class A-1A 87331AAA2 LT CCCsf; Affirmed

  - Class A-1B 87331AAB0; LT CCCsf; Affirmed

  - Class A-2 87331AAD6; LT CCsf; Affirmed

  - Class B 87331AAE4; LT Dsf; Affirmed

  - Class C 87331AAF1; LT Dsf; Affirmed

  - Class D-1 87331AAG9; LT Csf; Affirmed

  - Class D-2 87331AAH7; LT Csf; Affirmed

  - Class E-1 87331AAJ3; LT Csf; Affirmed

  - Class E-2 87331AAK0; LT Csf; Affirmed

  - Class F-1 87331AAL8; LT Csf; Affirmed

  - Class F-2 87331AAM6; LT Csf; Affirmed

Taberna Preferred Funding III, Ltd./Inc.

  - Class A-1A 87330WAA5; LT CCCsf; Affirmed

  - Class A-1C 87330WAC1; LT CCCsf; Affirmed

  - Class A-2A 87330WAD9; LT CCCsf; Affirmed

  - Class A-2B 87330WAL1; LT CCCsf; Affirmed

  - Class B-1 87330WAE7 LT Dsf; Affirmed

  - Class B-2 87330WAF4 LT Dsf; Affirmed

  - Class C-1 87330WAG2; LT Csf; Affirmed

  - Class C-2 87330WAH0; LT Csf; Affirmed

  - Class D 87330WAJ6 LT Csf; Affirmed

  - Class E 87330WAK3 LT Csf; Affirmed

KEY RATING DRIVERS

The main driver behind the upgrades to the class A-1LA notes in
Taberna Preferred Funding VII, Ltd/Inc. was deleveraging from
excess spread, which resulted in a 12% paydown of its balance at
last review.

Overall, collateral quality of the underlying assets has
deteriorated since last review, with all of the CDOs experiencing
negative credit migration.

While the other transactions also experienced deleveraging, the
effects were offset by the decrease in asset quality and the high
levels of portfolio concentration. Ratings were constrained by the
concentration sensitivity described in the "U.S. Trust Preferred
CDOs Surveillance Rating Criteria".

All seven CDOs are in acceleration, which diverts excess spread to
the most senior classes outstanding while cutting off interest due
on certain junior timely classes currently rated 'Dsf'.

RATING SENSITIVITIES

Ratings of the notes issued by these CDOs remain sensitive to
significant levels of defaults and collateral redemptions. To
address potential risks of adverse selection and increased
portfolio concentration, Fitch applied a sensitivity scenario, as
described in the criteria, to applicable transactions.

In addition to the standard analytical framework set forth in the
TruPS CDO Criteria, this review applied a coronavirus baseline
stress scenario where all issuers in the pool were downgraded by
one notch. A downside sensitivity scenario, which contemplates a
more severe and prolonged economic stress caused by a re-emergence
of infections in the major economies, was applied as well where all
issuers were downgraded by three notches. Due to the application of
the concentration sensitivity scenario described above, no class of
notes from the CDOs in this review was impacted by these
scenarios.

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

Future upgrades to the rated notes may occur if a transaction
experiences improvement in credit enhancement through deleveraging
from collateral redemptions and/or interest proceeds being used for
principal repayment.

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

Downgrades to the rated notes may occur if a significant share of
the portfolio issuers default and/or experience negative credit
migration, which would cause a deterioration in rating default
rates.

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.


[*] S&P Takes Actions on 178 Classes From 31 US Cash Flow CLO Deals
-------------------------------------------------------------------
S&P Global Ratings took various rating actions on 178 classes of
notes from 31 U.S. cash flow CLO transactions. The review yielded
132 affirmations and 46 ratings downgraded. Fifty-six ratings were
removed from CreditWatch with negative implications and of those 10
were affirmed and 46 were downgraded.

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 S&P Global Ratings'
global corporate CLO criteria and its credit and cash flow analysis
of each transaction. S&P Global Ratings' analysis of the
transactions entailed a review of their performance, and the
ratings list 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.
S&P's expect that many of the rating actions on these types of
transactions will result in a one-notch movement, while earlier
vintage and amortizing CLOs could potentially experience larger
rating changes.

In line with its criteria, S&P Global Ratings' 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, S&P Global
Ratings' analysis considered the transactions' ability to pay
timely interest and/or ultimate principal to each of its 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," S&P Global Ratings said.

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 its 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;

-- Increased concentration (for deals in amortization phase);

-- 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.

"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
said.

Though some tranches in the amortizing CLOs might have increased
overcollateralization levels as a result of paydowns to the senior
notes, S&P Global Ratings limited their upgrades based on such
additional scenario analysis and qualitative considerations it
mentioned above.

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 is using this assumption in assessing
the economic and credit implications associated with the pandemic.
As the situation evolves, S&P will update its 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/3g57LQd


[*] S&P Takes Various Actions on 83 Classes From 14 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 83 classes from 14 U.S.
RMBS transactions issued between 1999 and 2007. The review yielded
one downgrade, 37 affirmations, 43 withdrawals, and two
discontinuances.

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.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. Our views also consider
that the loans supporting the RMBS in the rating actions are
significantly seasoned and are to borrowers that have weathered the
Great Recession, a period of significant economic stress. As the
situation evolves, we will update our assumptions and estimates
accordingly," S&P Global Ratings said.

S&P Global Ratings incorporates various considerations into its
decisions to raise, lower, or affirm ratings when reviewing the
indicative ratings suggested by its projected cash flows. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes. Some of these considerations may include:

-- Factors related to the COVID-19 pandemic,
-- Collateral performance or delinquency trends,
-- Historical interest shortfalls or missed interest payments,
-- Loan modifications,
-- Small loan count, and
-- Available subordination and/or overcollateralization.

RATING ACTIONS

The rating changes reflect S&P Global Ratings' view regarding the
associated transaction-specific collateral performance and
structural characteristics, and/or application of specific criteria
applicable to these classes. See the ratings list below for the
specific rationales associated with each of the classes with rating
transitions.

"The affirmations reflect our view that our projected credit
support and collateral performance on these classes have remained
relatively consistent with our prior projections," S&P Global
Ratings said.

"We withdrew our ratings on 40 classes from eight 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," the rating agency said.

A list of Affected Ratings can be viewed at:

           https://bit.ly/3h2TiWf


                            *********

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