/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/200906.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, September 6, 2020, Vol. 24, No. 249 Headlines 280 PARK AVENUE 2017-280P: Fitch Affirms B- Rating on HRR Certs ACCESS GROUP 2003-1: Fitch Affirms CC Rating on Class B Notes ALLEGRO CLO IV: Moody's Lowers Rating on Class E-R Notes to B1 ALLEGRO CLO V: Moody's Confirms Ba3 Rating on Class E Notes ANGEL OAK 2020-5: DBRS Assigns Prov. B Rating on Class B-2 Certs ANGEL OAK 2020-5: Fitch Gives Bsf Rating on Class B-2 Debt ARES L: Moody's Confirms B3 Rating on Class F Notes ARES XXXVII: Moody's Lowers $14MM Cl. E-R Notes to Caa1 ASCENTIUM EQUIPMENT 2019-2: Moody's Confirms Ba2 Rating on E Notes BALLYROCK CLO 2016-1: Moody's Confirms Ba3 Rating on Cl. E-R Notes BATTALION CLO VIII: Moody's Confirms Ba2 Rating on 2 Tranches BELLEMEADE RE 2020-2: DBRS Gives Prov. B Rating on Class M-2 Notes BELLEMEADE RE 2020-2: Moody's Gives B1 Rating on Class B-1 Notes BENCHMARK 2018-B6: Fitch Affirms B- Rating on Class J-RR Certs BENEFIT STREET XV: Moody's Confirms Ba3 Rating on Class D Notes BENEFIT STREET XVI: Moody's Confirms Ba3 Rating on Class E Notes BRISTOL PARK: Moody's Confirms Ba3 Rating on $24.8MM Cl. E-R Notes CBAM LTD 2018-7: Moody's Confirms Ba3 Rating on Class E Notes CITIGROUP COMMERCIAL 2014-GC19: Fitch Affirms B on Class F Debt CITIGROUP COMMERCIAL 2015-101A: Fitch Affirms B- on Class F Certs COMM 2015-CCRE27: Fitch Lowers Rating on Class F Debt to CCCsf CROWN POINT III: Moody's Confirms Ba3 Rating on Class D Notes CSAIL 2015-C3: Fitch Lowers Rating on Class F Certs to CC DBJPM 2020-C9: Fitch Gives B- Rating on Class G Certs DRYDEN 40: Moody's Lowers $12MM Class F-R Notes to Caa2 ELEVATION CLO 2018-9: Moody's Cuts Class E Notes to B1 FREDDIE MAC 2020-DNA4: DBRS Finalizes BB Rating on 15 Tranches FREED ABS 2020-1: Moody's Lowers Rating on Class C Notes to B1 GOLUB CAPITAL 22(B)-R: Moody's Confirms Ba3 Rating on Cl. E-R Debt GOLUB CAPITAL 35(B): Moody's Confirms Ba3 Rating on Cl. E-R Notes GS MORTGAGE 2010-C1: Moody's Lowers Rating on Class X Certs to Caa1 GS MORTGAGE 2012-GCJ9: Fitch Affirms Bsf Rating on Class F Certs GS MORTGAGE 2015-GS1: Fitch Cuts Class F Certs to CCCsf GSMBS TRUST 2020-NQM1: DBRS Gives Prov. B Rating on B-2 Certs HPS LOAN 11-2017: Moody's Lowers Rating on Class F Notes to B3 JAMESTOWN CLO VII: Moody's Lowers Rating on Class E Notes to Caa2 JMP CREDIT III(R): Moody's Confirms Ba3 Rating on Class E Notes JMP CREDIT IV: Moody's Lowers $22.5MM Class E Notes to B1 JMP CREDIT V: Moody's Confirms Ba3 Rating on $20MM Class E Notes JP MORGAN 2020-6: DBRS Assigns Prov. B Rating on 2 Tranches JP MORGAN 2020-6: DBRS Finalizes B Rating on 2 Cert. Classes JPMBB COMMERCIAL 2014-C18: Fitch Cuts Class F Certs Rating to Csf JPMBB COMMERCIAL 2015-C33: Fitch Affirms B- Rating on Cl. F Certs JPMDB COMMERCIAL 2017-C7: Fitch Cuts Class F-RR Certs to CCCsf KKR CLO 17: Moody's Lowers Rating on $27MM Class E Notes to B1 KKR CLO 18: Moody's Lowers Rating on $35MM Class E Notes to B1 LEGACY MORTGAGE 2018-RPL3: Fitch Gives BBsf Rating on Cl. A3 Debt MADISON PARK XIV: Moody's Confirms B3 Rating on Class F-R Notes MANHATTAN WEST 2020-1MW: DBRS Finalizes BB Rating on HRR Certs MARBLE POINT XII: Moody's Confirms Ba3 Rating on Class E Notes MERIT 2020-HILL: Moody's Gives B3 Rating on Class F Certs MFA TRUST 2020-NQM1: DBRS Gives Prov. B Rating on Class B-2 Certs MIDOCEAN CREDIT VII: Moody's Cuts Rating on Class F Notes to Caa1 MIDOCEAN CREDIT VIII: Fitch Affirms B-sf Rating on Cl. F Notes MOFT 2020-B6: DBRS Finalizes B(high) Rating on Class D Certs MORGAN STANLEY 2013-C13: Fitch Affirms B-sf Rating on Cl. G Certs MORGAN STANLEY 2013-C8: Fitch Affirms Bsf Rating on Class F Debt MORGAN STANLEY 2019-PLND: Moody's Cuts Class D Certs Rating to Ba2 MOUNTAIN VIEW IX: Moody's Cuts Rating on Class E Notes to Caa1 MP CLO III: Moody's Lowers Rating on Class E-R Notes to B1 NASSAU LTD 2019-I: Moody's Confirms Ba3 Rating on Class D Notes NASSAU LTD 2019-II: Moody's Confirms Ba3 Rating on Class E Notes OCEANVIEW MORTGAGE 2020-SBC1: DBRS Gives (P)B(low) on Cl. B3 Debt OCTAGON INVESTMENT 41: Moody's Confirms Ba3 Rating on Cl. E Notes OCTAGON INVESTMENT XIX: Moody's Cuts $7.5MM Cl. F Notes to Caa3 OCTAGON INVESTMENT XXI: Moody's Confirms Class E-RR Notes at B3 OCTAGON INVESTMENT XXIII: Moody's Cuts Class F-R Notes to Caa2 OZLM LTD XIV: Moody's Confirms Ba3 Rating on $23.75MM Cl. D-R Notes PPM CLO 2018-1: Moody's Lowers Rating on Class F Notes to Caa1 PPM CLO 3: Moody's Confirms Ba3 Rating on Class E Notes REAL ESTATE 2017: Fitch Affirms Bsf Rating on Class G Certs SANTANDER CONSUMER 2020-B: Fitch Rates Class F Notes 'Bsf' SEQUOIA MORTGAGE 2015-3: Moody's Lowers Class B-4 Debt to Ba1 SHACKLETON 2014-VI-R: Moody's Cuts Rating on Class F Notes to Caa1 SHACKLETON 2018-XII: Moody's Confirms Ba3 Rating on Class E Notes SIGNUM VERDE 2006-02: Fitch Affirms BBsf Rating on CLP5.3-Bil. CLNs SIGNUM VERDE 2006-02: Fitch Hikes on CLP5.3-Bil. Notes to 'BB+' SMALL BUSINESS 2019-A: Moody's Lowers Rating on Class C Notes to B1 SOUND POINT XIX: Moody's Confirms Ba3 Rating on Class E Notes STEELE CREEK 2015-1: Moody's Lowers $7.55MM Cl. F-R Notes to Caa2 STEELE CREEK 2018-2: Moody's Confirms Ba3 Rating on Cl. E Notes STONEBRIAR COMMERCIAL 2018-1: Moody's Confirms B1 Rating on F Notes STRATUS CLO 2020-2: S&P Assigns Prelim BB- (sf) Rating to E Notes TELOS CLO 2013-3: Moody's Lowers Rating on Class E-R Notes to B3 THUNDERBOLT AIRCRAFT: S&P Rates Class C Notes 'BB (sf)' TIAA CLO III: Moody's Confirms Ba3 Rating on Class E Notes UBS-BARCLAYS 2012-C4: S&P Lowers Class F Certs Rating to B (sf) VENTURE XVI: Moody's Lowers Rating on Class E-RR Notes to B1 VOYA CLO 2015-3: Fitch Lowers Rating on Class E-R Notes to B-sf VOYA CLO 2020-2: S&P Assigns BB- (sf) Rating to Class E Notes WELLS FARGO 2020-4: Fitch Assigns B+sf Rating on Class B-5 Debt WELLS FARGO 2020-4: Moody's Rates Class B-5 Securities 'Ba3' WELLS FARGO 2020-C57: Fitch Rates Class K-RR Certs 'B-sf' WEST CLO 2014-1: Moody's Confirms Ba2 Rating on Class D Notes WFRBS COMMERCIAL 2013-C11: S&P Cuts Class F Certs Rating to 'B(sf)' WFRBS COMMERCIAL 2014-C19: Fitch Cuts Class F Certs to CCCsf WHITEHORSE LTD VIII: Moody's Lowers Rating on Class E Notes to Caa2 WIND RIVER 2015-2: Moody's Lowers Rating on Class F Notes to Caa3 ZAIS CLO 13: Moody's Lowers Rating on Class E Notes to B1 ZAIS CLO 3: Moody's Lowers Rating on Class D-R Notes to B2 ZAIS CLO 6: Moody's Lowers Rating on Class E Notes to B1 [*] Fitch Keeps 15 CMBS Single Borrower Hotel Deals on Watch Neg. ********* 280 PARK AVENUE 2017-280P: Fitch Affirms B- Rating on HRR Certs --------------------------------------------------------------- Fitch Ratings affirms the ratings and outlooks of seven classes of 280 Park Avenue 2017-280P Mortgage Trust Commercial Mortgage Pass-Through Certificates. RATING ACTIONS 280 Park Avenue Trust 2017-280P Class A 90205FAA8; LT AAAsf Affirmed; previously AAAsf Class B 90205FAG5; LT AA-sf Affirmed; previously AA-sf Class C 90205FAJ9; LT A-sf Affirmed; previously A-sf Class D 90205FAL4; LT BBB-sf Affirmed; previously BBB-sf Class E 90205FAN0; LT BB-sf Affirmed; previously BB-sf Class F 90205FAQ3; LT Bsf Affirmed; previously Bsf Class HRR 90205FAS9; LT B-sf Affirmed; previously B-sf KEY RATING DRIVERS Overall Stable Performance: Property performance remains relatively in line with Fitch expectations at issuance. The current Fitch-stressed net cash flow (NCF) as of YE 2019 is only 1.9% below the Fitch NCF at issuance. Per the YE 2019 net operating income (NOI) provided by the servicer, the debt-service coverage ratio (DSCR) was 1.57x compared with 1.93x at YE 2018. However, the property's occupancy has improved to 93.4% as of June 2020 from 91.5% as of June 2019. The prior decline in occupancy in 2018 was due to the fifth-largest tenant, Landesbank Baden-Wurtenburg, which vacated at lease expiration in November 2018, in addition to the largest two street-level retail tenants totaling 3% of the Net Rentable Area (NRA), Scottrade and the Four Seasons Restaurant, vacating in 2019. The Four Seasons restaurant space has been leased to Fasano Restaurant on a percentage rent from August 2020 through 2030. It was reported the restaurant planned to open in March 2020; however, per the servicer, the restaurant now plans to open in April 2021. Additionally, two new leases were signed in August and September 2019 with tenants Fort, L.P. and Cardinia Real Estate through 2031. Upcoming rollover for the next year is minimal at about 1.4% of the property's NRA. High-Quality Asset in Strong Location: The collateral consists of a fee simple interest in a 1.3 million square foot (sf) class A office building located on Park Avenue between 48th and 49th Streets in the Grand Central office submarket of Midtown Manhattan. The collateral consists of a 33-story east tower, a 43-story west tower and a 17-story base building that connects the east and west towers. The east tower was initially built in 1961, while the west tower was completed in 1968. The property was formerly known as the Bankers Trust Building. At issuance, Fitch Ratings assigned it a property quality grade of 'A'. The property consists 1.22 million sf of office, 21,686 sf of retail and 14,841 sf of storage space. The largest tenants are PJT Partners (11.1% of NRA through 2026), Franklin Templeton Investments (10.1% through 2031), Cohen & Steers (7.8% through 2024), Blue Mountain Capital Management 6.1% through 2024) and Investcorp International (5.9%). Investcorp International renewed its lease, which expired in May 2019, thru May 2035. Capital Improvements: The sponsor acquired the property in 2011 and has spent $142.5 million ($113psf) on the redevelopment of the building. The redevelopment included a complete redesigning of the lobby and exterior plaza, installing a new breezeway, redeveloping the public plazas, repositioning the retail, upgrading the elevators, electrical and plumbing systems, replacing the room and installing a modern HVAC system. High Overall Fitch Leverage: The $1.075 billion mortgage loan has a Fitch DSCR and loan-to-value (LTV) ratio of 0.82x and 107.2%, respectively, and debt of $853psf. The capital stack also includes a $125.0 million mezzanine loan. The total debt Fitch DSCR and LTV are 0.73x and 119.7%, respectively, and the total debt amounts to $952psf. Coronavirus Impact: The transaction is secured by a single property and is, therefore, more susceptible to single-event risks related to the market, sponsor, or the largest tenants occupying the property. Fitch views the collateral to have a limited impact from the coronavirus pandemic due to the strong property attributes and high-quality tenancy. Per the servicer, no relief has been requested by the borrower as a result of the coronavirus, as of August 2020. Institutional Sponsorship: SL Green (BBB/Negative) is New York City's largest landlord with interests in 119 Manhattan buildings totaling 47.4 million sf. Vornado (BBB/Negative) is another large New York City landlord with over 24.0 million sf owned and managed. Creditworthy Tenancy: Over 15% of the NRA is leased to creditworthy tenants, including Franklin Templeton, GIC, Orix USA, Wells Fargo Advisors (parent is rated AA-/F1) and Starbucks (BBB/Negative/F2). RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Factors that could, individually or collectively, lead to positive rating action/upgrade -- A significant increase in asset occupancy and property cash flow. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A significant decline in asset performance and/or market occupancy; -- A significant deterioration in property cash flow ESG CONSIDERATIONS The highest level of Environmental, Social and Governance (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, either due to their nature or to the way in which they are being managed by the entity. ACCESS GROUP 2003-1: Fitch Affirms CC Rating on Class B Notes ------------------------------------------------------------- Fitch Ratings has affirmed Access Group Inc. 2002 Indenture of Trust and revised the Rating Outlook on series 2004-1 class A-2 senior notes to Positive from Stable. RATING ACTIONS Access Group, Inc. - Federal Student Loan Notes, Series 2003-1 Class A-3 00432CAZ4; LT BBBsf Affirmed; previously at BBBsf Class A-4 00432CBA8; LT BBBsf Affirmed; previously at BBBsf Class A-5 00432CBB6; LT BBBsf Affirmed; previously at BBBsf Class A-6 00432CBC4; LT BBBsf Affirmed; previously at BBBsf Class B 00432CBE0; LT CCsf Affirmed; previously at CCsf Access Group, Inc. - Federal Student Loan Notes, Series 2002-1 Class A-3 00432CAM3; LT BBBsf Affirmed; previously at BBBsf Class A-4 00432CAN1; LT BBBsf Affirmed; previously at BBBsf Class B 00432CAP6; LT CCsf Affirmed; previously at CCsf Access Group, Inc. - Federal Student Loan Notes, Series 2004-1 Class A-2 00432CBN0; LT BBBsf Affirmed; previously at BBBsf Class A-3 00432CBP5; LT BBBsf Affirmed; previously at BBBsf Class A-4 00432CBQ3; LT BBBsf Affirmed; previously at BBBsf Class A-5 00432CBR1; LT BBBsf Affirmed; previously at BBBsf Class B 00432CBT7; LT CCsf Affirmed; previously at CCsf TRANSACTION SUMMARY The transaction has performed as expected since the last review and passes Fitch's cash flow model stresses for the respective ratings. Series 2004-1 class A-2 passes Fitch's 'AAsf' rating stresses in cashflow modelling. This class is the only senior class currently receiving principal distributions. However, due to weakness in the U.S. economy and continued high unemployment, Fitch affirmed the rating on class A-2 and revised the Rating Outlook to Positive from Stable. The Rating Outlook for all other senior notes remains Stable. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Negative. Collateral Performance: Based on transaction specific performance to date, Fitch assumed a sustainable constant default rate assumption (sCDR) of 1.7% and a sustainable constant prepayment rate (sCPR) of 4.25%. The TTM levels of deferment and forbearance are approximately 1.1% and 4.5% respectively. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the end of the July 31, 2020 collection period, all trust student loans are indexed to either 91-day T-bill or one-month LIBOR. Approximately 20% of the notes are indexed to 3ML and the remaining are auction rate securities. Payment Structure: Credit enhancement (CE) is provided by excess spread and the class A notes benefit from subordination provided by the class B notes. As of the Aug. 25, 2020 distribution, the reported senior and total parity are approximately 107.2% and 94.8%, respectively. Liquidity support is provided by a reserve account sized at $2.9 million. No cash is currently being released from the trust as the cash release threshold of 101% total parity has not been met. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc., which Fitch believes to be an acceptable servicer of student loans due to its long servicing history. Coronavirus Impact: Fitch evaluated the sCDR and sCPR under the coronavirus baseline scenario by analyzing a decline in payment rates and an increase in defaults to previous recessionary levels for two years and then a return to recent performance for the remainder of the life of the transaction. Fitch revised the sCDR to 1.7% from 1.4% and the sCPR to 4.25% from 4.5%. The risk of negative rating actions will increase under Fitch's coronavirus downside scenario, which contemplates a more severe and prolonged period of stress with a halting recovery beginning in 2Q21. As a downside sensitivity reflecting this scenario, Fitch increased the default rate, IBR and remaining term assumptions by 50%. The results are provided in Rating Sensitivities below. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Rating Sensitivity -- Default decrease 25%: class A 'AAAsf', class B 'CCsf' -- Basis Spread decrease 0.25%: class A 'AAAsf', class B 'CCsf' Maturity Stress Rating Sensitivity -- CPR increase 25%: class A 'AAAsf', class B 'CCsf' -- IBR Usage decrease 25%: class A 'AAsf', class B 'CCsf' -- Remaining Term decrease 25%: class A 'AAAsf', class B 'CCsf' Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCsf' -- Default increase 50%: class A 'CCCsf'; class B 'CCsf' -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCsf' -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCsf' Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'BBBsf'; class B 'CCsf' -- CPR decrease 50%: class A 'BBBsf'; class B 'CCsf' -- IBR Usage increase 25%: class A 'BBBsf'; class B 'CCsf' -- IBR Usage increase 50%: class A 'BBBsf'; class B 'CCsf' -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCsf' -- Remaining Term increase 50%: class A 'CCCsf'. class B 'CCsf' For the downside coronavirus sensitivity scenario, Fitch assumed a 50% increase in defaults, IBR and remaining term for the credit and maturity stress, respectively. Under this scenario, model implied rating is 'BBBsf' for class A for the default and IBR stresses, and 'CCCsf' for the remaining term stress. The ratings for the class B notes remained at 'CCsf' for all stresses. CRITERIA VARIATION The final rating of series 2004-1 class A-2 is different from the Fitch's cash flow model results by more than one rating category which constitutes a criteria variation. Had Fitch not apply the variation, the notes could have been upgraded to 'AAsf'. ALLEGRO CLO IV: Moody's Lowers Rating on Class E-R Notes to B1 -------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Allegro CLO IV, Ltd.: US$21,600,000 Class E-R Junior Secured 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 E-R Notes are referred to herein as the "Downgraded Notes." Moody's also confirmed the rating on the following notes: US$27,000,000 Class D-R Mezzanine 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 The Class D-R Notes are referred to herein as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R Notes and Class E-R Notes issued by the CLO. The CLO, issued in December 2016, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2021. RATINGS RATIONALE The downgrade on the 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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3160, compared to 2952 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2947 reported in the August 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 August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $429.9 million, or $20.6 million less than the deal's ramp-up target par balance. Nevertheless, according to the August 2020 trustee report [4], Moody's noted that the OC tests for the Class A/B, Class C, Class D, and Class E Notes were recently reported as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $426,729,223 Defaulted Securities: $6,209,962 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3187 Weighted Average Life (WAL): 4.9 years Weighted Average Spread (WAS): 3.64% Weighted Average Recovery Rate (WARR): 47.1% Par haircut in O/C tests and interest diversion test: 0.7% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The rapid spread of the coronavirus outbreak, the government measures put in place to contain it and the deteriorating global economic outlook, have created a severe and extensive credit shock across sectors, regions and markets. Its analysis has considered the effect on the performance of corporate assets from the collapse in the US economic activity in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. ALLEGRO CLO V: Moody's Confirms Ba3 Rating on Class E Notes ----------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Allegro CLO V, Ltd.: US$33,250,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (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 Junior Secured Deferrable Floating Rate Notes due 2030 (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 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 and Class E Notes issued by the CLO. The CLO, issued in September 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in 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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3189, compared to 2946 reported in the March 2020 trustee report [2]. Moody's notes that the WARF was failing the test level of 2942 reported in the August 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 12.9% as of August 2020. Nevertheless, according to the August 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: $481,245,698 Defaulted Securities: $9,081,258 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3185 Weighted Average Life (WAL): 5.9 years Weighted Average Spread (WAS): 3.59% Weighted Average Recovery Rate (WARR): 47.4% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The rapid spread of the coronavirus outbreak, the government measures put in place to contain it and the deteriorating global economic outlook, have created a severe and extensive credit shock across sectors, regions and markets. Its analysis has considered the effect on the performance of corporate assets from the collapse in the US economic activity in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. ANGEL OAK 2020-5: DBRS Assigns Prov. B Rating on Class B-2 Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Certificates, Series 2020-5 (the Certificates) to be issued by Angel Oak Mortgage Trust 2020-5 (the Trust): -- $222.5 million Class A-1 at AAA (sf) -- $27.1 million Class A-2 at AA (sf) -- $25.5 million Class A-3 at A (sf) -- $18.7 million Class M-1 at BBB (low) (sf) -- $8.3 million Class B-1 at BB (low) (sf) -- $6.2 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Certificates reflects 31.40% of credit enhancement provided by subordinated Certificates. The AA (sf), A (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 23.05%, 15.20%, 9.45%, 6.90%, and 5.00% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of primarily first-lien fixed- and adjustable-rate nonprime and expanded prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 784 loans with a total principal balance of $324,368,630 as of the Cut-Off Date (August 1, 2020). Angel Oak Mortgage Solutions LLC (77.9%), Angel Oak Home Loans LLC (AOHL; 6.8%), and Angel Oak Prime Bridge, LLC (0.2%) (collectively, Angel Oak) originated approximately 84.9% of the pool while third-party originators (TPO) contributed the remaining 15.1% of the pool. Angel Oak originated the first-lien mortgages primarily under the following nine programs: Bank Statement, Platinum, Portfolio Select, Investor Cash Flow, Non-Prime General, Non-Prime Recent Housing, Non-Prime Foreign National, Non-Prime Investment Property, and Asset Qualifier. For more information regarding these programs, see the related presale report. In addition, second-lien mortgage loans make up 0.5% of the pool. The TPO originated all but seven of the second-lien loans. Angel Oak originated the remaining seven loans under the guidelines established by Fannie Mae and overlaid by Angel Oak. Select Portfolio Servicing, Inc. (SPS) is the Servicer for all loans. AOHL will act as Servicing Administrator and Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as the Master Servicer. U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) will serve as Trustee, Paying Agent, and Custodian. Although the applicable mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ATR rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime products for various reasons described above. In accordance with the CFPB Qualified Mortgage (QM)/ATR rules, 0.1% of the loans are designated as QM Safe Harbor, 0.1% are designated as QM Rebuttable Presumption, and 82.6% are designated as non-QM. Approximately 17.2% of the loans are made to investors for business purposes and are thus not subject to the QM/ATR rules. The Servicer will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 180 days delinquent. The Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. The Seller will have the option, but not the obligation, to repurchase any nonliquidated mortgage loan that is 90 or more days delinquent under the Mortgage Bankers Association method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. On or after the three-year anniversary of the Closing Date, Angel Oak Mortgage Trust I, LLC (the Depositor) has the option to purchase all outstanding certificates (Optional Redemption) at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts and any outstanding Pre-Closing Deferred Amounts. After such purchase, the Depositor then has the option to complete a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The transaction employs 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 Class A-1 and A-2 Certificates sequentially (IIPP). For more subordinate Certificates, principal proceeds can be used to cover interest shortfalls as the more senior Certificates are paid in full. Furthermore, excess spread can be used to cover realized losses and prior period bond writedown amounts first before being allocated to unpaid cap carryover amounts to Class A-1 down to Class B-1. CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed securities (RMBS) asset classes, some meaningfully. The non-QM sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans that may fall outside of the CFPB's ATR rules, which became effective on January 10, 2014. Non-QM loans encompass the entire credit spectrum. They range from high-FICO, high-income borrowers who opt for interest-only (IO) or higher debt-to-income (DTI) ratio mortgages, to near-prime debtors who have had certain derogatory pay histories but were cured more than two years ago, to nonprime borrowers whose credit events were only recently cleared, among others. In addition, some originators offer alternative documentation or bank statement underwriting to self-employed borrowers in lieu of verifying income with Form W-2, Wage and Tax Statements (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 Act, signed into law on March 27, 2020, 18.3% of the borrowers had been granted forbearance plans because the borrowers reported financial hardship related to the coronavirus pandemic. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. SPS, in collaboration with Angel Oak, is generally offering borrowers a three month payment forbearance plan. Beginning in month four, the borrower can repay the entire missed mortgage payments at once, extend the forbearance, or opt to go on a repayment plan to catch up on missed payments for a maximum generally of six months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. For Angel Oak's approach to forbearance loans, SPS would attempt to contact the borrowers before the expiration of the forbearance period and evaluate the borrowers' capacity to repay the missed amounts. As a result, SPS, in collaboration with Angel Oak, may offer a repayment plan or other forms of payment relief, such as deferrals of the unpaid P&I amounts or a loan modification, in addition to pursuing other loss mitigation options. For this deal, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower P&I collections and (2) limited servicing advances on delinquent P&I. These assumptions include: (1) Increasing delinquencies for the AAA (sf) and AA (sf) rating levels for the first 12 months; (2) Increasing delinquencies for the A (sf) and below rating levels for the first nine months; (3) Applying no voluntary prepayments for the AAA (sf) and AA (sf) rating levels for the first 12 months; and (4) Delaying the receipt of liquidation proceeds for the AAA (sf) and AA (sf) rating levels for the first 12 months. Notes: All figures are in U.S. dollars unless otherwise noted. ANGEL OAK 2020-5: Fitch Gives Bsf Rating on Class B-2 Debt ---------------------------------------------------------- Fitch Ratings has assigned final ratings to Angel Oak Mortgage Trust 2020-5. RATING ACTIONS AOMT 2020-5 Class A-1; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-2; LT AAsf New Rating; previously at AA(EXP)sf Class A-3; LT Asf New Rating; previously at A(EXP)sf Class A-IO-S; LT NRsf New Rating; previously at NR(EXP)sf Class B-1; LT BBsf New Rating; previously at BB(EXP)sf Class B-2; LT Bsf New Rating; previously at B(EXP)sf Class B-X; LT NRsf New Rating; previously at NR(EXP)sf Class M-1; LT BBB-sf New Rating; previously at BBB-(EXP)sf TRANSACTION SUMMARY The certificates are supported by 784 loans with a balance of $324.37 million as of the cutoff date. This will be the 11th Fitch-rated transaction consisting of loans originated by several Angel Oak-affiliated entities (collectively, Angel Oak). The certificates are secured mainly by nonqualified mortgages (Non-QM) as defined by the Ability to Repay (ATR) rule. The majority of the loans were originated by several Angel Oak entities, which include Angel Oak Mortgage Solutions LLC (AOMS) (77.9%), Angel Oak Home Loans LLC (AOHL) (6.8%) and Angel Oak Prime Bridge LLC (AOPB) (0.2%). The remaining 15.1% of loans were originated by third-party originators. Of the pool, 82.6% comprises loans designated as Non-QM, 17.2% are investment properties not subject to ATR and the remaining 0.2% were designated either Safe Harbor Qualified Mortgages (SHQM) or Higher Priced Qualified Mortgages (HPQM). KEY RATING DRIVERS Revised GDP Due to the Coronavirus: The coronavirus pandemic and the resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Its baseline global economic outlook for U.S. GDP growth is currently a 5.6% decline for 2020, down from 1.7% for 2019. Fitch's downside scenario would see an even larger decline in output in 2020 and a weaker recovery in 2021. To account for declining macroeconomic conditions resulting from the coronavirus pandemic, an Economic Risk Factor (ERF) floor of 2.0 (the ERF is a default variable in the U.S. RMBS loan loss model) was applied to 'BBBsf' and below. Liquidity Stress for Payment Forbearance (Negative): The outbreak of the coronavirus pandemic and widespread containment efforts in the U.S. will result in increased unemployment and cash flow disruptions. To account for the cash flow disruptions, Fitch assumed deferred payments on a minimum of 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. The cash flows on the certificates will not be disrupted for the first six months due to principal and interest (P&I) advancing on delinquent loans by the servicer; however, after month six, the lowest ranked classes may be vulnerable to temporary interest shortfalls to the extent there is not enough funds available once the more senior bonds are paid. Stop Advance Structure (Mixed): The transaction has a stop advance feature where the servicer will advance delinquent P&I up to 180 days. While the limited advancing of delinquent P&I benefits the pool's projected loss severity (LS), it reduces liquidity. To account for the reduced liquidity of a limited advancing structure, principal collections are available to pay timely interest to the 'AAAsf', 'AAsf' and 'Asf' rated bonds. Fitch expects 'AAAsf' and 'AAsf' rated bonds to receive timely payments of interest and all other bonds to receive ultimate interest. Additionally, as of the closing date, the deal benefits from approximately 321bps of excess spread, which will be available to cover shortfalls prior to any writedowns. The servicer, Select Portfolio Servicing (SPS), will provide P&I advancing on delinquent loans (even the loans on a coronavirus forbearance plan). If SPS is not able to advance, the master servicer (Wells Fargo Bank) will advance P&I on the certificates. Payment Forbearance (Mixed): As of the cut-off date, 15.5% of the borrowers opted in for coronavirus relief and were put on a forbearance plan; however, only 8.8% (54 loans) are currently on a coronavirus relief plan while 6.7% of the borrowers who opted in for relief are no longer on a forbearance plan as the term of their coronavirus relief plan has expired and the borrowers are contractually current as of Aug. 4, 2020, but were delinquent as of the cut-off date. Of the 8.8% of borrowers who are still on a coronavirus relief plan as of Aug. 4, 2020, 2.8% have extended the term of the plan and are four months delinquent (last payment was in March 2020), 2.4% are three months delinquent (last payment was in April 2020), 1.6% are two months delinquent (last payment was in May 2020), and 2.1% are one month delinquent (last payment was in June 2020). 2.8% of the borrowers have opted out of their coronavirus relief plan and are contractually current as of Aug. 4, 2020. Fitch considered borrowers who are on coronavirus relief plan that are cash flowing as current while the borrowers who are not cash flowing were treated as delinquent. Angel Oak is offering borrowers up to an initial three-month payment forbearance plan (some borrowers have been offered a two-month payment forbearance plan). Beginning in month three (or the expiration of the forbearance plan), the borrower can opt to reinstate (i.e. repay the three missed mortgage payments in a lump sum) or repay the missed amounts with a repayment plan. If reinstatement or a repayment plan is not affordable, the missed payments will be added to the end of the loan term due at payoff or maturity as a deferred principal. If the borrower does not become current under a repayment plan or is not able to make payments after a deferral plan was granted, other loss mitigation options will be pursued (including extending the forbearance term). There are 41 loans in the pool that have had their forbearance plan extended three months until Oct. 1, 2020. These loans have an average FICO of 714, average original CLTV of 83.4%, and average liquid cash reserves of $148,505. Eleven borrowers in the pool extended their forbearance plan by two months until Oct. 1, 2020. These loans have an average FICO of 733, average original CLTV of 76.6%, and average liquid cash reserves of $144,656. Two loans in the pool have extended their forbearance plan one month until Oct. 1, 2020. The servicer will continue to advance during the forbearance period. Recoveries of advances will be repaid either from reinstated or repaid amounts from loans where borrowers are on a repayment plan. For loans with deferrals of missed payments, the servicer can recover advances from the principal portion of collections, which may result in a mismatch between the loan balance and certificate balance. While this may increase realized losses, the 321 bps of excess spread as of the closing date should be available to absorb these amounts and reduce the potential for writedowns. If the borrower doesn't resume making payments, the loan will likely become modified and the advancing party will be reimbursed from available funds at the time of modification. Fitch increased its loss expectations by adding 0.30% to the model output loss then rounded up to the nearest 0.25% in all rating categories to address the potential for writedowns due to reimbursements of servicer advances. In addition, there is 3.21% excess spread as of the closing date that will be available to cover any writedowns due to reimbursements of servicer advances. Expanded Prime Credit Quality (Mixed): The collateral consists of 15-year, 20-year, 30-year and 40-year mainly fixed-rate loans (12.9% of the loans are adjustable rate); 13.8% of the loans are interest-only (IO) loans and the remaining 86.2% of the loans are fully amortizing loans. The pool is seasoned approximately nine months in aggregate (as determined by Fitch). The borrowers in this pool have strong credit profiles with a 723 weighted-average (WA) FICO (as determined by Fitch) and moderate leverage (81.6% sLTV). In addition, the pool contains 54 loans over $1 million and the largest is $3.05 million. Self-employed borrowers make up 74.6% of the pool, 16.8% of the pool are salaried employees, and 8.6% of the pool comprises investor cash flow loans. There are 18 loans that are a second lien and represents 0.5% of the pool balance. Fitch considered 4.4% of borrowers as having a prior credit event in the past seven years, and six loans in the pool were to nonpermanent residents. The pool characteristics resemble recent nonprime collateral, and therefore, the pool was analyzed using Fitch's non-prime model. Bank Statement Loans Included (Negative): Approximately 65.2% (405 loans) were made to self-employed borrowers underwritten to a bank statement program (26% to a 24-month bank statement program and 39.2% to a 12-month bank statement program) for verifying income in accordance with either AOHL's or AOMS's guidelines, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on the bank statement loans. High Investor Property Concentration (Negative): Of the pool, 17.2% comprises investment properties. Specifically, 8.6% of loans were underwritten using the borrower's credit profile, while the remaining 8.6% were originated through the originators' investor cash flow program that targets real estate investors qualified on a debt service coverage ratio (DSCR) basis. The borrowers of the non-DSCR investor properties in the pool have strong credit profiles, with a WA FICO of 721 (as calculated by Fitch) and an original CLTV of approximately 77% and DSCR loans have a WA FICO of 736 (as calculated by Fitch) and an original CLTV of roughly 64%. Fitch increased the PD by approximately 2.0x for the cash flow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. Geographic Concentration (Neutral): Approximately 37% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in Los Angeles MSA (18.9%) followed by the Miami MSA (8.2%) and the Dallas MSA (5.1%). The top three MSAs account for 32.5% of the pool. As a result, there was no adjustment to the 'AAA' expected loss to account for geographic concentration. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while shutting out the subordinate bonds from principal until all three 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 A-1, A-2 and A-3 bonds until they are reduced to zero. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. Angel Oak employs sound sourcing and underwriting processes and is assessed by Fitch as an 'Average' originator. Primary and master servicing responsibilities will be performed by Select Portfolio Servicing, Inc. (SPS) and Wells Fargo Bank, NA (Wells Fargo), rated by Fitch at 'RPS1-' and 'RMS1-', respectively. Fitch adjusted its expected loss at the 'AAAsf' rating stress by 246 bps to reflect strong counterparties with established servicing platforms and operating experience in non-agency PLS. The sponsor's retention of an eligible horizontal residual interest of at least 5% helps ensure an alignment of interest between the issuer and investors. R&W Framework (Negative): AOHL will be providing loan-level representations and warranties (R&W) to the loans in the trust. If the entity is no longer an ongoing business concern, it will assign to the trust its rights under the mortgage loan purchase agreements with the originators, which include repurchase remedies for R&W breaches. While the loan-level reps for this transaction are substantially consistent with a Tier I framework, the lack of an automatic review for loans other than those with ATR realized loss and the nature of the prescriptive breach tests, which limit the breach reviewers' ability to identify or respond to issues not fully anticipated at closing, resulted in a Tier 2 framework. Fitch increased its loss expectations (95 bps at the AAAsf rating category) to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the provider. Due Diligence Review Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction pool. The reviews were conducted by SitusAMC and Clayton Services (Clayton), both assessed by Fitch as 'Acceptable - Tier 1' TPR firms, and Digital Risk, assessed as 'Acceptable - Tier 2'. The results of the review confirm effective origination practices with minimal incidence of material exceptions. Loans that received a final grade of 'B' had immaterial exceptions and either had strong compensating factors or the risk was captured in Fitch's loan loss model. Fitch applied a credit for the high percentage of loan-level due diligence which reduced the 'AAAsf' loss expectation by 47 bps. Hurricane Laura Impact: Hurricane Laura made landfall over parts of Texas and Louisiana on Aug. 27, 2020. There are six loans in the transaction that are in a Federal Emergency Management Agency (FEMA) declared disaster area. These six loans comprise 0.43% of the pool by UPB. Assuming 100% of these loans have damage and a loss severity of 100%, the loss would be 0.43%. Fitch feels that the transaction has sufficient credit enhancement to account for the risk associated with Hurricane Laura. The post pricing excess spread is 0.43% higher than that was assumed when analyzing the adequacy of excess spread to absorb realized losses and assessing the credit enhancement levels for each class. In addition, Fitch's expected loss levels assumed a 40% forbearance assumption that would suggest 30 bps of shortfalls resulting from servicer reimbursement of advances for those loans. As of the cutoff date only 9.8% of the loans were on an active coronavirus-related forbearance plan, which would result in less than 10 bps of shortfalls arising from servicer reimbursement of advances. As a result, no adjustment was made to Fitch's loss expectations. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: This defined negative stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 8.7% at the base case. This analysis indicates that there is some potential rating migration with higher MVDs compared with the model projection. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior classes which are already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has also added a coronavirus sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a re-emergence of infections in the major economies, before a slow recovery begins in 2Q21. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Clayton, and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. 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). ARES L: Moody's Confirms B3 Rating on Class F Notes --------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Ares L CLO Ltd.: US$32,000,000 Class D Mezzanine 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$28,500,000 Class E Mezzanine 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 US$7,500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2032 (the "Class F Notes"), Confirmed at B3 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class D Notes, Class E, and Class F 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 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 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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3473, compared to 3072 reported in the March 2020 trustee report [2]. Moody's notes that the WARF was failing the test level of 3128 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 17.9% as of August 2020. Nevertheless, according to the August 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: $488,846,158 Defaulted Securities: $5,009,236 Diversity Score: 79 Weighted Average Rating Factor (WARF): 3460 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.61% Weighted Average Recovery Rate (WARR): 47.8% Par haircut in O/C tests and interest diversion test: 1.03% 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. ARES XXXVII: Moody's Lowers $14MM Cl. E-R Notes to Caa1 ------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Ares XXXVII CLO Ltd.: US$14,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class E-R Notes"), Downgraded to Caa1 (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$42,000,000 Class C-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Confirmed at Baa3 (sf); previously on June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$35,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes due 2030 (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 review for downgrade initiated on June 3, 2020 on the Class C-R Notes, the Class D-R Notes, and the Class E-R Notes issued by the CLO. The CLO, issued in October 2015 and refinanced in November 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on 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 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 3490, compared to 3017 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2969 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 July 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $687.7 million, or $12.3 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 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: $684,114,290 Defaulted Securities: $8,784,853 Diversity Score: 76 Weighted Average Rating Factor (WARF): 3436 Weighted Average Life (WAL): 5.75 years Weighted Average Spread (WAS): 3.37% Weighted Average Recovery Rate (WARR): 48.3% Par haircut in O/C tests and interest diversion test: 0.4% Finally, Moody's notes that it also considered the information in the August 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. ASCENTIUM EQUIPMENT 2019-2: Moody's Confirms Ba2 Rating on E Notes ------------------------------------------------------------------ Moody's Investors Service confirmed ratings on five classes of bonds issued by three asset-backed securitizations backed by equipment leases and loans. The bonds are backed by pools of equipment lease and loan contracts originated and serviced by multiple parties, with exposure to small ticket, trucking, construction, and industrial equipment. The complete rating actions are as follows: Issuer: Amur Equipment Finance Receivables VII LLC, Series 2019-1 Class C, Confirmed at Baa1 (sf); previously on Apr 17, 2020 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Ascentium Equipment Receivables 2019-2 Trust Class C Notes, Confirmed at A1 (sf); previously on Apr 17, 2020 A1 (sf) Placed Under Review for Possible Downgrade Class D Notes, Confirmed at Baa2 (sf); previously on Apr 17, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade Class E Notes, Confirmed at Ba2 (sf); previously on Apr 17, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: DLL 2019-3 LLC Class D Notes, Confirmed at A3 (sf); previously on Apr 17, 2020 A3 (sf) Placed Under Review for Possible Downgrade The rating actions conclude the review for possible downgrade on the above notes, initiated on April 17, 2020. RATINGS RATIONALE The rating actions reflect Moody's expectation that collateral performance will improve as percentage of obligors in deferral periods decreases through the end of 2020, with most obligors restarting payments as the economy gradually recovers from the coronavirus pandemic. Most obligors who were granted deferrals in past months because of coronavirus-related hardships restarted making payments as economic conditions began to improve. The remainder are either still in deferral or delinquent. In its analysis, Moody's considered increase in remaining expected losses on the underlying leases and loans that have received deferrals. For those leases and loans that have never been deferred, Moody's applied the remaining pre-pandemic expected losses, adjusted for performance if applicable. Moody's also considered continuous build-up of credit enhancement due to sequential-pay structures and non-declining reserve accounts. Its cumulative net loss expectations for the collateral pools of Amur Equipment Finance Receivables VII LLC, Series 2019-1 and DLL 2019-3 LLC have increased to 6.00% and 1.75% respectively from 3.75% and 1.00% respectively. The remaining net loss expectation for Ascentium Equipment Receivables 2019-2 Trust has increased to 4.50% from 2.75%. 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 US economic activity in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's 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 bonds if, given its expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in these transactions, credit enhancement grows as a percentage of the collateral balance as collections pay down senior bonds. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and changes in servicing practices. Down Moody's could downgrade the bonds if, given its 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 equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and poor servicer performance. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. BALLYROCK CLO 2016-1: Moody's Confirms Ba3 Rating on Cl. E-R Notes ------------------------------------------------------------------ Moody's Investors Service confirmed the ratings on the following notes issued by Ballyrock CLO 2016-1 Ltd.: US$22,050,000 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$19,250,000 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 Notes and the Class E-R Notes issued by the CLO. The CLO, originally issued in September 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 October 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 3015 compared to 2730 reported in the February 2020 trustee report [2], but passing the test level of 3076 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 13.10%. 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: $343,350,563 Defaulted Securities: $3,741,250 Diversity Score: 77 Weighted Average Rating Factor (WARF): 3017 Weighted Average Life (WAL): 4.4 years Weighted Average Spread (WAS): 3.55% Weighted Average Recovery Rate (WARR): 47.48% Par haircut in OC tests and interest diversion test: 0.29% 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 coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of corporate assets from the current weak United States economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. 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. BATTALION CLO VIII: Moody's Confirms Ba2 Rating on 2 Tranches ------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Battalion CLO VIII Ltd.: US$30,700,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Confirmed at Baa2 (sf); previously on April 17, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade US$30,520,000 Class D-1-R2 Secured Deferrable Floating Rate Notes due 2030 (the "Class D-1-R2 Notes"), Confirmed at Ba2 (sf); previously on April 17, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade US$880,000 Class D-2-R Secured Deferrable Floating Rate Notes due 2030 (the "Class D-2-R Notes"), Confirmed at Ba2 (sf); previously on April 17, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade The Class C-R Notes, the Class D-1-R2 Notes, and the Class D-2-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, the Class D-1-R2, and the Class D-2-R Notes issued by the CLO. The CLO, originally issued in April 2015, refinanced in June 2017, and partially refinanced in February 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 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 (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 3373, compared to 2809 reported in the March 2020 trustee report [2]. Moody's also noted that 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 21.1% 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 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: $491,493,883 Defaulted Securities: $7,577,696 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3398 Weighted Average Life (WAL): 5.9 years Weighted Average Spread (WAS): 3.79% Weighted Average Recovery Rate (WARR): 47.6% Par haircut in O/C tests and interest diversion test: 1.5% Finally, Moody's notes that it also considered the information in the August 2020 trustee report [4] which became available shortly 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. BELLEMEADE RE 2020-2: DBRS Gives Prov. B Rating on Class M-2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage Insurance-Linked Notes, Series 2020-2 (the Notes) to be issued by Bellemeade Re 2020-2 Ltd. (BMIR 2020-2 or the Issuer): -- $92.0 million Class M-1A at BBB (high) (sf) -- $77.6 million Class M-1B at BBB (low) (sf) -- $103.5 million Class M-1C at BB (low) (sf) -- $71.9 million Class M-2 at B (sf) -- $18.0 million Class B-1 at B (low) (sf) The BBB (high) (sf), BBB (low) (sf), BB (low) (sf), B (sf), and B (low) (sf) ratings reflect 8.150%, 6.800%, 5.000%, 3.750%, and 3.500% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. BMIR 2020-2 is Arch Mortgage Insurance Company's (Arch MI's) and United Guaranty Residential Insurance Company's (UGRIC's; collectively, the ceding insurer) 10th rated mortgage insurance (MI) linked note transaction. The Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses the ceding insurer pays to settle claims on the underlying MI policies. As of the additional cut-off date, the pool of insured mortgage loans consists of 117,562 fully amortizing first-lien fixed- and variable-rate mortgages. They all have been underwritten to a full documentation standard, have original loan-to-value ratios (LTVs) less than or equal to 100%, and have never been reported to the ceding insurer as 60 or more days delinquent. The mortgage loans were originated on or after January 2019. On the closing date, the Issuer will enter into the Reinsurance Agreement with the ceding insurer. Per the agreement, the ceding insurer will receive protection for the funded portion of the MI losses. In exchange for this protection, the ceding insurer will make premium payments related to the underlying insured mortgage loans to the Issuer. The Issuer is expected to use the proceeds from selling the Notes to purchase certain eligible investments that will be held in the reinsurance trust account. The eligible investments are restricted to AAA or equivalently rated U.S. Treasury money market funds and securities. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in MI-linked note (MILN) transactions, a portion of the eligible investments held in the reinsurance trust account will be liquidated to make principal payments to the noteholders and to make loss payments to the ceding insurer when settling claims on the MI policy. The Issuer will use the investment earnings on the eligible investments, together with the ceding insurer's premium payments, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on a reduction in aggregate exposed principal balance on the underlying MI policy. The subordinate Notes will receive their pro rata share of available principal funds if the minimum credit enhancement test and the delinquency test are satisfied. The minimum credit enhancement test will purposely fail at the closing date, thus locking out the rated classes from initially receiving any principal payments until the subordinate percentage grows to 10.75% from 9.75%. The delinquency test will be satisfied if the three-month average of 60+ days delinquency percentage is below 75% of the subordinate percentage. Unlike MILN transactions that were rated prior to the coronavirus, where the delinquency test is satisfied when the delinquency percentage falls below a fixed threshold, this transaction incorporates a dynamic delinquency test. On the closing date, the ceding insurer will establish a cash and securities account, the premium deposit account. If the ceding insurer defaults in paying coverage premium payments to the Issuer, the amount available in this account will cover interest payments to the noteholders. Unlike prior rated MILN transactions, the premium deposit account will not be funded at closing. Instead, the ceding insurer will make a deposit into this account up to the applicable target balance only when one of the premium deposit events occur. Please refer to the related report and/or offering circular for more details. The Notes are scheduled to mature on the payment date in August 2030 but will be subject to early redemption at the option of the ceding insurer (1) for a 10% clean-up call or (2) on or following the payment date in August 2027, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the Reinsurance Agreement. Arch MI and UGRIC, together, will act as the ceding insurer. The Bank of New York Mellon (rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Reinsurance Trustee. 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 rise in the coming months for many RMBS asset classes, some meaningfully. Various MI companies have set up programs to issue MILNs. These programs aim to transfer a portion of the risk related to MI claims on a reference pool of loans to the investors of the MILNs. In these transactions, investors' risk increases with higher MI payouts. The underlying pool of mortgage loans with MI policies covered by MILN reinsurance agreements are typically conventional/conforming loans that follow government-sponsored enterprises' acquisition guidelines and therefore have LTVs above 80%. However, a portion of each MILN transaction's covered loans may not be agency eligible. 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 MILN 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, DBRS Morningstar may assume a portion of the pool (randomly selected) to be on forbearance plans in the immediate future. For these loans, DBRS Morningstar assumes 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 MILN 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. BELLEMEADE RE 2020-2: Moody's Gives B1 Rating on Class B-1 Notes ---------------------------------------------------------------- Moody's Investors Service assigned definitive ratings to five classes of mortgage insurance credit risk transfer notes issued by Bellemeade Re 2020-2 Ltd. Bellemeade Re 2020-2 Ltd is the second transaction issued in 2020 under the Bellemeade Re program, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Arch Mortgage Insurance Company (Arch) and United Guaranty Residential Insurance Company (UGRIC) (each, a subsidiary of Arch Capital Group Ltd., and collectively, the ceding insurer) on a portfolio of residential mortgage loans. The notes are exposed to the risk of claims payments on the MI policies, and depending on the notes' priority, may incur principal and interest losses when the ceding insurer makes claims payments on the MI policies. On the closing date, Bellemeade Re 2020-2 Ltd (the issuer) and the ceding insurer will enter into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes will be deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account will also be available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account will be used to purchase eligible investments and will be subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee will liquidate assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the Class B-2 and Class B-3 coverage levels are written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. The complete rating actions are as follows: Issuer: Bellemeade Re 2020-2 Ltd Cl. M-1A, Assigned A2 (sf); Cl. M-1B, Assigned Baa1 (sf); Cl. M-1C, Assigned Baa3 (sf); Cl. M-2, Assigned Ba2 (sf); Cl. B-1, Assigned B1 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expects this insured pool's aggregate exposed principal balance to incur 2.47% losses in a base case scenario, and 17.88% losses under loss a Aaa stress scenario. The aggregate exposed principal balance is the product, for all the mortgage loans covered by MI policies, of (i) the unpaid principal balance of each mortgage loan, (ii) the MI coverage percentage, and (iii) for approximately 98.85% of the mortgage loans where 7.5% of the losses are covered by existing third-party insurance, 92.5%, and for the rest of the mortgage loans, 100% (the reinsurance coverage percentage). Its analysis has considered the effect of the COVID-19 outbreak on the US economy as well as the effects that the announced government measures put in place to contain the virus, will have on the performance of mortgage loans. Specifically, for US RMBS, loan performance will weaken due to the unprecedented spike in the unemployment rate, which may limit borrowers' income and their ability to service debt. The softening of the housing market will reduce recoveries on defaulted loans, also a credit negative. Furthermore, borrower assistance programs, such as forbearance, may adversely impact scheduled cash flows to bondholders. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of US RMBS from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's increased its model-derived median expected losses by 15% (mean expected losses by 13.37%) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from of a slowdown in US economic activity in 2020 due to the COVID-19 outbreak. Moody's regards the COVID-19 outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Servicing practices, including tracking COVID-19-related loss mitigation activities, may vary among servicers in the transaction. These inconsistencies could impact reported collateral performance and affect the timing of any breach of performance triggers, the timing of policy terminations and the amount of ultimate net loss. Moody's may infer and extrapolate from the information provided based on this or other transactions or industry information, or make stressed assumptions. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description Each mortgage loan has an insurance coverage effective date on or after January 1, 2019, but on or before May 31, 2020. The reference pool consists of 117,562 primes, fixed- and adjustable-rate, one- to four-unit, first-lien fully-amortizing conforming mortgage loans with a total insured loan balance of approximately $32 billion. Nearly all loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80%, with a weighted average of 90.9%. The borrowers in the pool have a weighted average FICO score of 749, a weighted average debt-to-income ratio of 35% and a weighted average mortgage rate of 3.5%. The weighted average risk in force (MI coverage percentage) is approximately 22.3% of the reference pool total unpaid principal balance. The aggregate exposed principal balance is the portion of the pool's risk in force that is not covered by existing third-party reinsurance. The weighted average LTV of 90.9% is far higher than those of recent private label prime jumbo deals, which typically have LTVs in the high 60's range, however, it is in line with those of recent STACR high LTV CRT transactions. Except for 36 loans, all other insured loans in the reference pool were originated with LTV ratios greater than 80%. 100% of insured loans were covered by mortgage insurance at origination with 98.45% covered by BPMI and 1.55% covered by LPMI based on risk in force. Underwriting Quality Moody's took into account the quality of Arch's insurance underwriting, risk management and claims payment process in its analysis. Arch's underwriting requirements address credit, capacity (income), capital (asset/equity) and collateral. It has a licensed in-house appraiser to review appraisals. Lenders submit mortgage loans to Arch for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without Arch re-underwriting the loan file. Arch issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Arch does not allow exceptions for loans approved through its delegated underwriting program. Lenders eligible under this program must be pre-approved by Arch. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. For Arch's overall portfolio, approximately 57.1% of the loans are insured through delegated underwriting and 42.9% through non-delegated. Arch follows the GSE underwriting guidelines via DU/LP but applies additional overlays. Servicers provide Arch monthly reports of insured loans that are 60-day delinquent prior to any submission of claims. Claims are typically submitted when servicers have taken possession of the title to the properties. Claims are submitted by uploading or entering on Arch's website, electronic transfer or paper. Arch performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans to ensure that (i) the risk exposure of insured mortgage loans is accurately represented, (ii) lenders submitting loans via delegated underwriting program are adhering to Arch's guidelines, and (iii) internal underwriters are following guidelines and maintaining consistent underwriting standards and processes. Arch has a solid quality control process to ensure claims are paid timely and accurately. Similar to the above procedure, Arch's claims management reviews a sample of paid claims each month. Findings are used for performance management as well as identified trends. In addition, there is strong oversight and review from internal and external parties such as GSE audits, Department of Insurance audits, audits from an independent account firm, and Arch's internal audits and compliance. Arch is also SOX compliant. PwC, an independent account firm, performs a thorough audit of Arch's claim payment process. Third-Party Review Arch engaged Opus Capital Markets Consultants, LLC, to perform a data analysis and diligence review of a sampling of mortgage loans files submitted for mortgage insurance. This review included validation of credit qualifications, verification of the presence of material documentation as applicable to the mortgage insurance application, updated valuation analysis and comparison, and a tape-to-file data integrity validation to identify possible data discrepancies. The scope does not include a compliance review. The review sample size was small (only 325 of the total loans in the initial reference pool as of June 2020, or 0.28% by loan count). In spite of the small sample size and a limited TPR scope for Bellemeade Re 2020-2 Ltd, Moody's did not make an additional adjustment to the loss levels because, (1) approximately 42.9% of the loans in the reference pool have gone through full re-underwriting by the ceding insurer, (2) the underwriting quality of the insured loans is monitored under the GSEs' stringent quality control system, and (3) MI policies will not cover any costs related to compliance violations. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider also reviewed property valuation on 325 loans in the sample pool. A Freddie Mac Home Value Explorer ("HVE") was ordered on the entire population of 325 files. If the resulting value of the AVM was less than 90% of the value reflected on the original appraisal, or if no results were returned, a Broker Price Opinion ("BPO") was ordered on the property. If the resulting value of the BPO was less than 90% of the value reflected on the original appraisal, an Appraisal Review appraisal was ordered on the property. Among the 325 loans, one loan was not assigned any grade by the third-party review firm and all other loans were graded A. The third-party diligence provider was not able to obtain property valuations on one mortgage loan due to the inability to complete the field review assignment during the due diligence review period. Credit: The third-party diligence provider reviewed credit on 325 loans in the sample pool. Data integrity: The third-party review firm was provided a data file with loan level data, which was audited against origination documents to determine the accuracy of data found within the data tape. Reps & Warranties Framework The ceding insurer does not make any representations and warranties to the noteholders in this transaction. Since the insured mortgages are predominantly GSE loans, the individual sellers would provide exhaustive representations and warranties to the GSEs that are negotiated and actively monitored. In addition, the ceding insurer may rescind the MI policy for certain material misrepresentation and fraud in the origination of a loan, which would benefit the MI CRT noteholders. Transaction Structure The transaction structure is very similar to GSE CRT transactions that Moody's has rated. The ceding insurer will retain the senior coverage level Class A, the Class B-2 coverage level and the Class B-3 coverage level. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 10-year bullet maturity and a sequential pay structure for the non-senior tranches, resulting in a shorter expected weighted average life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The rated Class M-1A, Class M-1B, Class M-1C, Class M-2 and Class B-1 offered notes have credit enhancement levels of 8.15%, 6.80%, 5.00%, 3.75% and 3.50%, respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. MI and investment losses are allocated in a reverse sequential order starting with the Class B-3 note. So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to senior reference tranches when trigger event occurs. A trigger event with respect to any payment date will be in effect if the coverage level amount of coverage level A for such payment date has not been reduced to zero and either (i) the preceding three month average of the sixty-plus delinquency amount for that payment date equals or exceeds 75.00% of Class A subordination amount or (ii) the subordinate percentage (or with respect to the first payment date, the original subordinate percentage) for that payment date is less than the target CE percentage (minimum C/E test: 10.75%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders for 70 days while the assets of the reinsurance trust account are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered if the rating of the notes exceeds the insurance financial strength (IFS) rating of the ceding insurer or the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into the premium deposit account the coverage premium only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it is obligated to deposit coverage premium for all reinsurance coverage levels. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i) the coupon rate of the note multiplied by (a) the applicable funded percentage, (b) the coverage level amount for the coverage level corresponding to such class of notes and (c) a fraction equal to 70/360, over (ii) two times the investment income collected on the eligible investments. Moody's believes the PDA arrangement does not establish a linkage between the ratings of the notes and the IFS rating of the ceding insurer because, 1) the required PDA amount is small relative to the entire deal, 2) the risk of PDA not being funded could theoretically occur if the ceding insurer suddenly defaults, causing a rating downgrade from investment grade to default in a very short period; which is a highly unlikely scenario, and 3) even if the insurer becomes insolvent, there would be a strong incentive for the insurer's insolvency regulator to continue to make the interest payments to avoid losing reinsurance protection provided by the deal. Claims Consultant To mitigate risks associated with the ceding insurer's control of the trust account and discretion to unilaterally determine the MI claims amounts (i.e. ultimate net losses), the ceding insurer will engage Opus Capital Markets, as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the Class B-2 and the Class B-3 coverage levels have been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claim's consultant to the trustee, the issuer and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third-party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. For example, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believes the claims consultant in this transaction will provide the oversight to mitigate such risks. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. BENCHMARK 2018-B6: Fitch Affirms B- Rating on Class J-RR Certs -------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Benchmark 2018-B6 Mortgage Trust commercial mortgage pass-through certificates, series 2018-B6. Fitch also revised the Rating Outlook on one class to Negative from Stable. RATING ACTIONS Benchmark 2018-B6 Class A-1 08162CAA8; LT AAAsf Affirmed; previously AAAsf Class A-2 08162CAB6; LT AAAsf Affirmed; previously AAAsf Class A-3 08162CAC4; LT AAAsf Affirmed; previously AAAsf Class A-4 08162CAD2; LT AAAsf Affirmed; previously AAAsf Class A-AB 08162CAE0; LT AAAsf Affirmed; previously AAAsf Class A-S 08162CAF7; LT AAAsf Affirmed; previously AAAsf Class B 08162CAG5; LT AA-sf Affirmed; previously AA-sf Class C 08162CAH3; LT A-sf Affirmed; previously A-sf Class D 08162CAL4; LT BBBsf Affirmed; previously BBBsf Class E 08162CAN0; LT BBB-sf Affirmed; previously BBB-sf Class F-RR 08162CAQ3; LT BB+sf Affirmed; previously BB+sf Class G-RR 08162CAS9; LT BB-sf Affirmed; previously BB-sf Class J-RR 08162CAU4; LT B-sf Affirmed; previously B-sf Class X-A 08162CAJ9; LT AAAsf Affirmed; previously AAAsf Class X-D 08162CAY6; LT BBB-sf Affirmed; previously BBB-sf KEY RATING DRIVERS Increased Loss Expectations/Fitch Loans of Concern: Loss expectations have increased since issuance, primarily due to the Fitch Loans of Concern (FLOCS), many of which have been affected by the slowdown in economic activity related to the coronavirus. Fitch has designated six loans as Fitch Loans of Concern (15% of the pool), including four (13.4%) of which are in the top 15. Three of these FLOCs (3.8%) were 30 days delinquent as of the August 2020 remittance. No loans have transferred to special servicing. The largest FLOC, Willow Creek Corporate Center (6.4%), is secured by a seven-building, 420,000 sf office property located in Redmond, WA, approximately 18 miles northeast of the Seattle CBD and 10 miles northeast of the Bellevue CBD. The property's second largest tenant, GE Grid Solutions (36.7% of NRA), has vacated ahead of its scheduled May 2022 lease expiration. As a result, occupancy declined to 62.9% as of June 2020 from 100% at issuance. However, the largest tenant, Oculus VR, has executed a new lease of all of the former GE Grid Solutions space, commencing October 2020, increasing its footprint at the property above 86% of the NRA and would improve overall property occupancy back up to 100%. Fitch will continue to monitor property cash flow and occupancy until tenant takes occupancy. The servicer-reported YE 2019 net operating income (NOI) debt service coverage ratio (DSCR) was 1.76x. The second largest FLOC, 1800 Vine Street (3.1%), is secured by a 60,000-sf single-tenanted office building located at the intersection of Vine and Yucca streets in Hollywood, Los Angeles, CA. The property is located approximately 6.5 miles from downtown. The property is fully leased to Spaces, a co-working company that was acquired by IWG plc (fka Regus), through 2030. Fitch remains concerned about the co-working nature of the tenancy and the high submarket vacancy, which was 12.5% as of second quarter 2020 per Reis. The third largest FLOC, Aloft Portland Airport (2.1%), is secured by a 136-key limited service hotel located in Portland, OR, approximately two miles from the Portland International Airport (PDX). The loan underwent a minor renovation in 2017, which included guestrooms, fitness center, and meeting rooms. The loan is currently on the master servicer's watchlist due to the borrower's indication of cash flow issues related to the ongoing coronavirus pandemic. The loan is currently 30 days delinquent. The fourth largest FLOC, Creekside Oaks (1.8%), is secured by a 179,000 sf suburban office building located in Sacramento, CA. Approximately 69.3% of the NRA is scheduled to expire through 2021, including the top tenant, Centene (23.7% of NRA; lease expiry in September 2021), which announced in 2017 its plans to build a new corporate hub within Sacramento. Centene has an early termination option that began in August 2019, with 9-months' notice and a termination payment. Fitch has requested an update on the tenant's plans to vacate the property from the master servicer, but has not received a response. The loan remains current. The remaining two FLOCs are both secured by hotels and are outside of the top 15 loans. The Hampton Inn Portland Airport (1.3%) is a 129-room full-service hotel property and is currently on the master servicer's watchlist due to the borrower's indication of cash flow issues related to the coronavirus pandemic. Additionally, the property sustained heavy rain damage in August 2019 in which water entered guest rooms through a temporary roof cover in place during scheduled PIP repairs. The loan is currently 30 days delinquent. The last FLOC, The Fairfield Emporia Virginia (0.4%), is also currently on the master servicer's watchlist after cash management commenced following NCF DSCR falling below 1.00x. The loan is currently 30 days delinquent. Minimal Changes to Credit Enhancement: As of the August 2020 remittance, the pool's aggregate principal balance has been paid down by 0.5% to $1.140 billion from $1.147 billion at issuance. All 55 loans remain in the pool. Eighteen loans (22.9% of the pool) have a partial interest-only component, five of these loans have begun to amortize. Twenty-two loans (60.2%) are interest-only for the full loan term, including 12 loans (52.2%) in the top 15. Minimal Changes to Credit Enhancement: As of the August 2020 remittance, the pool's aggregate principal balance has been paid down by 0.5% to $1.140 billion from $1.147 billion at issuance. All 55 loans remain in the pool. Eighteen loans (22.9% of the pool) have a partial interest-only component, five of these loans have begun to amortize. Twenty-two loans (60.2%) are interest-only for the full loan term, including 12 loans (52.2%) in the top 15. Investment-Grade Credit Opinion Loans: At issuance, five loans (28.1% of the pool) received investment-grade credit opinions: The Aventura Mall (9.6%) received a stand-alone credit opinion of 'Asf'; Moffett Towers II - Building 1 (6.7%) received a stand-alone credit opinion of 'BBB-sf'; West Coast Albertsons Portfolio (5.7%) received a stand-alone credit opinion of 'BBB+sf'; Workspace (3.5%) received a stand-alone credit opinion of 'Asf'; and TriBeCa House Conduit (2.6%) received a stand-alone credit opinion of 'BBBsf'. Maturity Concentrations: Seven loans (14.5% of the pool) mature in 2023. The remaining pool (85.6%) mature in 2028. RATING SENSITIVITIES The Negative Outlooks on classes G-RR and J-RR reflect performance concerns stemming from the reduced economic activity as a result of the coronavirus pandemic. Classes A-1 through F-RR have Stable Outlooks due to sufficient credit enhancement relative to expected losses and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. Upgrades to the 'BBBsf' category would also consider 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 interest shortfalls are likely. Upgrades to the 'Bsf' and 'BBsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades of the 'Asf', 'AAsf' and 'AAAsf' categories are not considered likely due to the position in the capital structure, but may occur at 'AAsf' and 'AAAsf' should interest shortfalls affect these classes. Downgrades of the 'BBBsf' category would occur should the performance of the FLOCs fail to stabilize or decline further. Downgrades to the 'Bsf' and 'BBsf' categories would occur should loss expectations increase significantly and/or the loans vulnerable to the coronavirus pandemic not stabilize. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects additional negative rating actions, including downgrades of a category or more and Negative Outlook revisions. 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). BENEFIT STREET XV: Moody's Confirms Ba3 Rating on Class D Notes --------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Benefit Street Partners CLO XV, 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$27,500,000 Class D Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class C and Class D Notes are referred to herein as the "Confirmed Notes." Moody's also downgraded the rating on the following notes: US$7,500,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class E Notes are referred to herein as the "Downgraded Notes." 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 August 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on July 2023. RATINGS RATIONALE The downgrade on the 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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3272, compared to 2843 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3200 reported in the August 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 17.87%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $490.7 million, or $9.3 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 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: $488,772,383 Defaulted Securities: $5,457,129 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3280 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.39% Weighted Average Recovery Rate (WARR): 47.8% 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. BENEFIT STREET XVI: Moody's Confirms Ba3 Rating on Class E Notes ---------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Benefit Street Partners CLO XVI, Ltd: US$30,000,000 Class D Senior Secured 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$29,350,000 Class E Secured 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 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 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 on January 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 (OC) levels. Consequently, Moody's has confirmed the rating on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3221, compared to 2812 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3169 reported in the August 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 16.56%. 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: $492,134,831 Defaulted Securities: $4,927,108 Diversity Score: 88 Weighted Average Rating Factor (WARF): 3228 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.39% Weighted Average Recovery Rate (WARR): 47.8% 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. BRISTOL PARK: Moody's Confirms Ba3 Rating on $24.8MM Cl. E-R Notes ------------------------------------------------------------------ Moody's Investors Service confirmed the ratings on the following notes issued by Bristol Park CLO, Ltd.: US$31,500,000 Class D-R Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$24,875,000 Class E-R Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes and the Class E-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on June 3, 2020 on the Confirmed Notes issued by the CLO. The CLO, originally issued in December 2016 and refinanced in February 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 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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3268, compared to 2831 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 3116 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 17.9% as of August 2020. Nevertheless, Moody's noted that all the OC tests, as well as the interest reinvestment 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: Paramount and principal proceeds balance: $542,877,372 Defaulted Securities: $1,340,513 Diversity Score: 73 Weighted Average Rating Factor (WARF): 3261 Weighted Average Life (WAL): 5.66 years Weighted Average Spread (WAS): 3.37% Weighted Average Recovery Rate (WARR): 47.34% 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. CBAM LTD 2018-7: Moody's Confirms Ba3 Rating on Class E Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by CBAM 2018-7, Ltd.: US$38,625,000 Class C Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Confirmed at A2 (sf); previously on April 17, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$50,250,000 Class D 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$37,500,000 Class E 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, 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 Class C, D, and E Notes issued by the CLO. The CLO, originally issued in July 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2023. RATINGS RATIONALE According to the July 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3020, compared to 2772 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2888 reported in the July 2020 trustee report [3]. Based on Moody's calculation, the current proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) is approximately 12%. 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. 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: Paramount and principal proceeds balance: $725,363,056 Defaulted Securities: $13,161,072 Diversity Score: 69 Weighted Average Rating Factor (WARF): 3036 Weighted Average Life (WAL): 5.9 years Weighted Average Spread (WAS): 3.50% Weighted Average Recovery Rate (WARR): 45.8% Par haircut in O/C tests and interest diversion test: 0.8% Finally, Moody's notes that it also considered the information in the August 2020 trustee report [4] which became available prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; 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. CITIGROUP COMMERCIAL 2014-GC19: Fitch Affirms B on Class F Debt --------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Citigroup Commercial Mortgage Trust 2014-GC19, commercial pass-through certificates, series 2014-GC19. RATING ACTIONS CGCMT 2014-GC19 Class A-3 17322AAC6; LT AAAsf Affirmed; previously AAAsf Class A-4 17322AAD4; LT AAAsf Affirmed; previously AAAsf Class A-AB 17322AAE2; LT AAAsf Affirmed; previously AAAsf Class A-S 17322AAF9; LT AAAsf Affirmed; previously AAAsf Class B 17322AAG7; LT AAAsf Affirmed; previously AAAsf Class C 17322AAH5; LT Asf Affirmed; previously Asf Class D 17322AAM4; LT BBBsf Affirmed; previously BBBsf Class E 17322AAP7; LT BBsf Affirmed; previously BBsf Class F 17322AAR3; LT Bsf Affirmed; previously Bsf Class PEZ 17322AAL6; LT Asf Affirmed; previously Asf Class X-A 17322AAJ1; LT AAAsf Affirmed; previously AAAsf Class X-B 17322AAK8; LT AAAsf Affirmed; previously AAAsf Class X-C 17322AAV4; LT BBsf Affirmed; previously BBsf KEY RATING DRIVERS Overall Stable Performance: Although Fitch's loss expectations have increased slightly since the last rating action in 2019 due to the social and market disruption caused by the effects of the coronavirus pandemic and related containment measures, overall pool performance has been stable. Based on the most recent servicer-reported financials, the pool's weighted average (WA) DSCR was 1.58x, compared to 1.55x at issuance, and the WA debt yield was 10.9%, compared to 9.6% at issuance. There are three specially serviced loans, representing 3.7% of the pool, all of which transferred since May 2020. In addition, one loan, representing 1.1% of the pool, is 60 days delinquent, but has not transferred to special servicing. The remainder of the pool continues to perform as expected. Increased Credit Enhancement (CE); Increased Defeasance: CE has increased from the continued collateral reduction of the pool from loan payoffs and scheduled amortization, which has helped to offset Fitch's increased loss projections. Within the past year, one loan with an original balance of $7.2 million was repaid ahead of its scheduled maturity. As of the August 2020 distribution, the pool's aggregate balance has been paid down by 29.1% to $720.2 million from $1.0 billion at issuance. In addition, defeasance has increased to 16 loans (19.5% of the pool), up from 10 loans (8.8%) at the last rating action. There are no scheduled loan maturities prior to 2023. Alternative Loss Considerations; Upcoming Rollover: One of the top 15 Fitch Loans of Concern (FLOCs) is Anthem Marketplace (2.0% of the pool). The collateral is a grocery-anchored retail property built in 2000 and located north of Phoenix, AZ. As of March 2020, the property was 94% occupied, with the two largest tenants, Safeway (48.8% of NRA) and Kindercare (8.7% of NRA), scheduled to roll in May 2021. Safeway's lease was previously scheduled to roll in May 2020, but the tenant executed a short-term one-year extension. In the event neither of these leases are extended beyond their 2021 expirations, the borrower will be faced with backfilling two major tenant spaces which account for nearly half of the property's base rental income. Fitch's analysis included a sensitivity stress which assumed a potential outsized loss of 30% on this loan given the potential for financial hardship should occupancy decline. Coronavirus Exposure: Overall pool performance is expected to be less impacted by the coronavirus given the diversity of the pool and the lack of significant exposure to sectors deemed most vulnerable to the pandemic. While retail makes up 28.3% of the pool balance, there is no regional mall exposure and only two loans (1.8% of the pool) are secured by hotels. The remaining pool is backed by multifamily (25%), mixed-use (25.1%), office (14.8%), manufactured housing (3.6%) and self-storage (1.5%). RATING SENSITIVITIES The Outlook on all classes remains Stable due to overall stable performance and increasing CE. Factors that could, individually or collectively, lead to a positive rating action/upgrade: Factors that lead to upgrades would include improved performance coupled with paydown and/or defeasance. An upgrade to classes C and PEZ would occur with increased paydown and/or defeasance, but would be limited as concentrations increase. An upgrade of class D could occur with stabilization of the FLOCs. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. An upgrade to 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/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the classes. Factors that could, individually or collectively, lead to a negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure and available credit support, but may occur should interest shortfalls occur. Downgrades to classes C and PEZ are possible should Fitch's projected losses increase due to declined pool performance or increased loan defaults. A downgrade to class D is possible should the performance of FLOCs decline further. Downgrades to classes E and F are possible should loans remain in special servicing, go unresolved and losses exceed expectations. 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. 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). CITIGROUP COMMERCIAL 2015-101A: Fitch Affirms B- on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Citigroup Commercial Mortgage Trust 2015-101A, commercial mortgage pass-through certificates series 2015-101A. RATING ACTIONS CGCMT 2015-101A Class A 17290MAA2; LT AAAsf Affirmed; previously AAAsf Class B 17290MAJ3; LT AA-sf Affirmed; previously AA-sf Class C 17290MAL8; LT A-sf Affirmed; previously A-sf Class D 17290MAN4; LT BBB-sf Affirmed; previously BBB-sf Class E 17290MAQ7; LT BB-sf Affirmed; previously BB-sf Class F 17290MAS3; LT B-sf Affirmed; previously B-sf Class X-A 17290MAE4; LT AAAsf Affirmed; previously AAAsf Class X-B 17290MAG9; LT A-sf Affirmed; previously A-sf KEY RATING DRIVERS Stable Performance and Cash Flow: Performance of the property is stable as exhibited by strong occupancy and limited near-term rollover. As of year-end 2019, the NOI debt service coverage ratio (DSCR) was 2.37x, compared with 2.05x at issuance. Occupancy has improved to 99.7% as of July 2020 from 94.5% at issuance. High-Quality Manhattan Asset: The certificates represent the beneficial ownership in the issuing entity, the primary asset of which is one loan secured by the leasehold interest in the 101 Avenue of the Americas office property in New York, NY. The 23-story, class A office building is located within the South Broadway/Hudson Square submarket in Manhattan. The property was gut renovated between 2011 and 2013, including upgraded building systems as well as a new lobby, restrooms, and green roof terrace. The two largest tenants, NY Genome Center (38.5% of total square footage) and Two Sigma (32.3%) occupy approximately 71% of the property. Other major tenants include Digital Ocean (10.3%) and HQ Global Workplaces (7.3%). Limited Near-Term Rollover: The property has no immediate rollover until 2023 when 7.3% of leases expire. The majority of the building rollover is associated with the two largest tenants, which both roll prior to the loan's maturity date in January 2035. The largest tenant (NY Genome Center) has lease expiration in 2033 and the second largest tenant (Two Sigma) expires in 2029. Concentrated Tenancy: Tenancy in the building is concentrated with the five largest tenants representing 94% of the gross leasable area (GLA). The majority of the building comprises the two largest tenants representing 71% of the GLA, both of which are on long-term leases. Leasehold Interest: The property is subject to a 99-year ground lease that expires in December 2088. The loan is structured with monthly reserves for all payments associated with the ground lease and is recourse to the borrower and guarantor for termination of the ground lease. Interest Only Loan: The loan is interest only (annual interest rate of 4.65%) for the entire 20-year term. Coronavirus Exposure: The Fitch-rated bonds are secured by a single property and are therefore more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. The social and market disruption caused by the effects of the coronavirus pandemic and related containment measures were not a factor in this review. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. No rating actions are anticipated unless there are material changes in property occupancy, cash flow, or market performance. The property performance is consistent with issuance expectations. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A significant increase in property cash flow. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A significant decline in asset and/or market occupancy; -- A significant deterioration in property cash flow. COMM 2015-CCRE27: Fitch Lowers Rating on Class F Debt to CCCsf -------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 12 classes of Deutsche Bank Securities, Inc.'s COMM 2015-CCRE27 Mortgage Trust. RATING ACTIONS COMM 2015-CCRE27 Class A-2 12635QBD1; LT AAAsf Affirmed; previously AAAsf Class A-3 12635QBF6; LT AAAsf Affirmed; previously AAAsf Class A-4 12635QBG4; LT AAAsf Affirmed; previously AAAsf Class A-M 12635QBJ8; LT AAAsf Affirmed; previously AAAsf Class A-SB 12635QBE9; LT AAAsf Affirmed; previously AAAsf Class B 12635QBK5; LT AA-sf Affirmed; previously AA-sf Class C 12635QBL3; LT A-sf Affirmed; previously A-sf Class D 12635QAL4; LT BBB-sf Affirmed; previously BBB-sf Class E 12635QAN0; LT BB-sf Affirmed; previously BB-sf Class F 12635QAQ3; LT CCCsf Downgrade; previously B-sf Class X-A 12635QBH2; LT AAAsf Affirmed; previously AAAsf Class X-B 12635QAA8; LT AA-sf Affirmed; previously AA-sf Class X-C 12635QAC4; LT BBB-sf Affirmed; previously BBB-sf KEY RATING DRIVERS Increased Loss Expectations/ High Concentration of Fitch Loans of Concern: The downgrade and Negative Outlooks reflect an increase in Fitch's loss expectations, primarily due to the performance deterioration on an increasing number of Fitch Loans of Concern (FLOCs), primarily the result of the slowdown in economic activity related to the coronavirus. Fitch has designated 19 loans (33.4% of pool) as FLOCs, which includes 12 loans (23.4%) that have recently transferred to special servicing. Fitch Loans of Concern/Specially Serviced Loans: The largest FLOC and the second largest loan in the pool, NMS Los Angeles Multifamily Portfolio (7.8%), transferred to the special servicer in July 2020 after requesting coronavirus relief. The loan remains current as of August 2020. The loan is secured by a portfolio of six multifamily properties, totaling 384 units and located in Santa Monica, Los Angeles, Northridge, and Canoga Park California. As of YE 2019 the properties were 88% occupied down from 94% at YE 2018 and performing at a 2.43x NOI DSCR at YE 2019 compared to 2.38x at YE 2018. The loan is full term interest only and matures in September 2025. The second largest FLOC and the fifth largest loan in the pool, Midwest Shopping Center Portfolio (4.2%), transferred to the special servicer in July 2020 for imminent monetary default due to the coronavirus pandemic. The loan became 90 days delinquent in August 2020. Per the servicer, loan is also being monitored due to an FBI investigation into the loan guarantor. The loan is secured by a portfolio of six retail properties located in Iowa, Illinois, Oklahoma, and Missouri with a total of 889,413 sf. As of April 2020, the property was 82% occupied down from 90% at issuance and performing at a 1.63x NOI DSCR at YE 2019 compared to 1.54x at YE 2018. The loan is amortizing and matures in July 2025. The third largest FLOC and the seventh largest loan in the pool, Hotel deLuxe (3.6%), was transferred to the special servicer in June 2020 for imminent monetary default due to the coronavirus pandemic. The loan became 120 days delinquent in August 2020. The loan is secured by a 130 room, full-service hotel located in Portland, Oregon. NOI declined by 16% from YE 2018 to YE 2019 and the NOI DSCR declined to 1.34x at YE 2019 from 1.61x at YE 2018, indicating the property was facing some performance challenges prior to the coronavirus outbreak. Per the March 2020 STAR Report, the running 12-month occupancy, average daily rate (ADR), revenue per available room (RevPAR) were 76%, $155, $118 vs 77%, $161, $124 for the comp set. The fourth largest FLOC, Green Valley Corporate Center (3.1%), is secured by three office buildings totaling 163,052 sf located in Henderson, NV. Occupancy has declined to 76% as of March 2020 from 95.7% at issuance. The previous largest tenant at the property, International Academy of Design and Technology, leased a full building (30.6% of total NRA) at issuance, downsized by approximately half to 15% in April 2016 (as was expected at issuance), and then vacated the building completely in December 2017. In November 2018, the property was acquired by JMA Ventures via a loan assumption for $34 million. The YE 2019 net operating income (NOI) DSCR is 1.38x up from 1.24x at YE 2018 but down considerably from 3.56x at YE 2015 after the interest only period expired in August 2017. The properties have lease rollover of 6.4% in 2020, 12.6% in 2021, and 26.9% in 2022. The fifth largest FLOC, Village Square at Kiln Creek (2.3%), is secured by a 267,021-sf retail center located in Yorktown, VA. The largest tenant, Kmart (72% of NRA), has vacated the space but continues to make lease payments and the lease expires in November 2023. Kroger subleases approximately half of Kmart's space and invested a significant amount in both the new grocery store and an 18-pump fuel station that opened in May 2015. AC Moore and Dress Barn vacated in the past year causing occupancy as of April 2020 to decline to 88% compared to 98.4% as of June 2019. The YE 2019 debt service coverage ratio (DSCR) was 1.80x compared to 1.85x ay YE 2018 1.64x at YE 2017. 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 collateralized by retail properties and mixed-use properties with a retail component account for 19 loans (21.9% of the pool). Hotel properties account for eight loans (13.6% of the pool), including three (7.9%) in the top 15. Fourteen loans (32.8%) are secured by multifamily properties, including three (20.1%) of the top five loans. Fitch's base case analysis applied additional stresses to six hotels and 16 retail and mixed-use loans due to their vulnerability to the coronavirus pandemic. These additional stresses contributed to the downgrade on class F and Negative Rating Outlooks on classes D, E and X-C. Increasing Credit Enhancement: As of the August 2020 remittance, the aggregate pool balance has been reduced by 10.9% to $829.9 million from $931.6 million at issuance. Since Fitch's last rating action, three loans (7.1% of the pool balance at the last rating action) have repaid. Seven loans (7.6% of the pool) are defeased, compared with seven loans (7.8 % of the pool) at Fitch's last rating action. Based on the scheduled balance at maturity, the pool is expected to pay down by 11.3%. Eight loans (23.2%), including the top two loans in the pool, are full-term, interest only, while seven loans (15.9%) remain in their partial interest-only periods with six of those set to expire in the next two months. Limited Upcoming Maturities: Only 1% of the pool is scheduled to mature in 2020. The majority of the pool matures in 2025 (99%). RATING SENSITIVITIES The downgrade to class F and Negative Outlooks on classes D, E , and X-C reflect performance concerns over the FLOCs, including 12 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 through C, X-A, and X-B reflect the substantial CE to the classes and senior position in the capital stack along with expected continued amortization. Factors that could, individually or collectively, lead to a 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 'AA-sf' and 'A-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. Upgrades of the 'BBB-sf' and 'BB-sf' rated classes are considered unlikely in the near term 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 of interest shortfalls. The 'CCCsf' rated class is 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 a 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 super-senior 'AAAsf'-rated classes are not likely due to the high CE and amortization, but could occur if there are interest shortfalls, or if a high proportion of the pool defaults and expected losses increase significantly. A downgrade of one category to the junior 'AAAsf' rated class (class A-M) is possible should expected losses for the pool increase significantly and/or should many of the loans susceptible to the coronavirus pandemic suffer losses. Downgrades to 'AA-sf'- and 'A-sf'-rated classes are possible should performance of the FLOCs continue to decline, if additional loans transfer to special servicing and/or should loans susceptible to the coronavirus pandemic do not stabilize. Downgrades to 'BBB-sf' and 'BB-sf' rated classes with Negative Outlooks would occur should loss expectations increase due to an increase in specially serviced loans, the disposition of a specially serviced loan/asset at a high loss, or a decline in the FLOCs' performance. The Negative Rating Outlooks 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. The 'CCCsf' rated class could be further downgraded should losses become more certain or are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, classes with Negative Rating Outlooks will be downgraded one or more categories. CROWN POINT III: Moody's Confirms Ba3 Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Crown Point CLO III, Ltd.: US$15,000,000 Class C-1-R Senior Secured Deferrable Floating Rate Notes Due December 2027 (the "Class C-1-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$10,000,000 Class C-2-R Senior Secured Deferrable Floating Rate Notes Due December 2027 (the "Class C-2-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$17,800,000 Class D Secured Deferrable Floating Rate Notes Due December 2027 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class C-1-R Notes, the Class C-2-R Notes, and the Class D Notes are referred to herein, collectively, as the Confirmed Notes. This action concludes the review for downgrades initiated on April 17, 2020 on the Class C-1-R Notes, the Class C-2-R Notes, and the Class D Notes issued by the CLO. The CLO, originally issued in April 2015 and partially 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 ended in August 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 and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3401, compared to 2914 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2539 reported in the August 2020 trustee report [3]. Based on Moody's current calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 27.3%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $272.8 million. Nevertheless, Moody's noted that the OC tests for the Class A, Class B, Class C and the Class D 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: $268,853,049 Defaulted Securities: $10,549,231 Diversity Score: 54 Weighted Average Rating Factor (WARF): 3394 Weighted Average Life (WAL): 3.51 years Weighted Average Spread (WAS): 3.52% Weighted Average Recovery Rate (WARR): 48.16% Par haircut in O/C tests and interest diversion test: 2.89% 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. CSAIL 2015-C3: Fitch Lowers Rating on Class F Certs to CC --------------------------------------------------------- Fitch Ratings has downgraded six and affirmed nine classes of CSAIL 2015-C3 Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2015-C3. RATING ACTIONS CSAIL 2015-C3 Class A-2 12635FAR5; LT AAAsf Affirmed; previously at AAAsf Class A-3 12635FAS3; LT AAAsf Affirmed; previously at AAAsf Class A-4 12635FAT1; LT AAAsf Affirmed; previously at AAAsf Class A-S 12635FAX2; LT AAAsf Affirmed; previously at AAAsf Class A-SB 12635FAU8; LT AAAsf Affirmed; previously at AAAsf Class B 12635FAY0; LT AA-sf Affirmed; previously at AA-sf Class C 12635FAZ7; LT A-sf Affirmed; previously at A-sf Class D 12635FBA1; LT Bsf Downgrade; previously at BBB-sf Class E 12635FAG9; LT CCCsf Downgrade; previously at Bsf Class F 12635FAJ3; LT CCsf Downgrade; previously at CCCsf Class X-A 12635FAV6; LT AAAsf Affirmed; previously at AAAsf Class X-B 12635FAW4; LT AA-sf Affirmed; previously at AA-sf Class X-D 12635FBB9; LT Bsf Downgrade; previously at BBB-sf Class X-E 12635FAA2; LT CCCsf Downgrade; previously at Bsf Class X-F 12635FAC8; LT CCsf Downgrade; previously at CCCsf KEY RATING DRIVERS Increasing Loss Expectations: The downgrades of classes D, X-D, E, X-E, F and X-F and the Negative Outlooks are based on the rising loss expectations, recent transfers to special servicing, and the declining performance of the Fitch Loans of Concern, primarily the result of the slowdown in economic activity related to coronavirus. Since March 2020, eight loans (21.1%) have transferred to special servicing. Twenty-four loans/assets (42.9%) have been designated as Fitch Loans of Concern including twelve (24.3%) in special servicing. Three loans (18.0%) are secured by regional malls, one of which (7.6%) is in special servicing. Specially Serviced Loans/Assets: The largest specially serviced loan is the third largest loan in the pool, The Mall of New Hampshire (7.6%), a regional mall sponsored by Simon and located in Manchester, NH. Sears, a non-collateral anchor that owns their own box, closed in November 2018 and has re-leased a portion of the space to Dick's Sporting Goods and Dave & Buster's. The loan transferred to special servicing in May 2020 due to the coronavirus pandemic. The special servicer is in the process of negotiating a short-term forbearance with the borrower. As of the August remittance, the loan is 90+ days delinquent. The Starwood Capital Extended Stay Portfolio (7.6%) is a 50-property extended stay hotel portfolio consisting of 6,106 rooms across 12 states. The loan transferred to special servicing in June 2020 after the borrower indicated that they would be unable to refinance the loan at its July 2020 maturity. The special servicer is negotiating a twelve-month extension to give the borrower time to refinance. As of the August remittance, the loan remains current. Hampton Inn - Point Loma (1.8%) is a 207-key limited service hotel located in San Diego, CA. The loan has been a Fitch Loan of Concern for several years due to underperformance resulting in a sustained decline in cash flow. The loan transferred to special servicing in June 2020 when the borrower requested relief due to the coronavirus pandemic. As of YE 2019, the hotel was performing at a 1.16x NOI debt service coverage ratio (DSCR). As of the August remittance, the loan is 30 days delinquent. The WPC Department Store Portfolio (1.3%) consists of six single-tenant retail properties that were 100% leased by Bon-Ton stores at issuance. The loan transferred to the special servicer when Bon-Ton filed for bankruptcy in February 2018. As part of the bankruptcy, the company surrendered its leases and vacated the properties. All six properties remain fully vacant, and recent appraisals indicate that significant losses are likely. The properties are within regional malls located in the Milwaukee MSA (3), Green Bay, WI, Joliet, IL and Fargo, ND. Nine smaller loans are also in special servicing due to the departure of a major tenant, requests for relief due to the coronavirus pandemic, performance declines, energy sector exposure, and a technical default where the borrower was not depositing all rents into a clearing account as required by the loan documents. Fitch Loans of Concern: Twelve loans (18.6%) are non-specially serviced Fitch Loans of Concern (FLOCs). The largest performing FLOC is Westfield Wheaton (7.3%), a 1.6 million sf regional mall in Wheaton, MD in the Washington DC metro with declining anchor sales, and strong nearby competitors. The mall is anchored by Target, JC Penney, and Macy's. Occupancy has remained stable near 95% since issuance and as of YE 2019, the loan is performing at a 3.05x IO NOI DSCR compared to 3.11x at YE 2018. Westfield Trumbull (3.1%) is a 1.1 million sf regional mall in Trumbull, CT in the Bridgeport metro area with flat sales and significant upcoming tenant roll. The mall is anchored by Macy's, Target, JC Penney, and Lord and Taylor. Macy's (18.9% NRA) lease expired in December 2018 but has gone month-to-month with a 12-month notice period, per the master servicer. Lord and Taylor (10.4% NRA) will close this store as part of their bankruptcy. Additionally, the borrower has plans to add 260 units of housing to the property and received zoning approval from the city in September 2018. The Hendry Multifamily Portfolio (1.9%) is a three-property, 325-unit multifamily portfolio located in the Tampa and Miami metro areas in Florida. Cash flow declined in 2017 and has remained below Fitch's issuance expectations since then. As of YE 2019, the portfolio was 88% occupied and performing at a 0.94x NOI DSCR. An additional NOI haircut was applied to this property as a stress test due to coronavirus. Smaller FLOCs include numerous loans with additional cash flow stresses due to the negative impact of the coronavirus and two smaller loans where major tenants have departed. Coronavirus Exposure: The pool contains twelve loans (24.2%) secured by hotels with a weighted-average NOI DSCR of 2.66x. Retail properties account for 33.9% of the pool balance and have weighted average NOI DSCR of 1.96x. 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 two hotel and eight retail loans due to their vulnerability to the coronavirus pandemic. These additional stresses contributed to the downgrades of classes D, X-D, E, X-E, F, and X-F and the Outlook revisions to Negative on classes A-S and X-A. In addition, an ESG relevance score of '4' for Social Impacts was applied as a result of exposure to a sustained structural shift in secular preferences affecting consumer trends, occupancy trends, and more, which, in combination with other factors, affects the ratings. Minimal Change to Credit Enhancement: As of the August 2020 distribution date, the pool's aggregate principal balance has paid down by 6.9% to $1.32 billion from $1.42 billion at issuance. Interest shortfalls are currently affecting class NR. Eight loans (4.7%) have been defeased. At issuance, the pool was scheduled to amortize by 11.3% of the initial pool balance through maturity. Of the current pool, 25.7% of the loans are full-term interest-only and 43.1% are partial interest-only. Of the partial interest-only loans, 38 (39.6%) have begun amortizing and the remaining two (3.5%) will begin to amortize in September 2020. RATING SENSITIVITIES The Negative Outlooks on classes A-S, X-A, B, X-B, C, D and X-D reflect the potential for a near-term rating change should the performance of the FLOCs, specifically specially serviced loans, 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 the super senior classes reflects the stable performance of the remainder of the pool along with expected continued amortization. Factors that lead to upgrades would include stable to improved asset performance coupled with significant paydown and/or defeasance. Upgrades of classes B, X-B, and C would only occur with significant improvement in credit enhancement and/or defeasance, but would be limited should the deal be susceptible to a concentration whereby the underperformance of particular loan(s) could cause this trend to reverse. While a significant portion of the pool remains in special servicing, upgrades are unlikely. An upgrade to classes D and X-D is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or if there is sufficient credit enhancement, which would likely occur when the 'CCCsf' or below classes are not eroded and the senior classes payoff. An upgrade to classes E, X-E, F, and X-F is extremely unlikely without significant paydown or defeasance and the resolution of the three regional mall loans without substantial losses. Factors that lead to downgrades include a further increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf' senior classes, A-2, A-3, A-4, A-S, X-A and A-SB may occur should loan level losses increase further, if additional loans transfer to special servicing, or should interest shortfalls occur. Downgrades to B, C, and X-B-rated classes are possible should performance of the FLOCs continue to decline, if additional loans transfer to special servicing and/or should loans susceptible to the coronavirus pandemic do not stabilize. The Mall of New Hampshire is in special servicing after the borrower requested relief due to the coronavirus pandemic, but if the borrower indicated a desire to give back the keys or the loan were to go REO, class C would be downgraded. Downgrades to classes D and X-D would occur should loss expectations increase due to an increase in the certainty of losses on the specially serviced loans. The Negative Rating Outlooks 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. Downgrades to classes E, X-E, F and X-F would occur as losses are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Outlook or those with Negative Outlooks will be downgraded one or more categories. DBJPM 2020-C9: Fitch Gives B- Rating on Class G Certs ----------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to DBJPM 2020-C9 Mortgage Trust commercial mortgage pass-through certificates series 2020-C9: RATING ACTIONS DBJPM 2020-C9 Fitch rates the transaction and assign Rating Outlooks as follows: -- $5.2 million class A-1 'AAAsf'; RO:Sta; -- $104.9 million class A-2 'AAAsf'; RO:Sta; -- $61.7 million class A-3 'AAAsf'; RO:Sta; -- $4.9 million class A-SB 'AAAsf'; RO:Sta; -- $67.8 million class A-4 'AAAsf'; RO:Sta; -- $174.9 million class A-5 'AAAsf'; RO:Sta; -- $491.4 million class X-A 'AAAsf'; RO:Sta; -- $71.9 million class A-M 'AAAsf'; RO:Sta; -- $22.5 million class B 'AA-sf'; RO:Sta; -- $22.5 class C 'A-sf'; RO:Sta; -- $44.9 million class X-B 'A-sf'; RO:Sta; -- $24 million class X-D 'BBB-sf'; RO:Sta; -- $13.5 class X-F 'BB-sf'; RO:Sta; -- $6 million class X-G 'B-sf'; RO:Sta; -- $15.7 million class D 'BBBsf'; RO:Sta; -- $8.2 million class E 'BBB-sf'; RO:Sta; -- $13.5 million class F 'BB-sf'; RO:Sta; -- $6 million class G 'B-sf'; RO:Sta. The following classes are not rated by Fitch: -- $19.5 million class H; -- $19.5 million class X-H; -- $24.9 million class RR Certificates; -- $6.6 million class RR Interest. Since Fitch published its expected ratings on August 17, the following change occurred. Class X-B now also references class C in addition to class B. Fitch's rating on class X-B was updated to 'A-sf', reflecting the ratings of class C, the lowest class referenced tranche whose payable interest has an effect on the interest-only payments. The classes above reflect the final ratings and deal structure. 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 ratings are based on information provided by the issuer as of August 26, 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 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'. DRYDEN 40: Moody's Lowers $12MM Class F-R Notes to Caa2 ------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Dryden 40 Senior Loan Fund: US$33,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$33,000,000 Class E-R Junior Secured 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 D-R Notes, and the Class E-R Notes are referred to herein, collectively, as the "Confirmed Notes." Moody's also downgraded the rating on the following notes: US$12,000,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class F-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, Class E-R, and Class F-R Notes issued by the CLO. The CLO, originally issued in July 2015 and refinanced in August 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on August 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 June 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3218, compared to 3059 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2779 reported in the June 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 15.67% as of June 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $591.5 million, or $8.5 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: $585,553,132 Defaulted Securities: $13,916,709 Diversity Score: 89 Weighted Average Rating Factor (WARF): 3135 Weighted Average Life (WAL): 6.0 years Weighted Average Spread (WAS): 3.31% Weighted Average Recovery Rate (WARR): 47.9% Finally, Moody's notes that it also considered the information in the July 2020 trustee report [5] which became available prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The rapid spread of the coronavirus outbreak, the government measures put in place to contain it and the deteriorating global economic outlook, have created a severe and extensive credit shock across sectors, regions and markets. Its analysis has considered the effect on the performance of corporate assets from the collapse in the US economic activity in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. ELEVATION CLO 2018-9: Moody's Cuts Class E Notes to B1 ------------------------------------------------------ Moody's Investors Service downgraded the rating on the following notes issued by Elevation CLO 2018-9, Ltd.: US$20,190,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class E Notes are referred to herein as the "Downgraded Notes." Moody's also confirmed the rating on the following notes: US$23,850,000 Class D 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 The Class D Notes are referred to herein as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D and Class E Notes issued by the CLO. The CLO, originally issued in August 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on July 2023. RATINGS RATIONALE The downgrade on the 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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3205, compared to 2778 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3100 reported in the August 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 16.5%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $360.6 million, or $6.4 million less than the deal's ramp-up target par balance. Nevertheless, Moody's noted that the OC tests for the Class A/B, Class C, Class D and Class E Notes, as well as the interest diversion test were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $358,990,849 Defaulted Securities: $3,996,337 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3185 Weighted Average Life (WAL): 5.7 years Weighted Average Spread (WAS): 3.43% Weighted Average Recovery Rate (WARR): 47.09% Par haircut in O/C tests and interest diversion test: 0.1% 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 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. FREDDIE MAC 2020-DNA4: DBRS Finalizes BB Rating on 15 Tranches -------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Structured Agency Credit Risk (STACR) REMIC 2020-DNA4 Notes (the Notes) 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) -- $150.0 million Class B-1A at B (high) (sf) -- $150.0 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) -- $300.0 million Class B-1 at B (low) (sf) -- $150.0 million Class B-1AR at B (high) (sf) -- $150.0 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 rise 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. FREED ABS 2020-1: Moody's Lowers Rating on Class C Notes to B1 -------------------------------------------------------------- Moody's Investors Service downgraded one tranche and confirmed three tranches of notes issued by three consumer loan securitizations. The bonds are backed by pools of unsecured consumer installment loan contracts originated and serviced by multiple parties. The complete rating actions are as follows: Issuer: FREED ABS Trust 2019-2 Class B Notes, Confirmed at Baa3 (sf); previously on May 8, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: FREED ABS Trust 2020-1 Class B Notes, Confirmed at Baa3 (sf); previously on May 8, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade Class C Notes, Downgraded to B1 (sf); previously on May 8, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Prosper Marketplace Issuance Trust, Series 2018-2 Class C Notes, Confirmed at B2 (sf); previously on May 8, 2020 B2 (sf) Placed Under Review for Possible Downgrade These actions conclude the reviews for downgrade initiated on May 8, 2020. RATINGS RATIONALE The rating action reflects its revised loss expectations for the underlying consumer installment loans driven by an increased likelihood of deterioration in the performance of the underlying consumer installment loans as a result of a slowdown in economic activity and an increase in unemployment due to the coronavirus outbreak. In its analysis, Moody's considered up to an approximately 40% increase in remaining expected losses on the underlying pools due to financial hardships as a result of the outbreak. This analysis considers the percentage of loans granted payment deferrals for the underlying pools, and Moody's expects approximately 30% of the borrowers granted such deferrals to be unable to resume making payments after the conclusion of the deferral period ('borrowers in non-payment'). Further, Moody's expects approximately 50% default rate for the borrowers in non-payment. The proportion of borrowers receiving a hardship deferral in these pools ranged between 8% and 13%. Its analysis also reflects individual transaction specifics such as overcollateralization, reserve fund targets, availability of excess spread and continued deleveraging of the deals in recent months. The Prosper transaction is backed by a pool of unsecured consumer installment loans originated by Prosper Funding LLC (Prosper) in partnership with WebBank, a Utah state-chartered industrial bank, and serviced through the online platform operated by Prosper. FREED transactions are backed by unsecured consumer installment loans originated by Cross River Bank, a New Jersey state-chartered commercial bank, through a loan program established by Freedom Financial Asset Management, LLC (FFAM), who also acts as the servicer of the loans. The rapid spread of the COVID-19 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. Specifically, for US personal loan ABS, performance will weaken due to the unprecedented spike in the unemployment rate, which may limit borrowers' income and their ability to service debt. Furthermore, borrower assistance programs to affected borrowers, such as payment deferrals, may adversely impact scheduled cash flows to bondholders. 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 COVID-19 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 Approach to Rating Consumer Loan-Backed ABS" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to offset current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations as a result of a lower than expected cumulative charge-offs. Favorable regulatory policies and legal actions could also move the ratings up. Down Levels of credit protection that are lower than necessary to offset current expectations of loss could drive the ratings down. Losses could increase above Moody's expectations as a result of higher than expected cumulative charge-offs. Adverse regulatory and legal risks, specifically legal issues stemming from the origination model and whether interest rates charged on some loans could violate usury laws, could also move the ratings down. GOLUB CAPITAL 22(B)-R: Moody's Confirms Ba3 Rating on Cl. E-R Debt ------------------------------------------------------------------ Moody's Investors Service has confirmed the ratings on the following notes issued by Golub Capital Partners CLO 22(B)-R, Ltd.: US$32,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$22,500,000 Class E-R Secured 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 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 the Class E-R Notes issued by the CLO. The CLO, originally issued in March 2015 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 will end in January 2023. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (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 3563, compared to 3088 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2994 reported in the July 2020 trustee report [3]. Based on Moody's calculation using the latest ratings as of August, the proportion of obligors in the July portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 25.6%. Nevertheless, Moody's noted that the OC tests for the Class D-R 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: $496,150,344 Defaulted Securities: $3,516,232 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3569 Weighted Average Life (WAL): 5.7 years Weighted Average Spread (WAS): 3.54% Weighted Average Recovery Rate (WARR): 47.5% Par haircut in O/C tests and interest diversion test: 2.9% Finally, Moody's notes that it also considered the information in the August 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. 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. GOLUB CAPITAL 35(B): Moody's Confirms Ba3 Rating on Cl. E-R Notes ----------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Golub Capital Partners CLO 35(B), Ltd.: US$25,100,000 Class C-R Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$33,500,000 Class D-R Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$28,600,000 Class E-R Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Confirmed at Ba3 (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 "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R and the Class E-R Notes and on June 3, 2020 on the Class C-R Notes issued by the CLO. The CLO, originally issued in July 2017 and refinanced in July 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 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 (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 3592, compared to 2865 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3300 reported in the July 2020 trustee report [3]. Based on Moody's calculation using latest ratings as of August, the proportion of obligors in the July portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 26.4%. 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: $498,694,936 Defaulted Securities: $4,845,920 Diversity Score: 62 Weighted Average Rating Factor (WARF): 3588 Weighted Average Life (WAL): 4.6 years Weighted Average Spread (WAS): 3.59% Weighted Average Recovery Rate (WARR): 47.5% Par haircut in O/C tests and interest diversion test: 2.8% Finally, Moody's notes that it also considered the information in the August 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. GS MORTGAGE 2010-C1: Moody's Lowers Rating on Class X Certs to Caa1 ------------------------------------------------------------------- Moody's Investors Service affirmed the ratings on three classes, confirmed the rating on one class, and downgraded the ratings on three classes in GS Mortgage Securities Corporation II Commercial Mortgages Pass-Through Certificates Series 2010-C1 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Mar 2, 2020 Affirmed Aaa (sf) Cl. B, Downgraded to Aa1 (sf); previously on May 29, 2020 Aaa (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to Ba1 (sf); previously on May 29, 2020 Downgraded to Baa3 (sf) and Remained On Review for Possible Downgrade Cl. D, Confirmed at Caa1 (sf); previously on May 29, 2020 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade Cl. E, Affirmed C (sf); previously on May 29, 2020 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on May 29, 2020 Downgraded to C (sf) Cl. X*, Downgraded to Caa1 (sf); previously on May 29, 2020 B3 (sf) Remained On Review for Possible Downgrade * Reflects interest-only classes RATINGS RATIONALE The rating on one P&I class was 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 due to the exposure to three regional mall loans and one retail property in special servicing. The largest loan in the pool, 660 Madison Avenue, failed to pay off at loan maturity and has transferred to special servicing. The rating on one P&I class was confirmed because the rating is consistent with Moody's expected loss. The ratings on two P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on one IO class was downgraded 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. 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 "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in May 2020. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the August 12, 2020 distribution date, the transaction's aggregate certificate balance has decreased by 71% to $225 million from $788 million at securitization. The certificates are collateralized by four mortgage loans ranging in size from 17% to 34% of the pool, which are secured by retail properties. All four loans are currently in special servicing. The largest specially serviced loan is the 660 Madison Avenue Retail Loan ($76.3 million -- 34% of the pool), which is secured by a 264,000 square foot (SF) retail property that formerly served as the Barneys New York flagship store. Barneys filed for Chapter 11 bankruptcy in August 2019 and was sold to Authentic Brands Group. Authentic Brands Group closed this location in February 2020. The property benefits from its superior location on Madison Avenue between East 60th Street and East 61st Street in Manhattan. The borrower is seeking an 18-month extension of the loan and a pre-negotiation letter was executed in June 2020. The loan failed to pay off at maturity and is now 30+ days delinquent. The loan has amortized 24% from securitization. The second largest specially serviced loan is the Burnsville Center Loan ($63.2 million -- 28.1% of the pool), which is secured by a portion of a regional mall located in Burnsville, Minnesota, a suburb located south of Minneapolis and St. Paul. The non-collateral anchors include Macy's and JC Penney, and collateral anchor stores include Dick's Sporting Goods and Gordman's. The property has one currently vacant non-collateral anchor, a former Sears that closed in 2017. Furthermore, Stage Stores (Gordman's parent company) filed for bankruptcy in May 2020 and may eventually liquidate all stores if they cannot find a buyer. The mall's performance peaked in 2015 and has since declined annually in both occupancy and tenant sales per square foot (PSF), with a significant drop during 2018 and 2019. According to CBL's 10k filings, the property's occupancy for tenants under 20,000 SF was 82% leased in December 2019, down from 94% in December 2017 and 96% in December 2016 and mall store sales for tenants under 20,000 SF were $276 PSF in 2019, down from $292 PSF in 2018, $320 PSF in 2017 and $339 PSF in 2016. While Burnsville Center is the only regional mall within the market south of the Minnesota River, it also competes with Twin Cities Premium Outlets. As a result of declining revenue, the 2019 reported net operating income (NOI) was 37% lower than in 2010. The departure of any additional anchor stores could trigger co-tenancy provisions and further accelerate the decline of the property's cash flow. The loan transferred to special servicing on January 8, 2020 due to imminent maturity default ahead of its July 2020 remittance date. The borrower requested a bifurcation, rate relief, and a loan maturity extension, which were all rejected. The loan was reclassified as working through the foreclosure process. The third largest specially serviced loan is the Mall at Johnson City Loan ($47.4 million -- 21.1% of the pool), which is secured a 571,319 square foot (SF) portion of a regional mall located in Johnson City, Tennessee. The mall is anchored by JC Penney, Belk, Dick's Sporting Goods, Forever 21 and formerly a Sears. The Sears store closed in January 2020. As of December 2018, in-line ( GS MORTGAGE 2012-GCJ9: Fitch Affirms Bsf Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed nine classes of GS Mortgage Securities Trust 2012-GCJ9 commercial mortgage pass-through certificates. RATING ACTIONS GS Mortgage Securities Trust 2012-GCJ9 Class A-3 36192PAJ5; LT AAAsf Affirmed; previously AAAsf Class A-AB 36192PAM8; LT AAAsf Affirmed; previously AAAsf Class A-S 36192PAT3; LT AAAsf Affirmed; previously AAAsf Class B 36192PAD8; LT AAsf Affirmed; previously AAsf Class C 36192PAG1; LT A-sf Affirmed; previously A-sf Class D 36192PAK2; LT BBB-sf Affirmed; previously BBB-sf Class E 36192PAN6; LT BBsf Affirmed; previously BBsf Class F 36192PAR7; LT Bsf Affirmed; previously Bsf Class X-A 36192PAQ9; LT AAAsf Affirmed; previously AAAsf KEY RATING DRIVERS Increased Loss Expectations: Fitch's loss expectations have increased compared with issuance, primarily due to the underperformance of a number of large Fitch Loans of Concern (FLOC). Fitch has designated ten loans (23.3% of pool) as FLOCs, including three specially serviced loans (7.6%). There are twelve loans (44.7%) on the servicer's watchlist for special servicing transfer, requesting coronavirus relief, concentrated tenant rollover, and underperformance. In addition, loss expectations have increased due to the slowdown in economic activity related to the coronavirus pandemic. The specially serviced loan Residence Inn - Albany Airport was disposed in November 2019 for a $3.3 million loss, in line with Fitch's loss expectations. Increased Credit Enhancement: Credit Enhancement has increased due to amortization, defeasance and loan maturities. As of the August 2020 distribution period, the pool's aggregate principal balance was reduced 3.3% to $1.036 billion from $1.389 billion at issuance with 63 loans remaining. Pool defeasance has increased to 23.5% compared with 19.2% at the time of Fitch's 2019 rating action. No loans are scheduled to mature until 2022. Of the remaining pool balance, 17.7% of the pool is classified as full interest-only through the term of the loan while the remaining 82.3% of the pool is amortizing. Exposure to Coronavirus: Of the non defeased collateral in the pool, there are three loans (6.6% of pool), which have a weighted average NOI debt service coverage ratio (DSCR) of 0.71x, are secured by hotel properties. Fourteen loans (11.0%), which have a weighted average NOI DSCR of 1.82x, are secured by retail properties. Seven loans (8.0%), which have a weighted average NOI DSCR of 1.57x, are secured by multifamily properties. Fitch's base case analysis applied additional stresses to one hotel loan, five retail loans and two multifamily loans given the significant declines in property-level cash flow expected in the short term as a result of the decrease in travel and tourism and property closures from the coronavirus pandemic. The additional stresses did affect the ratings. Fitch Loans of Concern: The Jamaica Center loan is secured by a leasehold interest in a retail and office mixed-use building in Queens, NY. The loan transferred to special servicing in August 2020 for payment default. The loan become 60 days delinquent in July 2020 and, as of the August distribution period, was 90+ Days delinquent. Gansevoort Park Avenue Hotel is a boutique luxury hotel that opened in 2010, it is located on the corner of Park Avenue and 29th Street in the NoMad section of Manhattan. After becoming 60 days delinquent in July 2020, the loan has been brought current after a forbearance modification was executed in August 2020. Modifications terms include a three-month deferral period for principal and interest with an extension option. YE 2019 NOI was approximately 66% below bank underwriting. The decline can primarily be attributed to a substantial decrease in departmental revenue and an increase in real estate taxes. Subject YE 2019 NOI DSCR fell to .65x compared with underwritten NOI DSCR at issuance of 1.94x. Miami Center is securitized by an office property located on Biscayne Bay, in downtown Miami, FL. Between issuance and December 2019, occupancy at the subject property fell from 83.7% to 69%. Year-end 2019 NOI is approximately 22% below bank underwriting (increase of 6% YoY) as a result of flat to increasing expenses and falling rental revenue due to the declining occupancy. Year-end 2019 NOI DSCR was 1.21x compared to 1.54x at bank underwriting. The loan is cash managed. Parkview West is secured two separate properties known as Parkview West and Parkview Fountain City, both are senior independent living apartment communities located west and north of the Knoxville, TN. Subject occupancy fell to 82% at YE 2017, underwritten occupancy at issuance of 95%. The borrower has taken steps to improve occupancy including increasing advertising, starting a referral program and decreasing staff turnover. This resulted of a drastic increase in total operating expenses and YE 2019 fell to 0.95x compared with underwritten NOI DSCR at issuance of 1.54x. Barret Summit is a suburban office property located in Kennesaw, GA. The loan is on the watchlist for low occupancy. As of YE 2019, subject occupancy was 47%. Brasfield & Gorrie, LLC (NRA 38.7%) prior to their February 2021 lease expiration. According to watchlist comments, the borrower is working with several large prospective tenants to backfill the space. The loan is being set up for cash management/cash trap. Central Plaza is a community shopping center located in Lubbock, TX. The loan became 60 days delinquent in June 2020 and as of the August 2020 reporting period, the loan was classified as 30 days delinquent. 1300 Woodfield is a suburban office property located in Schaumburg, IL, and is a loan of concern due to low occupancy that was 72% as of YE 2019. Residence Inn - Buffalo is an extended stay lodging property located in Buffalo, NY, and transferred to special servicing in May 2019 for imminent monetary default. Expressway Plaza is a neighborhood center located in Kileen, TX, and is a loan of concern due to low occupancy that was 67% as of YE 2019. Holiday Inn Express Hotel & Suites Lancaster - Lititz is securitized by a limited service hotel located in Litiz, PA, and transferred to special servicing in April 2020 at the request of the borrower for imminent monetary default due to the coronavirus pandemic. RATING SENSITIVITIES The Stable Rating Outlooks on classes A-3 through D reflect the overall stable performance of the majority of the pool and expected continued amortization. The Negative Rating Outlooks on classes E and F reflect the potential for downgrade 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, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AAsf' 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 'BBBsf' class are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'BBsf' and 'Bsf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. 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-3, A-S and the interest-only classes X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. Downgrades to classes B, C, and D are possible should performance of the FLOCs continue to decline, should loans susceptible to the coronavirus pandemic not stabilize and/or should further loans transfer to special servicing. The Rating Outlooks on these classes 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. Classes E and F could be 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. 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). GS MORTGAGE 2015-GS1: Fitch Cuts Class F Certs to CCCsf ------------------------------------------------------- Fitch Ratings has affirmed 12 and downgraded two classes of GS Mortgage Securities Trust 2015-GS1 commercial mortgage pass-through certificates. RATING ACTIONS GSMS 2015-GS1 Class A-1 36252AAA4; LT AAAsf Affirmed; previously AAAsf Class A-2 36252AAB2; LT AAAsf Affirmed; previously AAAsf Class A-3 36252AAC0; LT AAAsf Affirmed; previously AAAsf Class A-AB 36252AAD8; LT AAAsf Affirmed; previously AAAsf Class A-S 36252AAG1; LT AAAsf Affirmed; previously AAAsf Class B 36252AAH9; LT AA-sf Affirmed; previously AA-sf Class C 36252AAK2; LT A-sf Affirmed; previously A-sf Class D 36252AAL0; LT BBB-sf Affirmed; previously BBB-sf Class E 36252AAN6; LT B-sf Downgrade; previously BB-sf Class F 36252AAQ9; LT CCCsf Downgrade; previously B-sf Class PEZ 36252AAJ5; LT A-sf Affirmed; previously A-sf Class X-A 36252AAE6; LT AAAsf Affirmed; previously AAAsf Class X-B 36252AAF3; LT AA-sf Affirmed; previously AA-sf Class X-D 36252AAM8; LT BBB-sf Affirmed; previously BBB-sf KEY RATING DRIVERS Increased Loss Expectations: Fitch's loss expectations have increased since the last rating action in 2019, primarily due to an increasing number of Fitch Loans of Concern (FLOCs). Fitch has designated seven loans (29.4% of pool) as FLOCs, including three specially serviced loans (14.3%). There are eleven loans (34.7%) on the servicer's watchlist for special servicing transfer, requesting coronavirus relief, deferred maintenance, concentrated tenant rollover, tenant bankruptcy and underperformance. In addition, loss expectations have increased due to the slowdown in economic activity related to the coronavirus pandemic. Specially Serviced Loans: The downgrades reflect the recent special servicing transfers of three loans (14%) due to the coronavirus pandemic. Glenbrook Square (7.2%) is a super-regional mall located in Fort Wayne, IN. According to the watchlist commentary, YTD 2020 performance has significantly declined due to the coronavirus pandemic. The subject closed to the public in March 2020 and reopened with restricted hours in May 2020. The loan transferred to special servicing on July 17, 2020 and the loan is 90+ days delinquent. The most recent update from the special servicer states that the borrower has requested relief and/or modification and discussions with the special servicer are ongoing. Hammons Hotel Portfolio (5.3%) is secured by fee and leasehold interests in seven full service, limited service and extended stay hotels. The loan was returned to the master servicer in July 2019 after spending nearly two years in special servicing for borrower bankruptcy. The loan became 90+days delinquent in July 2020 and transferred back to the special servicer in June 2020. According to watchlist comments, the borrower has request coronavirus relief. The lender has engaged counsel and discussions are ongoing. Latham Crossing & Crossroads Plaza (2.3%) is securitized by two multi-anchored shopping centers located a half a mile apart in Latham, NY. According to watchlist comments Kinkaid Furnitures (NRA 11.9%) vacated at lease expiration in December 2019. The former Kinkaid Furniture space is being occupied by Spirit Halloween on a seasonal lease. In March 2020, Chuck E Cheese (NRA 11.3%) stopped paying rent following the company's announcement it would file for Chapter 11 bankruptcy. Most tenants are paying partial rent or stopped paying rent all together as a result of the coronavirus pandemic. Most recent updates state that the special servicer and borrower are currently discussing potential workouts. The loan is currently 90+ days delinquent. Minimal Change in Credit Enhancement: There has been minimal change to credit enhancement due to minimal defeasance, minimal amortization and no loan disposals. As of the August 2020 distribution period, the pool's aggregate principal balance was reduced 3.3% to $793.4 million from $820.6 million at issuance with 39 loans remaining. No loans are scheduled to mature until 2025. Of the remaining pool balance, 32.5% is classified as partial interest only (IO), and 40.1% is classified as full IO. At issuance, the pool was scheduled to amortize by 9.63% of the initial pool balance prior to maturity. Exposure to Coronavirus: Of the non-defeased collateral in the pool, there are five loans (18.2% of pool), which have a weighted average NOI debt service coverage ratio (DSCR) of 2.24x, are secured by hotel properties. Nineteen loans (37.3%), which have a weighted average NOI DSCR of 1.84x, are secured by retail properties. Three loans (8.5%), which have a weighted average NOI DSCR of 1.75x, are secured by multifamily properties. Fitch's base case analysis applied additional stresses to two hotel loans and five retail loans given the significant declines in property-level cash flow expected in the short term as a result of the decrease in travel and tourism and property closures from the coronavirus pandemic. The additional stresses did affect the ratings. Fitch Loans of Concern Westin Boston Waterfront (8.1%) is secured by a full-service hotel located in Boston, MA. Subject TTM March 2020 NOI was a negative $2.7 million. This is primarily due to TTM March 2020 NOI being 32% below YE 2019 EGI and 33% underwritten EGI at issuance. Additionally, the subject's TTM June 2019 occupancy, ADR and RevPar underperformed relative to its competitive set. Deerfield Crossing (3.9%) is a general suburban office property in Mason, OH. According to the subject's March 2020 rent roll, Cengage Learning, Inc. (NRA 49.89%) has two leases scheduled to expire in July 2021. Cengage pays $11.75 psf annually in base rent, below the subject's submarket average of $20.36 psf. The loan's lockbox has been activated due to Cengage failing to renew its lease for at least three years by January 2020. Per most recent servicer updates, negotiations between the borrower and Cengage are still ongoing. Lake Forest Place (2.3%) is a general suburban office property in Blue Ash, OH. Subject occupancy fell to 72%, per the March 2020 rent roll, down from 88% and 97% at YE 2019 and YE 2018, respectively. Landkey Technologies (NRA 3.9%) and Schulman Association Institutional Review (NRA 13.1%) vacated at lease expiration in August 2019 and May 2019, respectively. Subject YE 2019 NOI has fallen to $1.1 million from $2.0 million at YE 2018 and underwritten NOI at issuance of $2.2 million. Subject YE 2019 NOI DSCR was .97x compared to underwritten NOI DSCR at issuance of 1.98x. This decline in performance is largely due to increased vacancy and rent concessions. Conyers Crossing (.8%) is collateralized by a power center located in Rockdale, GA. According to servicer commentary, the borrower has requested coronavirus relief, and the lender and borrower are working on possible solutions. The loan is currently due for the Aug. 6, 2020 payment. Retail and Mall Concentration As of the August 2020 distribution period, retail properties represent 37.6% of the pool balance and include two regional malls in the top 15 (16%) located in secondary markets with exposure to Macy's, JCPenney and vacated Sear's boxes. Properties classified as office represent the second largest property type concentration and 32.7% of the pool's loan balance. The Top 15 includes 2 loans (6.2%) collateralized by suburban office properties, both properties are located in the suburban area of Cincinnati, OH and have the same sponsor. RATING SENSITIVITIES The Stable Rating Outlooks on classes A-2 through A-AB reflect the overall stable performance of the majority of the pool and expected continued amortization. The Negative Rating Outlooks on classes A-S through E, PEZ, X-A, X-B and X-D reflect the potential for downgrade 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, 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. Upgrades of the 'BBB-sf' and below-rated classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'Bsf' and 'CCCsf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. 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-2 through A-AB are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. Downgrades to classes A-S, B, C and D and the interest-only classes X-A, X-B and X-D are possible should performance of the FLOCs continue to decline, should loans susceptible to the coronavirus pandemic not stabilize and/or should further loans transfer to special servicing. The Rating Outlooks on these classes 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. Classes E and F 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. GSMBS TRUST 2020-NQM1: DBRS Gives Prov. B Rating on B-2 Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2020-NQM1 (the Certificates) to be issued by GSMBS 2020-NQM1 Trust (GSMBS 2020-NQM1 or the Trust): -- $216.9 million Class A-1 at AAA (sf) -- $19.0 million Class A-2 at AA (sf) -- $19.8 million Class A-3 at A (sf) -- $15.1 million Class M-1 at BBB (sf) -- $7.6 million Class B-1 at BB (sf) -- $5.7 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 24.55% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 17.95%, 11.05%, 5.80%, 3.15%, and 1.15% of credit enhancement, respectively. This transaction is a securitization of a portfolio of seasoned and newly originated, first-lien, fixed- and adjustable-rate nonprime and expanded prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 734 loans with a total principal balance of $302,581,476 as of the Cut-Off Date (August 1, 2020). The originators for the aggregate mortgage pool are loanDepot.com, LLC (loanDepot; 15.4%), Greenbox Loans, Inc. (Greenbox; 13.3%), and various other originators, each comprising no more than 10.0% of the pool by principal balance. Goldman Sachs Mortgage Company (GSMC) acquired 61.8% of the loans from IRP Asset Securities LLC and Invictus Residential Pooler, L.P. (Invictus). Additionally, GSMC acquired loans from SG Capital Partners LLC (SG Capital; 2.5%). GSMC and MTGLQ Investors, L.P. (the Mortgage Loan Sellers) acquired the remainder of the loans directly from the related originators. The loans are on average more seasoned than a typical new origination non-Qualified Mortgage (QM) securitization with a DBRS Morningstar-calculated weighted average loan age of 29 months. In addition, 62.2% of the loans are seasoned 24 months or more. Within the pool, 93.2% of the loans are current and 6.8% are 30 days delinquent. The Coronavirus Disease (COVID-19)-affected loans account for 18.0% of the pool and are described in further detail below. The Servicers of the loans are Specialized Loan Servicing LLC (SLS; 58.6%), NewRez LLC doing business as Shellpoint Mortgage Servicing, LLC (SMS; 31.3%), and Rushmore Loan Management Services LLC (Rushmore; 10.1%). Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Negative trend by DBRS Morningstar) will act as the Master Servicer, Securities Administrator, and Custodian. Although the applicable 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 products for various reasons. In accordance with the CFPB's QM/ATR rules, 19.3% of the loans are designated as QM Safe Harbor, 3.8% are designated as QM Rebuttable Presumption, and 56.7% are designated as non-QM. Approximately 20.2% of the loans are made to investors for business purposes and thus are not subject to the QM/ATR rules. The sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible vertical residual interest consisting of at least 5% of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Servicers will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent. The Servicers are also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. On or after the earlier of (1) the three-year anniversary of the Closing Date and (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (majority holder of the Class X Certificates) has the option to purchase all outstanding certificates (Optional Redemption) at a price equal to the outstanding class balance plus accrued and unpaid interest and other amounts as described in the related offering documents. After such purchase, the Controlling Holder then has the option to complete a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The transaction employs 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 Class A-1 and A-2 Certificates sequentially (IIPP). For more subordinate Certificates, principal proceeds can be used to cover interest shortfalls as the more senior Certificates are paid in full. Furthermore, excess spread can be used to cover realized losses and prior period bond writedown amounts first before being allocated to unpaid cap carryover amounts to Class A-1 down to Class B-1. CORONAVIRUS IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. The non-QM sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans that may fall outside of the CFPB's ATR rules, which became effective on January 10, 2014. Non-QM loans encompass the entire credit spectrum. They range from high-FICO, high-income borrowers who opt for interest-only or higher debt-to-income ratio mortgages, to near-prime debtors who have had certain derogatory pay histories but were cured more than two years ago, to nonprime borrowers whose credit events were only recently cleared, among others. In addition, some originators offer alternative documentation or bank statement underwriting to self-employed borrowers in lieu of verifying income with Form W-2, Wage and Tax Statements (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 it previously used. DBRS Morningstar derived such MVD assumptions through a fundamental home-price approach based on the forecast unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the non-QM asset class, while the full effect of the coronavirus pandemic may not occur until a few performance cycles later, DBRS Morningstar generally believes loans originated to (1) borrowers with recent credit events, (2) self-employed borrowers, or (3) higher loan-to-value ratio 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 (MSAs) may experience additional stress from extended lockdown periods and the slowdown of the economy. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, 18.0% of the borrowers had been granted forbearance or deferral plans because the borrowers reported financial hardship related to the coronavirus pandemic. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. The Servicers are generally offering borrowers a three-month payment forbearance plan and would attempt to contact the borrowers before the expiration of the forbearance period to evaluate the borrowers' capacity to repay the missed amounts. Beginning in month four, the borrower can repay all of the missed mortgage payments at once, extend the forbearance, or opt to go on a repayment plan to catch up on missed payments. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. As a result, the Servicers may offer other forms of payment relief, such as deferrals of the unpaid P&I amounts or a loan modification, in addition to pursuing other loss mitigation options. For this deal, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower P&I collections and (2) limited servicing advances on delinquent P&I. These assumptions include: -- Increasing delinquencies for the AAA (sf) and AA (sf) rating levels for the first 12 months; -- Increasing delinquencies for the A (sf) and below rating levels for the first nine months; -- Applying no voluntary prepayments for the AAA (sf) and AA (sf) rating levels for the first 12 months; and -- Delaying the receipt of liquidation proceeds for the AAA (sf) and AA (sf) rating levels for the first 12 months. Notes: All figures are in U.S. dollars unless otherwise noted. HPS LOAN 11-2017: Moody's Lowers Rating on Class F Notes to B3 -------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following note issued by HPS Loan Management 11-2017, Ltd.: US$5,265,000 Class F Secured Deferrable Floating Rate Notes due 2030 (the "Class F Notes"), Downgraded to B3 (sf); previously on April 17, 2020 B2 (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$27,500,000 Class D-F Secured Deferrable Fixed Rate Notes due 2030 (the "Class D-F Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$5,000,000 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$21,500,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes, Class D-F Notes, and 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-R, Class D-F, Class E, and Class F Notes issued by the CLO. The CLO, originally issued in May 2017 and partially refinanced in February 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 on May 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, 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 3041, compared to 2799 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2838 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 13.59% as of July 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $481.4 million, or $11.0 million less than the deal's par balance as of the last refinancing in February 2020. Nevertheless, Moody's noted that the OC tests for the Class B-R Notes, Class C-R Notes, Class D Notes, and Class E Notes as well as the interest diversion test were recently reported [4] as passing. 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. 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: $475,095,568 Defaulted Securities: $14,802,689 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2979 Weighted Average Life (WAL): 5.65 years Weighted Average Spread (WAS): 3.40% Weighted Average Recovery Rate (WARR): 47.93% 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 VII: Moody's Lowers Rating on Class E Notes to Caa2 ----------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Jamestown CLO VII Ltd.: US$10,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2027 (current outstanding balance of $10,415,887.84) (the "Class E Notes"), Downgraded to Caa2 (sf); previously on June 3, 2020 Caa1 (sf) Placed Under Review for Possible Downgrade The Class E Notes are referred to as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$29,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2027 (the "Class C-R Notes"), Confirmed at Baa2 (sf); previously on June 3, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade US$26,500,000 Class D-R Senior Secured 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 as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on June 3, 2020 on the Class C-R Notes, the Class D-R Notes and the Class E Notes issued by the CLO. The CLO, originally issued in August 2015 and partially refinanced in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in 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 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, the weighted average rating factor (WARF) was reported at 3297, compared to 2910 reported in the March 2020 trustee report [1]. Moody's calculation also showed the WARF was failing the test level of 3126 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 18.3% as of July 2020. Nevertheless, Moody's noted that the OC tests for the Class C Notes and Class D Notes were recently reported [3] 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: $374,226,804 Defaulted Securities: $11,793,542 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3241 Weighted Average Life (WAL): 3.8 years Weighted Average Spread (WAS): 3.14% Weighted Average Recovery Rate (WARR): 47.3% Par haircut in O/C tests and interest diversion test: 2.39% Finally, Moody's notes that it also considered the information in the August 2020 trustee report [3] 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. JMP CREDIT III(R): Moody's Confirms Ba3 Rating on Class E Notes --------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by JMP Credit Advisors CLO III(R) Ltd.: US$21,600,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$18,300,000 Class E Mezzanine Secured Deferrable Floating Rate Notes due 2028 (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 and Class E Notes issued by the CLO. The CLO, issued in February 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period 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 3642 compared to 2893 reported in the February 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3096 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 30.0% as of August 2020. Nevertheless, Moody's noted that the OC tests for the Class A/B and Class C Notes were recently reported as passing and the Class D, Class E and reinvestment diversion test were reported [4] as failing. 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: $319,750,714 Defaulted Securities: $8,001,738 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3569 Weighted Average Life (WAL): 3.6 years Weighted Average Spread (WAS): 3.56% Weighted Average Recovery Rate (WARR): 46.75% Par haircut in O/C tests and interest diversion test: 4.9% 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. JMP CREDIT IV: Moody's Lowers $22.5MM Class E Notes to B1 --------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by JMP Credit Advisors CLO IV Ltd.: US$22,500,000 Class E Mezzanine 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 E Notes are referred to herein as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$27,000,000 Class C Mezzanine Secured 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$24,750,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade The Class C Notes and the Class D Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class C, Class D and Class E Notes issued by the CLO. The CLO, originally issued in June 2017 and partially refinanced in August 2019 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end 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 (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 ratings 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 3299, compared to 2821 reported in the February 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2884 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 23.1% as of August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $432.0 million, or $13.7 million less than the deal's ramp-up target par balance. Moody's noted that due to the failure of the OC tests, a cumulative total of approximately $4.3 million of the proceeds have been used to pay down the Class A-R notes on April and July payment dates. According to July 2020 trustee report[4], OC tests for the Class E as well as the reinvestment diversion test were reported as failing, which could result in additional repayment of senior notes or in a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failures continue. Nevertheless, Moody's noted that the OC tests for the Class A/B, Class C and Class D 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: $426,032,749 Defaulted Securities: $14,187,524 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3284 Weighted Average Life (WAL): 4.5 years Weighted Average Spread (WAS): 3.62% Weighted Average Recovery Rate (WARR): 46.84% Par haircut in O/C tests and interest diversion test: 1.9% 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. JMP CREDIT V: Moody's Confirms Ba3 Rating on $20MM Class E Notes ---------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by JMP Credit Advisors CLO V Ltd.: US$22,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$22,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (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 Mezzanine Secured Deferrable Floating Rate Notes due 2030 (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 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 on 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 (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 3333 compared to 2830 reported in the February 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2918 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 23.8% as of August 2020. Nevertheless, Moody's noted that the OC tests for the Class A/B, Class C, Class D and Class E Notes were recently reported as passing while the reinvestment diversion test was reported as failing. The failure of the reinvesmtnet diversion test has resulted in $528,848 of interest proceeds diverted towards reinvestment in collateral on the July payment date and could divert additional excess interest collections 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: $387,292,738 Defaulted Securities: $8,831,922 Diversity Score: 81 Weighted Average Rating Factor (WARF): 3346 Weighted Average Life (WAL): 5.6 years Weighted Average Spread (WAS): 3.67% Weighted Average Recovery Rate (WARR): 46.67% Par haircut in O/C tests and interest diversion test: 1.8% 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 2020-6: DBRS Assigns Prov. B Rating on 2 Tranches ----------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-6 (the Certificates) issued by J.P. Morgan Mortgage Trust 2020-6: -- $306.7 million Class A-1 at AAA (sf) -- $284.4 million Class A-2 at AAA (sf) -- $256.0 million Class A-3 at AAA (sf) -- $256.0 million Class A-3-A at AAA (sf) -- $256.0 million Class A-3-X at AAA (sf) -- $192.0 million Class A-4 at AAA (sf) -- $192.0 million Class A-4-A at AAA (sf) -- $192.0 million Class A-4-X at AAA (sf) -- $64.0 million Class A-5 at AAA (sf) -- $64.0 million Class A-5-A at AAA (sf) -- $64.0 million Class A-5-X at AAA (sf) -- $151.5 million Class A-6 at AAA (sf) -- $151.5 million Class A-6-A at AAA (sf) -- $151.5 million Class A-6-X at AAA (sf) -- $104.5 million Class A-7 at AAA (sf) -- $104.5 million Class A-7-A at AAA (sf) -- $104.5 million Class A-7-X at AAA (sf) -- $40.5 million Class A-8 at AAA (sf) -- $40.5 million Class A-8-A at AAA (sf) -- $40.5 million Class A-8-X at AAA (sf) -- $19.2 million Class A-9 at AAA (sf) -- $19.2 million Class A-9-A at AAA (sf) -- $19.2 million Class A-9-X at AAA (sf) -- $44.8 million Class A-10 at AAA (sf) -- $44.8 million Class A-10-A at AAA (sf) -- $44.8 million Class A-10-X at AAA (sf) -- $28.4 million Class A-11 at AAA (sf) -- $28.4 million Class A-11-X at AAA (sf) -- $28.4 million Class A-12 at AAA (sf) -- $28.4 million Class A-13 at AAA (sf) -- $22.3 million Class A-14 at AAA (sf) -- $22.3 million Class A-15 at AAA (sf) -- $276.0 million Class A-16 at AAA (sf) -- $30.7 million Class A-17 at AAA (sf) -- $306.7 million Class A-18 at AAA (sf) -- $306.7 million Class A-X-1 at AAA (sf) -- $306.7 million Class A-X-2 at AAA (sf) -- $28.4 million Class A-X-3 at AAA (sf) -- $22.3 million Class A-X-4 at AAA (sf) -- $5.0 million Class B-1 at AA (sf) -- $5.0 million Class B-1-A at AA (sf) -- $5.0 million Class B-1-X at AA (sf) -- $4.8 million Class B-2 at A (sf) -- $4.8 million Class B-2-A at A (sf) -- $4.8 million Class B-2-X at A (sf) -- $3.1 million Class B-3 at BBB (sf) -- $3.1 million Class B-3-A at BBB (sf) -- $3.1 million Class B-3-X at BBB (sf) -- $1.5 million Class B-4 at BB (sf) -- $485.0 thousand Class B-5 at B (sf) -- $12.9 million Class B-X at BBB (sf) -- $485.0 thousand Class B-5-Y at B (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, and B-X are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13, A-14, A-16, A-17, A-18, A-X-2, A-X-3, B-1, B-2, B-3, B-X, B-5-Y, B-6-Y, and B-6-Z are exchangeable certificates. These classes can be exchanged for combinations of base depositable certificates as specified in the offering documents. DBRS Morningstar does not rate Classes B-6-Y and B-6-Z. Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-12, and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 5.10% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.55%, 2.05%, 1.10%, 0.65%, and 0.50% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 398 loans with a total principal balance of $323,181,969 as of the Cut-Off Date (August 1, 2020). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. Approximately 3.3% of the loans in the pool are conforming mortgage loans predominantly originated by United Shore Financial Services, LLC doing business as United Wholesale Mortgage and Shore Mortgage (United Shore) which were eligible for purchase by Fannie Mae or Freddie Mac. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related presale report. The originators for the aggregate mortgage pool are United Shore (35.9%), Quicken (25.0%), and loanDepot (14.6%). Also, approximately 12.7% of the loans by balance were acquired by the Seller from MaxEx Clearing LLC. The mortgage loans will be serviced or subserviced by Shellpoint Mortgage Servicing (SMS; 64.1%) and Cenlar FSB (Cenlar; 35.9%). For SMS-subserviced mortgage loans, the Servicer is J.P. Morgan Mortgage Acquisition Corp. For Cenlar-subserviced loans, the Servicer is United Shore. Servicing will be transferred from SMS to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) on the servicing transfer date (November 1, 2020, or a later date) as determined by the Issuing Entity and JPMCB. For this transaction, the servicing fee is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator and Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as Custodian. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. As of the Cut-Off Date, no borrower within the pool has entered into a Coronavirus Disease (COVID-19)-related forbearance plan with a servicer. In the event a borrower requests or enters into a coronavirus-related forbearance plan after the Cut-Off Date but prior to the Closing Date, the Mortgage Loan Seller will remove such loan from the mortgage pool and remit the related Closing Date substitution amount. Loans that enter a coronavirus-related forbearance plan after the Closing Date will remain in the pool. Coronavirus Pandemic Impact The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: July Update," published on July 22, 2020), for the prime asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, a satisfactory third-party due-diligence review, structural enhancements, and 100% current loans. The ratings reflect transactional challenges that include weaknesses in the R&W framework, entities lacking financial strength or securitization history, and servicers' financial capabilities. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2020-6: DBRS Finalizes B Rating on 2 Cert. Classes ------------------------------------------------------------ DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2020-6 (the Certificates) issued by J.P. Morgan Mortgage Trust 2020-6: -- $306.7 million Class A-1 at AAA (sf) -- $284.4 million Class A-2 at AAA (sf) -- $256.0 million Class A-3 at AAA (sf) -- $256.0 million Class A-3-A at AAA (sf) -- $256.0 million Class A-3-X at AAA (sf) -- $192.0 million Class A-4 at AAA (sf) -- $192.0 million Class A-4-A at AAA (sf) -- $192.0 million Class A-4-X at AAA (sf) -- $64.0 million Class A-5 at AAA (sf) -- $64.0 million Class A-5-A at AAA (sf) -- $64.0 million Class A-5-X at AAA (sf) -- $151.5 million Class A-6 at AAA (sf) -- $151.5 million Class A-6-A at AAA (sf) -- $151.5 million Class A-6-X at AAA (sf) -- $104.5 million Class A-7 at AAA (sf) -- $104.5 million Class A-7-A at AAA (sf) -- $104.5 million Class A-7-X at AAA (sf) -- $40.5 million Class A-8 at AAA (sf) -- $40.5 million Class A-8-A at AAA (sf) -- $40.5 million Class A-8-X at AAA (sf) -- $19.2 million Class A-9 at AAA (sf) -- $19.2 million Class A-9-A at AAA (sf) -- $19.2 million Class A-9-X at AAA (sf) -- $44.8 million Class A-10 at AAA (sf) -- $44.8 million Class A-10-A at AAA (sf) -- $44.8 million Class A-10-X at AAA (sf) -- $28.4 million Class A-11 at AAA (sf) -- $28.4 million Class A-11-X at AAA (sf) -- $28.4 million Class A-12 at AAA (sf) -- $28.4 million Class A-13 at AAA (sf) -- $22.3 million Class A-14 at AAA (sf) -- $22.3 million Class A-15 at AAA (sf) -- $276.0 million Class A-16 at AAA (sf) -- $30.7 million Class A-17 at AAA (sf) -- $306.7 million Class A-18 at AAA (sf) -- $306.7 million Class A-X-1 at AAA (sf) -- $306.7 million Class A-X-2 at AAA (sf) -- $28.4 million Class A-X-3 at AAA (sf) -- $22.3 million Class A-X-4 at AAA (sf) -- $5.0 million Class B-1 at AA (sf) -- $5.0 million Class B-1-A at AA (sf) -- $5.0 million Class B-1-X at AA (sf) -- $4.8 million Class B-2 at A (sf) -- $4.8 million Class B-2-A at A (sf) -- $4.8 million Class B-2-X at A (sf) -- $3.1 million Class B-3 at BBB (sf) -- $3.1 million Class B-3-A at BBB (sf) -- $3.1 million Class B-3-X at BBB (sf) -- $1.5 million Class B-4 at BB (sf) -- $485.0 thousand Class B-5 at B (sf) -- $12.9 million Class B-X at BBB (sf) -- $485.0 thousand Class B-5-Y at B (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, and B-X are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13, A-14, A-16, A-17, A-18, A-X-2, A-X-3, B-1, B-2, B-3, B-X, B-5-Y, B-6-Y, and B-6-Z are exchangeable certificates. These classes can be exchanged for combinations of base depositable certificates as specified in the offering documents. DBRS Morningstar does not rate Classes B-6-Y and B-6-Z. Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-12, and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 5.10% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.55%, 2.05%, 1.10%, 0.65%, and 0.50% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 398 loans with a total principal balance of $323,181,969 as of the Cut-Off Date (August 1, 2020). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. Approximately 3.3% of the loans in the pool are conforming mortgage loans predominantly originated by United Shore Financial Services, LLC doing business as United Wholesale Mortgage and Shore Mortgage (United Shore), which were eligible for purchase by Fannie Mae or Freddie Mac. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related rating report. The originators for the aggregate mortgage pool are United Shore (35.9%), Quicken (25.0%), and loanDepot (14.6%). Also, approximately 12.7% of the loans by balance were acquired by the Seller from MaxEx Clearing LLC. The mortgage loans will be serviced or subserviced by Shellpoint Mortgage Servicing (SMS; 64.1%) and Cenlar FSB (Cenlar; 35.9%). For SMS-subserviced mortgage loans, the Servicer is J.P. Morgan Mortgage Acquisition Corp. For Cenlar-subserviced loans, the Servicer is United Shore. Servicing will be transferred from SMS to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) on the servicing transfer date (November 1, 2020, or a later date) as determined by the Issuing Entity and JPMCB. For this transaction, the servicing fee is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator and Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as Custodian. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. As of the Cut-Off Date, no borrower within the pool has entered into a Coronavirus Disease (COVID-19)-related forbearance plan with a servicer. In the event a borrower requests or enters into a coronavirus-related forbearance plan after the Cut-Off Date but prior to the Closing Date, the Mortgage Loan Seller will remove such loan from the mortgage pool and remit the related Closing Date substitution amount. Loans that enter a coronavirus-related forbearance plan after the Closing Date will remain in the pool. Coronavirus Pandemic Impact The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: July Update," published on July 22, 2020), for the prime asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. For more information regarding rating methodologies and the coronavirus, please see the following DBRS Morningstar press releases and commentary: "DBRS Morningstar Provides Update on Rating Methodologies in Light of Measures to Contain Coronavirus Disease (COVID-19)," dated March 12, 2020; "DBRS Morningstar Global Structured Finance Rating Methodologies and Coronavirus Disease (COVID-19)," dated March 20, 2020; and "Global Macroeconomic Scenarios: July Update," dated July 22, 2020. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, a satisfactory third-party due-diligence review, structural enhancements, and 100% current loans. The ratings reflect transactional challenges that include weaknesses in the R&W framework, entities lacking financial strength or securitization history, and servicers' financial capabilities. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2014-C18: Fitch Cuts Class F Certs Rating to Csf ----------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed nine classes of JPMBB Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2014-C18. RATING ACTIONS JPMBB 2014-C18 Class A-4A1 46641JAV8; LT AAAsf Affirmed; previously AAAsf Class A-4A2 46641JAA4; LT AAAsf Affirmed; previously AAAsf Class A-5 46641JAW6; LT AAAsf Affirmed; previously AAAsf Class A-S 46641JBA3; LT AAAsf Affirmed; previously AAAsf Class A-SB 46641JAX4; LT AAAsf Affirmed; previously AAAsf Class B 46641JBB1; LT AA-sf Affirmed; previously AA-sf Class C 46641JBC9; LT A-sf Affirmed; previously A-sf Class D 46641JAE6; LT BBsf Downgrade; previously BBB-sf Class E 46641JAG1; LT CCCsf Downgrade; previously Bsf Class EC 46641JBD7; LT A-sf Affirmed; previously A-sf Class F 46641JAJ5; LT Csf Downgrade; previously CCCsf Class X-A 46641JAY2; LT AAAsf Affirmed; previously AAAsf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased primarily due to coronavirus related performance concerns from four retail loans in the top 15. Currently, there are 12 loans (36.23%) on the servicer's watchlist; however, only four of the watchlist loans are considered Fitch Loans of Concern (FLOCs). FLOCs: The largest FLOC is the Shops at Wiregrass (5.85%), which is secured by a 456,637-sf portion of a 759,880-sf outdoor shopping center located in Wesley Chapel, FL. Collateral occupancy decreased to 87.4% as of December 2019 from 93.7% at YE 2018 due to the departures of several in-line tenants, including Forever 21 (4.3% of NRA), Charming Charlie (1.8%), Express (1.7%) and PrimeBar (1.6%). Property-level NOI for 2019 declined 25% from YE 2018 and 29% from underwritten levels. Additionally, the TTM period ending March 2020, NOI declined a further 10% from 2019 and represents a decrease of 36% since underwriting. The servicer-reported NOI debt service coverage ratio (DSCR) decreased to 1.03x as of TTM March 2020 from 1.15x at YE 2019 and 1.54x at YE 2018. The second FLOC is the Meadows Mall (5.81% of the pool) loan, which is secured by 308,909 sf of in line space of a 945,043-sf regional mall located in Las Vegas, NV, approximately four miles west of downtown and south of Interstate 95. The four anchors, Dillard's, Macy's, JCPenney and Sears, own their improvements. The loan is sponsored by Brookfield Property Partners, which acquired the property and subject loan in August 2018. The loan is considered a FLOC due to major tenant vacancy, as Sears permanently closed at the subject location in February 2020. In addition, the property faces near-term rollover risks with leases for 39% of the NRA scheduled to mature prior to the loan's July 1, 2023 maturity. Performance has declined since issuance, with the YE 2019 NOI 10% below YE 2018, and 20% below underwritten levels. DSCR for 2019 fell to 1.27x, compared to 1.42x for YE 2018, 1.37x at YE 2017 and 1.55x at issuance. Per the March 2020 rent roll, collateral occupancy has declined to 84% compared to 91% in March 2019. In-line tenant sales were reported at $380 psf for the TTM period ending March 31, 2020, compared to $378 psf for YE 2018, $364 psf for YE 2017, and $416 psf at issuance. The mall reopened on May 29 after being temporarily closed due to the coronavirus pandemic. The third FLOC is the specially serviced 545 Madison Avenue loan (3.94% of the pool). The loan transferred to the special servicer, LNR Partners, LLC, for imminent default due to cash flow issues, in May 2019. The cash flow issues resulted from a decline in occupancy combined with increasing property taxes and ground rent. After the borrower defaulted on the ground lease, the owner of the land underneath the building (Marx Realty) assumed control of the building leaving the loan without any collateral. Given the lack of collateral, Fitch modeled a full loss on the loan. This loan is the largest contributor to loss expectations. The fourth and final FLOC is the 17th largest loan in the pool. Geneva Shopping Center (1.55% of the pool) is an 186,275-sf retail property located in Geneva, NY. The two largest tenants totaling 40% of the NRA had leases that expired in 2018. The largest tenant, Tops Grocery Store (27% of the NRA) vacated at lease expiration. The second largest tenant, Value Home Center (13% of NRA) renewed their lease for an additional five years. Since the prior rating action in 2019, a lease was approved for Dollar Tree Stores, Inc. Per the servicer's watchlist, the lease is for 10,281 sf of the former Tops Grocery Store space. The lease commenced in March 2020 and expires in March of 2027. According to the watchlist, the loan is due for the July and August payments and is being monitored for covenant compliance. As of YE 2019, NOI fell 28% YoY and remains 26% below underwritten levels. Increased Credit Enhancement: Since the last rating action, credit enhancement (CE) has continued to increase. This is due to continued paydown from scheduled amortization and loan repayments (class A-3 has paid in full since the last rating action). To date, the pool has paid down 20.4%. Six loans are defeased (5.25% of the pool). Alternative Loss Consideration: In addition to a base case loss, Fitch performed a sensitivity analysis. In the sensitivity test, a 25% loss was applied to the maturity balance of the Meadows Mall loan due to underperformance and leasing concerns. Coronavirus Exposure: Three loans (12%) are secured by hotel properties. The weighted average (WA) NOI DSCR for the hotel loans is 3.74x. Fifteen loans (58.2%) are secured by retail properties, including four loans in the top 10. The WA NOI DSCR for the retail loans is 1.79x. Five loans (5.3%) are secured by multifamily properties. The WA NOI DSCR for the multifamily loans is 1.82x. Pool and Retail Concentration: The pool is more concentrated by loan size and property type when compared with similar vintage Fitch-rated transactions. Currently, the 10 largest loans represent 65% of the total pool balance. In addition, the pool has an above-average concentration of retail properties. Five of the 10 largest assets are retail properties and retail currently represent 58.7% of the pool's balance. RATING SENSITIVITIES The Negative Rating Outlooks on classes B, C, D, and exchangeable class E-C reflect the potential for a further downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs and the specially serviced 545 Madison Avenue loan. The Stable Rating Outlooks on classes A-4A1 through A-Sreflect the increasing CE, continued amortization, and relatively stable performance of the majority of the pool. 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 coupled with pay down and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. An upgrade to the 'BBsf' category is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'CCCsf' and 'Csf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that could lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades of the 'AAsf' and 'AAAsf' rating categories are not considered likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to the 'A-sf' category could occur if performance of the FLOCs continues to decline, additional loans transfer to special servicing and/or loans susceptible to the coronavirus pandemic do not stabilize. An additional downgrade to the 'BBsf' category, which currently has a Negative Outlook, would occur should loss expectations increase significantly and/or the loans vulnerable to the coronavirus pandemic do not stabilize. Further downgrades to the distressed 'CCCsf'-rated class 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 negative rating actions, including downgrades or additional Negative Rating Outlook revisions. JPMBB COMMERCIAL 2015-C33: Fitch Affirms B- Rating on Cl. F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of JPMBB Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2015-C33 as follows: RATING ACTIONS JPMBB 2015-C33 Class A-3 46645JAC6; LT AAAsf Affirmed; previously AAAsf Class A-4 46645JAD4; LT AAAsf Affirmed; previously AAAsf Class A-S 46645JAF9; LT AAAsf Affirmed; previously AAAsf Class A-SB 46645JAE2; LT AAAsf Affirmed; previously AAAsf Class B 46645JAG7; LT AA-sf Affirmed; previously AA-sf Class C 46645JAH5; LT A-sf Affirmed; previously A-sf Class D 46645JAS1; LT BBB-sf Affirmed; previously BBB-sf Class D-1 46645JBG6; LT BBBsf Affirmed; previously BBBsf Class D-2 46645JBJ0; LT BBB-sf Affirmed; previously BBB-sf Class E 46645JAU6; LT BB-sf Affirmed; previously BB-sf Class F 46645JAW2; LT B-sf Affirmed; previously B-sf Class X-A 46645JAJ1; LT AAAsf Affirmed; previously AAAsf Class X-B 46645JAL6; LT AA-sf Affirmed; previously AA-sf Class X-D 46645JAQ5; LT BBB-sf Affirmed; previously BBB-sf KEY RATING DRIVERS Stable Performance: Despite a slight increase in loss expectations since the last rating action, overall pool performance remains stable. Fitch identified eight loans (12.7%), including three loans in special servicing (5%), as Fitch Loans of Concern (FLOCs) due to the loss of a large tenant or performance concerns stemming from the coronavirus-related economic decline. Fitch Loans of Concern: The largest FLOC and specially serviced loan is DoubleTree Anaheim - Orange County (4%), the fourth largest loan. The loan transferred to special servicing effective July 16, 2020 due to payment default and is currently +90 days delinquent. It is secured by a 461-room full-service hotel located in downtown Anaheim, CA. As of YE 2019, the servicer reported occupancy and DSCR were 84.9% and 2.69x, respectively. The next FLOC is the ninth largest loan in the pool, Plaza Paseo Del Norte (2.5%). The loan is secured by a 183,718-sf retail center located in Albuquerque, NM. Sears Outlet (13.6% NRA; 8.0% base rent) vacated in 2017, prior to its May 31, 2021 lease expiration date, but continued to pay rent. There were no co-tenancy triggers resulting from Sears' vacancy. The space was subsequently re-leased at a higher rate to Jungle Jam from Sept. 1, 2019 through Sept. 1, 2029. Occupancy declined to 79.6% as of June 30, 2020 from 94.9% at YE 2019 after Cinemark (15.2% NRA; 15.1% base rent) vacated at its May 31, 2020 lease expiration. Fitch requested a leasing status update but did not receive a response. The third largest FLOC, Holiday Inn Express Ft Lauderdale Air/Cruise Port (2%), is secured by a 100 key Holiday Inn Express in Ft. Lauderdale Fla. near the air/cruise port. Occupancy, ADR and RevPAR were a reported 93.91%, $140.73 and $132.16, respectively, at YE 2019 compared to 93.19%, $145.01 and $135.14 the prior year. Per the watchlist, the borrower is working with the servicer for consent approval of adjustments to FF&E reserve and use of funds for debt service. Two of the remaining five FLOCs (1%) are secured by hotels in North Carolina that transferred to special servicing in June 2020 for payment default. The remaining three (3.2%) were flagged primarily due to deteriorating performance and/or performance concerns due to the coronavirus pandemic. Improvement in Credit Enhancement: As of the August 2020 remittance report, the pool's aggregate principal balance has been paid down by 10% to $686.2 million from $761.8 million at issuance. The second largest loan, DoubleTree Paradise Valley Resort Scottsdale ($45.1 million), prepaid prior to its October 2020 maturity date. Five loans (5.4%) are defeased. Sixteen loans (46.2% of the pool) are full-term interest-only and nine (19.7% of the pool) have partial interest-only periods. Eight loans (14%) have begun amortizing. Alternative Loss Considerations: In addition to a base case loss, Fitch assumed each of the three specially serviced loans would incur a 40% loss to address concerns with a potential increase in loss expectations if performance does not improve, as well as to test the viability of upgrades or Positive Rating Outlooks on the senior classes, given the increased credit enhancement. As a result, all classes and Outlooks are affirmed. Coronavirus Exposure: Significant economic impact to certain hotels, retail, and multifamily properties have materialized as a result of reductions in travel and tourism, temporary property closures and lack of clarity on the potential duration of the pandemic. The pandemic has prompted the closure of several hotel properties in gateway cities as well as malls, entertainment venues, and individual stores. In the current pool, there are there are 34 loans (38.9%) that are secured by multifamily properties, 36 loans (19.9%) that are secured by retail properties and nine loans (13.6%) that are secured by hotel properties. Fitch's base case analysis applied an additional NOI stress to two retail loans (2.6%), one multifamily loan (0.8%) and all nine hotel loans (13.6%) that did not meet certain performance thresholds. RATING SENSITIVITIES The affirmations of the ratings and Stable Rating Outlooks reflect stable performance for a majority of the pool and continued amortization. Positive Outlooks to classes B and C were considered, but were limited due to the uncertain impact of the coronavirus pandemic on pool performance. 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 or Positive Outlook for classes B and C is likely with continued paydown and stable pool performance. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. An upgrade to classes D, D-1 and D-2 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 B, C, D, D-1 and D-2 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. ESG CONSIDERATIONS The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). JPMDB COMMERCIAL 2017-C7: Fitch Cuts Class F-RR Certs to CCCsf -------------------------------------------------------------- Fitch Ratings has affirmed 13 classes and downgraded two classes of JPMDB Commercial Mortgage Securities Trust 2017-C7, commercial mortgage pass-through certificates. Two additional classes have been revised to Negative from Stable. RATING ACTIONS JPMDB 2017-C7 Class A-1 46648KAQ9; LT AAAsf Affirmed; previously AAAsf Class A-2 46648KAR7; LT AAAsf Affirmed; previously AAAsf Class A-3 46648KAS5; LT AAAsf Affirmed; previously AAAsf Class A-4 46648KAT3; LT AAAsf Affirmed; previously AAAsf Class A-5 46648KAU0; LT AAAsf Affirmed; previously AAAsf Class A-S 46648KAY2; LT AAAsf Affirmed; previously AAAsf Class A-SB 46648KAV8; LT AAAsf Affirmed; previously AAAsf Class B 46648KAZ9; LT AA-sf Affirmed; previously AA-sf Class C 46648KBA3; LT A-sf Affirmed; previously A-sf Class D 46648KAC0; LT BBB-sf Affirmed; previously BBB-sf Class E-RR 46648KAE6; LT Bsf Downgrade; previously BB-sf Class F-RR 46648KAG1; LT CCCsf Downgrade; previously B-sf Class X-A 46648KAW6; LT AAAsf Affirmed; previously AAAsf Class X-B 46648KAX4; LT AA-sf Affirmed; previously AA-sf Class X-D 46648KAA4; LT BBB-sf Affirmed; previously BBB-sf Classes X-A, X-B and X-D are interest only. KEY RATING DRIVERS Increased Loss Expectations; Fitch Loans of Concern: The downgrades and Negative Outlook revisions reflect Fitch's increased loss expectations since issuance, which are largely attributable to performance concerns related to the coronavirus pandemic. Fitch has designated seventeen loans (40.9% of pool) as Fitch Loans of Concern (FLOCs), including two specially serviced loans (5.3%). Five of the top 15 (22.1%) loans are FLOCs. The largest FLOC, U-Haul SAC Portfolio 14, 15, 17 (5.9%) is secured by 23 self-storage properties located across 12 states. There are approximately 15,227 units within the portfolio, more than half of which are climate-controlled or heated. The largest concentration is in Texas with 22% of the units, followed by Massachusetts (21%) and New York (18%). The year-end (YE) 2019 NOI debt service coverage ratio (DSCR) was 1.26x, down from 1.66x at issuance. While Revenue on the portfolio has increased 32% since issuance, operating expenses increased 160%. The loan is current. The second largest FLOC, AHIP Northeast Portfolio I (5.0%) is secured by five hotel properties with 612 rooms, located in Maryland, New Jersey, and Pennsylvania. The properties were built in various years between 1999 and 2010, some of which were renovated in 2014 and 2016. Performance has declined across the portfolio (YE 2019 NOI declined by 12.8% from 2018), driven by revenue declines across the hotels. However, hotel performance continues to outperform the competitive set for four of the five properties within the portfolio. The remaining property is in line with its comp set. Temporary coronavirus relief has been granted by the servicer. The loan remains current. The third largest FLOC is the Starwood Capital Group Hotel Portfolio (4.3%), which is secured by a portfolio of 65 hotels located in 17 states, largely located in California, Texas and Indiana. The full-term interest-only loan reported a YE 2019 NOI DSCR of 2.73x. The hotels reflect 14 different franchises, largely from flags such as Marriott, Hilton, Larkspur Landing (Starwood), IHG, and Choice Hotels. The collateral is diversified across several properties, with no property accounting for more than 5.9% of allocated loan balance. The YE 2019 NOI DSCR dropped to 2.73x from 2.97x at YE 2018. According to the servicer, the borrower has requested coronavirus-related relief and is working toward a resolution. The loan remains current. The fourth largest FLOC is Villas at San Gabriel (3.9%), a luxury 396-bed student housing complex located in the West Campus area of Austin, TX, approximately half of a mile from the University of Texas at Austin. The property, built in 2017, has 92 units ranging from one to six bedrooms and is currently 100% occupied. Fitch applied a coronavirus stress to this loan. The loan remains current. Specially Serviced Loans: Two loans (5.3% of the pool) are currently in special servicing. The larger specially loan is the Sheraton DFW (3.0%), which transferred to special servicing in July and is currently 90+ days delinquent. The property is a 12-story, 302-room, full-service hotel located in Irving, Texas close to the DFW Airport. The property was constructed in 1982 and later renovated between 2014 and 2015. YE 2019 NOI fell 8.7% below FY 2018 NOI primarily due to an increase in real estate taxes. Occupancy at the hotel has been in line with its peers over the past 12 months but overall RevPAR has fallen below the property's competitive set. The borrower requested coronavirus relief in April 2020 and discussions with the borrower regarding possible forbearance terms are ongoing. The other specially serviced loan is The Lightstone Portfolio (2.3% of the pool), secured by a 778 key hotel portfolio, including seven hotels that are cross-collateralized in Arkansas, Louisiana and Florida. Five hotels are affiliated with Marriott, while one is a Hilton brand and one is an SPG brand. At issuance, the sponsor entered into new 15-year franchise agreements for each hotel in the portfolio, which will expire in 2032, approximately five years past the term of the loan. The loan transferred to special servicing in May 2020 due to payment default and is currently 90+ days delinquent. The servicer is considering borrower requested payment relief. Minimal Changes in Credit Enhancement: As of the August 2020 remittance, the pool's aggregate principal balance has been reduced by 1.3% to $1.09 billion. There has been no defeasance, no loans have paid off and there have been no realized losses. Coronavirus Exposure: The social and market disruption caused by the coronavirus pandemic is the main driver for Negative Outlooks on classes D, E-RR, F-RR and X-D. The hotel sector as a whole is expected to experience significant declines in RevPAR in the near term due to a significant slow-down in travel. Additionally, retail properties are expected to face hardship 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 or have drastically reduced operating hours. Loans secured by hotel properties comprise 18.8% of the pool, including two portfolios of properties and one stand-alone hotel in the top 15 (12.3%). The pool's hotel component has a weighted average DSCR of 2.30x. Loans secured by retail properties comprise 6.5% of the pool, with a weighted average DSCR of 1.71x. Additional coronavirus-related stresses were applied to seven hotel loans (17.6%); these additional stresses contributed to the Negative Rating Outlooks on classes D, E, F-RR and X-D. RATING SENSITIVITIES The Stable Outlooks on classes A-1 through C, X-A and X-B reflect the overall stable performance of the pool and expected continued amortization. The Negative Outlooks on classes D through F-RR and X-D reflect Fitch's increased loss expectations since issuance, which are largely attributable to performance concerns related to the coronavirus pandemic. The Outlooks on classes A-1 through C, X-A and X-B remain Stable. The Outlooks on classes D and X-D have been revised to Negative from Stable. The Outlooks on classes E-RR and F-RR remain Negative. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include significantly improved performance coupled with paydown and/or defeasance. An upgrade to classes B and C could occur with stabilization of the FLOCs, but would be limited as concentrations increase. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. Upgrades of classes D, X-D, E-RR and F-RR would only occur with significant improvement in credit enhancement and stabilization of the FLOCs. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes A-1 through A-SB are not considered likely due to position in the capital structure and high credit enhancement. Downgrades to classes A-S, B and C may occur if overall pool performance declines or a large loan suffers an outsized loss. Classes rated 'AAAsf' or 'AAsf' would be downgraded to 'Asf' if there is a possibility for interest shortfalls. Downgrades to classes D and E-RR may occur if loans in special servicing remain unresolved or if performance of the FLOCs continues to decline. A downgrade to class F-RR would occur if losses are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be given a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories.ntity(ies). KKR CLO 17: Moody's Lowers Rating on $27MM Class E Notes to B1 -------------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by KKR CLO 17 Ltd.: US$39,000,000 Class D Senior 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$27,000,000 Class E Senior 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 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 Class E Notes issued by the CLO. The CLO, issued in March 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on April 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. According to the July 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3513, compared to 2928 reported in the February 2020 trustee report [2]. Moody's also notes that the WARF was failing the test level of 2931 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 24.87% as of August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $592.1 million, or $7.9 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: Performing par and principal proceeds balance: $590,427,328 Defaulted Securities: $5,111,021 Diversity Score: 71 Weighted Average Rating Factor (WARF): 3506 Weighted Average Life (WAL): 4.6 years Weighted Average Spread (WAS): 3.48% Weighted Average Recovery Rate (WARR): 48.3% Par haircut in O/C tests and interest diversion test: 1.9% 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. KKR CLO 18: Moody's Lowers Rating on $35MM Class E Notes to B1 -------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by KKR CLO 18 Ltd.: US$35,000,000 Class E Senior 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 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$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$42,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (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 April 17, 2020 on the Class D Notes and Class E Notes and on June 3, 2020 on the Class C 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 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. 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 3503, compared to 2905 reported in the February 2020 trustee report [2]. Moody's also notes the WARF was failing the test level of 2912 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 25.02% as of August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $691.7 million, or $8.3 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: $690,062,426 Defaulted Securities: $4,696,325 Diversity Score: 72 Weighted Average Rating Factor (WARF): 3506 Weighted Average Life (WAL): 5.6 years Weighted Average Spread (WAS): 3.45% Weighted Average Recovery Rate (WARR): 48.4% Par haircut in O/C tests and interest diversion test: 1.8% 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. LEGACY MORTGAGE 2018-RPL3: Fitch Gives BBsf Rating on Cl. A3 Debt ----------------------------------------------------------------- Fitch Ratings has assigned ratings to Legacy Mortgage Asset Trust 2018-RPL3 (LMAT 2018-RPL3) as follows: RATING ACTIONS Legacy Mortgage Asset Trust 2018-RPL3 Class A1; LT AAAsf New Rating Class A2; LT AAsf New Rating Class A3; LT BBsf New Rating Class B1; LT AAsf New Rating Class B2; LT BBsf New Rating Class B3; LT NRsf New Rating Class B4; LT NRsf New Rating Class B5; LT NRsf New Rating Class PT; LT NRsf New Rating Class RI; LT NRsf New Rating TRANSACTION SUMMARY LMAT 2018-RP3 is supported by a pool of re-performing mortgage loans (RPL). The transaction was originally issued in 2018 and was not rated at deal close. In tandem with this rating assignment, the transaction is being modified to 1) allow principal collection to be redirected to cover any potential interest shortfalls on the classes A1 and B1 as well as the B2 and B3 if they are the most senior class then outstanding, 2) using interest payment otherwise allocable to the class B3 to fund an account that may be used for potential repurchases and 3) adding certain constraints on which institutions can act as an "Eligible Account". KEY RATING DRIVERS Coronavirus Impact Addressed (Negative): The coronavirus pandemic and the resulting containment efforts have resulted in revisions to Fitch's 2020 GDP estimates. Fitch's baseline global economic outlook for U.S. GDP growth is currently a 5.6% decline for 2020, down from 1.7% for 2019. Fitch's downside scenario would see an even larger decline in output in 2020 and a weaker recovery in 2021. To account for declining macroeconomic conditions resulting from the pandemic, 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' and below. Deferrals as Delinquencies (Negative): Close to 10% of the loans in the transaction are marked as current but appear to be in a deferral plan. Under this approach the borrower does not make the payment but is marked as current as the servicer extends the next due date. Since the borrower is not using cash flow, they were treated as delinquent in Fitch's loss analysis. RPL Credit Quality (Mixed): The collateral consists of 30-year fixed-rate mortgage and five-year adjusted-rate mortgage fully amortizing loans, seasoned approximately 172 months in aggregate. The borrowers in this pool have weaker credit profiles (639 FICO) and relatively low leverage (65.7% sLTV). In addition, the pool contains no loans of particularly large size. Only eight loans are over $1 million and the largest is $1.57 million. A total of 46% of the pool had a delinquency in the past 24 months. Geographic Concentration (Negative): Approximately 66% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in Los Angeles MSA (15.8%) followed by the San Francisco MSA (11.7%) and the Riverside MSA (7.1%). The top three MSAs account for 34.7% of the pool. As a result, there was a 1.06x adjustment for geographic concentration. Payment Forbearance Assumptions Due to the coronavirus pandemic (Negative): The outbreak of coronavirus and widespread containment efforts in the U.S. have resulted in higher unemployment and cash flow disruptions. To account for the cash flow disruptions and lack of advancing for borrower's forbearance plans, Fitch assumed at least 40% of the pool is delinquent for the first six months of the transaction at all rating categories with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of legacy Alt-A delinquencies and past-due payments following Hurricane Maria in Puerto Rico. Transaction Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. No Servicer Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. Low Operational Risk (Neutral): Operational risk is well controlled for in this transaction. Goldman Sachs has an established operating history acquiring single family residential loans and is assessed as an 'Average' aggregator by Fitch. Rushmore Loan Management Services, LLC (Rushmore) is the named servicer for the transaction and is rated by Fitch as 'RPS2-'. Fitch did not adjust its expected loss at the 'AAAsf' rating category due to the counterparty assessments. Issuer retention of at least 5% of the bonds also helps ensure an alignment of interest between both the issuer and investor. Representations and warranties (R&W) Have Knowledge Qualifiers and Sunset Period (Negative): The loan-level R&Ws are consistent with a Tier 3 framework. The tier assessment is based primarily on a sample due diligence and the inclusion of knowledge qualifiers in the underlying reps as well as a breach reserve account that replaces the sponsor's responsibility to cure any R&W breaches following the established sunset period. Fitch increased its loss expectations by 195 bps at the 'AAAsf' rating category to reflect both the limitations of the R&W framework as well as the noninvestment-grade counterparty risk of the provider. Due Diligence Review Results (Negative): A third-party due diligence review was performed on 11% of the loans in the transaction pool. The sample size is consistent with Fitch criteria as the loans were all sourced from the same seller who has held the loans since origination. The review was performed by SitusAMC which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. The due diligence results indicate low operational risk with 8.7% of loans receiving a final grade of 'C' or 'D'. This is relatively low to other Fitch-rated RPL RMBS, and loss severity adjustments were applied to approximately 0.5% of loans that had missing or estimated final HUD-1 documents necessary for testing compliance with predatory lending regulations. These regulations are not subject to statute of limitations unlike the majority of compliance exceptions which ultimately exposes the trust to added assignee liability risk. The Fitch analyst extrapolated the findings to the remainder of the pool due to the sample size of diligence. Fitch adjusted its loss expectation at the 'AAAsf' rating category by less than 25 bps to account for this added risk. 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 were 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% in addition to the model-projected 39.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. 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 10.0%. 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 assigned 'AAAsf' ratings. 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 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. CRITERIA VARIATION There is one variation to the U.S. RMBS Rating Criteria. The FICOs were updated at the time of the transaction close, which is more than the six-month window in which Fitch looks for updated values. The stale values have no impact on the levels as the performance has been fairly stable since they were pulled. Additionally, while outdated, the values better capture the borrower's credit after the modification and their initial default. To the extent the borrower has underperformed it will be reflected in the paystring, which would have a much more meaningful impact on the levels. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on included a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth in Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: The regulatory compliance review indicated that 50 reviewed loans, or approximately 8.7% of the total sample, were found to have a material defect and therefore assigned a final grade of 'C' or 'D'. The concentration of material grades in this transaction is relatively low compared to prior transactions due to the loans coming from a single source, which indicates that there are lower levels of operational risk, the majority of exceptions are for missing specific documentation that does not prevent the TPR from effectively testing for compliance with lending regulations. Three loans, received a final grade of 'D' as the loan file did not contain a final HUD-1. The absence of a final HUD-1 file does not allow the TPR firm to properly test for compliance surrounding predatory lending in which statute of limitations does not apply. These regulations may expose the trust to potential assignee liability in the future and create added risk for bond investors. Fitch increased the LS on these loans to account for missing final HUD-1. Since this pool was is a sample, the rating analyst extrapolated the findings to the entire pool and made adjustments to 0.5% of the pool for indeterminate HUD1s. The remaining 47 loans, with a final grade of 'C' or 'D' reflect missing final HUD-1 files that are not subject to predatory lending, missing state disclosures, and other missing documents related to compliance testing. Fitch notes that these exceptions are unlikely to add material risk to bondholders since the statute of limitations on these issues have expired. No adjustment to loss expectations were made for these 47 loans for compliance issues. Fitch also applied model adjustments on three loans that had missing modification agreements. These loans received a three-month foreclosure timeline extension to represent a delay in the event of liquidation as a result of these files not being present. An updated lite tax, title and lien search was performed on 100% of loans in the transaction pool. The report did not differentiate what the exceptions entailed. Fitch took a conservative approach and documented approximately 400 loans and an additional lien in the amount of $40 million. It is the servicer's responsibility to advance these payments in line with the transaction documents to maintain the trust's interest in the loans. Fitch added the $40 million to the LS severity, this was adjusted for in the expected loss (approximately 225 bps adjustment to expected losses at the 'AAAsf' rating stress). These adjustment(s) resulted in an almost 250bps increase to the 'AAAsf' expected loss. MADISON PARK XIV: Moody's Confirms B3 Rating on Class F-R Notes --------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Madison Park Funding XIV, Ltd.: US$66,750,000 Class D-RR Deferrable Floating Rate Notes due 2030 (the "Class D-RR Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$61,000,000 Class E-R 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 US$9,000,000 Class F-R Deferrable Floating Rate Notes due 2030 (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-RR Notes, the Class E-R Notes, and the Class F-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Confirmed Notes issued by the CLO. The CLO, originally issued in August 2014 and partially refinanced in October 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on October 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 (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 3553, compared to 2910 reported in the March 2020 trustee report [2]. Moody's notes that the WARF was failing the test level of 3157 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 23.78% as of July 2020. Nevertheless, Moody's noted that the OC tests for the Class A/B OC, Class C OC, Class D OC, and Class E OC was recently reported [4] as passing whereas the reinvestment OC test failing, which resulted in diverting approximately $1.6 million of excess interest collections towards reinvestment in collateral. Continued failure of the reinvestment OC test could divert additional interest collections towards reinvesmtnet into 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: $964,477,614 Defaulted Securities: $35,844,918 Diversity Score: 77 Weighted Average Rating Factor (WARF): 3504 Weighted Average Life (WAL): 5.49 years Weighted Average Spread (WAS): 3.47% Weighted Average Coupon (WAC): 5.65% Weighted Average Recovery Rate (WARR): 47.31% Par haircut in O/C tests and interest diversion test: 2.68% Finally, Moody's notes that it also considered the information in the August 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. MANHATTAN WEST 2020-1MW: DBRS Finalizes BB Rating on HRR Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates (the Certificates) 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 square feet (sf); 6.6% of the net rentable area (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%), on the closing date, originated the seven-year loan that pays fixed-rate interest of 2.341% on an interest-only basis through the initial maturity of the loan. 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 DBRS Morningstar's concluded net cash flow (NCF). Furthermore, approximately 80% of the base rent is derived from institutional tenants not explicitly rated investment-grade, including Skadden (top five on the American Lawyer List) and E&Y (one of the "Big Four" accounting firms). 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 commercial real estate 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 BPY 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 XII: Moody's Confirms Ba3 Rating on Class E Notes -------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Marble Point CLO XII Ltd.: US$32,500,000 Class D Mezzanine 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$24,200,000 Class E Mezzanine 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 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 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 (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 3197, compared to 3019 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2943 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 13.8%. Nevertheless, Moody's noted that the OC tests for the Class A/B, the Class C, the Class D and the Class E Notes, as well as the interest diversion test, were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $478,743,973 Defaulted Securities: $8,578,920 Diversity Score: 63 Weighted Average Rating Factor (WARF): 3168 Weighted Average Life (WAL): 5.6 years Weighted Average Spread (WAS): 3.59% Weighted Average Recovery Rate (WARR): 47.0% Finally, Moody's notes that it also considered the information in the August 2020 trustee report [5] which became available prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The rapid spread of the coronavirus outbreak, the government measures put in place to contain it and the deteriorating global economic outlook, have created a severe and extensive credit shock across sectors, regions and markets. Its analysis has considered the effect on the performance of corporate assets from the collapse in the US economic activity in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. MERIT 2020-HILL: Moody's Gives B3 Rating on Class F Certs --------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of CMBS securities, issued by Merit 2020-HILL Commercial Mortgage Pass-Through Certificates, Series 2020-HILL: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) Cl. X-CP*, Definitive Rating Assigned A2 (sf) * Reflects interest-only classes RATINGS RATIONALE The certificates are collateralized by a single floating-rate, mortgage loan secured by the fee simple interests in 78 self-storage properties located across 23 states. Its ratings are based on the credit quality of the loan and the strength of the securitization structure. The mortgage loan is secured by the fee simple interests in 78 self-storage properties. In aggregate, there are 37,467 units that contain 4,600,773 SF of net rentable area. The largest property represents 5.5% of the mortgage allocated loan amount ("ALA"). The portfolio is geographically diverse as the 78 properties are located across 42 MSA's in 23 states. The largest state concentration is California, which represents 19.7% of the mortgage ALA. The portfolio's property-level Herfindahl score is 58.6, based on mortgage ALA. The portfolio reported a weighted average physical occupancy rate of 90.7% by net rentable area for the trailing twelve-month period ending on May 31, 2020. Moody's approach to rating this transaction involved the application of its Large Loan and Single Asset/Single Borrower CMBS and Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of commercial real estate loans is determined primarily by two factors: 1) the probability of default, which is largely driven by the DSCR, and 2) and the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. The first mortgage balance of $323,850,000 represents a Moody's LTV of 114.3%. The Moody's First Mortgage Actual DSCR is 2.70X and Moody's First Mortgage Actual Stressed DSCR is 0.88X. The financing is subject to an additional mezzanine loan totaling $57,150,000. The Moody's Total Debt LTV (inclusive of the mezzanine loan) is 134.5% while the Moody's Total Debt Actual DSCR is 2.01X and Moody's Total Debt Stressed DSCR is 0.75X. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The Property's quality grade is 2.31. Notable strengths of the transaction include: portfolio's historical operating performance, geographic diversity, and experienced property management. Notable credit challenges of the transaction include: the average age of the collateral improvements, the loan's floating-rate and interest-only mortgage loan profile, and certain credit negative legal features. The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in May 2020. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from its Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. The rapid spread of the coronavirus outbreak, the government measures put in place to contain it and the deteriorating global economic outlook, have created a severe and extensive credit shock across sectors, regions and markets. Its analysis has considered the effect on the performance of commercial real estate from the collapse in U.S. economic activity in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. MFA TRUST 2020-NQM1: DBRS Gives Prov. B Rating on Class B-2 Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2020-NQM1 (the Certificates) to be issued by MFA 2020-NQM1 Trust (MFA 2020-NQM1): -- $278.1 million Class A-1 at AAA (sf) -- $25.6 million Class A-2 at AA (sf) -- $41.9 million Class A-3 at A (sf) -- $18.1 million Class M-1 at BBB (sf) -- $11.2 million Class B-1 at BB (sf) -- $8.3 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 29.25% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 22.75%, 12.10%, 7.50%, 4.65%, and 2.55% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,177 mortgage loans with a total principal balance of $393,083,403 as of the Cut-Off Date (July 31, 2020). Citadel Servicing Corporation (CSC) is the Originator and Servicer for all loans in this pool. CSC has three programs under which it originates loans. The Non-Prime and Maggi Plus (Maggi+) products are CSC's core mortgage programs with Maggi+ aimed at higher credit profiles. CSC's Outside Dodd-Frank products include loans exempt from the Consumer Financial Protection Bureau's (CFPB) rules. Although the applicable mortgage loans were originated to satisfy the 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 Qualified Mortgage (QM)/ATR rules, 66.0% of the loans are designated as non-QM. Approximately 34.0% of the loans are made to investors for business purposes or foreign nationals, which are not subject to the QM/ATR rules. MFA Financial, Inc., the Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal residual interest consisting of the Class B-3 and XS Certificates representing at least 5% of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the earlier of (1) the distribution date in August 2023 or (2) the date when the aggregate unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, MFRA NQM Depositor, LLC (the Depositor), at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts and any pre-closing deferred amounts. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. Different from most non-QM transactions, the Servicer will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. In contrast with other non-QM transactions, which employ a fixed coupon for senior bonds (Class A-1, A-2, and A-3), MFA 2020-NQM1's senior bonds are subject to a rate update starting on the distribution date in September 2024. From this distribution date forward, the Class A-1, A-2, and A-3 bonds are subject to a step-up rate (a yearly rate equal to 1.0%). The transaction employs 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 Certificates as the more senior outstanding Certificates are paid in full. Furthermore, excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-1. CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. The non-QM sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans that may fall outside of the CFPB's ATR rules, which became effective on January 10, 2014. Non-QM loans encompass the entire credit spectrum. They range from high-FICO, high-income borrowers who opt for interest-only or higher debt-to-income ratio mortgages, to near-prime debtors who have had certain derogatory pay histories but were cured more than two years ago, to nonprime borrowers whose credit events were only recently cleared, among others. In addition, some originators offer alternative documentation or bank statement underwriting to self-employed borrowers in lieu of verifying income with Form W-2, Wage and Tax Statements 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 it previously used. DBRS Morningstar derived such MVD assumptions through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the non-QM asset class, while the full effect of the coronavirus 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 (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with prior credit events have exhibited difficulties in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, 6.9% of the borrowers have been granted forbearance or deferral plans because of financial hardship related to coronavirus. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. For this deal, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower P&I collections and (2) no servicing advances on delinquent P&I. These assumptions include: (1) Increasing delinquencies for the AAA (sf) and AA (sf) rating levels for the first 12 months; (2) Increasing delinquencies for the A (sf) and below rating levels for the first nine months; (3) Applying no voluntary prepayments for the AAA (sf) and AA (sf) rating levels for the first 12 months; and (4) Delaying the receipt of liquidation proceeds for the AAA (sf) and AA (sf) rating levels for the first 12 months. The ratings reflect transactional strengths that include the following: -- Satisfactory third-party due-diligence review. -- Certain loans, loan performance, and faster prepayments. -- Robust loan attributes and pool composition. -- Improved underwriting standards. -- Compliance with the ATR rules. The transaction also includes the following challenges: -- Borrowers on forbearance plans. -- No servicer advances of delinquent P&I. -- Representations and warranties framework and providers. -- Weaker documentation types. -- Foreign borrowers with no FICO score. -- Nonprime, non-QM, and investor loans. Notes: All figures are in U.S. dollars unless otherwise noted. MIDOCEAN CREDIT VII: Moody's Cuts Rating on Class F Notes to Caa1 ----------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by MidOcean Credit CLO VII: US$9,000,000 Class F Deferrable Floating Rate Notes due 2029 (the "Class F Notes"), Downgraded to Caa1 (sf); previously on June 3, 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$34,500,000 Class D Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$28,500,000 Class E Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes and Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on June 3, 2020 on the Class D Notes, Class E Notes, and Class F Notes issued by the CLO. The CLO, originally issued in July 2017 and partially refinanced in February 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 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 (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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3403, compared to 2968 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2938 reported in the August 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% as of August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $588.8 million, or $4.5 million less since last refinancing in February 2020. Moody's noted that all OC tests are recently reported as passing [4] except for the interest diversion test which is reported as failing [5], which could result in a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failure continue. 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: $586,325,896 Defaulted Securities: $4,434,484 Diversity Score: 67 Weighted Average Rating Factor (WARF): 3389 Weighted Average Life (WAL): 4.8 years Weighted Average Spread (WAS): 3.37% Weighted Average Recovery Rate (WARR): 48.3% Par haircut in O/C tests and interest diversion test: 1.50% Finally, Moody's notes that it also considered the information which became available from the manager 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. MIDOCEAN CREDIT VIII: Fitch Affirms B-sf Rating on Cl. F Notes -------------------------------------------------------------- Fitch Ratings has affirmed the class A-1, A-2 and F notes from MidOcean Credit CLO VIII (MidOcean VIII). In addition, Fitch has removed the class F notes from Rating Watch Negative (RWN) and assigned them a Stable Outlook. The class F notes were previously placed on RWN in April. RATING ACTIONS MidOcean Credit CLO VIII Class A-1 59801MAA6; LT AAAsf Affirmed; previously AAAsf Class A-2 59801MAC2; LT AAAsf Affirmed; previously AAAsf Class F 59801NAC0; LT B-sf Affirmed; previously B-sf TRANSACTION SUMMARY MidOcean VIII is an arbitrage CLO managed by MidOcean Credit Fund Management LP. The CLO closed in February 2018. The transaction is still within its reinvestment period, which is scheduled to end in February 2023. KEY RATING DRIVERS Asset Credit Quality The affirmations reflect the sufficient credit enhancement (CE) levels available to the notes and the stable performance of the portfolio. As of the August trustee report, the current par notional of the portfolio is 0.1% below the target par balance at closing. The portfolio has experienced minimal defaults with approximately 0.2% of the portfolio par notional considered to be defaulted. Approximately 11.3% of the current portfolio was downgraded since April, which was slightly offset by 3.7% of portfolio upgrades in the same period. Fitch's weighted average rating factor (WARF) for performing assets is 36.8, remaining in the 'B'/'B-' category since April. Cash Flow Analysis Fitch used a proprietary cash flow model (CFM) to replicate the principal and interest waterfalls, as well as the various structural features of the transaction. This transaction was modeled under the stable, down, and rising interest-rate scenarios and the front-, mid- and back-loaded default timing scenarios as outlined in Fitch's criteria. The rated notes were able to pass their current rating stresses with positive cushions in all scenarios under current portfolio assumptions. Model-implied ratings (MIRs) of the class A-1 and A-2 notes were at their current rating levels and one notch higher than the class F notes' current rating. However, Fitch did not upgrade the class F notes in light of the ongoing economic disruption caused by the coronavirus pandemic and the transaction remaining in its reinvestment period until February 2023. As such, Fitch affirmed the three classes of notes at their current ratings. When conducting a cash flow analysis, Fitch's model first projects the portfolio scheduled amortization proceeds and any prepayments for each reporting period of the transaction life, assuming no defaults (and assuming no voluntary terminations, when applicable). In each rating stress scenario, such scheduled amortization proceeds and prepayments are then reduced by a scale factor equivalent to the overall percentage of loans that are not assumed to default (or to be voluntary terminated, when applicable). This adjustment avoids running out of performing collateral due to amortization and ensures all of the defaults projected to occur in each rating stress are realized in a manner consistent with Fitch's published default timing curve. Asset Security, Portfolio Management, and Portfolio Composition The current portfolio consists of 99.9% of first lien senior secured loans. The loan portfolio remains diversified, with 246 obligors. Exposure to the top 10 obligors comprised 11.8% of the portfolio balance, and no obligor represents more than 1.5% of the portfolio balance. All overcollateralization and interest coverage tests continue to pass, as of the most recent trustee report. Coronavirus Baseline Scenario Impact Fitch carried out a sensitivity analysis on the current portfolio to envisage the coronavirus baseline scenario. The analysis notched down the ratings for all assets with corporate issuers with Negative Outlooks regardless of sector, with a floor of 'CCC-'. Assets with a Fitch-derived rating with a Negative Outlook comprised 43.8% of the portfolio balance. The Stable Outlooks reflect the notes' resilience with cushions for the current ratings, based on stable interest rate assumptions in all default timing scenarios in the sensitivity analysis. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. The results should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade: A 25% reduction of the mean default rate across all ratings and a 25% increase of the recovery rate at all rating levels would potentially lead to an upgrade of five notches for the class F notes based on model-implied ratings. Upgrade scenarios are not applicable and not considered for the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At closing, Fitch uses a stress portfolio (Fitch's Stressed Portfolio) that is customized to the specific portfolio limits for the transaction as specified in the transaction documents. Even if the actual portfolio shows lower defaults and smaller losses (at all rating levels) than Fitch's Stressed Portfolio assumed at closing, an upgrade of the notes during the reinvestment period is unlikely as the portfolio credit quality may still deteriorate, not only through natural credit migration, but also through reinvestments. Upgrades may occur after the reinvestment period on better-than-expected portfolio credit quality and deal performance, leading to higher notes' credit enhancement and excess spread available to cover for losses on the remaining portfolio. Factors that could, individually or collectively, lead to negative rating action/downgrade: A 25% increase of the mean default rate across all ratings, and a 25% decrease of the recovery rate at all rating levels, would potentially lead to a downgrade of one notch for the class A-1 and A-2 notes and more than one category below for the class F notes based on model-implied ratings. Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing in the Fitch Stressed Portfolio and if the notes' CE does not compensate for the worse loss expectation than initially expected. As the disruptions to supply and demand due to the coronavirus disruption become apparent for other vulnerable sectors, loan ratings in those sectors would also come under pressure. Fitch will update the sensitivity scenarios in line with the views of its Leveraged Finance team. Coronavirus Downside Scenario Impact: In addition to the baseline scenario described earlier in this commentary, Fitch conducted a sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a re-emergence of infections in the major economies, before a halting recovery begins in 2Q21. The downside sensitivity incorporates the following stresses: applying a one-notch downgrade to all Fitch-derived ratings in the 'B' rating category; applying a 70% recovery rate multiplier to all assets from issuers in the eight industries identified as being most exposed to negative performance resulting from business disruptions from the coronavirus (Group 1 countries only); and applying an 85% recovery rate multiplier to all other assets. The model-implied ratings under this sensitivity scenario are one notch below the current ratings of the class A-1 and A-2 notes, and more than one category below for the class F notes. MOFT 2020-B6: DBRS Finalizes B(high) Rating on Class D Certs ------------------------------------------------------------ DBRS, Inc. finalized provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates (the Certificates) 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 compose 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 was not 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, Inc. (Twitter). However, the ongoing Coronavirus Disease (COVID-19) pandemic continues to pose challenges and risks to virtually all major commercial real estate 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 it 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 commercial real estate sector and the global fixed income markets. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis, for example by front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2013-C13: Fitch Affirms B-sf Rating on Cl. G Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2013-C13 (MSBAM 2013-C13). Fitch has also revised the Rating Outlook on class G to Negative from Stable. RATING ACTIONS MSBAM 2013-C13 Class A-3 61763BAT1; LT AAAsf Affirmed; previously at AAAsf Class A-4 61763BAU8; LT AAAsf Affirmed; previously at AAAsf Class A-S 61763BAW4; LT AAAsf Affirmed; previously at AAAsf Class A-SB 61763BAS3; LT AAAsf Affirmed; previously at AAAsf Class B 61763BAX2; LT AAsf Affirmed; previously at AAsf Class C 61763BAZ7; LT Asf Affirmed; previously at Asf Class D 61763BAC8; LT BBB-sf Affirmed; previously at BBB-sf Class E 61763BAE4; LT BB+sf Affirmed; previously at BB+sf Class F 61763BAG9; LT BB-sf Affirmed; previously at BB-sf Class G 61763BAJ3; LT B-sf Affirmed; previously at B-sf Class PST 61763BAY0; LT Asf Affirmed; previously at Asf Class X-A 61763BAV6; LT AAAsf Affirmed; previously at AAAsf Class X-B 61763BAA2; LT AAsf Affirmed; previously at AAsf KEY RATING DRIVERS Stable Overall Performance; Increased Loss Expectations: While overall pool performance remains stable, loss expectations have increased due to additional stresses applied to loans expected to be affected in the near term from the coronavirus pandemic, as well as higher losses from specially serviced loans. Eighteen loans (34.8% of pool), including three loans (6.9%) in special servicing, were designated Fitch Loans of Concern (FLOCs). Fourteen (30.1%) were designated FLOCs primarily due to exposure to the coronavirus pandemic in the near term. Fitch Loans of Concern/Specially Serviced Loans: The largest FLOC is the specially serviced Residence Inn by Marriott Philadelphia loan (4.9%), which is secured by a 324-key extended stay hotel located in Center City Philadelphia. The property was recently renovated in 2017-2018. The loan transferred to special servicing in May 2020 for Imminent Monetary Default as the borrower had requested relief request as a result of the coronavirus pandemic; the borrower has since withdrawn its request for relief. The lender is processing a PPP loan and the loan will be returned to the master servicer. As of the TTM ended March 2020, occupancy was 73%. At YE 2018, servicer-reported NOI debt service coverage ratio (DSCR) was 1.80x. As of the TTM ended March 2020, the hotel was performing in-line with its competitive set with a RevPAR penetration rate of 99.8%. The largest non-coronavirus related FLOC is the specially serviced 1200 Howard Blvd. loan (1.8%), which is secured by an 87,011-sf suburban office building in Mount Laurel, NJ. The loan transferred to special servicing in April 2018 due to the borrower completing a non-permitted equity transfer in bankruptcy and change in management company without lender consent. The loan has been in payment default since November 2018. A receiver has been appointed and the special servicer is completing the foreclosure action. At YE 2019, occupancy was 94%, and servicer-reported NOI DSCR was 1.81x. Increasing Credit Enhancement: Credit enhancement has improved since issuance from continued amortization and the full repayment of three loans (2.7% of original pool balance) since Fitch's last rating action. As of the August 2020 distribution date, the pool's aggregate principal balance has paid down by 17.4% to $822.7 million from $995.3 million at issuance. Four loans (18.2% of current pool) are full-term interest only, and 17 loans (37.7%), which had a partial-term interest-only period at issuance, have begun amortizing. In addition, five loans (5.6%) are fully defeased. Pool/Maturity Concentration: The top 10 loans comprise 53.8% of the pool. Loan maturities are concentrated in 2023 (95.5%). Based on property type, the largest concentrations are retail at 61.1%, hotel at 14.6% and multifamily at 9.8%. Regional Mall Exposure: The largest loan is Stonestown Galleria (15.3%), which is secured by 585,758 sf of an 853,546-sf regional mall in San Francisco, CA. Larger collateral tenants include Target, Trader Joe's, H&M, Uniqlo and Apple. Nordstrom (previously 28% NRA), a collateral anchor, closed its store at this location in the fourth quarter of 2019, prior to its April 2022 lease expiration. Target signed a lease to expand into approximately 50% of Nordstrom's space, with an anticipated opening in 2021. Also, the sponsor is actively redeveloping a vacant non-collateral anchor space, previously occupied by Macy's, into a mixed-use space. Leases have been executed with Whole Foods, Regal Cinemas and Sports Basement, with scheduled occupancy/opening at the end of 2020/beginning of 2021. As of June 2020, collateral occupancy was 81% (including Target's expansion space). At YE 2019, servicer-reported NOI DSCR was 1.79x. As of the TTM ended June 2020, in-line sales were $789 psf ($441 psf excluding Apple). While the mall's interior stores are currently closed amidst the coronavirus pandemic, curbside pickup is available. The second largest loan is The Mall at Chestnut Hill (14.6%), which is secured by 168,642 sf of a 465,895-sf reginal mall in Newton, MA and anchored by Bloomingdales (non-collateral). Crate and Barrel is the largest collateral tenant. Other major in-line tenants include Apple, Coach and Tiffany and Co. Performance has been relatively stable since issuance. Collateral occupancy was 88% as of June 2020, and servicer-reported NOI DSCR was 2.16x at YE 2019. While recent tenant sales have not been provided, YE 2017 in-line sales were $787 psf ($565 psf excluding Apple). The mall is currently open for business. Exposure to Coronavirus Pandemic: 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 pandemic. The pandemic has prompted the closure of several hotel properties in gateway cities, as well as malls, entertainment venues and individual stores. Eight loans (14.6%) are secured by hotel properties. The weighted average NOI DSCR for all non-defeased hotel loans is 2.11x. These hotel loans could sustain a weighted average decline in NOI of 53% before DSCR falls below 1.00x. Twenty-five loans (61.1%) are secured by retail properties. The weighted average NOI DSCR for all non-defeased retail loans is 1.84x. These retail loans could sustain a weighted average decline in NOI of 46% before DSCR falls below 1.00x. Additional coronavirus specific base case stresses were applied to five hotel loans (11.8%) including Residence Inn by Marriott Philadelphia (4.9%), Hilton Garden Inn - Palm Beach Gardens (2.4%) and Hyatt Place - West Palm Beach (2.3%), nine retail loans (18.8%) and one mixed-use loan (1.0%) with a retail concentration. These additional stresses contributed to the Negative Outlook on class G. RATING SENSITIVITIES The Stable Outlooks on classes A-3 through F reflect the overall stable performance of the pool and expected continued amortization. The Negative Outlook on class G reflects concerns with the FLOCs, primarily loans expected to be affected by exposure to the coronavirus pandemic in the near term, as well as additional stresses applied to regional malls and specially serviced loans. 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 through G 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-3 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 G 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. MORGAN STANLEY 2013-C8: Fitch Affirms Bsf Rating on Class F Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8. RATING ACTIONS MSBAM 2013-C8 Class A-3 61761QAD5; LT AAAsf Affirmed; previously AAAsf Class A-4 61761QAE3; LT AAAsf Affirmed; previously AAAsf Class A-S 61761QAG8; LT AAAsf Affirmed; previously AAAsf Class ASB 61761QAC7; LT AAAsf Affirmed; previously AAAsf Class B 61761QAH6; LT AA-sf Affirmed; previously AA-sf Class C 61761QAK9; LT A-sf Affirmed; previously A-sf Class D 61761QAN3; LT BBB-sf Affirmed; previously BBB-sf Class E 61761QAQ6; LT BBsf Affirmed; previously BBsf Class F 61761QAS2; LT Bsf Affirmed; previously Bsf Class PST 61761QAJ2; LT A-sf Affirmed; previously A-sf Class X-A 61761QAF0; LT AAAsf Affirmed; previously AAAsf Class X-B 61761QAL7; LT AA-sf Affirmed; previously AA-sf KEY RATING DRIVERS Slight Increase in Loss Expectations: While the majority of the pool maintains stable performance, loss expectations on the pool have increased over the last year primarily due to the eight Fitch Loans of Concern (FLOCs; 12.3% of the pool), including four specially serviced loans (8%), as well as concerns over the overall impact of the coronavirus pandemic on the pool. Increased Credit Enhancement: As of the July 2020 distribution date, the pool's aggregate principal balance was reduced by 24.6% to $858.2 million from $1.1 billion at issuance. Nine loans (22.2% of the pool balance) are fully defeased. There have been no realized losses to date and interest shortfalls are currently affecting the non-rated class G only. Three loans (7.5%) are full-term IO, and all loans with partial IO periods are now amortizing. All loans are scheduled to mature between December 2022 and January 2023. Fitch Loans of Concern: Eight loans (12.3%) have been designated as a FLOCs. The largest FLOC is the specially serviced Kingsgate Center loan (3.9%), which is secured by a mixed-use property located in Lubbock, TX. The property is comprised of 191,110 sf of retail space and 41,198 sf of office space. The loan transferred to special servicing in July 2020 for payment default as a result of the coronavirus pandemic. Per the August 2020 remittance, the Kingsgate Center loan was reported as 90+ day delinquent; however, per the servicer, the borrower has since remitted payments and brought the loan current. The servicer reported NOI DSCR was 1.70x at YE 2019 for this amortizing loan. Occupancy was 98%, as of March 2020. Upcoming rollover at the property includes 9.6% of the NRA in 2020, followed by 16% in 2021, and 4.5% in 2022. The loan is scheduled to mature in January 2023. Forbearance is currently under review. The next largest FLOC is the 11451 Katy Freeway loan (2.3% of the pool), which is secured by a 117,261-sf suburban office property located in Houston, TX. Cash flow at the property has decreased since issuance driven by an ongoing occupancy decline to a low of 51% in 2018 related primarily to the loss of a large bankrupt tenant. Occupancy has since rebounded to 95% as of June 2020. The servicer reported YE 2019 NOI DSCR was low at 0.64x; however, several tenants remained in their free rent period during the reporting period. The submarket is not strong with a vacancy rate of 26.6% (per Reis, 2Q 2020). The average in place rents are below the market level of $28.60 psf. The next largest FLOC is the Anderson Mall loan (2%), which is secured by a 316,561-sf portion of a 671,000-sf regional mall located in Anderson County, SC. The loan transferred to special servicing in April 2020 for payment default as a result of the coronavirus pandemic. The mall is anchored by Belk and Dillard's, which own their own improvements, and J.C. Penney, which is included in the collateral. As of June 2020, total mall occupancy was reported at 83%, down from 91% in June 2018. As of YE 2019, the servicer reported NOI DSCR declined to 0.82x from 1.56x at YE 2018. The cash flow decline is primarily attributed the loss of several inline tenants as a result of Sears vacating and lower overall rents charged to sustain occupancy. Since the beginning of 2020, tenants such as Kay Jewelers, Chico's and Lenscrafters have vacated. J.C. Penney was on the closing list for this location; however, according to local news reports, the decision was reversed and the store is now expected to remain open in the near term. The next largest FLOC is the One Concourse loan (1.56%), which is secured by a 110,167-sf suburban office property located in Fishers, IN. The loan transferred to special servicing in December 2018 for imminent monetary default and became REO in February 2020. As of YE 2018, occupancy was reported at 58% with a YE 2018 NOI DSCR of 0.95x. Updated financials have not been provided by the servicer. The remaining four FLOCs (2.6% combined) consist of loans secured by a hotel located in Columbus MS, a portfolio of mixed-use properties located in CT, a mixed-use property located in Buffalo, NY, and a student housing property located in Youngstown, OH, which transferred to special servicing in April 2018 due to a non-monetary default. Coronavirus: Fitch expects significant economic impacts to certain hotels, retail and multifamily properties from the coronavirus pandemic due to the related reductions in travel and tourism, temporary property closures and lack of clarity at this time on the potential duration of the impacts. Loans collateralized by retail properties and mixed-use properties with a retail component account for 17 loans (40.3% of pool). Loans secured by hotel properties account for four loans (6.3%), while one loan (0.5%) is secured by a multifamily property. Fitch's base case analysis applied additional stresses to five retail loans and one hotel loan due to their vulnerability to the coronavirus pandemic; this contributed to maintaining the Negative Outlook on class F. RATING SENSITIVITIES The Stable Outlooks reflect the class' sufficient credit enhancement relative to expected losses as well as the stable performance of the majority of the pool and expected continued amortization. The Negative Outlook on class F reflects concerns over the FLOCs as well as the unknown impact of the pandemic on the overall pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades to classes B and C would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection and increased concentrations, or the underperformance of the FLOCs, could reverse this trend. An upgrade to class D is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were 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/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to classes A-1 through B are not likely due to their position in the capital structure and the high credit enhancement; however, downgrades to these classes may occur should interest shortfalls occur. Downgrades to class C would occur if loss expectations increase significantly and/or credit enhancement be eroded. Downgrades to the classes rated 'BBB-sf', 'BB-sf', or 'B-sf' would occur if the performance of the FLOC continues to decline and/or fail to stabilize, or should losses from specially serviced loans/assets be larger than expected. In addition to its baseline scenario, Fitch envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that classes assigned a Negative Outlook will be downgraded one or more categories and additional classes may be downgraded or have their Outlooks revised to Negative. ESG CONSIDERATIONS MSBAM 2013-C8: Exposure to Social Impacts: 4 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. MORGAN STANLEY 2019-PLND: Moody's Cuts Class D Certs Rating to Ba2 ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings on two classes and downgraded ratings on two classes of Morgan Stanley Capital I Trust 2019-PLND, Commercial Mortgage Pass-Through Certificates, Series 2019-PLND as follows: Cl. A, Affirmed Aaa (sf); previously on May 30, 2019 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on May 30, 2019 Definitive Rating Assigned Aa3 (sf) Cl. C, Downgraded to Baa1 (sf); previously on May 30, 2019 Definitive Rating Assigned A3 (sf) Cl. D, Downgraded to Ba2 (sf); previously on May 30, 2019 Definitive Rating Assigned Baa3 (sf) RATINGS RATIONALE The ratings on Cl. A and Cl. B were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, are within acceptable ranges. The ratings on Cl. C and Cl. D were downgraded due to an increase in Moody's LTV as a result of immediate decline in performance due to the coronavirus outbreak and the uncertainty of timing and extent of the recovery. Moody's has assumed a significant drop in net cash flow (NCF) in 2020, followed by two or more years of improvement in the loan performance, resulting in a lower than previously assumed Moody's NCF levels. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Its analysis has considered the effect on the performance of commercial real estate from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. 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. 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 pool paydowns or amortization, an increase in defeasance or an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan or increase in interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in May 2020. DEAL PERFORMANCE As of the August 17, 2020 distribution date, the transaction's aggregate certificate balance remains unchanged at $240 million from securitization. The 5-year (including three one-year extensions), interest only, floating rate loan is secured by the borrowers' fee simple interests in two, full-service hotels totaling 782-guestrooms and located in Portland, Oregon. The properties are known as The Hilton Portland Downtown (455 guestrooms) and The Duniway (327 guestrooms) and are adjacently located with hotel guests benefitting from access to the amenities at both hotels. The portfolio's net cash flow (NCF) for 2019 was approximately $16.9 MM compared to $18.7 million at securitization. For full year 2020 NCF, Moody's expects a significant drop due to coronavirus outbreak induced property closures and travel restrictions as well as cancellation of groups. Due to the length and the magnitude of the disruption, Moody's does not expect large hotels that cater to group demand to return to pre-COVID levels within the next 24 to 36 months, and the pace of recovery will vary depending on the property's market segment and location. At securitization, 46% of the demand at The Hilton Portland Downtown was comprised of meeting and group demand whereas The Duniway's group segment accounted for 32%. The loan status is 90+ days delinquent as of the August distribution date and there are outstanding total advances of approximately $2.8 million. The first mortgage balance represents a Moody's stabilized LTV of 177%. Moody's first mortgage stressed debt service coverage ratio (DSCR) is 0.64X. The downgrades take into account volatility and uncertainty of the loan's performance and the recovery anticipated. There are outstanding interest shortfalls totaling $1,333 affecting Cl. HRR and there are no cumulative losses as of the current distribution date. MOUNTAIN VIEW IX: Moody's Cuts Rating on Class E Notes to Caa1 -------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Mountain View CLO IX Ltd.: US$8,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class E Notes are referred to herein as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$30,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$27,300,000 Class D-R Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Confirmed at Ba3 (sf); previously on April 17, 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 review for downgrade initiated on April 17, 2020 on the Class C-R, Class D-R, and Class E Notes issued by the CLO. The CLO, issued in June 2015 and refinanced in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on June 2023. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased and the credit enhancement available to the CLO notes has declined. Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3035, compared to 2651 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 August 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 August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $532.3 million, or $17.7 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: $525,278,552 Defaulted Securities: $16,239,341 Diversity Score: 83 Weighted Average Rating Factor (WARF): 3020 Weighted Average Life (WAL): 5.93 years Weighted Average Spread (WAS): 3.45% Weighted Average Recovery Rate (WARR): 47.9% Par haircut in O/C tests and interest diversion test: 0.1% 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 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. MP CLO III: Moody's Lowers Rating on Class E-R Notes to B1 ---------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by MP CLO III, Ltd.: US$25,600,000 Class D-R Secured 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$21,300,000 Class E-R Secured 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 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 D-R and the Class E-R Notes issued by the CLO. The CLO, originally issued in March 2013 and refinanced in October 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 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 3270, compared to 3022 reported in the March 2020 trustee report [2]. Moody's also noted that 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 15.8%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $384.7 million, or $15.3 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: $381,933,558 Defaulted Securities: $8,776,454 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3227 Weighted Average Life (WAL): 5.6 years Weighted Average Spread (WAS): 3.51% Weighted Average Recovery Rate (WARR): 47.3% Finally, Moody's notes that it also considered the information in the August 2020 trustee report [4] which became available shortly 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. NASSAU LTD 2019-I: Moody's Confirms Ba3 Rating on Class D Notes --------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Nassau 2019-I Ltd.: US$21,750,000 Class B Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$30,000,000 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$28,250,000 Class D Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class B Notes, Class C Notes, and the Class D 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 and Class D Notes and on June 3, 2020 on the Class B Notes issued by the CLO. The CLO, issued in May 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 on 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 (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 2914 reported in the February 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2979 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 $491.9 million, or $8.1 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: $487,056,649 Defaulted Securities: $10,614,469 Diversity Score: 84 Weighted Average Rating Factor (WARF): 3540 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 4.11% Weighted Average Recovery Rate (WARR): 47.1% Par haircut in O/C tests and interest diversion test: 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; 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. NASSAU LTD 2019-II: Moody's Confirms Ba3 Rating on Class E Notes ---------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Nassau 2019-II Ltd.: US$24,000,000 Class D Senior Secured 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$20,000,000 Class E Secured 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 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 issued by the CLO. The CLO, issued in 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 on 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 (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 3235, compared to 2715 reported in the February 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2802 reported in the July 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 19.8% as of July 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $399.0 million, or $1.0 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: $396,225,837 Defaulted Securities: $5,706,981 Diversity Score: 79 Weighted Average Rating Factor (WARF): 3294 Weighted Average Life (WAL): 5.96 years Weighted Average Spread (WAS): 4.01% Weighted Average Recovery Rate (WARR): 47.2% Par haircut in O/C tests and interest diversion test: 0.1% 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 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. OCEANVIEW MORTGAGE 2020-SBC1: DBRS Gives (P)B(low) on Cl. B3 Debt ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of secured floating-rate notes to be issued by Oceanview Mortgage Loan Trust 2020-SBC1: -- Class A1-A at AAA (sf) -- Class A1-B at AAA (sf) -- Class A1-C at AAA (sf) -- Class A1-XA at AAA (sf) -- Class A1-XB at AAA (sf) -- Class A1-XC at AAA (sf) -- Class A1-XD at AAA (sf) -- Class A1-XE at AAA (sf) -- Class M1-A at AA (sf) -- Class M1-B at AA (sf) -- Class M1-C at AA (sf) -- Class M1-XA at AA (sf) -- Class M1-XB at AA (sf) -- Class M1-XC at AA (sf) -- Class M1-XD at AA (sf) -- Class M1-XE at AA (sf) -- Class M2-A at A (sf) -- Class M2-B at A (sf) -- Class M2-C at A (sf) -- Class M2-XA at A (sf) -- Class M2-XB at A (sf) -- Class M2-XC at A (sf) -- Class M2-XD at A (sf) -- Class M2-XE at A (sf) -- Class M3-A at BBB (sf) -- Class M3-B at BBB (sf) -- Class M3-C at BBB (sf) -- Class M3-XA at BBB (sf) -- Class M3-XB at BBB (sf) -- Class M3-XC at BBB (sf) -- Class M3-XD at BBB (sf) -- Class M3-XE at BBB (sf) -- Class M4-A at BBB (low) (sf) -- Class M4-B at BBB (low) (sf) -- Class M4-C at BBB (low) (sf) -- Class M4-XA at BBB (low) (sf) -- Class M4-XB at BBB (low) (sf) -- Class M4-XC at BBB (low) (sf) -- Class M4-XD at BBB (low) (sf) -- Class M4-XE at BBB (low) (sf) -- Class B1-A at BB (high) (sf) -- Class B1-B at BB (high) (sf) -- Class B1-XA at BB (high) (sf) -- Class B1-XB at BB (high) (sf) -- Class B1-XC at BB (high) (sf) -- Class B2 at BB (low) (sf) -- Class B3 at B (low) (sf) All trends are Stable. With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remains highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, feeling more immediate effects. DBRS Morningstar continues to monitor the ongoing coronavirus pandemic and its impacts on both the commercial real estate sector and the global fixed income markets. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis, for example by front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. A portion of the initial Mortgage Loans is composed of Unresolved COVID Forbearance Loans. Additionally, Mortgage Loans may be modified or become subject to Fresh Start Loss Mitigation or Proprietary COVID Forbearance following the Closing Date. The repayment of forborne debt service payments may be made at one time, over 90 days, capitalized and added to the loan balance, or otherwise as required by law. The collateral consists of 657 individual loans secured by 783 commercial, multifamily, and single-family rental (SFR) properties with an average loan balance of $428,858 (unless noted otherwise average refers to straight average). The transaction is configured with a modified pro rata pay pass-through structure. Given the complexity of the structure and granularity of the pool, DBRS Morningstar applied its North American CMBS Multi-Borrower Rating Methodology (the CMBS Methodology) and the RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (the RMBS Methodology). Of the 657 individual loans, 411 loans, representing 60.1% of the pool, have a fixed interest rate with an average of 6.875%. The floating-rate loans have interest rate life floors ranging from 2.00% to 10.25%, with a straight average of 7.00%, and interest rate margin ranging from 0.50% to 5.50%, with a straight average of 2.35%. To determine the probability of default (POD) and loss severity given default (LGD) inputs in the CMBS Insight Model for the floating-rate loans, DBRS Morningstar applied a stress to the various indexes that corresponded with the remaining fully extended term of the loans and added the respective contractual loan spread to determine a stressed interest rate over the loan term. DBRS Morningstar looked to the greater of the interest rate floor or the DBRS Morningstar stressed index rate when calculating stressed debt service. The average modeled coupon rate across all loans was 8.1%. The loans have original terms of 10 years to 30 years and amortize over periods of 15 years to 30 years. When the cut-off loan balances were measured against the DBRS Morningstar stressed net cash flow (NCF) and their respective actual constants or stressed interest rates, there were 387 loans, representing 53.6% of the pool, with term debt service coverage ratios (DSCRs) below 1.15x, a threshold indicative of a higher likelihood of term default. The pool has an average original term length of 356 months, or 29.7 years, with an average remaining term of 344 months, or 28.7 years. Based on the original loan balance and the appraisal at origination, the pool had a weighted-average (WA) loan-to-value ratio (LTV) of 67.1%. DBRS Morningstar applied a pool average LTV of 71.4%, which reflects the adjustments it made to values based on implied cap rates by market rank. Furthermore, all but two of 657 loans fully amortize over their respective remaining loan terms, resulting in 99.9% expected amortization; this does not represent typical commercial mortgage-backed securities (CMBS) conduit pools, which have substantial concentrations of interest-only (IO) and balloon loans. DBRS Morningstar's research indicates that, for CMBS conduit transactions securitized between 2000 and 2018, the average amortization by year has ranged between 7.5% to 22.0%, with an overall median of 12.5%. Of the 657 loans, 47 loans, representing 3.1% of the trust balance, are secured by SFR properties. The CMBS Methodology does not currently contemplate ratings on SFR properties. To address this, DBRS Morningstar severely increased the expected loss on these loans by approximately 2.9x over the average non-SFR expected loss. DBRS Morningstar then applied the fully adjusted default assumption and model generated severity figures from the DBRS Morningstar CMBS Insight Model to the RMBS Cash Flow Model, which is adept at modeling sequential and pro rata structures on loan pools exceeding 500 loans. As part of the RMBS Cash Flow Model, DBRS Morningstar incorporated four constant prepayment rate (CPR) stresses: 5.0%, 10.0%, 15.0%, and 20.0%. Additional assumptions in the RMBS Cash Flow Model include a 22-month recovery lag period, 100% servicer advancing, and four default curves (uniform, front, middle, and back). The shape and duration of the default curves were based on the RMBS loss curves. Lastly, DBRS Morningstar stressed rates, both upward and downward, based on their respective loan indexes. The pool is relatively diverse based on loan size, with an average balance of $428,858, a concentration profile equivalent to that of a pool with 397 equal-sized loans and a top-10 loan concentration of only 6.9%. Increased pool diversity helps to insulate the higher-rated classes from loan-level event risk. The loans are mostly secured by traditional property types (i.e., retail, multifamily, office, and industrial) with no exposure to higher-volatility property types, such as hotels, and minimal exposure to self-storage facilities or manufactured housing communities, which represent 0.2% of the pool balance combined. All but two loans in the pool fully amortize over their respective loan terms between 120 and 360 months, thus virtually eliminating refinance risk. The pool has high term risk as supported by the low WA DBRS Morningstar DSCR of 1.18x. The DBRS Morningstar DSCR reflects conservatively stressed debt service amounts on floating-rate loans. Furthermore, the pool has a cut-off WA LTV of 67.8% based on appraisal values at loan origination that suggests overall moderate leverage. The pool is heavily concentrated with multifamily, 40.6% of the pool. Multifamily properties included mixed-use assets that were predominately residential. Based on DBRS Morningstar's research, multifamily properties securitized in conduit transactions have had lower default rates than most other property types. Of the 49 loans that DBRS Morningstar sampled (performed an exterior site inspection and/or reviewed third-party photographs), 22 loans, representing 27.5% of the DBRS Morningstar sample, had Average (-) to Poor property quality scores. DBRS Morningstar increased the POD for these loans to account for the elevated risk. Furthermore, DBRS Morningstar modeled any uninspected loans as Average (-), which has a slightly increased POD level. Limited property-level information was available for DBRS Morningstar to review. It did not receive Asset Summary Reports, Property Condition Reports, Phase I/II Environmental reports, and historical financial cash flows in conjunction with this securitization. DBRS Morningstar received a long- or short-form appraisal for loans in its sample, which DBRS Morningstar used in the NCF analysis process. The Issuer did not provide environmental reports; however, only 11.3% of the pool consists of loans secured by industrial properties, which would typically have an increased risk of environmental concerns originating at the property. Furthermore, as of the Cut-Off Date, approximately 40.2% of the Mortgage Loans will be covered by one or more blanket environmental insurance policies. DBRS Morningstar did not receive property condition reports; however, it used capital expense estimates exceeding its guideline amounts and its assessment of the sampled property quality to stress the NCF analysis. DBRS Morningstar's NCF analysis resulted in a 23.6% reduction to the Issuer's NCF, well above the median historical reduction of 8.0% across CMBS conduit transactions, which provides meaningful stress to the default levels. Forty-four loans, representing 7.8% of the trust balance, were listed in the AMC Guideline review with exceptions for missing environmental reports, missing hazard insurance, or insufficient hazard insurance; therefore, DBRS Morningstar increase its LGD assumptions in its model to mitigate this risk. DBRS Morningstar received limited borrower information, net worth or liquidity information, and credit history. DBRS Morningstar modeled loans with Weak borrower strength, which increases the stress on the default rate. Furthermore, DBRS Morningstar received a 12-month pay history on each loan. Any loan with more than one late payment within this period was modeled with additional stress to the default rate. This applied to 82 loans, representing 15.0% of the pool balance. Additionally, loans originated under the Lite Doc or Bank Statement documentation programs received additional stress to account for risk associated with borrowers that are potentially less sophisticated or have negative credit histories. This applied to 384 loans, representing 51.9% of the pool balance. DBRS Morningstar increased default rates for 13 loans, representing 2.7% of the trust balance, because they were listed in the AMC Guideline review with exceptions for credit eligibility. Finally, 520 of the 657 loans had a borrower FICO score as of July 2020, with an average FICO score of 732. While the CMBS Methodology does not contemplate FICO scores, the RMBS Methodology does and would characterize a FICO score of 732 as near-prime, where prime is greater than 750. A borrower with a FICO score of 732 may have had previous credit events (foreclosure, bankruptcy, etc.), but it is likely that these credit events were cleared about two to five years ago. DBRS Morningstar received limited information regarding the effects of the impact of the coronavirus pandemic on individual property occupancy or cash flow. Of the 657 loans, 66 loans (11.6% of the trust amount) have been in forbearance for coronavirus pandemic-related reasons, but they have exited forbearance and have brought the loan payments current. DBRS Morningstar modeled these loans with a slightly elevated default rate. An additional 20 loans (4.0% of the trust amount) are actively in or in the process of becoming actively in forbearance. These loans had severely elevated default rate assumptions because it is unknown if the loan will successfully exit forbearance. Finally, seven loans (2.0% of the trust amount) are in a post forbearance workout plan. DBRS Morningstar modeled these loans with near 100.0% default rates. Classes A1-XA, A1-XB, A1-XC, A1-XD, A1-XE, M1-XA, M1-XB, M1-XC, M1-XD, M1-XE, M2-XA, M2-XB, M2-XC, M2-XD, M2-XE, M3-XA, M3-XB, M3-XC, M3-XD, M3-XE, M4-XA, M4-XB, M4-XC, M4-XD, M4-XE, B1-XA, B1-XB, and B1-XC are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. OCTAGON INVESTMENT 41: Moody's Confirms Ba3 Rating on Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Octagon Investment Partners 41, Ltd.: US$31,600,000 Class D 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$29,500,000 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 D Notes and 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 E Notes issued by the CLO. The CLO, 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 on 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 (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3055 compared to 2745 reported in the March 2020 trustee report [2]. Moody's noted that the WARF was passing the test level of 3149 reported in the August 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%. Nevertheless, Moody's noted that the all the OC tests, 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: $ 485,387,192 Defaulted Securities: $ 7,465,913 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3061 Weighted Average Life (WAL): 6.1 years Weighted Average Spread (WAS): 3.63% Weighted Average Recovery Rate (WARR): 47.12% Par haircut in OC tests and interest diversion test: 0.28% 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. OCTAGON INVESTMENT XIX: Moody's Cuts $7.5MM Cl. F Notes to Caa3 --------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Octagon Investment Partners XIX, Ltd.: US$7,500,000 Class F Secured Deferrable Floating Rate Notes due 2026 (the "Class F Notes"), Downgraded to Caa3 (sf); previously on June 3, 2020 Caa2 (sf) Placed Under Review for Possible Downgrade The Class F Notes are referred to herein as the "Downgraded Notes." Moody's also upgraded the rating on the following notes: US$39,250,000 Class C-R Secured Deferrable Floating Rate Notes due 2026 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on December 20, 2018 Upgraded to Aa1 (sf) The Class C-R Notes are referred to herein as the "Upgraded Notes." Moody's also confirmed the rating on the following notes: US$27,500,000 Class E Secured Deferrable Floating Rate Notes Due 2026 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class E Notes are referred to herein as the "Confirmed Notes." These actions conclude the review for downgrade initiated on June 3, 2020 on the Class E Notes and Class F Notes issued by the CLO. The CLO, originally issued in April 2014 and partially refinanced in March 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2018. 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. The upgrade rating action on the Upgraded Notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2020. The Class A-R notes have been paid down in full by 100% or approximately $56.2 million since that time. Based on the August 2020 trustee report [1] and February 2020 trustee report [2], the OC ratios for the Class A/B and Class C notes are currently reported at 264.40% and 163.86%, respectively, versus February 2020 levels of 189.05% and 143.66%, 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, deleveraging of senior notes 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 [3], the weighted average rating factor (WARF) was reported at 3311, compared to 2868 reported in the March 2020 trustee report [4]. Moody's also noted that the WARF was failing the test level of 2392 reported in the July 2020 trustee report [5]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 17.9% as of July 2020. Furthermore, Moody's calculated the Class F OC ratio (excluding haircuts) as of July 2020 at 103.63%. Nevertheless, Moody's noted that all the OC tests were recently reported in the July 2020 trustee report [6] 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: $172,705,905 Defaulted Securities: $1,767,628 Diversity Score: 38 Weighted Average Rating Factor (WARF): 3290 Weighted Average Life (WAL): 3.34 years Weighted Average Spread (WAS): 3.43% Weighted Average Recovery Rate (WARR): 46.54% Par haircut in O/C tests and interest diversion test: 2.4% Finally, Moody's notes that it also considered the information in the August 2020 trustee report [7] 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. OCTAGON INVESTMENT XXI: Moody's Confirms Class E-RR Notes at B3 --------------------------------------------------------------- Moody's Investors Service has confirmed the ratings on the following notes issued by Octagon Investment Partners XXI, Ltd.: US$40,250,000 Class C-RR Secured Deferrable Floating Rate Notes due 2031 (the "Class C-RR Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$37,000,000 Class D-RR Secured Deferrable Floating Rate Notes due 2031 (the "Class D-RR Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade US$12,000,000 Class E-RR Secured Deferrable Floating Rate Notes due 2031 (the "Class E-RR Notes"), Confirmed at B3 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class C-RR Notes, the Class D-RR Notes, and the Class E-RR 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-RR, D-RR, and E-RR Notes issued by the CLO. The CLO, originally issued in October 2014, and partially refinanced in November 2016 and February 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 on in February 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 (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3004 compared to 2755 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2776 reported in the August 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 13.1%. Nevertheless, Moody's noted that the all the OC tests, 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: $729,542,389 Defaulted Securities: $10,811,982 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2999 Weighted Average Life (WAL): 6.1 years Weighted Average Spread (WAS): 3.52% Weighted Average Recovery Rate (WARR): 47.22% Par haircut in O/C tests and interest diversion test: 0.29% 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. OCTAGON INVESTMENT XXIII: Moody's Cuts Class F-R Notes to Caa2 -------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Octagon Investment Partners XXIII, Ltd.: US$9,000,000 Class F-R Secured Deferrable Floating Rate Notes due 2027 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class F-R Notes are referred to herein as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$31,750,000 Class D-R 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$29,000,000 Class E-R 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 Class E-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, E-R, and F-R Notes issued by the CLO. The CLO, originally issued in July 2015 and partially refinanced in April 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2020. RATINGS RATIONALE The downgrade on the Downgraded Note 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. 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 senior notes and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3107 compared to 2663 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2868 reported in the August 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 14.6% as of August 2020. Moody's noted that all 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: $568,172,179 Defaulted Securities: $7,402,274 Diversity Score: 71 Weighted Average Rating Factor (WARF): 3092 Weighted Average Life (WAL): 4.14 years Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 47.39% Par haircut in O/C tests and interest diversion test: 0.86% Finally, Moody's notes that it also considered the information in the August 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. OZLM LTD XIV: Moody's Confirms Ba3 Rating on $23.75MM Cl. D-R Notes ------------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by OZLM XIV, Ltd.: US$30,250,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$23,750,000 Class D-R Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class C-R Notes and the Class D-R Notes are referred to herein as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class C-R and Class D-R Notes issued by the CLO. The CLO, originally issued in December 2015 and partially refinanced in June 2018 and October 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2021. RATINGS RATIONALE 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 (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3222, compared to 2766 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2816 reported in the August 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 21.82% as of August 2020. Moody's noted that the reinvestment overcollateralization test was recently reported as failing, which could result in repayment of senior notes or in a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failure continue. Nevertheless, Moody's noted that all of the OC tests were reported as passing in the August 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: $483,107,418 Defaulted Securities: $15,597,844 Diversity Score: 74 Weighted Average Rating Factor (WARF): 3267 Weighted Average Life (WAL): 4.5 years Weighted Average Spread (WAS): 3.37% Weighted Average Recovery Rate (WARR): 47.4% Par haircut in O/C tests and reinvestment overcollateralization test: 1.6% 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. PPM CLO 2018-1: Moody's Lowers Rating on Class F Notes to Caa1 -------------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by PPM CLO 2018-1 Ltd.: US$20,400,000 Class E Deferrable Floating Rate Notes Due July 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade US$6,800,000 Class F Deferrable Floating Rate Notes Due July 2031 (the "Class F Notes"), Downgraded to Caa1 (sf); previously on April 17, 2020 B3 (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$22,800,000 Class D Deferrable Floating Rate Notes Due July 2031 (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 is referred to herein as the Confirmed Notes. This action concludes the review for downgrades initiated on April 17, 2020 on the Class D, the Class E, and the Class F Notes issued by the CLO. The CLO, originally issued in August 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2023. RATINGS RATIONALE The downgrades on the Downgraded Notes reflect the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined and expected losses (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 3188, compared to 2762 reported in the February 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2836 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 17.1% as of August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $393 million, or $7 million less than the deal's ramp-up target par balance. Nevertheless, Moody's noted that the OC tests for the Class A/B, Class C, Class D and the Class E Notes, as well as the interest diversion test were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Par amount and principal proceeds balance: $392,038,906 Defaulted Securities: $3,831,442 Diversity Score: 86 Weighted Average Rating Factor (WARF): 3174 Weighted Average Life (WAL): 5.77 years Weighted Average Spread (WAS): 3.31% Weighted Average Recovery Rate (WARR): 47.83% Finally, Moody's notes that it also considered the information which became available from the manager 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. PPM CLO 3: Moody's Confirms Ba3 Rating on Class E Notes ------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by PPM CLO 3 Ltd.: US$21,000,000 Class D Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$21,000,000 Class E Deferrable Floating Rate Notes due 2030 (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 and E Notes issued by the CLO. The CLO, issued in June 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on 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 (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 3063, compared to 3085 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 13.43%. Nevertheless, Moody's noted that the OC tests for the Class D and Class E Notes, as well as the interest diversion test were recently reported [3] 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: $395,116,494 Defaulted Securities: $786,742 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3066 Weighted Average Life (WAL): 5.86 years Weighted Average Spread (WAS): 3.32% Weighted Average Recovery Rate (WARR): 47.89% 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. REAL ESTATE 2017: Fitch Affirms Bsf Rating on Class G Certs ----------------------------------------------------------- Fitch Ratings has affirmed nine classes of Real Estate Asset Liquidity Trust, commercial mortgage pass-through certificates, series 2017. The Rating Outlook on class G has been revised to Negative from Stable. RATING ACTIONS REAL-T 2017 Class A-1 75585RPY5; LT AAAsf Affirmed; previously at AAAsf Class A-2 75585RPZ2; LT AAAsf Affirmed; previously at AAAsf Class B 75585RQB4; LT AAsf Affirmed; previously at AAsf Class C 75585RQC2; LT Asf Affirmed; previously at Asf Class D-1 75585RQD0; LT BBBsf Affirmed; previously at BBBsf Class D-2; LT BBBsf Affirmed; previously at BBBsf Class E; LT BBB-sf Affirmed; previously at BBB-sf Class F; LT BBsf Affirmed; previously at BBsf Class G; LT Bsf Affirmed; previously at Bsf KEY RATING DRIVERS Stable Performance: Although loss expectations have increased slightly since Fitch's last rating action due to performance concerns associated with the three Fitch Loans of Concern (FLOCs; 9.0% of pool), as well as the economic impact stemming from the coronavirus pandemic, overall performance for the majority of the pool has remained stable. All three of the FLOCs are secured by retail properties; two loans (8.4%), both sponsored by Skyline REIT, have sustained occupancy declines since issuance, and one loan (0.7%) was granted forbearance in May 2020 due to economic hardship sustained from the ongoing coronavirus pandemic. The largest FLOC is the largest loan in the pool, Skyline Thunder Centre (7.5%), which is secured by a 168,087-sf anchored shopping center located in Thunder Bay, ON. The property was built in 2004 and is located across the street from Intercity Shopping Centre, the largest enclosed shopping mall in Thunder Bay. Collateral occupancy fell to 65.6% as of the May 2020 rent roll from 93.2% as of YE 2018. following the departures of Home Outfitters (18.8% of NRA) and Mark's Work Wearhouse (8.7%) in 2019; the two tenants previously contributed 26.3% of combined gross rent at issuance. Prior to these recent departures, occupancy averaged over 98% between 2011 and 2017. Leases totaling 64.2% of NRA expire by the loan maturity, including 24.2% within the next 12 months. In addition, Michaels (13.0%), Old Navy (8.9%), Pier 1 (5.7%) and six in-line tenants have termination clauses or co-tenancy clauses tied to anchor departures and/or occupancy falling below 65% to 70%. Per the servicer, Michaels has renewed its lease through 2026 and Old Navy has exercised its co-tenancy clause and is paying 50% of its rent. The Home Outfitters space has also been subdivided and is now partially occupied by Giant Tiger; Fitch's request for Giant Tiger's lease details remains outstanding. The servicer-reported NOI debt service coverage ratio (DSCR) fell to 0.93x as of YE 2019 from 1.39x at YE 2018. The second FLOC, Skyline Carroll Street Retail (0.9%), is secured by a 19,734-sf anchored shopping center located in Strathroy, ON. Collateral occupancy fell to 75.7% as of YE 2019 from 88.9% at issuance after Ardene (13.3% of NRA) vacated upon its lease expiration in January 2018. The servicer-reported NOI DSCR fell to 1.11x as of YE 2019 from 1.57x at YE 2017. The third FLOC, Fairview Street Retail (0.7%), is secured by an 18,202-sf retail convenience center located in Burlington, ON. The loan was granted forbearance in May 2020 due to economic hardship sustained from the ongoing coronavirus pandemic. The forbearance terms allow for principal and interest payments to be made from the leasing holdback reserve for six months. The servicer-reported occupancy and NOI DSCR were 100% and 1.28x, respectively, as of TTM March 2020. Increased Credit Enhancement: As of the August 2020 distribution date, the pool's aggregate principal balance has been paid down by 6.4% to $380.8 million from $406.8 million at issuance from continued scheduled amortization. There are no interest-only loans in the pool. No loans have paid off or defeased since issuance. There have been no realized losses or specially serviced loans since issuance. The transaction is scheduled to pay down by 17.8% of the original pool balance prior to maturity. Loan maturities are concentrated in 2022 (33.3%) and 2027 (35.5%), with 2.6% in 2020, 1.6% in 2021, 0.9% in 2023, 13.3% in 2024, 1.4% in 2025 and 11.3% in 2026. Coronavirus Exposure: Eighteen loans (29.7%) are secured by retail properties, including four loans in the top 15 (15.9%). The weighted average (WA) NOI DSCR for the retail loans is 1.38x; these retail loans could sustain a decline in NOI of 22.8% before DSCR falls below 1.0x. Eighteen loans (28.4%) are secured by multifamily properties, including seven loans in the top 15 (20.2%). The WA NOI DSCR for the multifamily loans is 1.49x, these multifamily loans could sustain a decline in NOI of 31.0% before DSCR falls below 1.0x. Of the multifamily exposure, two are student housing loans (7.2%) and two are senior housing loans (1.2%); both sub-sectors exhibit greater performance volatility than traditional multifamily. Fitch applied additional coronavirus-related stresses to eight retail loans, two student housing loans and two senior housing loans to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to the Negative Rating Outlook revision on class G. Canadian Loan Attributes and Historical Performance: The ratings reflect strong historical Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors on many loans. As of September 2020, approximately 68.8% of the pool feature either full or partial recourse to the borrowers, sponsors or additional guarantors. ADDITIONAL CONSIDERATIONS Energy Market Concentration: Fourteen loans (22.4%) are secured by properties located in the Saskatchewan or Alberta provinces, of which 12 (17.3%) are secured by traditional multifamily properties or manufactured housing communities. The Saskatchewan and Alberta provinces have experienced volatility from the energy sector in the past few years; however, current performance remains stable. The servicer-reported occupancies and NOI DSCRs for these 14 loans exceeded 91% and 1.26x, respectively, as of YE 2019. Sponsor Concentration: The top four sponsors account for approximately 57% of the loans in the pool; they are Skyline Group of Companies (16%), AMERCO/Blackwater (14%), Avenue Living (14%) and Value Centres REIT (13%). All of the loans sponsored by Skyline Group of Companies, Avenue Living and Value Centres REIT are full recourse. RATING SENSITIVITIES The Stable Rating Outlooks on classes A-1 through F reflect the overall stable performance of the majority of the pool and expected continued amortization. The Negative Rating Outlook on class G reflects the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and performance of the retail FLOCs. Factors that Could, Individually or Collectively, Lead to a Positive Rating Action/Upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in credit enhancement and/or defeasance. However, adverse selection, increased concentrations and further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. Upgrades to the 'BBBsf' category would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to the 'Bsf' and 'BBsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement (CE) to the classes. Factors that Could, Individually or Collectively, Lead to a Negative Rating Action/Upgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'Asf', 'AAsf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur at the 'AAsf' and 'AAAsf' categories should interest shortfalls occur. Downgrades to the 'BBBsf' category would occur should overall pool losses increase and/or one or more of the FLOCs have an outsized loss, which would erode CE. Downgrades to the 'Bsf' and 'BBsf' categories would occur should loss expectations increase due to an increase in specially serviced loans and/or the loans vulnerable to the coronavirus pandemic not stabilize. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects negative rating actions, including downgrades or Negative Rating Outlook revisions. SANTANDER CONSUMER 2020-B: Fitch Rates Class F Notes 'Bsf' ---------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Santander Consumer Auto Receivables Trust (SCART) 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 (CNL) 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. The sensitivity of the rating(s) to scenarios more severe than currently expected is provided in the Rating Sensitivities section of this report. RATING ACTIONS Santander Consumer Auto Receivables Trust 2020-B Class A-1; ST F1+sf New Rating; previously F1+(EXP)sf Class A-2; LT AAAsf New Rating; previously AAA(EXP)sf Class A-3; LT AAAsf New Rating; previously AAA(EXP)sf Class A-4; LT AAAsf New Rating; previously AAA(EXP)sf Class B; LT AAsf New Rating; previously AA(EXP)sf Class C; LT Asf New Rating; previously A(EXP)sf Class D; LT BBBsf New Rating; previously BBB(EXP)sf Class E; LT BBsf New Rating; previously BB(EXP)sf Class F; LT Bsf New Rating; previously B(EXP)sf KEY RATING DRIVERS Collateral Performance — Strong Credit Quality: 2020-B has a weighted-average (WA) 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 (CE): 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 2.34% 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. (SC) began originating auto loans through the Chrysler Capital origination channel in 2013; therefore, empirical data is 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 believes SC is a capable servicer for this transaction. 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 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 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. SEQUOIA MORTGAGE 2015-3: Moody's Lowers Class B-4 Debt to Ba1 ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 16 junior tranches and confirmed ratings of 2 junior tranches from 12 Sequoia Mortgage Trust transactions. These transactions have a particular type of stop-advance feature, which can lead to a reduction in interest payments to the affected junior tranches. The current level of delinquencies in the underlying collateral due to the coronavirus outbreak has elevated the risk of such reduced interest payments that go unreimbursed. The transactions are backed by pools of prime quality, fixed rate, first-lien mortgage loans. The loans were originated by multiple lenders and aggregated by Redwood Residential Acquisition Corporation. All of the loans conform to Redwood Residential Acquisition Corporation's underwriting guidelines, except for loans originated by First Republic Bank and 25 loans from SEMT 2017-6 that conform to GSE guidelines. CitiMortgage, Inc. is the master servicer of the loans in these transactions. Shellpoint Mortgage Servicing, First Republic Bank and Cenlar FSB are the primary servicers. The complete rating action is as follows: Issuer: Sequoia Mortgage Trust 2015-2 Cl. B-4, Downgraded to Ba1 (sf); previously on Apr 27, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2015-3 Cl. B-4, Downgraded to Ba1 (sf); previously on Apr 27, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2015-4 Cl. B-4, Downgraded to Baa2 (sf); previously on Apr 27, 2020 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2016-1 Cl. B-3, Downgraded to Baa3 (sf); previously on Apr 27, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. B-4, Downgraded to B1 (sf); previously on Apr 27, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2016-2 Cl. B-3, Downgraded to Baa2 (sf); previously on Apr 27, 2020 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. B-4, Downgraded to Ba3 (sf); previously on Apr 27, 2020 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: SEQUOIA MORTGAGE TRUST 2016-3 Cl. B-3, Downgraded to Baa3 (sf); previously on Apr 27, 2020 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. B-4, Downgraded to Ba3 (sf); previously on Apr 27, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2017-1 Cl. B-3, Downgraded to Baa3 (sf); previously on Apr 27, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. B-4, Downgraded to Ba3 (sf); previously on Apr 27, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2017-2 Cl. B-3, Downgraded to Baa3 (sf); previously on Apr 27, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. B-4, Downgraded to Ba3 (sf); previously on Apr 27, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2017-3 Cl. B-3, Confirmed at Baa2 (sf); previously on Apr 27, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. B-4, Downgraded to Ba3 (sf); previously on Apr 27, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2017-4 Cl. B4, Downgraded to Ba2 (sf); previously on Apr 27, 2020 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2017-5 Cl. B-4, Confirmed at Ba2 (sf); previously on Apr 27, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2017-6 Cl. B-4, Downgraded to Ba2 (sf); previously on Apr 27, 2020 Ba1 (sf) Placed Under Review for Possible Downgrade These rating actions conclude the review for downgrade initiated on April 27, 2020. RATINGS RATIONALE The rating action reflects an increase in expected loss and possible reduction in interest payments (which Moody's treats as interest shortfalls) to the affected bonds due to a deterioration in the performance of the underlying mortgage loans, and specifically, an increase in delinquencies as a result of a slowdown in US economic activity in 2020 due to the coronavirus outbreak. While the collateral backing these transactions is prime quality residential mortgage loans with strong credit characteristics, the ratings of these bonds showed sensitivities to an increase in delinquencies and loss expectations. As of the August 25th 2020 remittance report, the related pools have not experienced any cumulative losses, and the high prepayment rates of 20% - 50% driven by the current low interest rate environment have benefited the bonds by building up credit enhancement. However, 2% - 8% of these pools are currently not cash-flowing, and reported delinquencies have increased and range from 1% - 4%. While the volume of newly delinquent loans declined for both July and August remittance periods, a higher proportion of currently delinquent loans have rolled, which has increased the likelihood of future interest reduction. Certain junior tranches from transactions with higher levels of 120+ day delinquencies have already incurred interest reduction from reduced payments. In its analysis, Moody's increased its model-derived median expected losses by 15% and its Aaa losses by 5% to reflect the performance deterioration resulting from of a slowdown in US economic activity in 2020 due to the COVID-19 outbreak. Higher losses also imply higher modeled delinquencies. Moody's considered the observed increased delinquency and potential volatility caused by the coronavirus outbreak, which negatively affects the macroeconomic conditions that influence consumer credit performance. These transactions have a stop-advance feature, whereby the servicer, or securities administrator, does not advance principal and interest on loans that are 120 days or more delinquent. Stop-advance features may lessen potential cash-flow disruptions upon advance recoupment and offer greater transparency on actual collections. However, this feature also causes a reduction in interest payments to the bonds as principal collections or liquidation proceeds cannot be used to pay interest and there is no alternative source of liquidity to pay interest. As a result, in an environment where delinquency and forbearance levels are expected to rise, this particular stop-advance feature can lead to a reduction in interest payment to the junior tranches. According to the deal structure, after the servicer stops advancing principal and interest on delinquent loans, at the end of the 120 days delinquency period, the balance and the interest accrued on these "Stop Advance Mortgage Loans (SAML)" will be removed from the calculation of the principal and interest distribution amounts with respect to the seniors and subordinate bonds. The interest distribution amount will be reduced by the interest accrued on the SAML loans. This reduction will be allocated first to the class of certificates with the lowest payment priority and then to the class of certificates with the next lowest payment priority, and so on. Once a SAML is liquidated, the net recovery from that loan's liquidation is allocated first to pay down the loan's outstanding principal amount and then to repay its accrued interest. The recovered accrued interest on the loan is used to repay the interest reduction incurred by the bonds that resulted from that SAML. Moody's expects a portion of such reduced interest may eventually be reimbursed when a loan become current or liquidates with sufficient recoveries to cover the outstanding principal balance as well as interest accrued. However, the extended foreclosure timelines due to the foreclosure moratorium and the uncertainty surrounding home prices reduces the likelihood of fully reimbursing the reduced interest. 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. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against 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 these transactions. SHACKLETON 2014-VI-R: Moody's Cuts Rating on Class F Notes to Caa1 ------------------------------------------------------------------ Moody's Investors Service downgraded the rating on the following notes issued by Shackleton 2014-VI-R CLO, Ltd.: US$6,000,000 Class F Junior Deferrable Floating Rate Notes due 2028 (current outstanding balance of $6,302,669.41) (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$31,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2028 (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 Junior Deferrable Floating Rate Notes due 2028 (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 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, Class E, and Class F Notes. 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 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 (ELs) on certain notes have increased. According to the July 8, 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3497 compared to 2939 reported in the February 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3003 reported in the July 8, 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 20.88%. According to the July 8, 2020 trustee report [4], the OC test for the Class E notes was recently reported at 103.64% and failing its respective trigger level of 104.70%. Nevertheless, Moody's noted that the OC tests for the Class E Notes were recently reported [5] as passing. 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. 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: $474,541,419 Defaulted Securities: $15,883,482 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3418 Weighted Average Life (WAL): 4.46 years Weighted Average Spread (WAS): 3.41% Weighted Average Recovery Rate (WARR): 48.15% Par haircut in O/C tests and interest diversion test: 1.68% Finally, Moody's notes that it also considered the information in the July 29, 2020 trustee report [6] 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. SHACKLETON 2018-XII: Moody's Confirms Ba3 Rating on Class E Notes ----------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Shackleton 2018-XII CLO, Ltd.: US$30,250,000 Class D Mezzanine 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$24,250,000 Class E Junior 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 reviews for downgrade initiated on April 17, 2020 on the Class D and Class E 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 on July 2023. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes 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 3323, compared to 2917 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2934 reported in the July 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 19.05% 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: $490,286,750 Defaulted Securities: $8,131,567 Diversity Score: 74 Weighted Average Rating Factor (WARF): 3330 Weighted Average Life (WAL): 5.7 years Weighted Average Spread (WAS): 3.41% Weighted Average Recovery Rate (WARR): 47.93% Finally, Moody's notes that it also considered the information in the August 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. SIGNUM VERDE 2006-02: Fitch Affirms BBsf Rating on CLP5.3-Bil. CLNs ------------------------------------------------------------------- Fitch Ratings affirms the Signum Verde 2006-02 CLP5,300,000,000 credit linked notes (CLNs) at 'BBsf'. The Rating Outlook remains Stable. RATING ACTIONS Signum Verde Limited 2006-02 Credit Linked to Companhia XS0278632053; LTBBsf Affirmed; previously BBsf KEY RATING DRIVERS The rating on the CLNs considers the credit quality of Goldman Sachs Group, Inc. (A/Negative), as the swap counterparty and issuer of the qualified investment. The rating also considers the Issuer Default Rating (IDR) of the reference entity, Vale, which is subject to restructuring as a credit event. Therefore, based on the CLN "Single-and Multi-Name Credit-Linked Notes Rating Criteria," dated Feb. 12, 2020, Fitch has applied a one-notch downward adjustment to Vales's rating to 'BB+'/Outlook Stable from 'BBB-'/Outlook Stable, prior to applying the "two-risk matrix." The Stable Outlook reflects the Outlook on the main risk driver, Vale, which is the lowest-rated risk-presenting entity. Coronavirus Impact: Fitch acknowledges the uncertainty and rapidly evolving events related to the coronavirus pandemic and its impact on global markets. This disruption may impact the ratings of the risk-presenting entities. The Negative Outlook for Goldman Sachs reflects the economic disruption driven by the coronavirus. RATING SENSITIVITIES A change of the ratings assigned to any of the risk-presenting entities could result in a change of the rating assigned to the notes based on Fitch's CLN criteria Two-Risk CLN Matrix. Factors that could, individually or collectively, lead to positive rating action/upgrade: Rating Scenarios Regarding Vale (assuming no change to the current rating assigned to Goldman Sach): -- An upgrade of one notch would result in a rating upgrade of the notes to 'BB+sf'. -- An upgrade of two notches would result in a rating upgrade of the notes to 'BBB-sf'. Rating Scenarios Regarding Goldman Sach (assuming no change to the current rating assigned Vale): -- An upgrade of one notch would have no impact on the current rating of the notes. -- An upgrade of two notches would result in a rating upgrade of the notes to 'BB+sf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Rating Scenarios Regarding Vale (assuming no change to the current rating assigned to Goldman Sach.): -- A downgrade of one notch would result in a rating downgrade of the notes to 'BB-sf'. -- A downgrade of two notches would result in a rating downgrade of the notes to 'B+sf'. Rating Scenarios Regarding Goldman Sach (assuming no change to the current rating assigned Vale.): -- A downgrade of one notch would have no impact on the current rating of the notes. -- A downgrade of two notches would result in a rating downgrade of the notes to 'BB-sf'. SIGNUM VERDE 2006-02: Fitch Hikes on CLP5.3-Bil. Notes to 'BB+' --------------------------------------------------------------- Fitch Ratings has upgraded the Signum Verde 2006-02 CLP5,300,000,000 credit linked notes (CLNs) to 'BB+sf' from 'BBsf'. The Rating Outlook remains Stable. The Stable Outlook on the CLNs reflects the assessment of the transaction's main risk driver, Vale S.A., which is the lowest-rated risk-presenting entity. RATING ACTIONS Signum Verde Limited 2006-02; Credit Linked to Companhia XS0278632053; LT BB+sf Upgrade; previously BBsf KEY RATING DRIVERS This rating action follows Fitch's upgrade of the reference entity, Vale S.A. to 'BBB' from 'BBB-', which is subject to restructuring as a credit event. Therefore, based on the CLN "Single-and Multi-Name Credit-Linked Notes Rating Criteria," dated Feb. 12, 2020, Fitch has applied a one-notch downward adjustment to Vales's rating to 'BBB-'/Stable from 'BBB'/Stable, prior to applying the "two-risk matrix." The Stable Outlook reflects the Outlook on the main risk driver, Vale, which is the lowest-rated risk-presenting entity. The rating considers the credit quality of Vale S.A.'s current Issuer Default Rating (IDR) of 'BBB+'/Stable as the reference entity and Goldman Sachs Group, Inc.'s 'A' IDR/Negative as the swap counterparty and issuer of the qualified investment. Coronavirus Impact: Fitch acknowledges the uncertainty and rapidly evolving events related to the coronavirus pandemic and its impact on global markets. This disruption may impact the ratings of the risk-presenting entities. The Negative Outlook for Goldman Sachs reflects the economic disruption driven by the coronavirus. RATING SENSITIVITIES A change of the ratings assigned to any of the risk-presenting entities could result in a change of the rating assigned to the notes based on Fitch's CLN criteria Two-Risk CLN Matrix. Factors that could, individually or collectively, lead to positive rating action/upgrade: Rating Scenarios Regarding Vale (assuming no change to the current rating assigned to Goldman Sachs): -- An upgrade of one notch would result in a rating upgrade of the notes to 'BBB-sf'.; -- An upgrade of two notches would result in a rating upgrade of the notes to 'BBBsf'. Rating Scenarios Regarding Goldman Sachs (assuming no change to the current rating assigned Vale): -- An upgrade of one notch would have no impact on the current rating of the notes; -- An upgrade of two notches would result in a rating upgrade of the notes to 'BBB-sf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Rating Scenarios Regarding Vale (assuming no change to the current rating assigned to Goldman Sachs.): -- A downgrade of one notch would result in a rating downgrade of the notes to 'BBsf'; -- A downgrade of two notches would result in a rating downgrade of the notes to 'BB-sf'. Rating Scenarios Regarding Goldman Sachs (assuming no change to the current rating assigned Vale.): -- A downgrade of one notch would have no impact on the current rating of the notes; -- A downgrade of two notches would result in a rating downgrade of the notes to 'BBsf'. SMALL BUSINESS 2019-A: Moody's Lowers Rating on Class C Notes to B1 ------------------------------------------------------------------- Moody's Investors Service downgraded the rating of one note and confirmed the ratings of two notes issued by Small Business Lending Trust. The notes are backed by loans granted to small-and medium-sized enterprises (SMEs) and sponsored by FC Marketplace, LLC (Funding Circle). The complete rating actions are as follows: Issuer: Small Business Lending Trust 2019-A Class B Notes, Confirmed at Baa3 (sf); previously on Apr 20, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade Class C Notes, Downgraded to B1 (sf); previously on Apr 20, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Small Business Lending Trust 2020-A Class B Notes, Confirmed at Baa3 (sf); previously on Apr 20, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade RATINGS RATIONALE The actions conclude the rating reviews initiated in April 2020 resulting from the uncertainty around the possible further deterioration of the portfolio due to the current macroeconomic environment. Moody's has downgraded the ratings on the Cl. C note from Small Business Lending Trust 2019-A as a result of further deterioration in collateral performance. Further, Moody's concluded that the expected losses on the Cl. B notes in Small Business Lending Trust 2019-A and Small Business Lending Trust 2020-A remain consistent with their current ratings as the structural features of the transactions mitigate the collateral deterioration. The performance of collateral backing both transactions has deteriorated as reflected in the increase in the total 30+ days delinquent loans and cumulative defaults. The total 30+ days delinquent loans increased 9.2% on average between the April 2020 and August 2020 payment dates and cumulative defaults, as a percentage of original pool balance, increased by 7.7% on average across both transactions. The increase in defaults has led to deterioration in overcollateralization ("OC") for both transactions. As of the August 2020 payment date, OC for the 2019-A transaction decreased to 0.6%, as compared to 9.0% in the April 2020 payment date, and for the 2020-A transaction it decreased to 9.8% in August as compared to 12.3% in April. As a result of the collateral performance deterioration, Moody´s has increased its base case default probability assumptions to 21.75% of current balance for both transactions and has maintained the portfolio credit enhancement assumptions at 55%. In its base case, Moody's assumed elevated cumulative gross default rates on the underlying portfolios to reflect the deterioration in the portfolios' performance. In estimating the higher defaults, Moody's took into account the characteristics of the portfolio including exposure of the pools to sectors classified as 'High exposure' and 'Moderate exposure' in its Nonfinancial corporates -- North America -- Heatmap, the utilization of the force majeure policy made available to borrowers who have been impacted by the pandemic, as well as the current economic environment and its potential impact on the portfolios' future performance. The 'High exposure' and 'Moderate exposure' sectors include Business Services, Healthcare & Pharma, Construction & Home building, Lodging/Leisure & Restaurants, and Non-food retail. Moody's also took into account transaction structural features such as overcollateralization, reserve fund targets, availability of excess spread and the likelihood that the notes would be locked out of receiving future payments due to the priority of payments waterfall. The rapid spread of the coronavirus outbreak, the government measures put in place to contain it and the deteriorating global economic outlook, have created a severe and extensive credit shock across sectors, regions and markets. Its analysis has considered the effect on the performance of small businesses from the collapse in US economic activity in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in May 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against its expectations of loss could lead to an upgrade of the ratings of the notes. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults, or a higher than expected recovery rate. As a primary driver of performance, positive changes in the US macro economy could also affect the ratings, as can changes in servicing practices. Down Levels of credit protection that are insufficient to protect investors against its expectations of loss could lead to a downgrade of the ratings of the notes. Moody's expectation of pool losses could increase as a result of a higher number of obligor defaults or a lower than expected recovery rate. As a primary driver of performance, negative changes in the US macro economy could also affect the ratings. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. SOUND POINT XIX: Moody's Confirms Ba3 Rating on Class E Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Sound Point CLO XIX, Ltd.: US$28,500,000 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$22,500,000 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 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 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 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 (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 3214, compared to 2697 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2960 reported in the July trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 19.89% as of July 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: $490,666,379 Defaulted Securities: $0 Diversity Score: 82 Weighted Average Rating Factor (WARF): 3270 Weighted Average Life (WAL): 6.02 years Weighted Average Spread (WAS): 3.60% Weighted Average Recovery Rate (WARR): 47.44% Par haircut in O/C tests and interest diversion test: 0.2% Finally, Moody's notes that it also considered the information in the August 2020 trustee report [5] which became available prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The rapid spread of the coronavirus outbreak, the government measures put in place to contain it and the deteriorating global economic outlook, have created a severe and extensive credit shock across sectors, regions and markets. Its analysis has considered the effect on the performance of corporate assets from the collapse in the US economic activity in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty in the performance of the related CLO's underlying portfolio, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. The CLO manager's investment decisions and management of the transaction will also affect the performance of the rated securities. The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2020. STEELE CREEK 2015-1: Moody's Lowers $7.55MM Cl. F-R Notes to Caa2 ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by Steele Creek CLO 2015-1, Ltd.: US$19,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes Due May 2029 (the "Class D-R Notes"), Downgraded to Baa3 (sf); previously on April 17, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade US$8,421,053 Class E1-R Mezzanine Secured Deferrable Floating Rate Notes Due May 2029 (the "Class E1-R Notes"), Downgraded to Ba3 (sf); previously on April 17, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade US$7,903,947 Class E2-R Mezzanine Secured Deferrable Floating Rate Notes Due May 2029 (the "Class E2-R Notes"), Downgraded to Ba3 (sf); previously on April 17, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade US$7,550,000 Class F-R Mezzanine Secured Deferrable Floating Rate Notes Due May 2029 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on April 17, 2020 B2 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes, the Class E1-R Notes, the Class E2-R Notes and the Class F-R Notes are referred to herein, collectively, as the Downgraded Notes. These actions conclude the review for downgrades initiated on April 17, 2020 on the Class D-R, the Class E1-R Notes, the Class E2-R Notes, and the Class F-R Notes issued by the CLO. The CLO, originally issued in April 2015 and refinanced 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 May 2021. RATINGS RATIONALE According to the June 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3267, compared to 2887 reported in the February 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2712 reported in the June 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 August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $344.3 million, or about $5.7 million less than the deal's target par balance in its last refinance in 2017. Nevertheless, Moody's noted that the OC tests for the Class A/B Notes, Class C Notes, Class D Notes and the Class E Notes, as well as the interest diversion test were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Paramount and principal proceeds balance: $340,357,300 Defaulted Securities: $9,529,230 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3191 Weighted Average Life (WAL): 4.93 years Weighted Average Spread (WAS): 3.53% Weighted Average Recovery Rate (WARR): 47.03% Par haircut in O/C tests and interest diversion test: 1.51% Finally, Moody's notes that it also considered the information in the August 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. STEELE CREEK 2018-2: Moody's Confirms Ba3 Rating on Cl. E Notes --------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Steele Creek CLO 2018-2, Ltd.: US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due August 2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$19,000,000 Class E Mezzanine Secured Deferrable Floating Rate Notes Due August 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. This action concludes the review for downgrades initiated on April 17, 2020 on the Class D and the Class E Notes issued by the CLO. The CLO, originally issued in August 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in August 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 (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the June 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3342, compared to 2857 reported in the February 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2906 reported in the June 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 24.1% as of August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $395.6 million, or $4.4 million less than the deal's ramp-up target par balance. Nevertheless, Moody's noted that the OC tests for the Class A/B, Class C, Class D and the Class E Notes, as well as the interest diversion test were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Paramount and principal proceeds balance: $391,310,850 Defaulted Securities: $9,147,748 Diversity Score: 72 Weighted Average Rating Factor (WARF): 3294 Weighted Average Life (WAL): 5.99 years Weighted Average Spread (WAS): 3.53% Weighted Average Recovery Rate (WARR): 46.89% Par haircut in O/C tests and interest diversion test: 1.24% Finally, Moody's notes that it also considered the information in the August 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. STONEBRIAR COMMERCIAL 2018-1: Moody's Confirms B1 Rating on F Notes ------------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Stonebriar Commercial Finance LLC and Stonebriar Commercial Finance Canada Inc (Stonebriar). Issuer: SCF Equipment Leasing 2018-1 LLC/SCF Equipment Leasing Canada 2018 Limited Partnership Series 2018-1 Class D Notes, Confirmed at A1 (sf); previously on Apr 23, 2020 A1 (sf) Placed Under Review for Possible Downgrade Class E Notes, Confirmed at Baa3 (sf); previously on Apr 23, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade Class F Notes, Confirmed at B1 (sf); previously on Apr 23, 2020 B1 (sf) Placed Under Review for Possible Downgrade Issuer: SCF Equipment Leasing 2019-1 LLC/SCF Equipment Leasing Canada 2019 Limited Partnership Class C Notes, Confirmed at A3 (sf); previously on Apr 23, 2020 A3 (sf) Placed Under Review for Possible Downgrade Class D Notes, Confirmed at Baa3 (sf); previously on Apr 23, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade Class E Notes, Confirmed at Ba1 (sf); previously on Apr 23, 2020 Ba1 (sf) Placed Under Review for Possible Downgrade Class F Notes, Confirmed at B2 (sf); previously on Apr 23, 2020 B2 (sf) Placed Under Review for Possible Downgrade Issuer: SCF Equipment Leasing 2019-2 LLC/SCF Equipment Leasing Canada 2019-2 L.P. Class C Notes, Confirmed at A3 (sf); previously on Apr 23, 2020 A3 (sf) Placed Under Review for Possible Downgrade Class D Notes, Confirmed at Baa2 (sf); previously on Apr 23, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade Class E Notes, Confirmed at Ba3 (sf); previously on Apr 23, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade Class F Notes, Confirmed at B3 (sf); previously on Apr 23, 2020 B3 (sf) Placed Under Review for Possible Downgrade These actions conclude the review for downgrade initiated on April 23, 2020 on the notes. The transactions are securitizations of equipment loans and leases secured primarily by railcars, corporate aircraft, transportation equipment, marine vessels, other manufacturing and industrial equipment, and owner-occupied commercial real estate loans. RATINGS RATIONALE The rating actions are the result of stabilized credit quality of the obligors since the beginning of the coronavirus outbreak as well as the continuous build-up of credit enhancement levels including overcollateralization and non-declining reserve account. Despite the credit quality deterioration stemming from economic shocks triggered by the coronavirus outbreak, Moody's concluded that the risk posed to, and the expected losses on, the notes continue to be consistent with the current ratings of the notes. Expected loss on the loans and leases is a function of, among other things, financial health of the obligors, the asset value of the collaterals, and the amortization of the loan or lease contracts. The credit quality of the pool has stabilized since April as evidenced by fewer than expected negative rating actions on underlying obligors' ratings. In addition, credit enhancement, including overcollateralization and non-declining reserve account, continued to increase since April and provides support to the transactions. Other considerations include the structural features such as sequential pay structures and 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 assets from the collapse in the 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. 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 and commercial real estate that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the strong performance of various sectors where the obligors operate could also affect the ratings. Down Moody's could downgrade the ratings of the notes if levels of credit protection are insufficient to protect investors against current expectations of loss. Moody's updated expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors or a greater than expected deterioration in the value of the equipment and commercial real estate that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the weak performance of various sectors where the obligors operate could also affect Moody's ratings. Other reasons for worse performance than Moody's expectations could include poor servicing, error on the part of transaction parties, lack of transaction governance and fraud. STRATUS CLO 2020-2: S&P Assigns Prelim BB- (sf) Rating to E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Stratus CLO 2020-2 Ltd./Stratus CLO 2020-2 LLC's floating- and fixed-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Aug. 27, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Stratus CLO 2020-2 Ltd./Stratus CLO 2020-2 LLC Class Rating Amount (mil. $) X AAA (sf) 2.00 A AAA (sf) 193.50 B-1 AA (sf) 28.25 B-2 AA (sf) 7.00 C (deferrable) A (sf) 17.25 D (deferrable) BBB- (sf) 16.50 E (deferrable) BB- (sf) 10.50 Subordinated notes NR 24.15 NR--Not rated. TELOS CLO 2013-3: Moody's Lowers Rating on Class E-R Notes to B3 ---------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Telos CLO 2013-3, Ltd.: US$24,100,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class E-R Notes"), Downgraded to B3 (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 "Downgraded Notes." Moody's also confirmed the rating on the following notes: US$30,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes are referred to herein, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R and E-R Notes issued by the CLO. The CLO, originally issued in February 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 ended in July 2019. 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 3617, compared to 3163 reported by trustee in February 2020 [2]. Moody's calculation also showed the WARF was failing the test level of 2902 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% as of August 2020. Moody's noted that all OC tests except Class E OC test are reported passing by the trustee in July 2020 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: Paramount and principal proceeds balance: $267,616,322 Defaulted Securities: $11,309,819 Diversity Score: 42 Weighted Average Rating Factor (WARF): 3669 Weighted Average Life (WAL): 4.1 years Weighted Average Spread (WAS): 3.93% Weighted Average Recovery Rate (WARR): 47.8% Par haircut in O/C tests and interest diversion test: 4.1% 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 Ratings: The performance of the rated notes 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. THUNDERBOLT AIRCRAFT: S&P Rates Class C Notes 'BB (sf)' ------------------------------------------------------- S&P Global Ratings affirmed its ratings on Thunderbolt Aircraft Lease Ltd.'s class A, B, and C notes and removed them from CreditWatch, where they were placed with negative implications on March 19, 2020. The affirmations reflect the transaction's credit enhancement, including a liquidity facility, which covers 17 months of interest on the class A and B notes, the 3.1-year weighted average remaining lease term, no imminent lease expirations for the next 12 months from July 31, 2020 (except for one wide-body aircraft whose return has been delayed), and the transaction's ability to withstand S&P's rating stresses. S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The consensus among health experts is that the pandemic may now be at, or near, its peak in some regions but will remain a threat until a vaccine or effective treatment is widely available, which may not occur until the second half of 2021. "We are using this assumption in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly," S&P said. S&P'S OBSERVATIONS ON THE SECTOR Since the outbreak of the novel coronavirus pandemic, S&P Global Ratings has had periodic conversations with lessors of rated aircraft ABS transactions. Lessors generally reported that a majority of lessees have requested rent deferrals, but approval of such deferrals were made on a case-by-case basis to a select few. In more recent conversations, emerging themes include the possible extension of approved deferrals, the continued negotiation of initial deferral requests from February and March, and alternative payment arrangements, such as power-by-the-hour. With supply exceeding demand, it has become a buyer's market. Many lessors are negotiating arrangements to minimize their losses until the impact of COVID-19 subsides. The impact of the pandemic on the sector is far more severe than both 9/11 and the 2008 financial crisis. According to Collateral Verifications, at the end of July, 40% of the total aircraft fleet remained in storage. In comparison, the maximum percentage of the total aircraft fleet in storage was only 10.6% during 9/11 and the 2008 financial crisis. Although the full extent of the impact cannot yet be assessed, aircraft values, lease rates, and time to re-lease have all been adversely affected. Consumer confidence, a critical component to the recovery of the travel sector, remains low. According to TSA Checkpoint data, air traffic was down approximately 70% year over year at Aug. 17. A second wave of cases making its way around the globe has also put a damper on recovery in passenger air transportation. In recent weeks, the reinstatement of government-mandated restrictions on international travel and quarantine requirements has hampered air travel. According to recent ISHKA reports, growth in capacity has stalled. Many estimates do not factor a full recovery to 2019 levels until 2023 or 2024. The unprecedented decline in demand has placed downward pressure on aircraft values and lease rates. Avitas estimates a 5%-15% decline in market value for in-production narrow-body aircraft and a 5%-20% decline in market value for in-production wide-body aircraft. Maximum market value declines for out-of-production aircraft are more than double the in-production estimates. Most of the aircraft in S&P Global Ratings-rated ABS portfolios are currently in-production models. Lease rates are also under stress. IBA estimates a 10%-20% decline in lease rates post COVID. The sharp reduction in demand has prompted many airlines to reconsider their fleet composition. According to IBA, as of July 22, 2020, over 900 aircraft have been identified as subject to exit from their current fleet due to airline failures, Chapter 11 rejections, early lease returns, and accelerated retirements. Wide-bodies have taken the biggest hit because long-haul flights came to a near standstill at one point. Over 40% of the in-service A340-600 and 30% of the in-service B777-200LR fleet have been identified for disposal according to IBA. "We believe that certain types of wide-body aircraft will likely fare better than others and that a stronger-credit-quality lessee leasing the aircraft can also make a difference," S&P said. ASSUMPTIONS USED FOR THE REVIEW Six months into the pandemic, it continues to be difficult to assess the full impact of COVID-19 on U.S. aircraft ABS transactions. However, there is some clarity into how the market is coping under the enormous strain. "We have adjusted certain assumptions to address the impact of COVID-19 on transaction cash flows. As more information become available on the size and duration of reductions in transactions' cash flows, we will evaluate whether additional adjustments are appropriate. Changes in these projections could have an impact on our estimates, which, in turn, could affect ratings on the notes," S&P said. Two different scenarios were run for S&P's review: (1) rating runs based on certain adjusted criteria assumptions, including a criteria exception regarding AOG time, and (2) if available, a management case in which the rating agency took into consideration the servicer's future plans for the aircraft in the portfolio. Collateral Value S&P typically uses the lesser of the mean and median of three appraised values (LMM value) as the starting point in its analysis. It uses this value, together with other assumptions, to determine future lease rates and collateral sale values. For this review, in addition to depreciating the aircraft from the date of the last appraisal to the first payment date, S&P applied an additional haircut to the starting values, except for the deals where it received appraisals as of June 2020 or later. More specifically, S&P applied 50% of its 'B' lease rate decline stress to haircut the initial portfolio value. S&P believes this to be appropriate, as its lease rate decline stress considers the type and age of the aircraft, as well as the strength of the servicer. The final haircut to the starting value based on this approach was approximately 12%-14% for certain deals S&P tested, which is within the value-decline ranges estimated by most appraisers. As a starting point, S&P used a 'B' level stress for its haircut because it believes that the values will recover over a period of time in a base-case scenario. However, in its model S&P applies constant compounding factor each year to depreciate aircraft values and further reduce lease rates and residual values based on its lease rate decline stress. Due to this continuous decline in aircraft values in its model, S&P believes the 'B' stress level is appropriate. Lessee Default Pattern Typically, S&P applies defaults evenly over a four-year period during the first recession under its rating runs. For this review, S&P applied a more front-loaded default pattern (55%/45%) for its first modeled recession that starts from day one, considering that the rating agency is slowly recovering from a recessionary period and airline liquidity and overall credit quality have already demonstrated a severely adverse impact at the front end of this recession. Comparatively, S&P applied a more severe 80%/20% default pattern three months ago as a sensitivity run when it reviewed the transaction for the first time after the rating agency placed it on CreditWatch. Consistent with its criteria, S&P assumes a smoothed pattern (30%/40%/20%/10%) for the subsequent recessions. AOG Times While S&P's criteria allows for analytical judgment and certain adjustments to assumptions regarding collateral value, default patterns, and useful life, it stipulates that the rating agency applies three to six months outside a recession and six to 12 months during a recession for the time to release an aircraft (AOG downtime), with no differentiation between narrow-bodies and wide-bodies. However, due to the unprecedented decline in air travel resulting from government-mandated restrictions on travel, low consumer demand and confidence, and general uncertainties of re-leasing markets in the current environment, S&P believes that AOG downtime could be longer than the rating agency's current criteria suggest. For this reason, S&P has made a criteria exception regarding AOG downtime. As a result of the criteria exception, S&P assumed longer AOG times as detailed in the table below. In addition to longer AOG times for all aircraft types, S&P has differentiated the AOG time for wide-bodies from narrow-bodies because it believes that wide-bodies will be more vulnerable to lower demand and will likely be subject to longer downtime than narrow-bodies. Pre-COVID, S&P assumed that it would take 12 months to re-lease all types of aircraft under a 'AAA' stress scenario. Due to the impact on the sector from COVID, S&P assumes that it will take 12 months to re-lease a narrow-body aircraft in an 'A' stress scenario and a wide-body aircraft in a 'B' stress scenario. AOG (IN MONTHS) Before application of criteria exception After application of criteria exception Stress All aircraft Recession 1 Recession 1 Recessions 2&3 AOG NB AOG WB AOG all aircraft AOG AA 11 13 16 11 A 10 12 15 10 BBB 9 11 14 9 BB 8 10 13 8 B 7 9 12 7 AOG--Aircraft on ground. NB--Narrow-body. WB--Wide-body. Useful Life While there has been some news about airlines retiring aircraft older than 20 years, there still seems to be some uncertainty around how they will plan their future fleets. Therefore, S&P assumed a 22-year useful life for aircraft in the portfolio; the rating agency also assumed an early retirement (earlier than 22 years in some cases) for some of the older aircraft upon the end of their current lease. These assumptions may vary or S&P may stress additional factors depending on transaction characteristics and the availability of more information on these key variables. TRANSACTION PROFILE The transaction has paid off a combined total of over $127 million on the rated notes since its closing date in 2017, and the loan-to-value ratio remains stable. The portfolio's current weighted average age is approximately 16 years, with a remaining lease term of three years. The servicer recently re-leased two narrow-body aircraft that were previously off-lease/in servicer's possession. The transaction benefits from a liquidity facility covering 17 months' interest on the class A and B notes, which currently remains undrawn. In comparison, most other transactions have a liquidity facility that only covers nine months of interest. Portfolio S&P received half-life base values and half-life market values as of December 2019. The appraisal value it uses for its analysis and cash flow projections is the lower of the mean and median (LMM) of these half-life values. The LMM value is further depreciated using its aircraft-specific depreciation assumptions and the 'B' lease rate decline stress stated above, from the appraisal date to the current month. July 2020 April 2020 No. of aircraft 15 15 Appraisal value (mil. $) 299.318(i) 299.325(i) No. of lessees 12 11 In servicer's possession 1 2 Narrow-bodies/wide-bodies (%) 89.5/10.5 89.5/10.5 Weighted avg. age (years) 16.2 15.92 Largest lessee (%) United Airlines (15%) United Airlines (15%) No. of 2020 lease expirations 1 3 (i)Lower of mean and median of half-life base values and half-life market values as of December 2019. The portfolio's overall credit quality has deteriorated under the current circumstances, which translated into higher default rate assumptions under S&P's rating stresses. The reported debt service coverage ratio (DSCR) as of the August 2020 payment date was 1.24x. While it has declined over the past few months, it is still above the threshold of 1.15x that would trigger an early amortization event. Liabilities On the August 2020 payment date, all the classes were behind on their scheduled principal payment amounts given the reductions in rent receipts. Interest on the class C notes was paid using the series C reserve account. A B C Original balance (mil. $) 253.400 69.300 22.000 Current balance-–Aug 2020 (mil. $)161.114 45.135 10.717 Paydowns since closing 92.286 24.165 11.283 Current LTV(i) 62.15 79.56 83.70 (i)Used December 2019 LMM with additional haircut to reflect current market conditions as starting value and depreciated further based on S&P's assumptions through August 2020. LTV--Loan-to-value. LMM--Lower of mean and median. SUMMARY The overall performance is stable, with a higher than required DSCR level and 17 months of liquidity support on the A and B notes. As such, S&P affirmed its ratings on the class A, B, and C notes and removed them from CreditWatch. Environmental, social, and governance (ESG) factors relevant to the rating action: -- Health and safety RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE Thunderbolt Aircraft Lease Ltd. Rating Class To From A A (sf) A (sf)/Watch Neg B BBB- (sf) BBB- (sf)/Watch Neg C BB (sf) BB (sf)/Watch Neg TIAA CLO III: Moody's Confirms Ba3 Rating on Class E Notes ---------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by TIAA CLO III Ltd.: US$27,000,000 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$18,000,000 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 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 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 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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3238, compared to 2910 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2844 reported in the August 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. Nevertheless, Moody's noted that all the OC tests as well as the interest diversion test were recently reported in the August 2020 trustee report [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $434,672,680 Defaulted Securities: $11,650,348 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3232 Weighted Average Life (WAL): 5.81 years Weighted Average Spread (WAS): 3.26% Weighted Average Coupon (WAC): 4.50% Weighted Average Recovery Rate (WARR): 48.95% Par haircut in O/C tests and interest diversion test: 0.69% 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. UBS-BARCLAYS 2012-C4: S&P Lowers Class F Certs Rating to B (sf) --------------------------------------------------------------- S&P Global Ratings lowered its rating on the class F commercial mortgage pass-through certificates from UBS-Barclays Commercial Mortgage Trust 2012-C4, a U.S. CMBS transaction, and removed it from CreditWatch, where it was placed with negative implications on June 3, 2020. In addition, S&P affirmed its ratings on 11 other classes from the same transaction and removed the rating on class E from CreditWatch negative. S&P had placed its ratings on classes E and F on CreditWatch negative because it viewed them as being at an increased risk of experiencing monthly payment disruption or reduced liquidity due to their higher exposure to loans secured by lodging and retail properties, the two property types most impacted by the demand disruption posed by the ongoing pandemic. Specifically, this transaction is exposed to 21 retail-backed loans comprising 28.0% of the pool trust balance and eight lodging-backed loans totaling 21.1% of the pool trust balance. In addition, all of the remaining loans have anticipated repayment dates or final maturities in 2020 or 2022. "As part of our review, while we primarily focused on the lodging and retail-backed loans, we also analyzed loans secured by properties that exhibited performance deterioration prior to the coronavirus pandemic, and where we believe the pandemic will result in further deterioration in the properties' performance. In these cases, we revised the S&P Global Ratings' net cash flow (NCF) and/or capitalization rate for the property. We detail some of the larger loans where we made such adjustments below," the rating agency said. The downgrade on class F reflects revised view of S&P Global Ratings' NCF and/or capitalization rate for three significant loans aggregating $157.2 million (13.1% of the pool trust balance), two of which are secured by mall properties and the remainder secured by lodging properties: Visalia Mall ($74.0 million, 6.2%), Newgate Mall ($58.0 million, 4.8%), and Sun Development Portfolio ($25.2 million, 2.1%). "The affirmations on classes A-3, A-4, A-5, A-AB, A-S, and B reflect our view that the current ratings are in line with the model-indicated ratings. Further, we affirmed our ratings on classes C, D, and E even though the model-indicated ratings were lower than the classes' current rating levels because we considered their relative position in the waterfall, and current and projected liquidity support," the rating agency said. "We affirmed our ratings on the class X-A and X-B interest-only (IO) certificates based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance of class X-A references classes A-1, A-2, A-3, A-4, A-5, A-AB, and A-S, while class X-B references classes B and C," the rating agency said. 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," the rating agency said. TRANSACTION SUMMARY As of the Aug. 12, 2020, trustee remittance report, the collateral pool balance was $1.2 billion, which is 82.2% of the pool balance at issuance. The pool currently includes 83 loans and one real estate owned (REO) asset, down from 91 loans at issuance. Five of these assets ($179.6 million, 15.0%) are with the special servicer, 20 loans ($180.3 million, 15.1%) are defeased, and 12 ($129.6 million, 10.8%) are on the master servicer's watchlist. Using adjusted servicer-reported numbers, S&P calculated a 1.78x S&P Global Ratings weighted average debt service coverage (DSC) and 77.0% S&P Global Ratings weighted average loan-to-value (LTV) ratio using an 8.13% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude two ($61.1 million, 5.1%) of the five specially serviced assets and the defeased loans. The top 10 nondefeased assets have an aggregate outstanding pool trust balance of $606.8 million (50.7%). Using adjusted servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV of 1.90x and 81.1%, respectively, for nine of the top 10 nondefeased assets. To date, the transaction has experienced $256,407 in principal losses. S&P expects losses to reach approximately 1.9% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of two of the five specially serviced assets. CREDIT CONSIDERATIONS As of the August 2020 trustee remittance report, five assets in the pool were with the special servicer, Rialto Capital Advisors LLC. Details of the three largest specially serviced assets, all of which are top 10 nondefeased assets, are as follows: The Visalia Mall loan is the third-largest nondefeased asset in the pool and the largest asset with the special servicer. The loan is secured by a 437,954-sq.-ft. enclosed regional mall in Visalia, Calif. The property is anchored by a two-story Macy's (150,000 sq. ft.) and a single-story JCPenney (107,000 sq. ft.). The loan has a nonperforming matured balloon payment status and a total reported exposure of $74.2 million. The loan was transferred to the special servicer on May 22, 2020, due to imminent monetary default after the borrower requested COVID-19 relief. The borrower was also unable to pay off the loan upon its June 1, 2020, maturity. According to Rialto, it has entered into a forbearance agreement with the borrower. The terms included extending the loan's maturity to June 1, 2021. The loan has been reinstated and expected to return to the master servicer. "In our analysis, we considered the servicer-reported mid- to high-90% occupancy and relatively stable servicer-reported NCF from the past three years: $10.7 million in 2017, $10.3 million in 2018, and $10.2 million in 2019. We used an S&P Global Ratings NCF of $7.7 million, the same as in the last review in March 2020 and increased the S&P Global Ratings capitalization rate to 8.50% from 6.75% in our last review to reflect the challenges facing the mall and the overall sector, which we believe have been accelerated by COVID-19." This yielded an S&P Global Ratings value of $85.1 million and an 86.9% S&P Global Ratings LTV on the loan," the rating agency said. The Newgate Mall loan is the fourth-largest nondefeased asset in the pool and the second-largest asset with the special servicer. S&P has previously highlighted this loan as one worth monitoring in its research commentary "Shop With Caution – CMBS Mall Loans Worth Watching," published Jan. 8, 2020. The loan is secured by 497,962 sq. ft. of a 730,781-sq.-ft. regional mall in Ogden, Utah. The mall is anchored by a Dillard's (118,919 sq. ft.; non-collateral), Burlington Coat Factory (77,000 sq. ft.; non-collateral), and a Cinemark 14 theater (61,970 sq. ft.). In April 2018, Sears (149,624 sq. ft.; collateral) vacated the property, and it remains unoccupied. The loan has a reported nonperforming matured balloon payment status and a reported total exposure of $58.4 million. The loan was transferred to the special servicer on March 9, 2020, due to imminent maturity default (matured on May 1, 2020). According to Rialto, negotiations for a forbearance are in process. "In our analysis, we considered the decline in occupancy following Sears' vacancy and declining servicer-reported NCF in the last three years: 98.5% and $5.6 million, respectively, in 2017; 97.4% and $4.9 million, respectively, in 2018; and 62.5% and $3.6 million, respectively, in 2019. We used an S&P Global Ratings NCF of $4.1 million, the same as in the last review, and increased the S&P Global Ratings capitalization rate to 11.00% from 9.00% to reflect the challenges facing the mall and the overall sector, which we believe have been accelerated by COVID-19. This yielded an S&P Global Ratings expected-case value of $37.0 million, indicating a moderate (26%-59%) loss to the trust upon the loan's eventual resolution," the rating agency said. The Sun Development Portfolio loan is the 10th-largest asset in the pool and the third-largest asset with the special servicer. Following the sale of the 76-guestroom limited-service Holiday Inn Express Grove City hotel in Grove City, Ohio, in April 2020, the loan is currently secured by four extended-stay, full-service, and limited-service hotels totaling 436 rooms in Illinois, Mississippi, and Indiana. The loan matures on Aug. 5, 2022, has a late but less than one-month delinquent payment status, and a total reported exposure of $25.4 million. The loan was transferred to the special servicer on April 10, 2020, because of imminent monetary default after the borrower requested COVID-19 relief. In addition, Rialto noted that it has discovered unpermitted debt while reviewing the borrower's request for consent to sell one of the five hotels in the portfolio. According to Rialto, the issues have been resolved and the borrower is performing under a forbearance agreement. "In our analysis, we considered the fluctuating servicer-reported NCF for the past two-plus years: $1.9 million in 2017, $3.2 million in 2018, and $2.8 million as of the trailing-12-months ended Sept. 30, 2019. We derived an S&P Global Ratings NCF of $2.9 million after adjusting for the property sold in early 2020. Using an S&P Global Ratings capitalization rate of 9.59%, the same as in the last review, yielded an S&P Global Ratings expected value of $29.8 million ($68,413 per guestroom) and an 84.5% S&P Global Ratings LTV on the loan. The remaining assets with the special servicer each represent less than 1.7% of the total pool trust balance. We will continue to monitor the transaction against the evolving economic backdrop, and should there be any meaningful changes to our performance expectations, will issue research- and/or ratings-related updates as necessary," the rating agency said. Environmental, social, and governance (ESG) factors relevant to the rating action: -- Health and safety. RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE UBS-Barclays Commercial Mortgage Trust 2012-C4 Commercial mortgage pass-through certificates Rating Class To From F B (sf) B+ (sf)/Watch Neg RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE UBS-Barclays Commercial Mortgage Trust 2012-C4 Commercial mortgage pass-through certificates Rating Class To From E BB (sf) BB (sf)/Watch Neg RATINGS AFFIRMED UBS-Barclays Commercial Mortgage Trust 2012-C4 Commercial mortgage pass-through certificates Class Rating A-3 AAA (sf) A-4 AAA (sf) A-5 AAA (sf) A-AB AAA (sf) A-S AAA (sf) B AA+ (sf) C A+ (sf) D BBB- (sf) X-A AAA (sf) X-B A+ (sf) VENTURE XVI: Moody's Lowers Rating on Class E-RR Notes to B1 ------------------------------------------------------------ Moody's Investors Service downgraded the ratings on the following notes issued by Venture XVI CLO, Limited: US$25,000,000 Class D-RR Mezzanine Secured Deferrable Floating Rate Notes Due 2028 (the "Class D-RR Notes"), Downgraded to Baa3 (sf); previously on April 17, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade US$27,000,000 Class E-RR Junior Secured 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 D-RR Notes and the Class E-RR 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-RR and E-RR Notes issued by the CLO. The CLO, originally issued in March 2014 and refinanced in January 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 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 (ELs) on certain notes have increased. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3132 compared to 2795 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was passing the test level of 3187 reported in the August 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 18.5% as of August 2020. Moody's noted that the OC tests for the Class D-RR and Class E-RR notes, as well as the interest diversion test were recently reported as failing [4], which could result in repayment of senior notes. As a result, Class E-RR is currently deferring $426,486 of interest proceeds. 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: $408,789,721 Defaulted Securities: $24,020,458 Diversity Score: 104 Weighted Average Rating Factor (WARF): 3176 Weighted Average Life (WAL): 4.5 years Weighted Average Spread (WAS): 3.6% Weighted Average Recovery Rate (WARR): 47.0% Par haircut in O/C tests and interest diversion test: 1.08% 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. VOYA CLO 2015-3: Fitch Lowers Rating on Class E-R Notes to B-sf --------------------------------------------------------------- Fitch Ratings has downgraded the class E-R notes and affirmed the class A-1-R, A-2A-R, A-2B-R, and A-3-R notes from Voya CLO 2015-3, Ltd. (Voya 2015-3). In addition, Fitch has removed the class E-R notes from Rating Watch Negative (RWN) and assigned them a Negative Outlook. The class E-R notes were previously placed on RWN in April. RATING ACTIONS Voya CLO 2015-3, Ltd. Class A-1-R 92913UAN6; LT AAAsf Affirmed; previously at AAAsf Class A-2A-R 92913UAQ9; LT AAAsf Affirmed; previously at AAAsf Class A-2B-R 92913UAY2; LT AAAsf Affirmed; previously at AAAsf Class A-3-R 92913UAS5; LT AAsf Affirmed; previously at AAsf Class E-R 92913DAL8; LT B-sf Downgrade; previously at Bsf TRANSACTION SUMMARY Voya 2015-3 is an arbitrage CLO managed by Voya Alternative Asset Management LLC. The CLO originally closed in September 2015 and was reset in November 2018. The transaction is still within its reinvestment period, which is scheduled to end in October 2023. KEY RATING DRIVERS Asset Credit Quality The downgrade of the class E-R notes reflects the 1.4% decrease in par notional of the underlying portfolio from loan defaults and credit risk sales since April. Approximately 18% of the portfolio was downgraded since April and 2.2% of the par notional is currently reported as defaulted, as of the latest July trustee report. The average credit quality of obligors is in the 'B'/'B-' category, as Fitch's weighted average rating factor (WARF) for performing assets is 34.9. Cash Flow Analysis Due to the negative collateral quality migration, the loss rates projected for the class E-R notes exceeded the loss rates projected from the Fitch Stressed Portfolio at the initial rating analysis. As a result, this transaction was cash flow modelled. Fitch used a proprietary cash flow model (CFM) to replicate the principal and interest waterfalls, as well as the various structural features of the transaction. This transaction was modelled under the stable, down, and rising interest-rate scenarios and the front-, mid- and back-loaded default timing scenarios as outlined in Fitch's criteria. The class E-R notes experienced shortfalls in rising interest-rate scenarios under current portfolio assumptions, as well as one additional failure in the back-loaded default timing, stable interest rate scenario. The model-implied ratings (MIRs) of these notes were one category below their current rating levels in these scenarios. However, Fitch gave more weight to the stable interest rate scenarios and considered the shortfall in the back-loaded default timing to be marginal, downgrading the notes to 'B-sf'. The MIRs of class A-1-R, A-2A-R, and A-2B-R notes were at their current rating levels, and the MIR of the class A-3-R notes was one notch higher than their current rating level using current portfolio assumptions. However, Fitch did not upgrade the class A-3-R notes in light of the ongoing economic disruption caused by the coronavirus pandemic and the transaction remaining in its reinvestment period until October 2023. As such, Fitch affirmed the four classes of senior notes at their current ratings. When conducting a cash flow analysis, Fitch's model first projects the portfolio scheduled amortization proceeds and any prepayments for each reporting period of the transaction life, assuming no defaults (and assuming no voluntary terminations, when applicable). In each rating stress scenario, such scheduled amortization proceeds and prepayments are then reduced by a scale factor equivalent to the overall percentage of loans that are not assumed to default (or to be voluntary terminated, when applicable). This adjustment avoids running out of performing collateral due to amortization and ensures all of the defaults projected to occur in each rating stress are realized in a manner consistent with Fitch's published default timing curve. Asset Security, Portfolio Management, and Portfolio Composition: The current portfolio consists of 98.5% of first lien senior secured loans. The loan portfolio remains diversified, with 433 obligors. Exposure to the top ten obligors comprised 7.3% of the portfolio loan balance and no obligor represents more than 1.1% of the portfolio. The Class D Overcollateralization Ratio and Interest Diversion Tests were failing in July due to approximately $19.8 million of haircuts (approximately 2.5% of total portfolio paramount) applied to excess CCC exposure, defaulted and discount obligations. Coronavirus Baseline Scenario Impact Fitch evaluated the transaction under a coronavirus baseline sensitivity scenario to estimate the resilience of the notes' ratings to potential further deterioration. The coronavirus baseline sensitivity analysis notched down the ratings for all assets with corporate issuers on Outlook Negative (ON) regardless of sector, with a floor of 'CCC-'. Rating Outlooks assigned on the notes reflect their performance under Fitch's CFM analysis, based on this coronavirus baseline sensitivity under stable interest rate assumptions within all default timing scenarios. Assets with a Fitch-derived rating on ON comprised 35% of the portfolio balance. The ON assigned to the class E-R notes reflects a higher risk of credit deterioration over the longer-term, as the impact of coronavirus continues to unfold and the recovery path remains uncertain. The Stable Outlooks maintained for all other rated classes of notes demonstrate the notes' resilience with positive breakeven cushions under the coronavirus baseline scenario. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. The results should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to positive rating action/upgrade: A 25% reduction of the mean default rate across all ratings, and a 25% increase of the recovery rate at all rating levels, would potentially lead to an upgrade of five notches for the Class E-R notes and two notches for the Class A-3-R notes, based on model-implied ratings. Upgrade scenarios are not considered for the class A-1-R, A-2A-R, and A-2B-R notes, as these notes are in the highest rating category of 'AAAsf'. At closing, Fitch uses a stress portfolio (Fitch's Stressed Portfolio) that is customized to the specific portfolio limits for the transaction as specified in the transaction documents. Even if the actual portfolio shows lower defaults and smaller losses (at all rating levels) than Fitch's Stressed Portfolio assumed at closing, an upgrade of the notes during the reinvestment period is unlikely as the portfolio credit quality may still deteriorate, not only through natural credit migration, but also through reinvestments. Upgrades may occur after the reinvestment period on better-than-expected portfolio credit quality and deal performance, leading to higher notes' credit enhancement and excess spread available to cover for losses on the remaining portfolio. Factors that could, individually or collectively, lead to negative rating action/downgrade: A 25% increase of the mean default rate across all ratings, and a 25% decrease of the recovery rate at all rating levels, would potentially lead to a downgrade of up to one notch for the class A-1-R, A-2A-R, and A-2B-R notes, four notches for the class A-3-R notes, and more than one category below for the class E-R notes, based on model-implied ratings. Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing in the Fitch Stressed Portfolio and the notes' CE does not compensate for the worse loss expectation than initially expected. As the disruptions to supply and demand due to the coronavirus disruption become apparent for other vulnerable sectors, loan ratings in those sectors would also come under pressure. Fitch will update the sensitivity scenarios in line with the views of its Leveraged Finance team. Coronavirus Downside Scenario Impact In addition to the baseline scenario described earlier in this commentary, Fitch conducted a sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a re-emergence of infections in the major economies, before a halting recovery begins in 2Q21. The downside sensitivity incorporates the following stresses: applying a one-notch downgrade to all Fitch-derived ratings in the 'B' rating category; applying a 70% recovery rate multiplier to all assets from issuers in the eight industries identified as being most exposed to negative performance resulting from business disruptions from the coronavirus (Group 1 countries only); and applying an 85% recovery rate multiplier to all other assets. The model-implied ratings under this sensitivity scenario are one notch below the current ratings of the class A-1-R, A-2A-R, and A-2B-R notes, five notches below the current rating of the class A-3-R notes, and more than one category below for the class E-R notes. VOYA CLO 2020-2: S&P Assigns BB- (sf) Rating to Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Voya CLO 2020-2 Ltd./Voya CLO 2020-2 LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated, speculative-grade (rated 'BB+' and lower), senior secured loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Voya CLO 2020-2 Ltd./Voya CLO 2020-2 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 231.00 A-2 AAA (sf) 17.00 B AA (sf) 56.00 C (deferrable) A (sf) 24.00 D (deferrable) BBB- (sf) 22.00 E (deferrable) BB- (sf) 12.00 Subordinated notes NR 33.90 NR--Not rated. WELLS FARGO 2020-4: Fitch Assigns B+sf Rating on Class B-5 Debt --------------------------------------------------------------- Fitch Ratings assigns the following ratings to Wells Fargo Mortgage-Backed Securities 2020-4 Trust (WFMBS 2020-4). RATING ACTIONS WFMBS 2020-4 Class A-1; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-2; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-3; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-4; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-5; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-6; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-7; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-8; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-9; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-10; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-11; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-12; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-13; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-14; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-15; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-16; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-17; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-18; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-19; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-20; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO1; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO2; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO3; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO4; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO5; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO6; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO7; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO8; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO9; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO10; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-IO11; LT AAAsf New Rating; previously at AAA(EXP)sf Class B-1; LT AA+sf New Rating; previously at AA+(EXP)sf Class B-2; LT Asf New Rating; previously at A(EXP)sf Class B-3; LT BBB+sf New Rating; previously at BBB+(EXP)sf Class B-4; LT BB+sf New Rating; previously at BB+(EXP)sf Class B-5; LT B+sf New Rating; previously at B+(EXP)sf Class B-6; LT NRsf New Rating; previously at NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 427 prime fixed-rate mortgage loans with a total balance of approximately $335 million as of the cutoff date. All of the loans were originated by Wells Fargo Bank, N.A (Wells Fargo) or were acquired from its correspondents. This is the ninth post-crisis issuance from Wells Fargo. KEY RATING DRIVERS Revised GDP Due to Coronavirus (Negative): The coronavirus and the resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's baseline global economic outlook for U.S. GDP growth is currently a 5.6% decline for 2020, down from 1.7% for 2019. Fitch's downside scenario would see an even larger decline in output in 2020 and a weaker recovery in 2021. To account for declining macroeconomic conditions resulting from 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' and below. Expected Payment Deferrals Related to Coronavirus (Negative): The outbreak of coronavirus and widespread containment efforts in the U.S. will result in increased unemployment and cash flow disruptions. To account for the cash flow disruptions, Fitch assumed deferred payments on a minimum of 25% of the pool for the first six months of the transaction at all rating categories with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observations of legacy delinquencies and past-due payments following Hurricane Maria in Puerto Rico. Payment Forbearance (Mixed): As of the cutoff date, none of the borrowers in the pool are on a coronavirus forbearance plan. Additionally, any loan that enters a coronavirus forbearance plan between the cutoff date and prior to or on the closing date will be removed from the pool (at par) within 30 days of closing. For borrowers that enter a coronavirus forbearance plan post-closing, the P&I advancing party will advance delinquent P&I during the forbearance period. If at the end of the forbearance period the borrower begins making payments, the advancing party will be reimbursed from any catch-up payment amount. If the borrower doesn't resume making payments, the loan will likely become modified and the advancing party will be reimbursed from available funds. Fitch increased its loss expectations by 10 bps for the 'BB+sf' ratings categories and below to address the potential for write-downs due to reimbursements of servicer advances. This increase is based on a servicer reimbursement scenario analysis which incorporated collateral similar to WFMBS 2020-4. Fitch did not adjust its loss expectations above 'BB+sf' because the agency's model output levels were sufficiently lower than its loss floors for 30-year collateral. Full Servicer Advancing (Neutral): The pool benefits from advances of delinquent principal and interest until the servicer, Wells Fargo, the primary servicer of the pool, deems them nonrecoverable. Fitch's loss severities reflect reimbursement of amounts advanced by the servicer from liquidation proceeds based on its liquidation timelines assumed at each rating stress. In addition, the credit enhancement (CE) for the rated classes has some cushion for recovery of servicer advances for loans that are modified following a payment forbearance. Very High-Quality Mortgage Pool (Positive): The collateral attributes are among the strongest of post-crisis RMBS rated by Fitch. The pool consists primarily of 30-year fixed-rate fully amortizing loans to borrowers with strong credit profiles, low leverage and large liquid reserves. All loans are Safe Harbor Qualified Mortgages (SHQM). The loans are seasoned an average of 7.2 months. The pool has a weighted average (WA) original FICO score of 774, which is indicative of very high credit-quality borrowers. Approximately 82% has original FICO scores at or above 750. In addition, the original WA CLTV ratio of 70.3% represents substantial borrower equity in the property. The pool's attributes, together with Wells Fargo's sound origination practices, support Fitch's very low default risk expectations. High Geographic Concentration (Negative): Approximately 55% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in San Francisco MSA (20.4%) followed by the Los Angeles MSA (13.6%) and the New York MSA (12.5%). The top three MSAs account for 46.6% of the pool. As a result, there was an additional penalty of approximately 6% was applied to the pool's lifetime default expectations. Low Operational Risk (Positive): Operational risk is very well controlled for in this transaction. Wells Fargo has an extensive operating history in residential mortgage originations and is assessed as an 'Above Average' originator by Fitch. The entity has a diversified sourcing strategy and uses an effective proprietary underwriting system for its retail originations. Wells Fargo will perform primary and master servicing for this transaction; these functions are rated 'RPS1-' and 'RMS1-', respectively, which are among Fitch's highest servicer ratings. On March 27, 2020 Fitch revised the Rating Outlook for these servicers to Negative from Stable due to the changing economic landscape. The expected losses at the 'AAAsf' rating stress were reduced by approximately 61 bps to reflect these strong operational assessments. Tier 2 R&W Framework (Neutral): While the loan-level representations and warranties (R&Ws) for this transaction are substantially in conformity with Fitch criteria, the framework has been assessed as a Tier 2 due to the narrow testing construct, which limits the breach reviewers ability to identify or respond to issues not fully anticipated at closing. The Tier 2 assessment and the strong financial condition of Wells Fargo as R&W provider resulted in a neutral impact to the CE. In response to the coronavirus and in an effort to focus breach reviews on loans that are more likely to contain origination defects that led to or contributed to the delinquency of the loan, Wells Fargo added additional carve-out language relating to the delinquency review trigger for certain Disaster Mortgage Loans that are modified or delinquent due to disaster related loss mitigation (including coronavirus). This is discussed further in the Asset Analysis section. Due Diligence Review Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction pool. The review was performed by Clayton, which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. A total of 99.8% of the loans received a final grade of 'A' or 'B', which reflects strong origination practices. Loans with a final grade of 'B' were supported with sufficient compensating factors or were already accounted for in Fitch's loan loss model. One loan was graded 'C' due to a material property valuation exception where the secondary review value yielded a negative variance greater than 10% of the original appraisal value. Fitch applied the lower of the values to calculate the loan-to-value loan/value ratio. The adjustment did not have a material impact on the expected loss levels. Loans with due diligence receive a credit in the loss model; the aggregate adjustment reduced the 'AAAsf' expected losses by 15 bps. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified CE levels are not maintained. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.40% of the original balance will be maintained for the senior certificates. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts, reviewer fees and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $350,000 per annum, with the exception of independent reviewer breach review fee, which can be carried over each year, subject to the cap until paid in full. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to 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% in addition to the model-projected 38.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to 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 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. WELLS FARGO 2020-4: Moody's Rates Class B-5 Securities 'Ba3' ------------------------------------------------------------ Moody's Investors Service assigned definitive ratings to 25 classes of residential mortgage-backed securities (RMBS) issued by Wells Fargo Mortgage Backed Securities 2020-4 Trust. The ratings range from Aaa (sf) to Ba3 (sf). WFMBS 2020-4 is the fourth prime issuance by Wells Fargo Bank, N.A. (Wells Fargo Bank, the sponsor and mortgage loan seller) in 2020, consisting of 422 primarily 30-year, fixed rate, prime residential mortgage loans with an unpaid principal balance of $330,754,860. Five loans prepaid in full since the assignment of provisional ratings on August 4, 2020, thereby reducing the loan count from 427 to 422 loans. The pool has strong credit quality and consists of borrowers with high FICO scores, significant equity in their properties and liquid cash reserves. The pool has clean pay history and weighted average seasoning of approximately 6.16 months. The mortgage loans for this transaction are originated by Wells Fargo Bank, through its retail and correspondent channels, in accordance with its underwriting guidelines. In this transaction, all 422 loans are designated as qualified mortgages (QM) under the QM safe harbor rules. Wells Fargo Bank will service all the loans and will also be the master servicer for this transaction. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: Wells Fargo Mortgage Backed Securities 2020-4 Trust Cl. A-1, Assigned Aaa (sf) Cl. A-2, Assigned Aaa (sf) Cl. A-3, Assigned Aaa (sf) Cl. A-4, Assigned Aaa (sf) Cl. A-5, Assigned Aaa (sf) Cl. A-6, Assigned Aaa (sf) Cl. A-7, Assigned Aaa (sf) Cl. A-8, Assigned Aaa (sf) Cl. A-9, Assigned Aaa (sf) Cl. A-10, Assigned Aaa (sf) Cl. A-11, Assigned Aaa (sf) Cl. A-12, Assigned Aaa (sf) Cl. A-13, Assigned Aaa (sf) Cl. A-14, Assigned Aaa (sf) Cl. A-15, Assigned Aaa (sf) Cl. A-16, Assigned Aaa (sf) Cl. A-17, Assigned Aa1 (sf) Cl. A-18, Assigned Aa1 (sf) Cl. A-19, Assigned Aaa (sf) Cl. A-20, Assigned Aaa (sf) Cl. B-1, Assigned Aa3 (sf) Cl. B-2, Assigned A3 (sf) Cl. B-3, Assigned Baa3 (sf) Cl. B-4, Assigned Ba1 (sf) Cl. B-5, Assigned Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.24% and reaches 3.53% at a stress level consistent with its Aaa ratings. The rapid spread of the coronavirus outbreak, the government measures put in place to contain it and the deteriorating global economic outlook, have created a severe and extensive credit shock across sectors, regions and markets. Its analysis has considered the effect on the performance of US RMBS from the collapse in the US economic activity in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around its forecasts is unusually high. Moody's increased its model-derived median expected losses by 15% (9.15% for the mean) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 due to the COVID-19 outbreak. Moody's regards the COVID-19 outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's bases its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral Description The WFMBS 2020-4 transaction is a securitization of 422 first lien residential mortgage loans with an unpaid principal balance of $330,754,860. The loans in this transaction have strong borrower characteristics with a weighted average original FICO score of 780 and a weighted-average original loan-to-value ratio (LTV) of 70.1%. In addition, 5.9% of the borrowers are self-employed, rate-and-term refinance and cash-out loans comprise approximately 54.4% of the aggregate pool (inclusive of construction to permanent loans). Of note, 8.5% (by loan balance) of the pool comprises construction to permanent loans. The construction to permanent is a two-part loan where the first part is for the construction and then it becomes a permanent mortgage once the property is complete. For such loans in the pool, the construction was complete and because the borrower cannot receive cash from the permanent loan proceeds or anything above the construction cost, Moody's treated these loans as a rate term refinance rather than a cash out refinance loan. The pool has a high geographic concentration with 54.8% of the aggregate pool located in California and 12.7% located in the New York-Newark-Jersey City MSA. The characteristics of the loans underlying the pool are slightly stronger than recent prime RMBS transactions backed by 30-year mortgage loans that Moody's has rated. Origination Quality Wells Fargo Bank, N.A. (long term debt Aa2) is an indirect, wholly-owned subsidiary of Wells Fargo & Company (long term debt A2). Wells Fargo & Company is a U.S. bank holding company with approximately $1.97 trillion in assets and approximately 266,000 employees as of June 30, 2020, which provides banking, insurance, trust, mortgage and consumer finance services throughout the United States and internationally. Wells Fargo Bank has sponsored or has been engaged in the securitization of residential mortgage loans since 1988. Wells Fargo Home Lending (WFHL) is a key part of Wells Fargo & Company's diversified business model. The mortgage loans for this transaction are originated by WFHL, through its retail and correspondent channels, generally in accordance with its underwriting guidelines. The company uses a solid loan origination system which include embedded features such as a proprietary risk scoring model, role-based business rules and data edits that ensure the quality of loan production. After considering the company's origination practices, Moody's made no additional adjustments to its base case and Aaa loss expectations for origination. Third Party Review (TPR) One independent third-party review firm, Clayton Services LLC, was engaged to conduct due diligence for the credit, regulatory compliance, property valuation, and data accuracy for all 422 loans in the initial population of this transaction (100% of the mortgage pool). For an initial population of 437 loans, Clayton Services LLC identified 391 loans with level A and 46 loans with level B credit component grades. Most of the level B loans were underwritten using underwriter discretion. Areas of discretion included insufficient cash reserves, length of mortgage/rental history, cash out amount exceeds guidelines, and explanation for other multiple credit exceptions. The due diligence firm noted that these exceptions are minor and/or provided an explanation of compensating factors. Also, Clayton Services LLC identified 434 loans with level A, two (2) loans with level B, and one (1) loan with level C property valuation grade. For the one (1) level C loan there is finding related to property valuation review, because Clayton determined that the appraisal value used in the origination of such mortgage loan was not supported by field review within a negative 10% variance. Low DTI and LTV along with a long history of self-employment were cited as compensating factors. For the two loans with property valuation grade of B, one loan had the home escrow requirement waived with compensating factors such as high credit score, low loan-to-value (LTV) and debt-to-income (DTI) ratios. The other loan with a property valuation grade B was located in a FEMA disaster area and was missing a post disaster inspection report post a hurricane. No subsequent inspection was performed on the property after the disaster and there was no contact from the borrower regarding property damage. High credit score, income, and cash reserves and low DTI and CLTV are the compensating factors. Moody's therefore, did not run any additional sensitivity analysis on these loans. Representation & Warranties (R&W) Wells Fargo Bank, as the originator, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's has identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when loans become 120 days delinquent, the property is liquidated at a loss above a certain threshold, or the loan is modified by the servicer. Similar to J.P. Morgan Mortgage Trust (JPMMT) transactions, the transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. It should be noted that exceptions exist for certain excluded disaster mortgage loans that trip the delinquency trigger. These excluded disaster loans include COVID-19 forbearance loans or any other loan with respect to which (a) the related mortgaged property is located in an area that is subject to a major disaster declaration by either the federal or state government and (b) has either been modified or is being reported delinquent by the servicer as a result of a forbearance, deferral or other loss mitigation activity relating to the subject disaster. Such excluded disaster mortgage loans may be subject to a review in future periods if certain conditions are satisfied. Overall, Moody's believes that Wells Fargo Bank's robust processes for verifying and reviewing the reasonableness of the information used in loan origination along with effectively no knowledge qualifiers mitigates any risks involved. Wells Fargo Bank has an anti-fraud software tools that are integrated with the loan origination system and utilized pre-closing for each loan. In addition, Wells Fargo Bank has a dedicated credit risk, compliance and legal teams oversee fraud risk in addition to compliance and operational risks. Moody's did not make any additional adjustment to its base case and Aaa loss expectations for R&Ws. Tail Risk and Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.40% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.40% of the closing pool balance. Moody's calculates the credit neutral floors for a given target rating as shown in its principal methodology. The senior subordination floor of 1.40% and subordinate floor of 1.40% are consistent with the credit neutral floors for the assigned ratings. Transaction Structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all unscheduled principal collections to the senior bond for a specified period of time and increasing amounts of unscheduled principal collections to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. All certificates in this transaction are subject to a net WAC cap. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Servicing Arrangement In WFMBS 2020-4, unlike other prime jumbo transactions, Wells Fargo Bank acts as servicer, master servicer, securities administrator and custodian of all of the mortgage loans for the deal. The servicer will be primarily responsible for funding certain servicing advances and delinquent scheduled interest and principal payments for the mortgage loans, unless the servicer determines that such amounts would not be recoverable. The master servicer and servicer will be entitled to be reimbursed for any such monthly advances from future payments and collections (including insurance and liquidation proceeds) with respect to those mortgage loans (see also COVID-19 impacted borrowers section for additional information). In the case of the termination of the servicer, the master servicer must consent to the trustee's selection of a successor servicer, and the successor servicer must have a net worth of at least $15 million and be Fannie or Freddie approved. The master servicer shall fund any advances that would otherwise be required to be made by the terminated servicer (to the extent the terminated servicer has failed to fund such advances) until such time as a successor servicer is appointed. Additionally, in the case of the termination of the master servicer, the trustee will be required to select a successor master servicer in consultation with the depositor. The termination of the master servicer will not become effective until either the trustee or successor master servicer has assumed the responsibilities and obligations of the master servicer which also includes the advancing obligation. After considering Wells Fargo Bank's servicing practices, Moody's did not make any additional adjustment to its losses. COVID-19 Impacted Borrowers As of the cut-off date, no borrower under any mortgage loan has entered into a COVID-19 related forbearance plan with the servicer. The mortgage loan seller will covenant in the mortgage loan purchase agreement to repurchase at the repurchase price within 30 days of the closing date any mortgage loan with respect to which the related borrower requests or enters into a COVID-19 related forbearance plan after the cut-off date but on or prior to the closing date. In the event that after the closing date a borrower enters into or requests a COVID-19 related forbearance plan, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. In the event the servicer enters into a forbearance plan with a COVID-19 impacted borrower of a mortgage loan, the servicer will report such mortgage loan as delinquent (to the extent payments are not actually received from the borrower) and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such loan during the forbearance period (unless the servicer determines any such advances would be a nonrecoverable advance). At the end of the forbearance period, if the borrower is able to make the current payment on such mortgage loan but is unable to make the previously forborne payments as a lump sum payment or as part of a repayment plan, the servicer anticipates it will modify such mortgage loan and any forborne amounts will be deferred as a non-interest bearing balloon payment that is due upon the maturity of such mortgage loan. At the end of the forbearance period, if the borrower repays the forborne payments via a lump sum or repayment plan, advances will be recovered via the borrower payment(s). In an event of modification, Wells Fargo Bank will recover advances made during the period of Covid-19 related forbearance from pool level collections. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. WELLS FARGO 2020-C57: Fitch Rates Class K-RR Certs 'B-sf' --------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2020-C57, commercial mortgage pass-through certificates, series 2020-C57. RATING ACTIONS WFCM 2020-C57 -- $23.4 million class A-1 'AAAsf'; Outlook Stable; -- $38 million class A-SB 'AAAsf'; Outlook Stable; -- $160 milliond class A-3 'AAAsf'; Outlook Stable; -- $0d class A-3-1 'AAAsf'; Outlook Stable; -- $0d class A-3-2 'AAAsf'; Outlook Stable; -- $0d class A-3-X1 'AAAsf'; Outlook Stable; -- $0d class A-3-X2 'AAAsf'; Outlook Stable; -- $168.2 milliond class A-4 'AAAsf'; Outlook Stable; -- $0d class A-4-1 'AAAsf'; Outlook Stable; -- $0d class A-4-2 'AAAsf'; Outlook Stable; -- $0d class A-4-X1 'AAAsf'; Outlook Stable; -- $0d class A-4-X2 'AAAsf'; Outlook Stable; -- $389.6 milliona class X-A 'AAAsf'; Outlook Stable; -- $75 milliona class X-B 'AA-sf'; Outlook Stable; -- $28.7 milliond class A-S 'AA+sf'; Outlook Stable; -- $0d class A-S-1 'AA+sf'; Outlook Stable; -- $0d class A-S-2 'AA+sf'; Outlook Stable; -- $0d class A-S-X1 'AA+sf'; Outlook Stable; -- $0d class A-S-X2 'AA+sf'; Outlook Stable; -- $15.4 million class B 'AA-sf'; Outlook Stable; -- $30.8 million class C 'A-sf'; Outlook Stable; -- $12.7millionab class X-D 'BBBsf'; Outlook Stable; -- $12.7millionb class D 'BBBsf'; Outlook Stable; -- $14.6 millionbc class E-RR 'BBB-sf'; Outlook Stable; -- $10.5 millionbc class F-RR 'BBB-sf'; Outlook Stable; -- $5.6 millionbc class G-RR 'BB+sf'; Outlook Stable; -- $6.3 millionbc class H-RR 'BBsf'; Outlook Stable; -- $6.3 millionbc class J-RR 'BB-sf'; Outlook Stable; -- $7.7 millionbc class K-RR 'B-sf'; Outlook Stable; The following classes are not rated by Fitch: -- $5.6 millionbc class L-RR; -- $26.6 millionbc class M-RR (a) Notional amount and IO. (b) Privately placed and pursuant to Rule 144A. (c) Non-offered horizontal credit-risk retention interest. (d) Exchangeable Certificates. The class A-3, class A-4 and class A-S certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-2, A-3-X1, and A-3-X2. The class A-4 may be surrendered (or received) for the received (or surrendered) class A-4-1, A-4-2, A-4-X1, and A-4-X2. The class A-S may be surrendered (or received) for the received (or surrendered) class A-S-1, A-S-2, A-S-X1, and A-S-X2. The ratings of the exchangeable classes would reference the ratings on the associated referenced or original classes. The final ratings are based on information provided by the issuer as of Aug. 26, 2020. Since Fitch published its expected ratings on Aug. 12, 2020, the following changes occurred: The balances for class A-3 and class A-4 were finalized. At the time that the expected ratings were assigned, the exact initial certificate balances of class A-3 and class A-4 were unknown and expected to be within the range of $0 to $160 million and $168.2 million to $328.2 million, respectively. The final class balances for class A-3 and class A-4 are $160 million and $168.2 million, respectively. Additionally, based on final pricing of the certificates, class C is a WAC class that provides no excess cash flow that would affect the payable interest on the class X-B certificates. Fitch's rating on class X-B has been updated to 'AA-sf' from 'A-sf' to reflect the rating of the lowest referenced tranche whose payable interest has an impact on the interest-only payments. The classes above reflect the final ratings and deal structure. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 loans secured by 71 commercial properties having an aggregate principal balance of $560.5 million as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, LMF Commercial, LLC (f/k/a Rialto Mortgage Finance, LLC), UBS AG and Ladder Capital Finance LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 40.2% of the properties by balance, cash flow analysis of 88.9% and asset summary reviews on 100.0% of the pool. Coronavirus Impact: The ongoing containment effort related to the coronavirus (which causes the COVID-19 disease) pandemic may have an adverse impact on near-term revenue (i.e., bad debt expense, rent relief) and operating expenses (i.e., sanitation costs) for some properties in the pool. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate impact on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic, and to what degree fiscal interventions by the U.S. federal government can mitigate the impact on consumers. Per the offering documents, all of the loans are current and not subject to any forbearance or modification requests. KEY RATING DRIVERS Fitch Leverage Exceeds that of Recent Transactions: The pool has higher leverage than other recent Fitch-rated multiborrower transactions. The pool's Fitch LTV of 116.4% is higher than the YTD 2020 average of 98.5% and the 2019 average of 103.0%. The pool's Fitch DSCR of 1.12x is lower than the YTD 2020 average of 1.30x and the 2019 average of 1.26x. Significant Hotel Concentrations: Loans secured primarily by hotel properties account for 21.4% of the pool, which includes the Doubletree New York Times Square West Leased Fee (stand-alone credit opinion of 'BBB-sf*'). This is higher than the 2019 and YTD 2020 averages of 12.0% and 9.5%, respectively. Retail properties account for 11.0% of the pool, which is lower than the 2019 and YTD 2020 averages of 23.6% and 16.8%, respectively. Fitch considers the hotel and retail asset types to have the greatest downside risk among all of the commercial asset types, in light of the pandemic; however, all property types will have greater vulnerability to disruptions caused by the coronavirus. Above Average Volatility: The pool's weighted average (WA) volatility score is 3.37, which is above the 2019 and YTD 2020 averages of 3.20 and 3.16, respectively. Three hotel loans (9.8%) in the pool have been assigned the highest volatility score of '5' and 13 loans (32.3%) have been assigned a volatility of '4'. The majority of the loans (48.6%) received a volatility score of '3'. Asset volatility scores and probability of default are directly related: a lower asset volatility score results in a lower probability of default. Asset volatility scores range from 1-5, with 1 being the least volatile and 5 the most volatile. Concentrated Pool: The top 10 loans constitute 56.9% of the pool, which is greater than the YTD 2020 average of 55.1% and the 2019 average of 51.0%. The number one loan, PGH17 Self Storage Portfolio, is secured by a portfolio of self-storage properties and represents 10.0% of the pool. The loan concentration index (LCI) of 449 is greater than the YTD 2020 and 2019 averages of 417 and 379, respectively. Additionally, the sponsor concentration index (SCI) of 458 is greater than the YTD 2020 and 2019 averages of 441 and 403, respectively. RATING SENSITIVITIES This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) 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: 'AA+sf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BBsf' / 'BB-sf' 10% NCF Decline: 'AAsf' / 'A+sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' /' Bsf' 20% NCF Decline: 'A-sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'CCCsf' /' CCCsf' / 'CCCsf' 30% NCF Decline: 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf' / 'CCCsf' / 'CCCsf' / 'CCCsfv' / 'CCCsf' Factors that Could, Individually or Collectively, Lead to a Positive Rating Action/Upgrade: -- Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AA+sf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BBsf' / 'BB-sf' 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AA+sf' / 'AA-sf' / 'Asf' / 'A-sf' / 'BBB+sf' WEST CLO 2014-1: Moody's Confirms Ba2 Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service upgraded the rating on the following notes issued by West CLO 2014-1 Ltd.: US$20,250,000 Class B-R Senior Secured Deferrable Floating Rate Notes (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on August 21, 2019 Upgraded to Aa1 (sf) The Class B-R Notes are referred to herein as the "Upgraded Notes." Moody's also confirmed the rating on the following notes: US$20,250,000 Class D Senior Secured Deferrable Floating Rate Notes (the "Class D Notes"), Confirmed at Ba2 (sf); previously on April 17, 2020 Ba2 (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 Notes issued by the CLO. The CLO, originally issued in July 2014 and partially refinanced in September 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2018. RATINGS RATIONALE The upgrade action is primarily a result of deleveraging of the Class A-1-R notes and an increase in the transaction's over-collateralization (OC) ratios since August 2019. The Class A-1-R notes have been paid down by approximately 79% or $96.3 million since that time. Based on Moody's calculation, the OC ratio for the Class B-R is currently 171.93% versus 142.56% August 2019. 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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 4286, compared to 3720 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2687 reported in the August 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 42.3%. Nevertheless, Moody's noted that the OC tests for the Class D Notes was recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $157,608,225 Defaulted Securities: $17,040,157 Diversity Score: 25 Weighted Average Rating Factor (WARF): 4365 Weighted Average Life (WAL): 3.0 years Weighted Average Spread (WAS): 3.96% Weighted Average Recovery Rate (WARR): 48.0% Par haircut in O/C tests and interest diversion test: 6.2% 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. WFRBS COMMERCIAL 2013-C11: S&P Cuts Class F Certs Rating to 'B(sf)' ------------------------------------------------------------------- S&P Global Ratings lowered its rating on the class F commercial mortgage pass-through certificates from WFRBS Commercial Mortgage Trust 2013-C11, a U.S. CMBS transaction, and removed it from CreditWatch, where it was placed with negative implications on June 3, 2020. In addition, S&P affirmed its ratings on 11 other classes from the same transaction and removed the rating on class E from CreditWatch negative. S&P Global Ratings had placed its ratings on classes E and F on CreditWatch negative because it viewed them as being at an increased risk of experiencing monthly payment disruption or reduced liquidity due to their higher exposure to loans secured by lodging and retail properties, the two property types most impacted by the demand disruption posed by the ongoing pandemic. Specifically, this transaction is exposed to 10 loans totaling $96.9 million (9.8% of the pool balance) that are secured by lodging properties, and 23 loans totaling $271.6 million (27.4%) that are secured by retail properties. The remaining loans have anticipated repayment dates or final maturities in late 2022 or early 2023. As part of its review, while S&P Global Ratings primarily focused on the 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 downgrade on class F reflects revised view of S&P Global Ratings' NCF and/or capitalization rate for four significant loans aggregating $187.3 million (18.9% of the pool trust balance). Two of these are secured by retail properties (Concord Mills [$125.0 million, 12.6%] and Encino Courtyard [$22.1 million, 2.2%]) and the remaining two are secured by lodging properties (Holiday Inn National Airport [$23.3 million, 2.4%] and Doubletree Asheville [$16.9 million, 1.7%]). "The affirmations on classes A-3, A-4, A-5, A-SB, A-S, B, C, D, and E reflect our view that the current ratings are generally in line with the model-indicated ratings. While the model-indicated rating for class B was higher than the class's current rating level, we considered the credit subordination of the class," the rating agency said. "We affirmed our ratings on the class X-A and X-B interest-only (IO) certificates based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references classes A-1, A-2, A-3, A-4, A-5, A-SB, and A-S, while the notional amount of class X-B references classes B and C," the rating agency said. 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," the rating agency said. TRANSACTION SUMMARY As of the Aug. 17, 2020, trustee remittance report, the collateral pool balance was $991.1 million, which is 69.0% of the pool balance at issuance. The pool currently includes 71 loans, down from 82 loans at issuance. Two lodging-backed loans ($11.8 million, 1.2%) are with the special servicer, CWCapital Asset Management LLC (CWCapital), nine ($188.8 million, 19.1%) are on the master servicer's (Wells Fargo Bank N.A. [Wells Fargo]) watchlist, and 19 ($133.9 million, 13.5%) are defeased. "Excluding the specially serviced and defeased loans and using adjusted servicer-reported numbers, we calculated a 1.80x S&P Global Ratings weighted average debt service coverage (DSC) and 77.6% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.99% S&P Global Ratings weighted average capitalization rate for the 50 remaining loans. Using adjusted servicer-reported numbers, we calculated an S&P Global Ratings' weighted average DSC and LTV of 1.82x and 82.1%, respectively, for the top 10 nondefeased loans," the rating agency said. "To date, the transaction has experienced $9.9 million in principal losses. We expect losses to reach approximately 1.0% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of the two specially serviced loans," the rating agency said. Some of the larger loans with material revised S&P Global Ratings' NCFs and valuations are as follows: -- Concord Mills (12.6% of the pooled trust balance) is a $235.0 million whole loan comprised of two pari passu notes; the $125.0 million A-1 note is in the transaction and the $110.0 million A-2 note is in WFRBS Commercial Mortgage Trust 2012-C10, also a U.S. CMBS transaction. The whole loan is secured by a 1.3-million-sq.-ft. regional mall in Concord, N.C., approximately 14 miles north of Charlotte. The mall is anchored by Bass Pro Shops Outdoor (134,790 sq. ft.), Burlington Coat Factory (100,498 sq. ft.), and AMC Theatres (83,732 sq. ft.). The loan matures on Nov. 1, 2022, and was reported as current in its payments. The servicer-reported occupancy is above 90%, and the NCF has been relatively stable during the past three years: $35.3 million in 2017, $37.3 million in 2018, and $35.2 million in 2019. "Accordingly, we derived an S&P Global Ratings' NCF of $14.8 million (pari passu adjusted), the same as in the last review. In addition, we increased our S&P Global Ratings' capitalization rate to 8.50% (up from 7.75% in the last review) to reflect the challenges facing the mall and overall retail sector, particularly the increased tenant bankruptcies and store closures during the pandemic." This yielded an S&P Global Ratings' expected-case value of $174.7 million and a 71.6% S&P Global Ratings' LTV ratio on the loan," the rating agency said. -- Holiday Inn National Airport (2.4% of the pooled trust balance) is secured by a 280-room full-service hotel in Arlington, Va. The loan matures on Jan. 1, 2023, and has a reported current payment status. While the servicer-reported occupancy was in the 70% area in 2017 through 2019 and dropped to 66.6% for the trailing-12-months (TTM) period ended March 31, 2020, the servicer-reported NCF fluctuated in the past three-plus years: from $4.1 million in 2017 to $3.0 million in 2018, $3.3 million in 2019, and $2.9 million as of the TTM ended March 31, 2020. "Accordingly, we derived our S&P Global Ratings' NCF of $3.1 million, the same as at issuance. However, we increased our S&P Global Ratings' capitalization rate to 10.25% from 9.25% in the last review to better capture the disruptions to NCF and liquidity stemming from the pandemic. This yielded an S&P Global Ratings' expected-case value of $30.2 million ($108,030 per guestroom) and a 77.2% S&P Global Ratings' LTV ratio on the loan," the rating agency said. -- Encino Courtyard (2.2% of the pooled trust balance) is secured by a 99,677-sq.-ft. retail property in Encino, Calif., approximately 20 miles northwest of downtown Los Angeles. The property consists of subterranean garage parking and surface parking totaling 429 parking spaces. The loan matures on Jan. 6, 2023, and has a reported current payment status. The loan is on the master servicer's watchlist because occupancy dropped to 16.1%, and reported cash flow was not sufficient to cover debt service as of first-quarter 2020. The decline in performance is mainly attributed to LA Fitness vacating 24,747 sq. ft. (24.8% of the property's net rentable area) at the end of its Dec. 31, 2018, lease term, and Bed, Bath & Beyond vacating 30,000 sq. ft. (30.1%) in September 2019. The servicer-reported occupancy and NCF have been declining in the past three years: 90.6% and $2.3 million, respectively, in 2017; 59.2% and $1.7 million, respectively, in 2018; and 22.5% and $241,915, respectively, in 2019. According to the master servicer's comments, the two vacant anchor spaces are expected to be backfilled by Planet Fitness and Target with estimated rent commencement dates in July 2021 and March 2021, respectively. The March 2020 rent roll listed Planet Fitness as a tenant with its lease term beginning on Nov. 1, 2020. "Given the expected increase in occupancy and performance and considering the fluctuating servicer-reported NCF, we derived an S&P Global Ratings' NCF of $1.2 million, mainly reflecting an average of our NCF of $2.1 million in the last review and the adjusted servicer-reported 2019 NCF. In addition, we increased our S&P Global Ratings' capitalization rate to 9.00% (up from 7.93% in the last review) to reflect the challenges facing this property and the time we believe it will take for the property's performance to stabilize." This yielded an S&P Global Ratings' value of $13.7 million and a 161.6% S&P Global Ratings' LTV ratio on the loan," the rating agency said. -- Doubletree Asheville (1.7% of the pooled trust balance) is secured by a 197-room full-service hotel in Asheville, N.C., approximately nine miles north of the Asheville regional airport. The loan matures on Dec. 1, 2022, and has a reported current payment status. While the servicer-reported occupancy was 70%-80% from 2017 through 2019 and dropped slightly to 73.9% for the TTM ended March 31, 2020, the servicer-reported NCF declined slightly from $3.8 million in 2017 to $3.6 million in 2018, $3.5 million in 2019, and $3.4 million for the TTM ended March 31, 2020. "Accordingly, we derived our S&P Global Ratings' NCF of $3.1 million, the same as at issuance. However, S&P increased its S&P Global Ratings' capitalization rate to 10.25% from 9.25% in the last review to better capture the disruptions to NCF and liquidity stemming from the pandemic. This yielded an S&P Global Ratings' expected-case value of $30.3 million ($153,844 per guestroom) and 55.7% S&P Global Ratings' LTV ratio on the loan," the rating agency said. CREDIT CONSIDERATIONS As of the August 2020 trustee remittance report, two loans, both secured by lodging properties, were reported with the special servicer, CWCapital. The larger of the two specially serviced loans, the Home 2 Suites – Baltimore loan ($8.8 million, 0.9%), is secured by a 95-guestroom limited-service hotel in Baltimore. The loan, which has a current payment status, was transferred to the special servicer on May 7, 2020, due to imminent monetary default. CWCapital indicated that it is exploring various options including pursuing foreclosure and the appointment of a receiver. According to CWCapital, the TTM ended June 30, 2020 revenue per available room was $54.56 compared to $75.43 for TTM ended June 30, 2019, and $79.66 for TTM ended June 30, 2018. Wells Fargo reported a 0.66x DSC for the TTM ended Sept. 30, 2019, flat from 0.63x for year-end 2018. Using an updated 2020 appraisal value, S&P expects a moderate (between 26% and 59%) loss upon the eventual resolution of the loan. The smallest loan with the special servicer, Holiday Inn Express Alliance ($3.0 million, 0.3%), has a reported total exposure of $3.1 million. The loan, which was reported at 90-plus days delinquent in its payments, is secured by a 70-guestroom limited service hotel in Alliance, Ohio. The loan transferred to the special servicer on April 23, 2020, for imminent monetary default. According to CWCapital, a receiver was appointed to the property on July 28, 2020. The servicer-reported historical annual occupancy was in the 50%-60% range, and servicer-reported NCF was $156,244 in 2017, $315,184 in 2018, and $103,798 in 2019. The master servicer reported a 0.40x DSC for year-end 2019, down from 1.22x in 2018 and 0.61x in 2017. S&P expects a significant loss (greater than 60%) upon the eventual resolution of the loan. S&P Global Ratings will continue to monitor the transaction against the evolving economic backdrop, and should there be any meaningful changes to the rating agency's 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. RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE WFRBS Commercial Mortgage Trust 2013-C11 Commercial mortgage pass-through certificates Rating Class To From F B (sf) B+ (sf)/Watch Neg RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE WFRBS Commercial Mortgage Trust 2013-C11 Commercial mortgage pass-through certificates Rating Class To From E BB (sf) BB (sf)/Watch Neg RATINGS AFFIRMED WFRBS Commercial Mortgage Trust 2013-C11 Commercial mortgage pass-through certificates Class Rating A-3 AAA (sf) A-4 AAA (sf) A-5 AAA (sf) A-SB AAA (sf) A-S AAA (sf) B AA- (sf) C A- (sf) D BBB- (sf) X-A AAA (sf) X-B A- (sf) WFRBS COMMERCIAL 2014-C19: Fitch Cuts Class F Certs to CCCsf ------------------------------------------------------------ Fitch Ratings has downgraded two, revised the Outlook on two classes, and affirmed eleven classes of WFRBS Commercial Mortgage Trust, 2014-C19 commercial mortgage pass-through certificates. RATING ACTIONS WFRBS 2014-C19 Class A-3 92938VAN5; LT AAAsf Affirmed; previously AAAsf Class A-4 92938VAP0; LT AAAsf Affirmed; previously AAAsf Class A-5 92938VAQ8; LT AAAsf Affirmed; previously AAAsf Class A-S 92938VAS4; LT AAAsf Affirmed; previously AAAsf Class A-SB 92938VAR6; LT AAAsf Affirmed; previously AAAsf Class B 92938VAT2; LT AA-sf Affirmed; previously AA-sf Class C 92938VAU9; LT A-sf Affirmed; previously A-sf Class D 92938VAA3; LT BBB-sf Affirmed; previously BBB-sf Class E 92938VAC9; LT B-sf Downgrade; previously BB-sf Class F 92938VAE5; LT CCCsf Downgrade; previously B-sf Class PEX 92938VAV7; LT A-sf Affirmed; previously A-sf Class X-A 92938VAW5; LT AAAsf Affirmed; previously AAAsf Class X-B 92938VAX3; LT BBB-sf Affirmed; previously BBB-sf KEY RATING DRIVERS Increased Loss Expectations: Since Fitch's last rating action, three loans (5.4% of the pool) have transferred to the special servicer due to hardships caused by the ongoing coronavirus pandemic. The largest specially serviced loan, Brunswick Square (2.9% of the pool), is secured by 292,685 sf of a 760,311-sf regional mall located in East Brunswick, NJ. The property is anchored by a JCPenney and Macy's, both of which are not considered collateral. The collateral is anchored by a 13-screen Starplex Cinemas and Barnes & Noble. The loan transferred to special servicing in June 2020 due to imminent monetary default related the ongoing coronavirus pandemic. Occupancy as of June 2020 has slightly declined to 90.3% from 93.8% at YE 2019 and 99.5% at YE 2018. Average in-line sales have fluctuated at $277 psf as of TTM ended May 2019 from $243 psf as of the TTM ended November 2017 but remains below issuance at $332 psf. More recent sales were requested but not received. The second largest specially serviced loan, Residence Inn Houston - Katy Mills (1.5% of the pool), is secured by a 126-key extended stay hotel located in Katy, TX. The loan had previously transferred to special servicing in July 2017 due to imminent default after suffering cash flow issues due to decline of the oil and gas industry in the area. The loan ultimately transferred back to the master servicer in May 2019 as a corrected mortgage. The loan was corrected to include six years of interest only payments. The loan has since transferred back to the special servicer in April 2020 due to imminent default related to coronavirus. While performance had improved at the property, the loan is now 90 days delinquent and cash are currently being trapped. The remaining specially serviced loan, Holiday Inn Express & Suites - LaPlace (1.1% of the pool), is secured by a 91-key limited service hotel located in LaPlace, LA. The loan transferred to the special servicer in June 2020 due to payment default after failing to pay the previous three months' debt service payments. Per the special servicer commentary, the loan had previously been on the watchlist after failing to provide proof of the renewal of the franchise agreement within one year of the expiration. The borrower subsequently provided proof of the new franchise agreement and a subsequently PIP requirement, which was ongoing. Per the special servicer, the borrower requested a loan payment deferral for six months, which is currently under review. The loan remains 90+ days delinquent. Outside of the specially serviced loans, six loans (16.5% of the pool) are considered Fitch Loans of Concern (FLOCs) due to declining performance, significant upcoming lease rollover and/or failing to meet the property specific coronavirus NOI DSCR tolerance thresholds. The largest FLOC, Lifetime Fitness Portfolio (6.7% of the pool), is secured by five single tenanted retail properties located throughout the US. All the properties are 100% occupied by Lifetime Fitness with lease expirations in 2029. While the loan previously exhibited stable performance, the loan fails to meet the property specific NOI DSCR tolerance threshold. Coupled with concerns given the current economic environment and limited operating environment/gym closures in certain markets, Fitch expects declines in performance. Fitch applied an additional sensitivity of 25% loss severity to address the potential for outsized losses. The second and fourth largest FLOCs, Waltonwood Cary Parkway (3.1% of the pool) and Waltonwood at Lakeside (2.0% of the pool), are both secured by senior housing properties located in Cary, NC and Sterling Heights, MI, respectively. Both loans are sponsored and operated by the same group. The Waltonwood Cary Parkway had previously exhibited relatively stable performance; however, the Waltonwood Sterling Heights has exhibited declining performance. As of YE 2019, the Waltonwood at Lakeside reported occupancy of 83% from 83% at YE 2018 and 88% at YE 2017 but NOI DSCR had steadily declined to 1.00x as of YE 2019 from 1.35x at YE 2018 and 1.64x at YE 2017. The declines in NOI are primarily related to an increase in operating expenses, namely increased payroll & benefits and advertising & marketing. The declines in performance are also related to an increase in competition in the area. Both loans are considered FLOCs due to the current economic impact of the coronavirus pandemic and Fitch expects declines in future performance. The third largest FLOC, Euclid Plaza (2.7% of the pool), is secured by a 130,165-sf retail center located in Anaheim, CA. The property is anchored by a 99 Ranch Supermarket (28.4% of the NRA). Approximately, 42% of the NRA has lease expirations between 2020 and 2021, including the top tenant 99 Ranch Supermarket. Per the master servicer, the borrower did not have any leasing updates on the upcoming rollover. While the loan meets the coronavirus NOI DSCR tolerance thresholds, Fitch applied additional NOI stresses to adjust for the significant upcoming lease rollover. The fifth largest FLOC, Springhill Suites Birmingham (1.6% of the pool), is secured by a 150-key extended stay hotel located in Birmingham, AL. The property is located within a mile of the University of Alabama Birmingham campus and downtown Birmingham. As of the March 2020 STR report, occupancy, ADR and RevPAR for the TTM ended March 2020 was 55.5%, $125 and $69 compared to its competitive set of 64.2%, $120 and $77, respectively. As of March 2020, NOI DSCR had declined to 1.14x from 1.49x at YE 2019, 1.79x at YE 2018 and 1.89x at YE 2017. The declines in NOI are primarily related a combination of increased operating expenses and declining RevPAR. Additionally, the loan failed to meet the coronavirus NOI DSCR tolerance threshold. Fitch applied additional stresses to the loan to address expected declines in performance. The loan is now current after falling 60 days delinquent prior to the August remittance. The remaining FLOC represents less than 1% of the total pool balance and is currently on the master servicer's watchlist for declining performance. Fitch will continue to monitor the loan's performance. Increased Credit Enhancement: As of the August 2020 remittance, the pool's aggregate principal balance has been reduced by 15.5% to $930 million from $1.1 billion at issuance. Three loans (3.4% of the pool) have interest only payments for the full loan term, including one loan in the top 15, Alcoa Exchange (1.7% of the pool). Eighteen loans (32.9% of the pool) have partial interest only payments, including five loans (21.8% of the pool) in the top fifteen. All of the partial interest only loans are now amortizing. Eleven loans (9.2% of the pool) are fully defeased. Three loans (3.8% of the pool) are delinquent including two loans that are 90 days delinquent. Coronavirus Exposure: Significant economic impact to certain hotels, retail and multifamily properties is expected from the coronavirus pandemic, due to the recent and sudden reductions in travel and tourism, temporary property closures and lack of clarity on the potential length of the impact. The pandemic has prompted the closure of several hotel properties in gateway cities as well as malls, entertainment venues and individual stores. Eleven loans (21.0% of the pool) are secured by hotel loans, including the largest loan in the transaction, the Renaissance Chicago Downtown which matures in January 2021. Twenty-one loans (31.4% of the pool) are secured by retail properties. Excluding the specially serviced loans, the hotel loans have a weighted average (WA) DSCR of 2.58x. Inclusive of the specially serviced hotel loans, the WADSCR of the hotel loans is 2.19x. On average, the hotel loans can sustain an average decline of 60.2% before the NOI DSCR would fall below 1.0x. On average, excluding the specially serviced loans, the retail loans have a WADSCR of 1.81x and would sustain a 43.4% decline in NOI before the DSCR would fall below 1.0x; including the specially serviced retail loans achieves similar results. Fitch applied additional stresses to hotel, retail and multifamily loans to account for potential cash flow disruptions due to the coronavirus pandemic. These additional stresses contributed to the downgrade of class F and Negative Outlooks on classes D, E and X-B. Additional Loss Consideration: In addition to modeling a base case loss, Fitch applied an additional 25% loss severity to the Lifetime Fitness Portfolio and a 40% LS to the Brunswick Square loan to address the potential for outsized losses. This scenario contributed to the negative outlooks on classes D, E and X-B and downgrades of classes E and F. RATING SENSITIVITIES The downgrades of classes E and F and the Negative Outlooks on classes D, E and X-B, reflect performance concerns with the specially serviced and FLOCs, which are primarily secured by hotel and retail properties, given the decline in travel and commerce as a result of the coronavirus pandemic. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected, but would likely occur with significant improvement in credit enhancement (CE) and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. Upgrades of the 'BBB-sf' and the classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'B-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the senior classes, rated 'A-sf' through 'AAAsf', are not likely due to the position in the capital structure and the high CE but are possible if a significant proportion of the pool defaults. Downgrades to the classes rated 'BBB-sf' and below would occur if the performance of the FLOCs and/or specially serviced loans continues to decline or fails to stabilize. The Rating Outlooks on classes D, E and X-B 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, classes with Negative Rating Outlooks will be downgraded one or more categories. WHITEHORSE LTD VIII: Moody's Lowers Rating on Class E Notes to Caa2 ------------------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by WhiteHorse VIII, Ltd.: US$26,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Downgraded to Caa2 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade US$12,250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2026 (current outstanding balance of $13,167,381.80) (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 rating on the following notes: US$33,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class C-R Notes"), Upgraded to Aa2 (sf); previously on December 19, 2018 Upgraded to A1 (sf) The Class C-R Notes are referred to herein, collectively, as the "Upgraded Notes." Additionally, Moody's confirmed the rating on the following notes: US$31,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2026 (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 May 2014 and partially refinanced in November 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in May 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 (ELs) 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 (OC) ratios since August 2019. The Class A-R notes have been paid down by approximately 76.9% or $115.1 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 167.18% and 132.81%, respectively, versus August 2019 levels of 146.36% and 127.56%, 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 (OC) levels. Consequently, Moody's has confirmed the rating on the Confirmed Notes. According to the July 2020 trustee report [3], the weighted average rating factor (WARF) was reported at 3875, compared to 3369 reported in the March 2020 trustee report [4]. Moody's also noted that the WARF was failing the test level of 2714 reported in the July 2020 trustee report [5]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 35.47% as of July 2020. According to the July 2020 trustee report [6], the OC test for the Class E notes was recently reported at 97.67% and failing the trigger level of 104.70%. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $197,828,277 Defaulted Securities: $19,186,492 Diversity Score: 41 Weighted Average Rating Factor (WARF): 3939 Weighted Average Life (WAL): 3.15 years Weighted Average Spread (WAS): 3.50% Weighted Average Recovery Rate (WARR): 48.74% Par haircut in O/C tests and interest diversion test: 3.46% 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. WIND RIVER 2015-2: Moody's Lowers Rating on Class F Notes to Caa3 ----------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Wind River 2015-2 CLO Ltd.: US$8,500,000 Class F Secured Deferrable Floating Rate Notes due 2027 (the "Class F Notes"), Downgraded to Caa3 (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$23,000,000 Class D-R 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$20,500,000 Class E-R 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 as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R Notes, the Class E-R Notes, and the Class F Notes issued by the CLO. The CLO, originally issued in October 2015 and partially refinanced on 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 ended in October 2019. RATINGS RATIONALE The downgrades on the Downgraded Notes reflect the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined, and expected losses (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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3400 compared to 3005 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 3062 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 19.93% as of August 2020. Furthermore, Moody's calculated the OC ratios (excluding haircuts) as of August 2020 for the Class D-R and the Class E-R Notes at 113.05% and 105.71% respectively, as well as the interest diversion test, which incorporates the Class F Notes, at 102.93%. 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: $321,600,292 Defaulted Securities: $17,915,140 Diversity Score: 54 Weighted Average Rating Factor (WARF): 3379 Weighted Average Life (WAL): 3.67 years Weighted Average Spread (WAS): 3.50% Weighted Average Recovery Rate (WARR): 48.08% Par haircut in O/C tests and interest diversion test: 1.75% 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. ZAIS CLO 13: Moody's Lowers Rating on Class E Notes to B1 --------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by Zais CLO 13, Limited: US$19,000,000 Class D-1 Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class D-1 Notes"), Downgraded to Ba1 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$5,000,000 Class D-2 Deferrable Mezzanine Fixed Rate Notes due 2032 (the "Class D-2 Notes"), Downgraded to Ba1 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$17,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class E Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D-1 Notes, the Class D-2 Notes, and the Class E Notes are referred to herein, collectively, as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$21,000,000 Class C-1 Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class C-1 Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$2,000,000 Class C-2 Deferrable Mezzanine Fixed Rate Notes due 2032 (the "Class C-2 Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade The Class C-1 Notes and Class C-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 Class D-1, Class D-2, and Class E Notes and on June 3, 2020 on the Class C-1 and Class C-2 Notes issued by the CLO. The CLO, issued in August 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 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 Downgraded Notes has declined, and expected losses (ELs) on certain notes have increased. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3160, compared to 2695 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2928 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the current proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 15.7%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $389 million, or $11 million less than the deal's ramp-up target par balance. Moody's noted that the interest diversion test was recently reported as failing, which could result in a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failures continue. Nevertheless, Moody's noted that the OC tests for the Class B, Class C, Class D, and Class E Notes were recently reported [4] as passing. 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. 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: $379,345,743 Defaulted Securities: $21,798,300 Diversity Score: 73 Weighted Average Rating Factor (WARF): 3126 Weighted Average Life (WAL): 6.1 years Weighted Average Spread (WAS): 4.12% Weighted Average Recovery Rate (WARR): 47.2% Par haircut in O/C tests and interest diversion test: 0.8% 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. ZAIS CLO 3: Moody's Lowers Rating on Class D-R Notes to B2 ---------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by ZAIS CLO 3, Limited: US$30,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance of $30,293,390.07) (the "Class B-R Notes"), Downgraded to A3 (sf); previously on April 17, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$30,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance of $30,375,290.07) (the "Class C-R Notes"), Downgraded to Ba1 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$20,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance of $20,410,960.04) (the "Class D-R Notes"), Downgraded to B2 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class B-R Notes, the Class C-R Notes, and the Class D-R Notes are referred to herein, collectively, as the "Downgraded Notes." Moody's also confirmed the rating on the following notes: US$65,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2031 (the "Class A-2-R Notes"), Confirmed at Aa2 (sf); previously on June 3, 2020 Aa2 (sf) Placed Under Review for Possible Downgrade The Class A-2-R Notes are referred to herein as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Downgraded Notes and on June 3, 2020 on the Confirmed Notes issued by the CLO. The CLO, originally issued in May 2015 and refinanced in July 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 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 Downgraded CLO notes has declined, and expected losses (ELs) on certain notes have increased. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3449, compared to 2998 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2871 reported in the August 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 currently approximately 25%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $468.4 million, or $31.6 million less than the deal's ramp-up target par balance. Moody's noted that the OC tests for the Class A-R, Class B-R, Class C-R, and Class D-R Notes, as well as the interest diversion test were recently reported [4] as failing, which has resulted in repayment of senior notes and deferral of current interest payments on the Downgraded Notes. 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. 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: $453,940,744 Defaulted Securities: $37,640,055 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3454 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 4.04% Weighted Average Recovery Rate (WARR): 46.8% Par haircut in O/C tests and interest diversion test: 2.2% 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. ZAIS CLO 6: Moody's Lowers Rating on Class E Notes to B1 -------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by ZAIS CLO 6, Limited: US$30,000,000 Class C Deferrable Mezzanine 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$25,000,000 Class D Deferrable Mezzanine 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$25,000,000 Class E Deferrable Mezzanine 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." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D and E Notes and on June 3, 2020 on the Class C Notes issued by the CLO. The CLO, issued in June 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 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. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3514, compared to 2973 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2934 reported in the August 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 24.1%. Moody's noted that the OC tests for the Class C, Class D, and Class E notes, as well as the interest diversion test were recently reported as failing, which could result in repayment of senior notes at the next payment date should the failures continue. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $460,022,238 Defaulted Securities: $33,488,244 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3470 Weighted Average Life (WAL): 4.87 years Weighted Average Spread (WAS): 3.99% Weighted Average Recovery Rate (WARR): 47.12% Par haircut in O/C tests and interest diversion test: 2.79% 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 Keeps 15 CMBS Single Borrower Hotel Deals on Watch Neg. ----------------------------------------------------------------- Fitch Ratings has maintained the Rating Watch Negative (RWN) on 81 classes from 15 U.S. CMBS single borrower transactions. The classes were originally placed on RWN on March 19, 2020. The 15 transactions represent the entire portfolio of Fitch-rated single borrower hotel transactions. RATING ACTIONS BX Trust 2018-BILT Class A 05606JAA3; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 05606JAG0; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 05606JAJ4; LT A-sf Rating Watch Maintained; previously A-sf Class D 05606JAL9; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class E 05606JAN5; LT BB-sf Rating Watch Maintained; previously BB-sf Class F 05606JAQ8; LT B-sf Rating Watch Maintained; previously B-sf Class X-CP 05606JAC9; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-EXT 05606JAE5; LT BBB-sf Rating Watch Maintained; previously BBB-sf MSC 2018-SUN Class A 61691MAA5; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 61691MAG2; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 61691MAJ6; LT A-sf Rating Watch Maintained; previously A-sf Class D 61691MAL1; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-CP 61691MAC1; LT AAAsf Rating Watch Maintained; previously AAAsf Class X-EXT 61691MAE7; LT AAAsf Rating Watch Maintained; previously AAAsf BAMLL 2018-DSNY Class A 054967AA2; LTA AAsf Rating Watch Maintained; previously AAAsf Class B 054967AG9; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 054967AJ3; LT -sf Rating Watch Maintained; previously A-sf Class D 054967AL8; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-CP 054967AC8; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-EXT 054967AE4; LT BBB-sf Rating Watch Maintained; previously BBB-sf GS Mortgage Securities Corporation Trust 2019-BOCA Class A 36256QAA5; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 36256QAC1; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 36256QAE7; LT A-sf Rating Watch Maintained; previously A-sf Class D 36256QAG2; LT BBB-sf Rating Watch Maintained; previously BBB-sf BLFD Trust 2019-DPLO Class A 054970AA6; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 054970AG3; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 054970AJ7; LT A-sf Rating Watch Maintained; previously A-sf Class D 054970AL2; LT BBB-sf Rating Watch Maintained; previously BBB-sf GSMS 2018-LUAU Class A 36256AAA0; LT AAAsf Rating Watch Maintained; previously AAAsf WFCM 2019-JWDR Class A 95002NAA5; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 95002NAG2; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 95002NAJ6; LT A-sf Rating Watch Maintained; previously A-sf Class D 95002NAL1; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class E 95002NAN7; LT BB-sf Rating Watch Maintained; previously BB-sf Class F 95002NAQ0; LT B-sf Rating Watch Maintained; previously B-sf Motel 6 Trust 2017-MTL6 Class A 61975FAA7; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 61975FAG4; LT AA-sf Rating Watch Maintained; previously AA-sf BX Trust 2018-GW Class A 12433UAA3; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 12433UAG0; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 12433UAJ4; LT A-sf Rating Watch Maintained; previously A-sf Class D 12433UAL9; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-CP 12433UAC9; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-EXT 12433UAE5; LT BBB-sf Rating Watch Maintained; previously BBB-sf DBWF 2018-GLKS Class A 23307GAA4; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 23307GAG1; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 23307GAJ5; LT A-sf Rating Watch Maintained; previously A-sf Class D 23307GAL0; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class E 23307GAN6; LT BB-sf Rating Watch Maintained; previously BB-sf Class F 23307GAQ9; LT B-sf Rating Watch Maintained; previously B-sf GS Mortgage Securities Corporation Trust 2018-HULA Class A 36259AAA7; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 36259AAJ8; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 36259AAL3; LT A-sf Rating Watch Maintained; previously A-sf Class D 36259AAN9; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-CP 36259AAC3; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-FP 36259AAE9; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-NCP 36259AAG4; LT BBB-sf Rating Watch Maintained; previously BBB-sf JPMCC 2018-LAQ Class A 46649VAA9; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 46649VAG6; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 46649VAJ0; LT A-sf Rating Watch Maintained; previously A-sf Class D 46649VAL5; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class E 46649VAN1; LT BBsf Rating Watch Maintained; previously BBsf Class HRR 46649VAQ4; LT BB-sf Rating Watch Maintained; previously BB-sf Class X-CP 46649VAC5; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-EXT 46649VAE1; LT BBB-sf Rating Watch Maintained; previously BBB-sf CGCMT 2018-TBR Class A 17326MAA0; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 17326MAG7; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 17326MAJ1; LT A-sf Rating Watch Maintained; previously A-sf Class D 17326MAL6; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-CP 17326MAC6; LT AAAsf Rating Watch Maintained; previously AAAsf Class X-NCP 17326MAE2; LT AAAsf Rating Watch Maintained; previously AAAsf Margaritaville Beach Resort Trust 2019-MARG Class A 56658LAA8; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 56658LAG5; LT AA-sf Rating Watch Maintained; previously AA-sf Class C 56658LAJ9; LT A-sf Rating Watch Maintained; previously A-sf Class D 56658LAL4; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-CP 56658LAC4; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-EXT 56658LAE0; LT BBB-sf Rating Watch Maintained; previously BBB-sf Hilton Orlando Trust 2018-ORL Class A 432885AA9; LT AAAsf Rating Watch Maintained; previously AAAsf Class B 432885AG6; LT AAsf Rating Watch Maintained; previously AAsf Class C 432885AJ0; LT A-sf Rating Watch Maintained; previously A-sf Class D 432885AL5; LT BBB-sf Rating Watch Maintained; previously BBB-sf Class X-EXT 432885AE1; LT BBB-sf Rating Watch Maintained; previously BBB-sf KEY RATING DRIVERS The RWN reflects the significant economic impact to hotels from the coronavirus pandemic, due to continued reductions in travel and tourism and the lack of clarity at this time on the potential severity and duration of the impact on the lodging sector. Hotel performance is expected to lag the economic recovery and will depend on the return of the three major drivers of lodging demand: leisure, business travel, and group/conference business. Fitch expects many of the hotels in the 15 transactions will experience significant declines in property-level cash flow in the short term with some turning negative. However, over the longer term, Fitch believes there is inherent value in the assets. The majority of the properties that serve as collateral for the 15 transactions remain open; however, most are limiting service at restaurants and other hotel amenities such as gyms, pools and spas. The Diplomat Beach Resort Hotel (BFLD 2019-DPLO) located in Hollywood, FL has suspended operations, according to the hotel website. Collateral hotels located in Hawaii, including Grand Wailea, Four Seasons Resort Hualalai, Ritz Carlton Kapalua and Turtle Bay Resort, are closed, but are accepting reservations for stays starting Sept. 1 (Dec. 1 for the Four Seasons Hualalai). The loan securitized within the MSC 2018-SUN transaction has been transferred to special servicing. The collateral consists of two full-service, beachfront hotels (Shutters on the Beach and Casa Del Mar) located in Santa Monica, CA. The loan has remained current, but there are no further updates available from the servicer. Coronavirus-related relief has been granted for the loan within one other transaction (DBWF 2018-GLKS) allowing the borrower (Blackstone) to commingle FF&E reserves between two collateral hotels (JW Marriot - Grande Lakes and Ritz Carlton - Grande Lakes) to fund property related improvements, but not for interest payments. The 15 U.S. CMBS SASB hotel transactions include four from the 2019 vintage, 10 from the 2018 vintage and one from the 2017 vintage; 13 of these transactions are secured by an individual hotel property located in Florida (six deals), Hawaii (four), Arizona (two) and California (one), and two are secured by larger Motel 6 and La Quinta hotel portfolios, which have had property releases since issuance. All of the loans remain current, including the aforementioned specially serviced loan secured in the MSC 2018-SUN transaction. Although cash flow is expected to be significantly disrupted through closures or reduced occupancy, Fitch expects borrowers are likely to preserve equity in core assets by supporting their hotels through the recession. Fitch performed a breakeven analysis on the hotels in the 15 transactions to determine how much current NCF can decline for the trust debt service coverage ratio (DSCR) to drop below 1.0x. Fourteen of the transactions are floating rate and tied to one-month LIBOR. Borrowers of these floating rate loans will likely see reduced debt service obligations given the expectation for a continued low interest rate environment. Based on Fitch's assumption of LIBOR at 1.50% and using the weighted average spread, the hotels can withstand NCF declines ranging between 47% to 84% from the most recent servicer-reported NCF (generally YE 2019) before NCF DSCR falls below 1.0x. For the one fixed rate transaction, the YE 2019 NCF (based on borrower financials provided to Fitch) can withstand a 65% decline before NCF DSCR falls below 1.0x. Eight transactions have 2020 maturities though all have the ability to extend the loan and none need to fulfill a performance hurdle in order to exercise their next extension option. RATING SENSITIVITIES The Rating Watch Negative remains in place as the performance impact on the hotel sector from the coronavirus pandemic is still being determined. Fitch will monitor the status and performance of the hotels since reopening, any future COVID-19 related relief requests and forward-looking information, if available. Factor that could, individually or collectively, lead to a positive rating action/upgrade:Upgrades are not considered likely in the near term given the uncertainty within the sector. The Negative Watch may be removed if performance improves and travel and tourism levels start to recover. Fitch may also take into account the leverage for each transaction, including debt/key, relative to a loan's recovery and refinanceability. Factor that could, individually or collectively, lead to a negative rating action/downgrade: Fitch will continue to evaluate property level reporting and sponsor plans to determine if downgrades are warranted. Downgrades may not affect every class if performance decline is short term and not deemed to be sustainable. However, downgrades of a category or more are likely should the economic impact be prolonged. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2020. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***