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

              Sunday, September 20, 2020, Vol. 24, No. 263

                            Headlines

522 FUNDING 2017-1(A): Moody's Confirms Ba3 Rating on Cl. E Notes
522 FUNDING 2019-4(A): Moody's Confirms Ba3 Rating on Cl. E Notes
A10 BRIDGE 2020-C: DBRS Assigns Prov. B Rating on Class G Notes
ACCESS GROUP 2003-A: Fitch Affirms Bsf Rating on Class B Notes
AIMCO CLO 11: S&P Assigns Prelim BB- (sf) Rating to Class E Notes

AMMC CLO XI: S&P Affirms B- (sf) Rating on Class F Notes
ANGEL OAK 2020-5: DBRS Finalizes B Rating on Class B-2 Certs
ANGEL OAK 2020-6: DBRS Assigns Prov. B Rating on Class B-2 Certs
ANGEL OAK 2020-6: Fitch Assigns Bsf Rating on Class B-2 Debt
APEX CREDIT 2018-II: Moody's Confirms B3 Rating on Class F Notes

B2R MORTGAGE 2015-1: DBRS Assigns B(high) Rating on Class G Debt
BAIN CAPITAL 2020-3: S&P Assigns Prelim BB- (sf) Rating to E Notes
BANK 2020-BNK28: Fitch to Rate Class X-FG Certs 'BB-(EXP)sf'
BAYVIEW COMMERCIAL 2006-1: Moody's Confirms Caa3 on Cl. B-1 Debt
BELLEMEADE RE 2020-2: DBRS Finalizes B Rating on Class M-2 Notes

BENCHMARK 2020-B19: Fitch to Rate Class X-G Certs 'B-(EXP)sf'
BLACK DIAMOND 2016-1: S&P Affirms B+(sf) Rating on Class D-R Notes
CANYON CAPITAL 2014-2: Moody's Confirms Ba3 Rating on Cl. E-R Debt
CANYON CAPITAL 2015-1: Moody's Confirms Ba3 Rating on Cl. E-R Debt
CARLYLE US 2017-4: Moody's Confirms Ba3 Rating on Class D Notes

CARLYLE US 2018-1: Moody's Confirms Ba3 Rating on Class D Notes
CBAM LTD 2019-9: Moody's Confirms Ba3 Rating on Class E Notes
CCUBS COMMERCIAL 2017-C1: Fitch Affirms B- on Cl. G-RR Certs
CIFC FUNDING 2017-I: Moody's Cuts Rating on Class E Notes to B1
CIFC FUNDING 2017-III: Moody's Lowers Rating on Class D Notes to B1

CIG AUTO 2020-1: DBRS Assigns Prov. BB Rating on Class E Notes
CIG AUTO 2020-1: Moody's Gives (P)Ba3 Rating on Class E Notes
CIM TRUST 2020-INV1: Moody's Rates Class B-5 Debt 'B3'
CITIGROUP COMMERCIAL 2006-C5: Fitch Affirms D Rating on Cl. O Certs
COLONY AMERICAN 2016-2: DBRS Gives B Rating on Class G Debt

COLT 2020-1R: Fitch Gives 'B(EXP)' Rating on Class B-2 Certs
CPS AUTO 2020-C: DBRS Assigns Prov. B Rating on Class F Notes
CPS AUTO 2020-C: DBRS Confirms B Rating on Class F Notes
CROWN POINT 7: Moody's Confirms Ba3 Rating on Class E Notes
CSAIL 2016-C7: Fitch Lowers Rating on Class F Certs to CCCsf

CSAIL 2017-CX10: DBRS Assigns B Rating on 2 Note Classes
CSAIL 2017-CX10: Fitch Affirms B-sf Rating on Class F Certs
CSFB COMMERCIAL 2005-C4: Moody's Lowers Rating on F Debt to Ca
DRYDEN 41: Moody's Confirms B3 Rating on Class F-R Notes
EXANTAS CAPITAL 2020-RSO9: DBRS Gives (P)B(low) Rating on F Notes

FIRST EAGLE 2016-1: Fitch Gives BB-sf Rating on Class D-N Notes
FLAGSHIP CREDIT 2019-2: S&P Affirms BB-(sf) Rating on Class E Notes
FREDDIE MAC 2020-HQA4: S&P Assigns Prelim B- Rating to B-1B Notes
GALAXY XXVII CLO: Moody's Lowers Rating on Class F Notes to Caa1
GOLDENTREE LOAN 3: S&P Affirms B- (sf) Rating to Class F Notes

GS MORTGAGE 2020-NQM1: DBRS Finalizes B Rating on Class B-2 Certs
GS MORTGAGE-BACKED 2020-PJ4: Fitch Rates Cl. B-5 Debt '(P)B2'
HIN TIMESHARE 2020-A: Fitch Gives Bsf Rating on Class E Notes
HIN TIMESHARE 2020-A: S&P Assigns B (sf) Rating to Class E Notes
ICG US 2014-2: Moody's Confirms B3 Rating on Class F-RR Notes

ICG US 2018-2: Moody's Confirms Ba3 Rating on Class E Notes
IMSCI 2015-6: Fitch Affirms B Rating on Class G Certs
IVY HILL VII: Moody's Confirms Ba2 Rating on Class E-R Notes
JAMESTOWN CLO XI: Moody's Lowers Rating on Class E Notes to Caa1
JFIN CLO 2014-II: Moody's Cuts Rating on Class E Notes to Caa3

JP MORGAN 2020-7: S&P Assigns Prelim B (sf) Rating to B-5 Certs
JPMCC COMMERCIAL 2015-JP1: Fitch Affirms B- Rating on Cl. G Certs
KKR CLO 30: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
LCM LTD XXIV: Moody's Lowers Rating on Class E Notes to B1
MFA TRUST 2020-NQM1: DBRS Finalizes B Rating on Class B-2 Certs

MORGAN STANLEY 2017-C34: Fitch Affirms B-sf Rating on Cl. F Certs
MORGAN STANLEY 2017-HR2: Fitch Affirms B- Rating on Cl. H-RR Certs
NEWARK BSL 1: Moody's Confirms Ba3 Rating on Class D-R Notes
NEWSTAR EXETER: Moody's Lowers Rating on Class F Notes to Caa3
NORTHWOODS CAPITAL XVII: Moody's Confirms Ba3 Rating on Cl. E Debt

NRZ ADVANCE 2015-ON1: S&P Rates Class E-T2 Notes 'BB (sf)'
OBX TRUST 2020-EXP3: Fitch to Rate Class B-5 Debt 'B(EXP)'
OCEANVIEW MORTGAGE 2020-SBC1: DBRS Finalizes B(low) on B3 Notes
OCTAGON INVESTMENT 18-R: S&P Affirms B+(sf) Rating on Class D Notes
OCTAGON INVESTMENT 26: Moody's Confirms B3 Rating on Cl. F-R Notes

OCTAGON INVESTMENT 40: Moody's Confirms Ba3 Rating on Cl. E Notes
ONDECK ASSET 2019-1: DBRS Keeps Rating on 4 Tranches Under Review
PARALLEL 2020-1: S&P Assigns BB- (sf) Rating to Class D Notes
PARALLEL LTD 2018-1: Moody's Lowers Rating on Class D Notes to B1
PARALLEL LTD 2018-2: Moody's Lowers Rating on Class D Notes to B1

REGIONAL MANAGEMENT 2020-1: DBRS Gives Prov. BB(low) on D Notes
SEVEN STICKS: Moody's Confirms Ba3 Rating on Class D-R Notes
SHACKLETON 2013-IV-R: Moody's Cuts Rating on Class E Notes to Caa2
SHACKLETON 2015-VII-R: Moody's Lowers Rating on F Notes to Caa2
SOUND POINT CLO XII: Moody's Lowers Rating on Class E-R Notes to B1

SOUND POINT VI-R: Moody's Lowers Rating on Class F Notes to Caa1
STACR REMIC 2020-HQA4: Moody's Assigns (P)Ba2 Rating on 10 Tranches
STEELE CREEK 2017-1: Moody's Confirms Ba3 Rating on Class E Notes
STEELE CREEK 2018-1: Moody's Confirms Ba3 Rating on Class E Notes
STEELE CREEK 2019-1: Moody's Confirms Ba3 Rating on Class E Notes

STRATA CLO I: Moody's Confirms Ba3 Rating on Class E Notes
TCI-SYMPHONY CLO 2016-1: Moody's Cuts Rating on E-R Notes to B1
TIAA CLO I: S&P Affirms 'B (sf)' Rating on Class E-R Notes
TRALEE CLO III: Moody's Confirms Ba3 Rating on Class E-R Notes
UBS COMMERCIAL 2017-C4: Fitch Affirms B- Rating on 2 Tranches

UBS-BAMLL 2012-WRM: Fitch Lowers Rating on Class E Certs to Bsf
US CAPITAL III: Fitch Lowers Ratings on 2 Tranches to 'Dsf'
VENTURE 37: Moody's Confirms Ba3 Rating on Class E Notes
VENTURE XV: Moody's Lowers Rating on Class E-R2 Notes to B1
VIBRANT CLO IX: Moody's Confirms Ba3 Rating on Class D Notes

VOYA CLO 2016-2: Moody's Lowers Rating on Class D-R Notes to B1
VOYA CLO 2017-1: Moody's Lowers Rating on Class D Notes to B1
WELLS FARGO 2018-C47: Fitch Affirms B- Rating on Cl. H-RR Certs
WFRBS COMMERCIAL 2014-C24: Fitch Lowers Rating on 4 Tranches to Csf
WFRBS COMMERCIAL 2014-C24: Moody's Affirms Ba2 Rating on SJ-D Certs

[*] Fitch Takes Action on Distressed Bonds From 6 US CMBS Deals
[*] Moody's Takes Action on 20 Tranches From 18 Securitizations
[*] S&P Takes Actions on 218 Classes From 35 US Cash Flow Deals
[*] S&P Takes Various Actions on 123 Classes From 45 US RMBS Deals
[*] S&P Takes Various Actions on 68 Classes From 20 U.S. RMBS Deals

[*] S&P Takes Various Rating Actions on Aircraft, Engine ABS Deals

                            *********

522 FUNDING 2017-1(A): Moody's Confirms Ba3 Rating on Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by 522 Funding CLO 2017-1(A), Ltd.:

US$23,500,000 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

US$18,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class 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 Class E Notes. The CLO, issued 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 in October 2021.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (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 3237 compared to 2716
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3022 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
22.39%. Nevertheless, according to the August 2020 trustee report
[4], Moody's noted that the OC tests for the 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: $394,820,100

Defaulted Securities: $3,204,255

Diversity Score: 72

Weighted Average Rating Factor (WARF): 3270

Weighted Average Life (WAL): 5.25 years

Weighted Average Spread (WAS): 3.56%

Weighted Average Recovery Rate (WARR): 47.09%

Par haircut in OC tests and interest diversion test: 1.51%

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

The 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 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.

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.


522 FUNDING 2019-4(A): Moody's Confirms Ba3 Rating on Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by 522 Funding CLO 2019-4(A), Ltd.:

US$24,300,000 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$22,500,000 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 review for downgrade initiated on April
17, 2020 on the Class D and Class E Notes. The CLO, issued in
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 in April 2022.

RATINGS RATIONALE

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

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3219 compared to 2643
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2932 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
21.02%. Nevertheless, according to the August 2020 trustee report
[4], Moody's noted that the OC tests for the 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: $445,976,656

Defaulted Securities: $1,469,230

Diversity Score: 72

Weighted Average Rating Factor (WARF): 3253

Weighted Average Life (WAL): 5.75 years

Weighted Average Spread (WAS): 3.54%

Weighted Average Recovery Rate (WARR): 47.22%

Par haircut in OC tests and interest diversion test: 1.27%

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 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 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.

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.


A10 BRIDGE 2020-C: DBRS Assigns Prov. B Rating on Class G Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by A10 Bridge Asset Financing 2020-C, LLC (the
Issuer):

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

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

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

DBRS Morningstar analyzed the pool to determine the provisional
ratings, reflecting the long-term risk that the Issuer will default
and fail to satisfy its financial obligations in accordance with
the terms of the transaction. The $400.0 million transaction
includes an initial trust balance of $398.2 million, comprising
loan assets and $10.8 million held in a reserve account. The
reserve account can be used to fund preapproved future funding
companion participations. Preapproved future funding companion
participations can be brought into the trust using funds available
in the prefunded reserve account at closing or principal proceeds
as a result of loan payoffs. As existing loans payoff, available
principal proceeds will be distributed according to the priority of
payments. Before distributing principal proceeds to noteholders,
the Issuer has the option to divert principal proceeds toward
preapproved future funding companion participations. This option
remains with the Issuer throughout the term of the transaction. The
transaction will have a sequential-pay structure. Interest can be
deferred for Note C, Note D, Note E, Note F, and Note G and
interest deferral will not result in an event of default.

The collateral consists of 58 loans secured by 69 commercial
properties. A total of 32 underlying loans are crosscollateralized
and crossdefaulted into seven separate portfolios or crossed
groups. The DBRS Morningstar analysis of this transaction
incorporates these crossed groups, resulting in a modified loan
count of 33, and loan references within this report reflect this
total. Twenty-seven loans, representing 88.2% of the trust balance,
have fixed interest rates, whereas six loans, totaling 11.8% of the
trust balance, have floating interest rates. DBRS Morningstar
modeled the $10.8 million of additional capacity as part of the
paydown analysis, which was conducted to bring future funded loan
facilities into the trust.

The loans are generally secured by currently cash flowing assets,
many of which are in a period of transition with plans to
stabilized and improve asset value. Of these loans, 19 have
remaining future funding participations totaling $35.7 million,
which the Issuer may acquire in the future.

When measuring the cut-off date balances against the DBRS
Morningstar As-Is Net Cash Flow, 20 loans, representing 53.9% of
the cut-off date pool balance, had a DBRS Morningstar As-Is Debt
Service Coverage Ratio (DSCR) of 1.00 times (x) or below, a
threshold indicative of default risk. Additionally, the DBRS
Morningstar Stabilized DSCR for seven loans, representing 24.7% of
the initial pool balance, is 1.00x or below, which is indicative of
elevated refinance risk. The properties are often transitioning
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if the other loan structural features are insufficient to
support such treatment. Furthermore, even if the structure is
acceptable, DBRS Morningstar generally does not assume the assets
will stabilize above market levels.

The transaction is governed by a trust indenture that will hold all
of the commercial real estate (CRE) loans as collateral in addition
to other accounts assigned to the Issuer. The Issuer's collateral
includes loans and various accounts established for and on behalf
of the Issuer. The collateral does not include any membership
interest.

A10 Capital, LLC (A10 Capital), the loan originator, provides a
unique strategy in its lending platform by specializing in CRE
bridge loans on value-add properties. A10 Capital's loans typically
have an initial three- to five-year term with extension options and
are used to finance properties until they are fully stabilized.
Most of the loans contain a future funding component that, subject
to A10 Capital's sole discretion, is to be disbursed for tenant
improvement costs, leasing commissions, or other value-added
propositions presented by the borrowers on the underlying CRE
loans. The borrowers are typically equity sponsors of transitional
assets in various markets across the U.S. A10 Capital's initial
advance is the senior debt component, typically for the purchase of
properties in some form of distress.

The pool consists of relatively low-leverage financing based on the
appraised as-is and stabilized values with most loans backed by a
significant amount of sponsor cash equity that was contributed at
origination. The weighted-average (WA) as-is and stabilized
appraised loan-to-value (LTV) ratios, based on the most recent
appraisal reports and including future funding participations, are
52.8% and 50.1%, respectively. These LTVs compare favorably with
recent CRE collateralized loan obligation (CLO) transactions.

An affiliate of A10 Capital will hold the first-loss position
(including Classes F and G notes and the membership interests) and,
as part of the trust indenture, it or an affiliate must retain that
position for as long as any senior note remains outstanding.
Collectively, the retained notes and membership interests represent
18.9% of the trust balance.

The collateral for the underlying loans primarily consists of
traditional property types including office, retail, industrial,
and multifamily with moderate exposure to assets with very high
expense ratios, such as hotels or property types where conventional
takeout financing may not be as readily available.

Sixteen loans, making up 44.7% of the initial trust balance,
represent acquisition financing wherein sponsors contributed
significant cash equity as a source of funding in conjunction with
the mortgage loan. The significant cash equity in the deal will
incentivize the sponsor to perform on the loan and protect its
equity.

The pool consists of transitional assets. Eighteen loans,
representing 50.0% of the trust balance, are more than three years
seasoned and, in some cases, the original business plans have not
materialized as expected, significantly increasing the loans' risk
profile. Given the nature of the assets, DBRS Morningstar sampled a
large portion of the pool at 76.7% of the cut-off date balance.
This sample size is higher than the typical sample for traditional
conduit commercial mortgage-based security (CMBS) transactions.
DBRS Morningstar also performed physical site inspections on 35 of
the 69 properties in the pool (72.0% of the pool by allocated loan
balance), including management meetings for the largest loans in
the pool. DBRS Morningstar applied a higher average business plan
score to seasoned loans that were not part of the DBRS Morningstar
sample, effectively stressing the respective loans' probability of
default (POD) to account for the elevated default risk during the
term and at maturity.

In some instances, DBRS Morningstar estimated stabilized cash flows
that are above the in-place cash flow. It is possible that the
sponsors will not successfully execute their business plans and
that the higher stabilized cash flow will not materialize during
the loan term, particularly with the ongoing coronavirus pandemic
and its impact on the overall economy. A sponsor's failure to
execute the business plan could result in a term default or the
inability to refinance the fully funded loan balance. DBRS
Morningstar made relatively conservative stabilization assumptions
and, in each instance, considered the business plan to be
achievable and the future funding amounts to be sufficient to
execute such plans. The average DBRS Morningstar business plan
score is 2.31, which is in the middle of the range and indicates
that DBRS Morningstar determined the business plans to be
reasonable with adequate structure to achieve them. DBRS
Morningstar assumes no cash flow or value upside when determining
the loan-level loss given default (LGD). Furthermore, the credit
metrics DBRS Morningstar used to determine the LGD assume that
future funding facilities are fully funded and adds additional
conservatism.

There is an inherent conflict of interest between the special
servicer and the seller as they are related entities. Given that
the special servicer is typically responsible for pursuing remedies
from the seller for breaches of the representations and warranties,
this conflict could be disadvantageous to the noteholders.

While the special servicer is classified as the enforcing
transaction party, if a loan repurchase request is received, the
trustee and originator shall be notified and the originator is
required to correct the material breach or defect or repurchase the
affected loan within a maximum period of 270 days. The repurchase
price would amount to the outstanding principal balance and unpaid
interest less relevant Issuer expenses and protective advances made
by the servicer. The Issuer retains 18.9% equity in the
transaction, holding the first-loss piece.

The pool is concentrated based on loan count as there are only 33
loans in the transaction and the largest 10 represent 55.6% of the
pool. The pool is fairly diverse by CRE CLO standards with a
Herfindahl score of 22.1. The modified loan count of 33 gives
consideration to the 32 underlying loans that are
crosscollateralized and crossdefaulted into seven separate
portfolios or crossed groups. The loans in the transaction are
secured by 69 commercial properties located across 20 states.

The transaction is highly concentrated by property type with retail
and office accounting for 38.2% and 30.3% of the trust balance,
respectively. In addition, retail properties have experienced
considerable disruption as a result of coronavirus pandemic with
mandatory closures, stay-at-home orders, retail bankruptcies, and
consumer shifts to online purchasing. To account for the elevated
risk, DBRS Morningstar typically analyzes retail (more
specifically, unanchored retail) and office properties with higher
PODs and LGDs compared with other property types. For certain
retail properties, DBRS Morningstar did not include upside from the
sponsor's business plan or only accepted minimal upside.

Only four loans, representing 18.3% of the pool, are secured by
properties in markets with a DBRS Morningstar Market Rank of 6, 7,
or 8 (Robertson Lane; NW 14th Street Portfolio; E 135th Street
Portfolio; 469 North Canon), which are considered more urban in
nature and benefit from increased liquidity with consistently
strong investor demand, even during times of economic stress.
Furthermore, 22 loans, representing 64.8% of the trust balance, are
secured by properties in markets with a DBRS Morningstar Market
Rank of 3 or 4 which, although generally suburban in nature, have
historically had higher PODs. The pool's WA DBRS Morningstar Market
Rank of 3.91 indicates a high concentration of properties in less
densely populated suburban areas. DBRS Morningstar analyzed
properties in less densely populated markets with higher PODs and
LGDs than those in more urban markets.

DBRS Morningstar analyzed six of the sampled loans, representing
17.1% of the pool balance, with Weak and Bad (Litigious)
sponsorship strengths. Four of the loans—City Center Retail,
Avenue C, Craig Crossing, and Normandy Portfolio—are among the
pool's top 15 largest loans. DBRS Morningstar applied a POD penalty
to loans analyzed with Weak or Bad (Litigious) sponsorship
strength.

The loan collateral was built between 1895 and 2017 with an average
year built of 1980. Two loans, including Stream Portfolio (#4) and
Response Road (#32), representing a combined 8.2% of the initial
trust balance, are secured by properties with Average (-) and Below
Average quality. Lower-quality properties are less likely to retain
existing tenants and may require additional capital expenditure,
resulting in less-than-stable performance. Additionally, only one
loan, Avenue C (representing 3.6% of the trust balance), is secured
by a multifamily property that was deemed to be Above Average
quality. DBRS Morningstar increased the POD for loans with Below
Average quality to account for the elevated risk.

Nineteen loans have $35.7 million of remaining future funding
participations, ranging from $159,609 to $9.0 million. The sponsors
will use these funds to facilitate their respective capital
improvement plans, which should help to enhance the quality of the
properties and improve overall value.

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


ACCESS GROUP 2003-A: Fitch Affirms Bsf Rating on Class B Notes
--------------------------------------------------------------
Fitch Ratings has affirmed the outstanding notes of Access Group
Inc., 2002-A, 2003-A, 2004-A, 2005-A, 2005-B, 2007-A and Access
Funding 2010-A LLC.

RATING ACTIONS

Access Group, Inc. - Private Student Loan Notes, Series 2003-A

Class B 00432CAW1; LT Bsf Affirmed; previously Bsf

Access Group, Inc. - Private Student Loan Notes, Series 2007-A

Class A-3 00432CDJ7; LT AAAsf Affirmed; previously AAAsf

Class B 00432CDK4; LT BBB+sf Affirmed; previously BBB+sf

Access Group, Inc. - Private Student Loan Notes, Series 2005-B

Class A-3 00432CCW9; LT AAAsf Affirmed; previously AAAsf

Access Funding 2010-A LLC

Class A 00434EAA3; LT AAAsf Affirmed; previously AAAsf

Access Group, Inc. - Private Student Loan Notes, Series 2002-A

Class A-2 00432CAR2; LT Asf Affirmed; previously Asf

Class B 00432CAS0; LT CCCsf Affirmed; previously CCCsf

Access Group, Inc. - Private Student Loan Notes, Series 2004-A

Class A-3 00432CBH3; LT Asf Affirmed; previously Asf

Class A-4 00432CBJ9; LT Asf Affirmed; previously Asf

Class B-1 00432CBK6; LT Bsf Affirmed; previously Bsf

Access Group, Inc. - Private Student Loan Notes, Series 2005-A

Class A-3 00432CCJ8; LT AAAsf Affirmed; previously AAAsf

Class B 00432CCC3; LT BBB-sf Affirmed; previously BBB-sf

TRANSACTION SUMMARY

The affirmations reflect the transactions' performance and credit
enhancement (CE). The performance metrics for the trusts did not
change materially since the last review.

KEY RATING DRIVERS

Collateral Performance: The trust is collateralized by private
student loans originated by Access Group. Transaction performance
is in line with Fitch's expectations from the last review. The
sustainable CDR is 2.0% for all transactions and the payment rate
(PPR) is 20% for all transactions except 2007-A and 2010-A where
17% is assumed. The base case default rate is 4.2% for 2002-A,
approximately 5.0% for 2003-A, 5.6% for 2004-A, 6.0% for 2005-A,
5.4% for 2005-B, 6.8% for 2007-A and 7.0% for 2010-A. Fitch assumes
a base case recovery rate of 30% which is determined to be
appropriate based on data provided by the issuer and is stressed in
line with rating-dependent recovery haircuts described in Fitch's
private student loan criteria.

Payment Structure: CE consists of overcollateralization and excess
spread and for some trusts, senior notes benefit from subordination
of more junior notes. Total parity as of the most recent
distribution was at approximately 101.8% for 2002-A, 102.7 % for
2003-A, at the cash release levels of 102% for 2004-A, 103.0% for
2005-A and 2007-A, 103.8% for 2005-B, and 238.5% for 2010-A.
Liquidity support is provided by reserve accounts of $400,000 for
2003-A and 2004-A, $1.0 million for 2005-A and 2005-B, $2.0 million
for 2007-A and $1.2 million for 2010-A. Access 2002-A does not have
a reserve account.

Operational Capabilities: Day-to-day servicing is provided by
Nelnet Inc., which Fitch believes is an acceptable servicer of
student loans due to its long servicing history.

Coronavirus Impact: Fitch evaluated the sustainable constant
default rates (sCDRs) and the principle payment rates (PPRs) under
the coronavirus baseline scenario by analyzing a decline in payment
rates and an increase in defaults to previous recessionary levels
for one year and then a return to recent performance for the
remainder of the life of the transaction. Fitch revised the sCDRs
to 2.0% from 1.75% for all transactions and maintained the PPRs at
20% and 17% as mentioned. Fitch also conducted rating sensitivities
for a more prolonged stress contemplated in the coronavirus
downside scenario. The results are provided in Ratings
Sensitivities.

RATING SENSITIVITIES

As Fitch's base case default proxy is derived primarily from
historical collateral performance, actual performance may differ
from the expected performance, resulting in higher loss levels than
the base case. This will result in a decline in available CE and
the remaining loss coverage levels available to the notes.
Therefore, note ratings may be susceptible to potential negative
rating actions depending on the extent of the decline in the
coverage

Access Group, Inc. - Private Student Loan Notes, Series 2002-A

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

  -- Reduce base case defaults by 10%:class A 'A+sf'; class B
'CCCsf';

  -- Reduce base case defaults by 25%:class A 'AA-sf; class B
'CCCsf;

  -- Reduce base case defaults by 50%:class A 'AAAsf'; class B
'CCCsf';

  -- Increase base case recoveries by 30%:class A 'Asf'; class B
'CCCsf'.

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

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

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

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

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

  -- Increase base case defaults and reduce base case recoveries
each by 10%: class A 'BBB+sf'; class B 'CCCsf';

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

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

Access Group, Inc. - Private Student Loan Notes, Series 2003-A

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

  -- Reduce base case defaults by 10%: class B 'Bsf';

  -- Reduce base case defaults by 25%: class B 'BBsf';

  -- Reduce base case defaults by 50%: class B 'BBBsf';

  -- Increase base case recoveries by 30%: class B 'Bsf'.

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

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

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

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

Access Group, Inc. - Private Student Loan Notes, Series 2004-A

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

  -- Reduce base case defaults by 10%:class A 'Asf'; class B 'Bsf'

  -- Reduce base case defaults by 25%:class A 'AA-sf; class B
'Bsf';

  -- Reduce base case defaults by 50%:class A 'AAAsf'; class B
'BBB-sf';

  -- Increase base case recoveries by 30%:class A 'Asf'; class B
'Bsf'.

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

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

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

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

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

  -- Increase base case defaults and reduce base case recoveries
each by 10%: class A 'BBB+sf'; class B 'CCCsf';

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

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

Access Group, Inc. - Private Student Loan Notes, Series 2005-A

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

Class A is at its highest attainable rating. The results shown is
for class B only.

  -- Reduce base case defaults by 10%: class B 'BBBsf';

  -- Reduce base case defaults by 25%: class B 'BBB+sf';

  -- Reduce base case defaults by 50%: class B 'AA-sf';

  -- Increase base case recoveries by 30%: class B 'BBB-sf'.

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

  -- Increase base case defaults by 10%: class A 'AAAsf'; class B
'BB+sf';

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

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

  -- Reduce base case recoveries by 30%: class A 'AAAsf'; class B
'BB+sf';

  -- Increase base case defaults and reduce base case recoveries
each by 10%: class A 'AAAsf'; class B 'BBsf';

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

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

Access Group, Inc. - Private Student Loan Notes, Series 2005-B

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

Class A is at its highest attainable rating.

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

  -- Increase base case defaults by 10%: class A 'AAAsf';

  -- Increase base case defaults by 25%: class A 'AAAsf;

  -- Increase base case defaults by 50%: class A 'AAAsf';

  -- Reduce base case recoveries by 30%: class A 'AAAsf';

  -- Increase base case defaults and reduce base case recoveries
each by 10%: class A 'AAAsf';

  -- Increase base case defaults and reduce base case recoveries
each by 25%: class A 'AAAsf';

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

Access Group, Inc. - Private Student Loan Notes, Series 2007-A

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

Class A is at its highest attainable rating. The results shown is
for class B.

  -- Reduce base case defaults by 10%: class B 'A+sf';

  -- Reduce base case defaults by 25%: class B 'AA+sf';

  -- Reduce base case defaults by 50%: class B 'AAAsf';

  -- Increase base case recoveries by 30%: class B 'A+sf'.

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

  -- Increase base case defaults by 10%: class A 'AAAsf'; class B
'Asf';

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

  -- Increase base case defaults by 50%: class A 'AAsf'; class B
'BBBsf';

  -- Reduce base case recoveries by 30%:class A 'AAAsf'; class B
'Asf';

  -- Increase base case defaults and reduce base case recoveries
each by 10%: class A 'AAAsf'; class B 'A-sf';

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

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

Access Funding 2010-A LLC

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

Notes are at highest attainable rating.

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

  -- Increase base case defaults by 10%: class A 'AAAsf';

  -- Increase base case defaults by 25%: class A 'AAAsf';

  -- Increase base case defaults by 50%: class A 'AAAsf';

  -- Reduce base case recoveries by 30%: class A 'AAAsf';

  -- Increase base case defaults and reduce base case recoveries
each by 10%: class A 'AAAsf';

  -- Increase base case defaults and reduce base case recoveries
each by 25%: class A 'AAAsf';

  -- Increase base case defaults and reduce base case recoveries
each by 50%: class A 'AAAsf';

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. For the downside coronavirus sensitivity scenario, Fitch
assumed an increase of approximately 40% in the base case default
rate. Under this scenario, the model implied ratings for class A
remained unchanged for 2005-B, 2007-A and 2010A and was one
category lower for 2002-A, 2004-A and 2005-A. Model implied ratings
for class B either remain unchanged or was one category lower than
current ratings.

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).


AIMCO CLO 11: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AIMCO CLO 11
Ltd./AIMCO CLO 11 LLC's floating-rate notes.

The note issuance is a CLO transaction 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 Sept. 15,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

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

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

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

  PRELIMINARY RATINGS ASSIGNED

  AIMCO CLO 11 Ltd./AIMCO CLO 11 LLC

  Class                Rating      Amount (mil. $)
  A                    AAA (sf)             288.00
  B                    AA (sf)               54.00
  C (deferrable)       A (sf)                29.25
  D (deferrable)       BBB- (sf)             24.75
  E (deferrable)       BB- (sf)              13.50
  Subordinated notes   NR                    39.05

  NR--Not rated.


AMMC CLO XI: S&P Affirms B- (sf) Rating on Class F Notes
--------------------------------------------------------
S&P Global Ratings assigned its 'AAA (sf)' rating to the $30
million class A-2-R3 replacement notes from AMMC CLO XI Ltd., a CLO
originally issued in 2012 and previously refinanced in 2018,
managed by American Money Management Corp. S&P withdrew its rating
on the class A-2-R2 notes following payment in full on the Sept.
16, 2020, refinancing date. At the same time, S&P affirmed its
ratings on the original class X, A-1-R2, A-3A-R2, A-3B-R2, B-R2,
C-R2, D-R2, E-R2 and F notes.

On the Sept. 16, 2020, refinancing date, the proceeds from the
class A-2-R3 replacement note issuance were used to redeem the
original class A-2-R2 notes as outlined in the transaction document
provisions. Therefore, S&P withdrew its rating on the refinanced
notes in line with their full redemption and assigned a rating to
the replacement notes. The replacement notes are being issued via a
proposed supplemental indenture.

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

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

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

  RATING ASSIGNED

  AMMC CLO XI Ltd.

  Replacement class   Rating    Amount (mil $)
  A-2-R3              AAA (sf)           30.00

  RATINGS AFFIRMED

  Class        Rating
  X            AAA (sf)
  A-1-R2       AAA (sf)
  A-3A-R2      AAA (sf)
  A-3B-R2      AAA (sf)
  B-R2         AA (sf)
  C-R2         A (sf)
  D-R2         BBB (sf)
  E-R2         BB- (sf)
  F            B- (sf)

  RATING WITHDRAWN

                         Rating
  Class               To       From
  A-2-R2              NR       AAA (sf)

  NR--Not rated.


ANGEL OAK 2020-5: DBRS Finalizes B Rating on Class B-2 Certs
------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Certificates, Series 2020-5 (the Certificates)
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 rating 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% is 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) after a
delinquency or cumulative loss trigger event has occurred. 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 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 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 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 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 2020-6: DBRS Assigns Prov. B Rating on Class B-2 Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Certificates, Series 2020-6 (the Certificates) to
be issued by Angel Oak Mortgage Trust 2020-6 (the Trust):

-- $208.3.5 million Class A-1 at AAA (sf)
-- $35.8 million Class A-2 at AA (low) (sf)
-- $26.2 million Class A-3 at A (low) (sf)
-- $12.6 million Class M-1 at BBB (low) (sf)
-- $8.8 million Class B-1 at BB (low) (sf)
-- $6.5 million Class B-2 at B (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects 33.15%
of credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf)
ratings reflect 21.65%, 13.25%, 9.20%, 6.35%, and 4.25% 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 667 loans with a total principal balance
of $311,540,841 as of the Cut-Off Date (August 1, 2020).

Angel Oak Mortgage Solutions LLC (51.9%), Angel Oak Home Loans LLC
(AOHL; 2.1%), and Angel Oak Prime Bridge, LLC (0.1%) (collectively,
Angel Oak) originated approximately 54.1% of the pool while
third-party originators (TPO) contributed the remaining 45.9% 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 0.1% 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) 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 described above. In accordance with
the CFPB Qualified Mortgage (QM)/ATR rules, 80.1% of the loans are
designated as non-QM. Approximately 19.9% 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) after a
delinquency or cumulative loss trigger event has occurred. 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 write-down 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 raise in
the coming months for many residential mortgage-backed securities
(RMBS) asset classes, some meaningfully.

The non-QM sector is a traditional RMBS asset class that consists
of securitizations backed by pools of residential home loans that
may fall outside of the CFPB's ATR rules, which became effective on
January 10, 2014. Non-QM loans encompass the entire credit
spectrum. They range from high-FICO, high-income borrowers who opt
for interest-only (IO) or higher 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, 19.4% 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 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 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 (low) (sf)
rating levels for the first 12 months;

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

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

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

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


ANGEL OAK 2020-6: Fitch Assigns Bsf Rating on Class B-2 Debt
------------------------------------------------------------
Fitch Ratings has assigned final ratings to Angel Oak Mortgage
Trust 2020-6.

RATING ACTIONS

AOMT 2020-6

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 BBBsf New Rating; previously at BBB(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 667 loans with a balance of
$311.54 million as of the cutoff date. This will be the 12th
Fitch-rated transaction consisting of loans originated mainly 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.
Approximately half of the loans were originated by several Angel
Oak entities, which include Angel Oak Mortgage Solutions LLC (AOMS;
51.9%), Angel Oak Home Loans LLC (AOHL; 2.1%) and Angel Oak Prime
Bridge LLC (AOPB; 0.1%). A total of 15.2% was aggregated by SG
Capital Partners, and the remaining 30.7% of loans were originated
by other third-party originators. Of the pool, 80.2% comprises
loans designated as Non-QM, and the remaining 19.8% are investment
properties not subject to ATR.

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. Fitch's baseline global economic
outlook for U.S. GDP growth is currently a 5.6% decline for 2020,
down from 1.7% for 2019. Fitch's downside scenario would see an
even larger decline in output in 2020 and a weaker recovery in
2021. To account for declining macroeconomic conditions resulting
from the coronavirus 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 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 are 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 331 bps of
excess spread, which will be available to cover shortfalls prior to
any write-downs.

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 Aug. 13, 2020, 14.9% of the
borrowers opted in for coronavirus relief and were put on a
forbearance plan; however, only 8.8% (46 loans) are currently on a
coronavirus relief plan while 6.1% of the borrowers that 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. 13, 2020, but were delinquent as
of the cut-off date. Of the 8.8% of borrowers that are still on a
coronavirus relief plan as of Aug. 13, 2020, 0.2% have been making
their payments and are contractually current, 1.5% have extended
the term of the plan and are three months delinquent (last payment
was in March 2020), 3.2% are three months delinquent (last payment
was in April 2020), 0.3% are two months delinquent (last payment
was in May 2020), and 2.4% are one-month delinquent (last payment
was in June 2020).

Additionally, 4.5% of the borrowers have opted out of their
coronavirus relief plan and are contractually current as of Aug.
13, 2020, and 6.3% of the pool has had one to three payments
deferred, but have been able to make their monthly payments post
deferral. Fitch treated these loans as clean current.

Further, 3.3% of the pool is not on a coronavirus relief plan, but
have had payments deferred. Of the 3.3%, 2.6% have made their
monthly payments after deferral, while 0.7% are not cash flowing.

Fitch considered borrowers who are on a coronavirus relief plan or
post deferral plan that are cash flowing as current while the
borrowers that 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 38 loans in the pool that have had their forbearance plan
extended three months until Oct. 1, 2020. These loans have an
average FICO of 724, average original CLTV of 77.5%, and average
liquid cash reserves of $73,548. Eight borrowers in the pool
extended their forbearance plan by two months until Oct. 1, 2020.
These loans have an average FICO of 675, average original CLTV of
72.9%, and average liquid cash reserves of $44,866.

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 331 bps of excess spread as of the closing date should
be available to absorb these amounts and reduce the potential for
write-downs.

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 in
all rating categories to address the potential for write-downs due
to reimbursements of servicer advances. In addition, there is a
3.31% excess spread as of the closing date that will be available
to cover any write-downs 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
(26.6% of the loans are adjustable rate); 18.9% of the loans are IO
loans and the remaining 73.4% of the loans are fully amortizing
loans. The pool is seasoned approximately 10 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 (78.5% sLTV). In
addition, the pool contains 83 loans over $1 million and the
largest is $3.5 million. Self-employed borrowers make up about
73.7% of the pool, 17.1% of the pool are salaried employees, and
9.3% of the pool comprises investor cash flow loans. There are two
loans that are a second lien and represents 0.1% of the pool
balance.

Fitch considered 7.5% of borrowers as having a prior credit event
in the past seven years, and 12 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): Fitch determined that
62.4% of the loans in the pool (367 loans) were made to
self-employed borrowers underwritten to a bank statement program
(22.3% to a 24-month bank statement program and 40.1% 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, 19.9%
comprises investment properties. Specifically, 10.6% of loans were
underwritten using the borrower's credit profile, while the
remaining 9.3% 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 723 (as calculated by Fitch) and an
original CLTV of approximately 75% and DSCR loans have a WA FICO of
723 (as calculated by Fitch) and an original CLTV of roughly 66%.
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 (Negative): Approximately 48% of the pool
is concentrated in California with relatively high MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(29.4%) followed by the Miami MSA (8.7%) and the San Francisco MSA
(5.4%). The top three MSAs account for 43.5% of the pool. Due to
the large California concentration, Fitch increased the 'AAA'
expected loss by 0.87% to account for geographic concentration.

Hurricane Laura Impact (Negative): Hurricane Laura made landfall
over parts of Texas and Louisiana on Aug. 27, 2020. There are five
loans in the transaction that are in a Federal Emergency Management
Agency (FEMA) declared disaster area. These five loans comprise
0.20% of the pool by unpaid balance. Assuming 100% of these loans
have damage and a loss severity of 100%, the loss would be 0.20%.
Fitch increased the model output by 0.20% to account for the impact
of Hurricane Laura.

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 decreased its expected loss at the
'AAAsf' rating stress by approximately 220 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 (88bps at the AAAsf rating
category) to mitigate the limitations of the framework and the
noninvestment-grade counterparty risk of the providers.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction pool. The reviews
were conducted by four different third-party review (TPR) firms,
all of which are reviewed and approved by Fitch. The results of the
review confirm sound 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 accounted for 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 45 bps.

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 analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, as well
as lower MVDs, illustrated by a gain in home prices.

Factors that Could, Individually or Collectively, Lead to a
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 7.6% 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 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
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 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 also added a coronavirus sensitivity analysis that
contemplates a more severe and prolonged economic stress caused by
a re-emergence of infections in the major economies, before a slow
recovery begins in second-quarter 2021. Under this severe scenario,
Fitch expects the ratings to be affected by changes in its
sustainable home price model due to updates to the model's
underlying economic data inputs.

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 (AMC), Clayton, Inglet Blair, and EdgeMAC. The
third-party due diligence described in Form 15E focused on three
areas: compliance review, credit review and valuation review. Fitch
considered this information in its analysis and, as a result, Fitch
did not make any adjustment(s) to its analysis. Based on the
results of the 100% due diligence performed on the pool, the
overall expected loss was reduced by 0.45%.

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, Inglet Blair, and EdgeMAC 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.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and
enforcement mechanisms (RW&Es) that are disclosed in the offering
document and which relate to the underlying asset pool is available
by clicking the link to the Appendix. The appendix also contains a
comparison of these RW&Es to those Fitch considers typical for the
asset class as detailed in the Special Report titled
'Representations, Warranties and Enforcement Mechanisms in Global
Structured Finance Transactions'.

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).


APEX CREDIT 2018-II: Moody's Confirms B3 Rating on Class F Notes
----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Apex Credit CLO 2018-II Ltd. (the "CLO"
or "Issuer"):

US$11,600,000 Class C-1 Secured Deferrable Floating Rate Notes due
2031 (the "Class C-1 Notes"), Confirmed at A2 (sf); previously on
June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

US$8,400,000 Class C-2 Secured Deferrable Fixed Rate Notes due 2031
(the "Class C-2 Notes"), Confirmed at A2 (sf); previously on June
3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

US$22,000,000 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$20,000,000 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

US$8,000,000 Class F Secured Deferrable Floating Rate Notes due
2031 (the "Class F Notes"), Confirmed at B3 (sf); previously on
April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class C-1 Notes, the Class C-2 Notes, the Class D Notes, the
Class E Notes, and the Class F 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 Notes, Class E Notes, and Class F Notes and
on June 3, 2020 on the Class C-1 Notes and Class C-2 Notes issued
by the CLO. The CLO, issued in November 2018, is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in October 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (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 3221 compared to 2746
reported in the March 2020 trustee report [2]. Moody's also noted
that, based on the August 2020 trustee report [1], the WARF was
passing the test level of 3257; however, the WAS test was reported
at 3.62% and failing its test level of 4.70% by a significant
margin. 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 21.07%. Moody's noted
that the interest diversion 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 failures continue.
Nevertheless, Moody's noted that all of the OC tests were recently
reported [1] as passing.

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

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

Performing par and principal proceeds balance: $388,029,442

Defaulted Securities: $10,244,801

Diversity Score: 77

Weighted Average Rating Factor (WARF): 3244

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.61%

Weighted Average Recovery Rate (WARR): 46.7%

Par haircut in OC tests and interest diversion test: 2.0%

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 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 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.

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.


B2R MORTGAGE 2015-1: DBRS Assigns B(high) Rating on Class G Debt
-----------------------------------------------------------------
DBRS, Inc. assigned ratings to the following three multiborrower
transactions (the Covered Transactions) issued by B2R Mortgage
(CAF) trusts:

B2R Mortgage Trust 2015-1

-- Class A-2 at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class F at BB (high) (sf)
-- Class G at B (high) (sf)
-- Class X-A at AAA (sf)
-- Class X-B at BBB (sf)

B2R Mortgage Trust 2015-2

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

B2R 2015-2 Class G is not rated by DBRS Morningstar. B2R 2015-2
Class G was rated B- by Morningstar Credit Ratings, LLC.

B2R Mortgage Trust 2016-1
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
-- Class X-A at AAA (sf)
-- Class X-B at A (high) (sf)

These securities are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings on these securities Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about September 17, 2020. In
accordance with MCR's engagement letter covering these securities,
upon withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

The Covered Transactions are multiborrower single-family rental
securitizations.

As stated in its May 28, 2020, press release, "DBRS and Morningstar
Credit Ratings Confirm U.S. Single-Family Rental Asset Class
Coverage," DBRS Morningstar applied MCR's "U.S. Single-Family
Rental Securitization Ratings Methodology" to assign these
ratings.

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

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

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

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

-- DBRS Morningstar reviewed key transaction performance
indicators, as applicable, since the closing dates as reflected in
bond factors, loan-to-value (LTV) ratios or credit enhancements,
vacancies, delinquencies, and cumulative losses.

RATING AND CASH FLOW ANALYSIS

DBRS Morningstar reviewed MCR's rating analysis on the Covered
Transactions, which used the Morningstar Single-Family Rental
Subordination Model to generate property-level cash flows for the
Covered Transactions. The analytics included calculating the debt
service coverage ratio needed to adequately cover the monthly debt
service in each period under a given rating stress and examining
the sufficiency of the aggregate stressed property liquidation
values to cover the unpaid balance at a given rating level in
accordance with MCR's "U.S. Single-Family Rental Securitization
Ratings Methodology."

OPERATIONAL RISK REVIEW

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

HISTORICAL PERFORMANCE

DBRS Morningstar reviewed the historical performance of the Covered
Transactions as reflected in bond factors, LTVs or credit
enhancements, vacancies, delinquencies, and cumulative losses and
deemed the transactions' performances to be satisfactory.

THIRD-PARTY DUE DILIGENCE

Several third-party review firms (the TPR firms) performed due
diligence reviews of the Covered Transactions. DBRS Morningstar has
not conducted reviews of the TPR firms. The scope of the due
diligence generally comprised lease, valuation, title, and
homeowners' association discrepancy reviews. DBRS Morningstar also
relied on the written attestations the TPR firms provided to MCR on
or prior to the closing dates.

R&W FRAMEWORK

DBRS Morningstar conducted reviews of the R&W frameworks for the
Covered Transactions. The reviews covered key considerations, such
as the R&W provider, breach discovery, enforcement mechanism, and
remedy.

CORONAVIRUS DISEASE (COVID-19) ANALYSIS

To reflect the current concerns and conditions surrounding the
coronavirus pandemic, DBRS Morningstar tested the following
additional rating assumptions for single-family rental transactions
to reflect the moderate macroeconomic scenario outlined in its
commentary, "Global Macroeconomic Scenarios: September Update,"
published on September 10, 2020:

-- Vacancy (higher vacancy rate assumptions to account for
potential increases in single-family rental vacancies as a result
of rising unemployment and further economic deterioration).

-- Home prices (an additional property valuation haircut to
account for the potential decline in broader asset markets).

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

SUMMARY

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

DBRS Morningstar's ratings address the timely payment of interest
(other than payment-in-kind bonds) and full payment of principal by
the rated final maturity date in accordance with the terms and
conditions of the related securities.

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


BAIN CAPITAL 2020-3: S&P Assigns Prelim BB- (sf) Rating to E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Bain Capital
Credit CLO 2020-3 Ltd./Bain Capital Credit CLO 2020-3 LLC's
floating-rate notes.

The note issuance is a CLO transaction backed by at least 90.0%
senior secured loans, cash, and eligible investments.

The preliminary ratings are based on information as of Sept. 15,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

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

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

-- The experience of the collateral 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.

  PRELIMINARY RATINGS ASSIGNED

  Bain Capital Credit CLO 2020-3 Ltd./Bain Capital Credit CLO
  2020-3 LLC

  Class                Rating      Amount (mil. $)
  A                    AAA (sf)            279.000
  B                    AA (sf)              63.000
  C (deferrable)       A (sf)               27.000
  D (deferrable)       BBB- (sf)            24.750
  E (deferrable)       BB- (sf)             14.625
  Subordinated notes   NR                   38.000

  NR--Not rated.


BANK 2020-BNK28: Fitch to Rate Class X-FG Certs 'BB-(EXP)sf'
------------------------------------------------------------
Fitch Ratings has issued a presale report on BANK 2020-BNK28,
commercial mortgage pass-through certificates, Series 2020-BNK28.

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

RATING ACTIONS

BANK 2020-BNK28

  -- $13,537,000 class A-1 'AAAsf'; Outlook Stable;

  -- $20,310,000 class A-SB 'AAAsf'; Outlook Stable;

  -- $105,000,000ae class A-3 'AAAsf'; Outlook Stable;

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

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

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

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

  -- $340,068,000ae class A-4 'AAAsf'; Outlook Stable;

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

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

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

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

  -- $478,915,000b class X-A 'AAAsf'; Outlook Stable;

  -- $119,728,000b class X-B 'A-sf'; Outlook Stable;

  -- $43,615,000 class A-S 'AAAsf'; Outlook Stable;

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

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

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

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

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

  -- $41,050,000 class B 'AA-sf'; Outlook Stable;

  -- $35,063,000 class C 'A-sf'; Outlook Stable;

  -- $34,208,000bc class X-D 'BBB-sf'; Outlook Stable;

  -- $18,815,000bc class X-FG 'BB-sf'; Outlook Stable;

  -- $17,104,000c class D 'BBBsf'; Outlook Stable;

  -- $17,104,000c class E 'BBB-sf'; Outlook Stable;

  -- $7,697,000c class F 'BB+sf'; Outlook Stable;

  -- $11,118,000c class G 'BB-sf'; Outlook Stable.

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

  -- $9,407,000bc class X-H;

  -- $23,091,305bc class X-J;

  -- $9,407,000c class H;

  -- $23,091,305c class J

  -- $36,008,648cd RR Interest.

(a) The initial certificate balances of class A-3 and A-4 are
unknown and expected to be $445,068,000 in the aggregate, subject
to a 5.0% variance. The certificate balances will be determined
based on the final pricing of those classes of certificates. The
expected class A-3 balance range is $0 to $210,000,000, and the
expected class A-4 balance range is $235,068,000 to $445,068,000.
If the class balance of class A-4 is $445,068,000, the class A-3
certificates will not be issued. Fitch's certificate balances for
classes A-3 and A-4 are assumed at the midpoint for each class.

(b) Notional amount and interest only.

(c) Privately-placed and pursuant to Rule 144a.

(d) Non-offered vertical credit risk retention interest

(e) Exchangeable Certificates. The class A-3, class A-4 and class
A-S are exchangeable certificates. Each class of exchangeable
certificates may be exchanged for the corresponding classes of
exchangeable certificates, and vice versa. The dollar denomination
of each of the received classes of certificates must be equal to
the dollar denomination of each of the surrendered classes of
certificates. 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 expected ratings are based on information provided by the
issuer as of Sept. 16, 2020.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 54 loans secured by 92
commercial properties having an aggregate principal balance of
$720,172,953 as of the cut-off date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of
America, National Association and Wells Fargo Bank, National
Association.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 34.9% of the properties
by balance, cash flow analyses of 91.3% of the pool, and asset
summary reviews on 100% 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 are
not subject to any forbearance requests.

KEY RATING DRIVERS

Low Fitch Leverage: Overall, the pool's Fitch DSCR of 1.71x is
better than average when compared to the YTD 2020 and 2019 averages
of 1.30x and 1.26x, respectively. The pool's Fitch LTV of 97.5% is
better than the YTD 2020 and 2019 averages of 98.9% and 103.0%,
respectively. Excluding the cooperative loans, the pool's WA Fitch
DSCR is 1.37x and the pool's WA trust LTV is 103.5%.

Highly Concentrated Pool: The pool's 10 largest loans represent
64.7% of the pool's cutoff balance, which is greater than the YTD
2020 and 2019 averages of 55.6% and 51.0%, respectively. The pool's
LCI of 494 is also greater than the YTD 2020 and 2019 averages of
424 and 379, respectively. For this transaction, the losses
estimated by Fitch's deterministic test at 'AAAsf' exceeded the
base model loss estimate.

Below-Average Mortgage Coupons: The pool's weighted average (WA)
mortgage rate is 3.51%, which is well below historical levels. The
WA mortgage rate is below the YTD 2020 average mortgage rate of
3.66% and well below the 2019 average of 4.27%. Fitch accounted for
increased refinance risk in a higher interest rate environment by
incorporating an interest rate sensitivity that assumes an interest
rate floor of 5% for the term risk of most property types, 4.5% for
multifamily properties and 6.0% for hotel properties, in
conjunction with Fitch's stressed refinance constants, which were
9.79% on a WA basis.

Favorable Property Type Concentration: The pool does not include
any hotels, and retail properties only comprise 12.1% of the pool,
which is below the YTD 2020 and 2019 averages of 16.3% and 23.6%,
respectively. Office properties represent the highest concentration
at 35.2%. In Fitch's multiborrower model, office properties have an
average likelihood of default, all else equal. Multifamily
properties represent the second highest concentration at 27.8%. In
Fitch's multiborrower model, multifamily properties have a
below-average likelihood of default, all else equal.

RATING SENSITIVITIES

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

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 /
BB-sf

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

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

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

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

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

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

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

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

Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and recomputation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and
enforcement mechanisms (RW&Es) that are disclosed in the offering
document and which relate to the underlying asset pool is available
by clicking the link to the Appendix. The appendix also contains a
comparison of these RW&Es to those Fitch considers typical for the
asset class as detailed in the Special Report titled
'Representations, Warranties and Enforcement Mechanisms in Global
Structured Finance Transactions'.

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


BAYVIEW COMMERCIAL 2006-1: Moody's Confirms Caa3 on Cl. B-1 Debt
----------------------------------------------------------------
Moody's Investors Service confirmed 25 notes and downgraded one
note issued by Bayview Commercial Asset Trusts. The loans are
secured primarily by small commercial real estate properties in the
U.S. owned by small businesses and investors.

The complete rating actions are as follow:

Issuer: BayView Commercial Asset Trust 2006-1

Cl. A-1, Confirmed at Ba2 (sf); previously on May 5, 2020
Downgraded to Ba2 (sf) and Placed Under Review for Possible
Downgrade

Cl. A-2, Confirmed at Ba2 (sf); previously on May 5, 2020
Downgraded to Ba2 (sf) and Placed Under Review for Possible
Downgrade

Cl. B-1, Confirmed at Caa3 (sf); previously on May 5, 2020
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade

Cl. M-1, Confirmed at Ba3 (sf); previously on May 5, 2020
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade

Cl. M-2, Confirmed at B1 (sf); previously on May 5, 2020 Downgraded
to B1 (sf) and Placed Under Review for Possible Downgrade

Cl. M-3, Confirmed at B2 (sf); previously on May 5, 2020 Downgraded
to B2 (sf) and Placed Under Review for Possible Downgrade

Cl. M-4, Confirmed at B3 (sf); previously on May 5, 2020 Downgraded
to B3 (sf) and Placed Under Review for Possible Downgrade

Cl. M-5, Confirmed at Caa1 (sf); previously on May 5, 2020
Downgraded to Caa1 (sf) and Placed Under Review for Possible
Downgrade

Cl. M-6, Confirmed at Caa2 (sf); previously on May 5, 2020
Downgraded to Caa2 (sf) and Placed Under Review for Possible
Downgrade

Issuer: Bayview Commercial Asset Trust 2006-3

Cl. A-1, Confirmed at Ba3 (sf); previously on May 5, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. A-2, Confirmed at Ba3 (sf); previously on May 5, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. M-1, Confirmed at B3 (sf); previously on May 5, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. M-2, Confirmed at Caa2 (sf); previously on May 5, 2020 Caa2
(sf) Placed Under Review for Possible Downgrade

Cl. M-3, Confirmed at Caa3 (sf); previously on May 5, 2020 Caa3
(sf) Placed Under Review for Possible Downgrade

Issuer: Bayview Commercial Asset Trust 2006-4

Cl. A-1, Confirmed at Baa1 (sf); previously on May 5, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. A-2, Confirmed at B1 (sf); previously on May 5, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. M-1, Confirmed at B3 (sf); previously on May 5, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. M-2, Confirmed at Caa2 (sf); previously on May 5, 2020 Caa2
(sf) Placed Under Review for Possible Downgrade

Issuer: Bayview Commercial Asset Trust 2007-1

Cl. A-1, Downgraded to Baa1 (sf); previously on May 5, 2020 A3 (sf)
Placed Under Review for Possible Downgrade

Cl. A-2, Confirmed at Ba2 (sf); previously on May 5, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. M-1, Confirmed at B2 (sf); previously on May 5, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. M-2, Confirmed at B3 (sf); previously on May 5, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. M-3, Confirmed at Caa1 (sf); previously on May 5, 2020 Caa1
(sf) Placed Under Review for Possible Downgrade

Issuer: Bayview Commercial Asset Trust 2007-2

Cl. A-1, Confirmed at Ba2 (sf); previously on May 5, 2020
Downgraded to Ba2 (sf) and Placed Under Review for Possible
Downgrade

Cl. A-2, Confirmed at B3 (sf); previously on May 5, 2020 Downgraded
to B3 (sf) and Placed Under Review for Possible Downgrade

Cl. M-1, Confirmed at Caa2 (sf); previously on May 5, 2020 Caa2
(sf) Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The actions conclude the rating reviews initiated in May 2020
resulting from the increased likelihood of further deterioration in
the performance of the underlying small businesses and commercial
real estate as a result of a slowdown in US economic activity in
2020 due to the coronavirus outbreak.

The rating confirmations are due to the build-up of credit
enhancement levels including overcollateralization or reserve fund
and excess spread, since the beginning of the coronavirus outbreak.
In addition, the percentage of obligors enrolled in forbearance
plans has stabilized.

The rating downgrade on the Cl. A-1 note from Bayview Commercial
Asset Trust 2007-1, is primarily due to the increase in the 30+
delinquent loans including foreclosures and REO from 22.19% in
April 2020 payment date to 38.78% in August payment date.

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 small
businesses 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.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published in
May 2020.

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

Up

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

Down

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


BELLEMEADE RE 2020-2: DBRS Finalizes B Rating on Class M-2 Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage
Insurance-Linked Notes, Series 2020-2 (the Notes) issued by
Bellemeade Re 2020-2 Ltd. (BMIR 2020-2 or the Issuer):

-- $92.0 million Class M-1A at BBB (high) (sf)
-- $95.6 million Class M-1B at BBB (low) (sf)
-- $128.1 million Class M-1C at BB (low) (sf)
-- $89.8 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-plus days delinquency percentage is below
75% of the subordinate percentage. Unlike MILN transactions that
were rated prior to the Coronavirus Disease (COVID-19) pandemic,
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 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.


BENCHMARK 2020-B19: Fitch to Rate Class X-G Certs 'B-(EXP)sf'
-------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Benchmark 2020-B19 Mortgage Trust commercial mortgage pass-through
certificates series 2020-B19.

RATING ACTIONS

BMARK 2020-B19

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

  -- $13,153,000 class A-1 'AAAsf'; Outlook Stable;

  -- $135,130,000 class A-2 'AAAsf'; Outlook Stable;

  -- $104,500,000 class A-3 'AAAsf'; Outlook Stable;

  -- $85,000,000a class A-4 'AAAsf'; Outlook Stable;

  -- $384,142,000a class A-5 'AAAsf'; Outlook Stable;

  -- $16,663,000 class A-AB 'AAAsf'; Outlook Stable;

  -- $850,696,000b class X-A 'AAAsf'; Outlook Stable;

  -- $112,108,000 class A-S 'AAAsf'; Outlook Stable;

  -- $51,437,000 class B 'AA-sf'; Outlook Stable;

  -- $43,524,000 class C 'A-sf'; Outlook Stable;

  -- $94,961,000bc class X-B 'A-sf'; Outlook Stable;

  -- $46,162,000bc class X-D 'BBB-sf'; Outlook Stable;

  -- $18,464,000bc class X-F 'BB-sf'; Outlook Stable;

  -- $10,552,000bc class X-G 'B-sf'; Outlook Stable;

  -- $27,697,000c class D 'BBBsf'; Outlook Stable;

  -- $18,465,000c class E 'BBB-sf'; Outlook Stable;

  -- $18,464,000c class F 'BB-sf'; Outlook Stable;

  -- $10,552,000c class G 'B-sf'; Outlook Stable.

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

  -- $34,291,884c class H;

  -- $34,291,884bc class X-H;

  -- $55,532,994cd class VRR Interest.

(a) The initial certificate balances of class A-4 and A-5 are
unknown and expected to be $469,142,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-4 balance range is $0 to $170,000,000, and the expected
class A-5 balance range is $469,142,000 to $299,144,000.

(b) Notional amount and interest only (IO).

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

(d) Represents the non-offered, eligible vertical credit-risk
retention interest.

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

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 40 loans secured by 175
commercial properties having an aggregate principal balance of
$1,110,659,878 as of the cut-off date. The loans were contributed
to the trust by Citi Real Estate Funding Inc., JPMorgan Chase Bank,
National Association, and German American Capital Corporation.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 29.1% of the properties
by balance, cash flow analysis of 92.9% and asset summary reviews
on 100% of the pool.

KEY RATING DRIVERS

Fitch Leverage: The pool has lower leverage than other recent
Fitch-rated multiborrower transactions. The pool's Fitch LTV of
94.9% is well below the 2019 and YTD averages of 103.0% and 98.0%,
respectively. The pool's Fitch DSCR of 1.34x is above the 2019
average of 1.26x and above the YTD 2020 average of 1.30x. Excluding
investment-grade credit opinion loans, the pool has a Fitch DSCR
and LTV of 1.29x and 109.6%, respectively.

Credit Opinion Loans: Six loans, representing 34.3% of the deal,
have investment-grade credit opinions. This is a significantly
higher than the YTD 2020 and 2019 averages of 28.2% and 14.2%,
respectively. Four loans including BX Industrial Portfolio (7.7% of
pool), Moffett Place - Building 6 (5.2% of pool), Moffett Towers
Buildings A, B & C (4.8% of pool), and 1633 Broadway (4.1% of pool)
received stand-alone credit opinions of 'BBB -sf*'. Agellan
Portfolio (5.4% of pool) received a stand-alone credit opinion of
'A-sf*'. MGM Grand & Mandalay Bay (7.2% of pool) received a
stand-alone credit opinion of 'BBB+sf*'.

Above Average Pool Concentration: The top 10 loans comprise 57.1%
of the pool, which is greater than the YTD 2020 average of 55.6%
and the 2019 average of 51.0%. The loan concentration index (LCI)
of 433 is greater than the YTD 2020 and 2019 averages of 424 and
379, respectively.

RATING SENSITIVITIES

This section provides insight into the sensitivity of ratings when
one assumption is modified, while holding others equal. For U.S.
CMBS, the sensitivity reflects the impact of changes to property
net cash flow (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 positive
rating action/upgrade:

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'.

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

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

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

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

20% NCF Decline: 'Asf' / 'BBBsf' / 'BB+sf' / 'Bsf' / 'CCCsf' /
'CCCsf' / 'CCCsf'.

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

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and the findings
did not have an impact on the agency's analysis or conclusions. A
copy of the ABS Due Diligence Form 15-E received by Fitch in
connection with this transaction may be obtained via the link at
the bottom of the related rating action commentary.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and
enforcement mechanisms (RW&Es) that are disclosed in the offering
document and which relate to the underlying asset pool is available
by clicking the link to the Appendix. The appendix also contains a
comparison of these RW&Es to those Fitch considers typical for the
asset class as detailed in the Special Report titled
'Representations, Warranties and Enforcement Mechanisms in Global
Structured Finance Transactions'.

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).


BLACK DIAMOND 2016-1: S&P Affirms B+(sf) Rating on Class D-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1b-R2 and
A-2b-R2 replacement notes from Black Diamond CLO 2016-1 Ltd., a
collateralized loan obligation (CLO) originally issued in 2016 that
is managed by Black Diamond CLO 2016-1 Adviser LLC. At the same
time, S&P withdrew its ratings on the original class A-1b-R and
A-2B-R notes following payment in full on the Sept. 16, 2020,
refinancing date and affirmed its ratings on the class A-1a-R,
A-2a-R, B-R, C-R, and D-R notes.

On the Sept. 16, 2020, refinancing date, the proceeds from the
class A-1b-R2 and A-2b-R2 replacement note issuances were used to
redeem the original class A-1b-R and A-2b-R notes as outlined in
the transaction document provisions. Therefore, S&P withdrew its
ratings on the original notes in line with their full redemption,
and assigned ratings to the replacement notes.

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

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

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

  RATINGS ASSIGNED

  Black Diamond CLO 2016-1 Ltd./Black Diamond CLO 2016-1 LLC

  Replacement class     Rating       Amount (mil $)
  A-1b-R2               AAA (sf)             24.807
  A-2b-R2               AA (sf)               10.00
  
  RATINGS WITHDRAWN

  Black Diamond CLO 2016-1 Ltd./Black Diamond CLO 2016-1 LLC

                             Rating
  Original class       To              From
  A-1b-R               NR              AAA (sf)
  A-2b-R               NR              AA (sf)
  
  RATINGS AFFIRMED

  Black Diamond CLO 2016-1 Ltd./Black Diamond CLO 2016-1 LLC

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

  NR--Not rated.


CANYON CAPITAL 2014-2: Moody's Confirms Ba3 Rating on Cl. E-R Debt
------------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Canyon Capital CLO 2014-2, Ltd.:

US$20,000,000 Class D-R Senior 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$19,000,000 Class E-R Senior 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 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 November 2014 and refinanced
in April 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in April 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 3153, compared to 3007
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2818 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
17.2%. Nevertheless, Moody's noted that the OC tests for the Class
B Notes, the Class C Notes, the Class D Notes and the Class E 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:

Performing par and principal proceeds balance: $388,484,598

Defaulted Securities: $6,564,222

Diversity Score: 67

Weighted Average Rating Factor (WARF): 3200

Weighted Average Life (WAL): 5.0 years

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47.9%

Par haircut in OC tests and interest diversion test: 1.4%

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 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 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.

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.


CANYON CAPITAL 2015-1: Moody's Confirms Ba3 Rating on Cl. E-R Debt
------------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Canyon Capital CLO 2015-1, Ltd.:

US$20,900,000 Class D-R Senior 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$20,000,000 Class E-R Senior 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 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 April 2015 and refinanced in
April 2017, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
April 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 3187, compared to 2994
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2827 reported in the
July 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
18.3%. Nevertheless, Moody's noted that the OC tests for the Class
B Notes, the Class C Notes, the Class D Notes and the Class E 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:

Performing par and principal proceeds balance: $410,207,101

Defaulted Securities: $6,035,610

Diversity Score: 67

Weighted Average Rating Factor (WARF): 3233

Weighted Average Life (WAL): 5.0 years

Weighted Average Spread (WAS): 3.41%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47.9%

Par haircut in OC tests and interest diversion test: 1.2%

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 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 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.

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.


CARLYLE US 2017-4: Moody's Confirms Ba3 Rating on Class D Notes
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Carlyle US CLO 2017-4, Ltd.:

US$38,100,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$27,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D Notes"), Confirmed at Ba3 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class C Notes and the 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 Confirmed Notes issued by the CLO. The CLO,
originally issued 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 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 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 3286 compared to 2983
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3088 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
18.54%. 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: $584,339,393

Defaulted Securities: $7,012,384

Diversity Score: 85

Weighted Average Rating Factor (WARF): 3270

Weighted Average Life (WAL): 5.90 years

Weighted Average Spread (WAS): 3.44%

Weighted Average Coupon (WAC): 8.0%

Weighted Average Recovery Rate (WARR): 47.58%

Par haircut in OC tests and interest diversion test: 1.58%

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 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.

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.


CARLYLE US 2018-1: Moody's Confirms Ba3 Rating on Class D Notes
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Carlyle US CLO 2018-1, Ltd.

US$41,000,000 Class C Mezzanine 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$28,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Confirmed at Ba3 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C Notes and Class D 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 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 August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3373, compared to 2995
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3148 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 20%.
Nevertheless, Moody's noted that the OC tests for the Class C
Notes, Class D Notes, as well as the interest diversion test were
recently reported as passing.

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

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

Performing par and principal proceeds balance: $587,411,715

Defaulted Securities: $6,348,375

Diversity Score: 84

Weighted Average Rating Factor (WARF): 3354

Weighted Average Life (WAL): 5.88 years

Weighted Average Spread (WAS): 3.39%

Weighted Average Coupon (WAC): 8.00%

Weighted Average Recovery Rate (WARR): 47.89%

Par haircut in OC tests and interest diversion test: 1.36%

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 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.

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

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


CBAM LTD 2019-9: Moody's Confirms Ba3 Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by CBAM 2019-9, Ltd.:

US$37,500,000 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$36,300,000 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 Class E Notes issued by the CLO. The
CLO, issued in 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 in February 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 2964, compared to 2802
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2939 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
12.2%. Moody's noted that the OC tests, as well as the interest
diversion test were recently reported [4] as passing.

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

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

Performing par and principal proceeds balance: $589,297,777

Defaulted Securities: $9,449,909

Diversity Score: 67

Weighted Average Rating Factor (WARF): 2978

Weighted Average Life (WAL): 6.1 years

Weighted Average Spread (WAS): 3.49%

Weighted Average Recovery Rate (WARR): 46.6%

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; 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 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.

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.


CCUBS COMMERCIAL 2017-C1: Fitch Affirms B- on Cl. G-RR Certs
------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of CCUBS Commercial Mortgage
Trust 2017-C1 commercial mortgage pass-through certificates. Fitch
also revised the Outlooks to Negative from Stable on two classes.

RATING ACTIONS

CCUBS 2017-C1

Class A-1 12508GAQ9; LT AAAsf Affirmed; previously AAAsf

Class A-2 12508GAR7; LT AAAsf Affirmed; previously AAAsf

Class A-3 12508GAT3; LT AAAsf Affirmed; previously AAAsf

Class A-4 12508GAU0; LT AAAsf Affirmed; previously AAAsf

Class A-S 12508GAX4; LT AAAsf Affirmed; previously AAAsf

Class A-SB 12508GAS5; LT AAAsf Affirmed; previously AAAsf

Class B 12508GAY2; LT AA-sf Affirmed; previously AA-sf

Class C 12508GAZ9; LT A-sf Affirmed; previously A-sf

Class D 12508GAA4; LT BBBsf Affirmed; previously BBBsf

Class D-RR 12508GAC0; LT BBB-sf Affirmed; previously BBB-sf

Class E-RR 12508GAE6; LT BB+sf Affirmed; previously BB+sf

Class F-RR 12508GAG1; LT BB-sf Affirmed; previously BB-sf

Class G-RR 12508GAJ5; LT B-sf Affirmed; previously B-sf

Class X-A 12508GAV8; LT AAAsf Affirmed; previously AAAsf

Class X-B 12508GAW6; LT AA-sf Affirmed; previously AA-sf

KEY RATING DRIVERS

Increased Loss Expectations: Despite a majority of the pool
exhibiting relatively stable performance, loss expectations have
increased. This is primarily attributable to the social and market
disruption caused by the effects of the coronavirus pandemic and
related containment measures. Fitch has designated seven loans
(14.67%) as Fitch Loans of Concern (FLOCs), including two specially
serviced loans (5.35% of the pool). Two of the top-15 loans are
FLOCs (7.1% of the pool).

Coronavirus Pandemic's Impact: Loans secured by retail properties
comprise 22.00% of the pool, including one in the top 15 (3.58%).
The pool's retail component has a weighted average debt-service
coverage ratio (DSCR) of 2.18x. Loans secured by hotel properties
comprise 10.00% of the pool, including two in the top 15 (6.79%),
one of which is in special servicing. The pool's hotel component
has a weighted average DSCR of 2.82x. The majority of the pool
exhibited stable performance prior to the pandemic. Additional
pandemic-related stresses were applied to two hotel loans (4.1%)
and three retail loans (2.8%); these additional stresses
contributed to the Negative Outlooks on classes F-RR and G-RR.

FLOCs: Headquarters Plaza (3.61% of the pool) is the 10th largest
loan in the pool and the largest FLOC. The property is located in
Morristown, NJ and collateral includes a mixed-use office, hotel
and retail complex featuring three office towers, restaurants, a
10-screen movie theater, an upscale health club and the 256-key
Hyatt Regency Morristown. The loan transferred to special servicing
in June 2020 due to payment default and is currently more than 90
days delinquent. As of YE 2019, the subject was 92% occupied with
an NOI DSCR of 2.26x. Reported YE 2019 NOI increased approximately
5% over the YE 2018 NOI, but was 12% below Fitch's NOI at issuance.
According to the special servicer, discussions are ongoing
regarding the loan's workout strategy, which has not yet been
determined.

The second largest FLOC is Westin Crystal City (3.47% of the pool),
the 12th largest loan in the pool. The loan is secured by a
220-room, 15-story full-service hotel located in Arlington, VA,
constructed in 1984. Although the YE 2019 NOI DSCR and occupancy
were stable at 2.40x and 81%, occupancy declined to 48% by March
2020 and the June 2020 Smith Travel Research (STR) report indicates
substantial declines for the property and submarket. Recent
performance declines are likely related to travel slowdowns as a
result of the pandemic. The borrower requested debt service payment
relief in April 2020, which was granted. Terms of the loan's
forbearance include a deferment of payments through September 2020,
to be repaid by the September 2021 debt service payment date.

The third largest FLOC is 130 Bowery Street (1.73% of the pool),
which is secured by a two-story, 32,700sf, single-tenant commercial
building located at the corner of Bowery and Grand Street in lower
Manhattan. The property is 100% leased to a borrower affiliate, and
is rented out as event space. The loan transferred to special
servicing in June 2020 due to payment default, and is currently
more than 90 days delinquent. The borrower requested debt service
payment relief in July 2020. The special servicer remains in
negotiations regarding potential forbearance terms as well as the
option of a note sale.

The remaining four FLOCs are outside of the top 15 and represent
5.86% of the pool combined.

Minimal Changes to Credit Enhancement: As of the August 2020
distribution date, the pool's aggregate principal balance has been
paid down by 0.71%, to $691.8 million from $696.7 million at
issuance. No loans have paid off or defeased since issuance. There
have been no realized losses to date. Cumulative interest
shortfalls totaling $15,138 are affecting the nonrated class NR-RR
due to two delinquent loans. Twenty-one loans representing 72.0% of
the pool balance are interest-only for the full term. An additional
six loans representing 12.7% of the pool were structured with
partial interest-only periods, four of which (9.86% of the pool)
have not yet begun amortizing as of the September 2020
distribution. Five loans representing 17.1% of the pool are
scheduled to mature in 2022, and all remaining loans are scheduled
to mature in 2027.

RATING SENSITIVITIES

The Outlooks on classes A-1 through E-RR as well as X-A and X-B
remain Stable.

The Outlooks on classes F-RR and G-RR have been revised to Negative
from Stable.

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

Upgrades could be triggered by 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, D-RR and E-RR would only occur with significant
improvement in credit enhancement and stabilization of the FLOCs.
An upgrade to classes F-RR and G-RR is not likely unless
performance of the FLOCs improves, and if performance of the
remaining pool is stable.

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

Downgrades could be triggered by an increase in pool-level losses
from underperforming or specially serviced loans. Downgrades to the
classes rated 'AAAsf' are not considered likely due to position in
the capital structure, but may occur at 'AAAsf' or 'AA-sf' should
interest shortfalls occur. Downgrades to classes C and D may occur
if overall pool performance declines or loss expectations increase.
Downgrades to classes D-RR and E-RR may occur if loans in special
servicing remain unresolved, or if performance of the FLOCs fails
to stabilize. Downgrades to classes F-RR and G-RR may occur if
additional loans default or transfer to the special servicer.

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 a greater percentage of
classes may be given a Negative Outlook, or those with Negative
Outlooks will be downgraded one or more categories.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


CIFC FUNDING 2017-I: Moody's Cuts Rating on Class E Notes to B1
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by CIFC Funding 2017-I, Ltd:

US$46,400,000 Class D Mezzanine 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$33,600,000 Class E Junior 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 and Class E Notes issued by the CLO. The
CLO, originally 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 August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3278, compared to 2904
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2936 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
19.2%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $790.3
million, or $9.7 million less than the deal's ramp-up target par
balance. 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: $788,612,988

Defaulted Securities: $8,622,799

Diversity Score: 78

Weighted Average Rating Factor (WARF): 3302

Weighted Average Life (WAL): 4.8 years

Weighted Average Spread (WAS): 3.39%

Weighted Average Recovery Rate (WARR): 47.44%

Par haircut in OC tests and interest diversion test: 1.7%

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

The 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 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.

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

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


CIFC FUNDING 2017-III: Moody's Lowers Rating on Class D Notes to B1
-------------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by CIFC Funding 2017-III, Ltd.:

US$44,800,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Downgraded to Ba1 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$28,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Downgraded to B1 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

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

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3222, compared to
2,885 reported in the March 2020 trustee report [2]. Moody's also
noted that the WARF was failing the test level of 2956 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 $690.7
million, or $9.3 million less than the deal's ramp-up target par
balance. Moody's noted that the OC tests for the Class A, Class B,
Class C and Class D notes, as well as the interest diversion test
were recently reported as passing.

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

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

Performing par and principal proceeds balance: $684,844,226

Defaulted Securities: $10,568,386

Diversity Score: 81

Weighted Average Rating Factor (WARF): 3243

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.37%

Weighted Average Recovery Rate (WARR): 47.43%

Par haircut in OC tests and interest diversion test: 0.5%

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

The 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 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.

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.


CIG AUTO 2020-1: DBRS Assigns Prov. BB Rating on Class E Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes (the Notes) to be issued by CIG Auto Receivables Trust 2020-1
(the Issuer):

-- $116,940,000 Class A Notes at AAA (sf)
-- $18,290,000 Class B Notes at AA (sf)
-- $8,660,000 Class C Notes at A (sf)
-- $25,510,000 Class D Notes at BBB (sf)
-- $11,070,000 Class E Notes at BB (sf)

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

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

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

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

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

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary Global
Macroeconomic Scenarios: September Update, published on September
10, 2020. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020 and has been regularly updated. The
scenarios were last updated on September 10, 2020, and are
reflected in DBRS Morningstar's rating analysis. The assumptions
consider the moderate macroeconomic scenario outlined in the
commentary, with the moderate scenario serving as the primary
anchor for current ratings. The moderate scenario remains
predicated on a more rapid return of confidence and a steady
recovery heading into 2021.

-- The capabilities of CIG Financial, LLC (CIG) with regard to
originations, underwriting, and servicing.

-- The CIG senior management team has considerable experience and
a successful track record within the auto finance industry, having
managed the company through multiple economic cycles.

-- The quality and consistency of provided historical static pool
data for CIG originations and performance of the CIG auto loan
portfolio.

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

The CIGAR 2020-1 transaction represents the second public term
securitization of subprime auto loans and will offer both senior
and subordinate rated securities. The receivables securitized in
CIGAR 2020-1 will be subprime automobile loan contracts secured
primarily by used automobiles, light-duty trucks, minivans, and
sport-utility vehicles.

The rating on the Class A Note reflects the 40.75% of initial hard
credit enhancement provided by the subordinated notes in the pool
(33.00%), the Reserve Account (1.50%), and overcollateralization
(6.25%). The ratings on the Class B, C, D, and E Notes reflect
31.25%, 26.75%, 13.50%, and 7.75% of initial hard credit
enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.

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


CIG AUTO 2020-1: Moody's Gives (P)Ba3 Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to the notes
to be issued by CIG Auto Receivables Trust 2020-1. This is the
first auto loan transaction of the year for CIG Financial, LLC
(CIG; Unrated). The notes will be backed by a pool of retail
automobile loan contracts originated by CIG, who is also the
servicer and administrator for the transaction.

The complete rating actions are as follows:

Issuer: CIG Auto Receivables Trust 2020-1

Class A Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa2 (sf)

Class C Notes, Assigned (P)A1 (sf)

Class D Notes, Assigned (P)Baa2 (sf)

Class E Notes, Assigned (P)Ba3 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, the experience and expertise of CIG as servicer and
administrator, and the presence of Wilmington Trust, National
Association (long-term CR assessment A1(cr) stable) as named backup
servicer.

Moody's median cumulative net loss expectation for the 2020-1 pool
is 14.0% and the loss at a Aaa stress is 50%. The expected loss is
higher by 2.5 percentage points than its initial expected loss for
CIGAR 2019-1, the last transaction that Moody's rated. Moody's
based its cumulative net loss expectation on an analysis of the
credit quality of the underlying collateral; the historical
performance of similar collateral, including securitization
performance and managed portfolio performance; the ability of CIG
to perform the servicing functions; and current expectations for
the macroeconomic environment during the life of the transaction.

At closing, the Class A notes, Class B notes, Class C notes and
Class D notes are expected to benefit from 40.75%, 31.25%, 26.75%,
13.50%, and 7.75%, of hard credit enhancement, respectively. Hard
credit enhancement for the notes consists of a combination of
overcollateralization, a non-declining reserve account and
subordination except for the Class E notes which do not benefit
from subordination. The notes may also benefit from excess spread.

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
consumer assets 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. Specifically, for auto
loan ABS, loan performance will weaken due to the unprecedented
spike in the unemployment rate that may limit the borrower's income
and their ability to service debt. The softening of used vehicle
prices due to lower demand will reduce recoveries on defaulted auto
loans, also a credit negative. Furthermore, borrower assistance
programs to affected borrowers, such as extensions, may adversely
impact scheduled cash flows to bondholders. As a result, the degree
of uncertainty around its forecasts is unusually high.

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

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
July 2020.

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

Up

Moody's could upgrade the subordinated notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud.


CIM TRUST 2020-INV1: Moody's Rates Class B-5 Debt 'B3'
------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 34 classes
of residential mortgage-backed securities issued by CIM Trust (CIM)
2020-INV1. The ratings range from Aaa (sf) to B3 (sf).

CIM Trust 2020-INV1 (CIM 2020-INV1) the second rated transaction
sponsored by Chimera Investment Corporation (Chimera or the
sponsor) in 2020, is a prime RMBS securitization of fixed-rate
agency-eligible mortgages secured by first liens on
non-owner-occupied residential investor properties with original
term to maturity of up to 30 years. This transaction represents the
first investor prime issuance by the sponsor in 2020. The mortgage
loans were acquired by the affiliate of the sponsor, Fifth Avenue
Trust (seller) from Bank of America National Association (BANA).
BANA acquired the mortgage loans through its whole loan purchase
program from various originators.

As of the cut-off date of September 1, 2020, the pool contains
1,009 mortgage loans with an aggregate principal balance of
$335,064,756 secured by one- to four family residential properties,
planned unit developments and condominiums. The average stated
principal balance is $332,076 and the weighted average (WA) current
mortgage rate is 4.3%. The mortgage pool has a WA original term of
approximately 30 years (359 months). The mortgage pool has a WA
seasoning of 7.7 months. The borrowers have a WA credit score of
770, WA combined loan-to-value ratio (CLTV) of 64.3% and WA
debt-to-income ratio (DTI) of 35.5%. Approximately 13.1% of the
pool balance is related to borrowers with more than one mortgage
loan in the pool (a total of 121 loans among 55 unique borrowers).

There are 70 loans (6.4% by stated principal balance) which had at
least 1-month delinquency in the past 12 months, of which 22 are
coronavirus (or COVID-19) related (1.8% by stated principal
balance), and approximately 42 loans (4.2% by stated principal
balance) experienced a delinquency due to servicing transfers. As
of the cut-off date, no borrower under any mortgage loan is
currently in an active COVID-19 related forbearance plan with the
servicer. All loans in the pool are current as of the cut-off
date.

There are 7 originators in the transaction, the largest of which
are United Shore Financial Services, LLC (45.0%), loanDepot.com,
LLC (43.1%), and Provident Funding Associates, L.P. (5.7%). Each
mortgage loan was represented by the related originator to be
secured by an investment property (which includes for such purpose
both business purpose loans and personal use loans). None of the
"business-purpose" mortgage loans included in this transaction are
qualified residential mortgages under U.S. risk retention rules.
All of the personal use loans are "qualified mortgages" under
Regulation Z as result of the temporary provision allowing
qualified mortgage status for loans eligible for purchase,
guaranty, or insurance by Fannie Mae and Freddie Mac (and certain
other federal agencies). As of the closing date, the sponsor or a
majority-owned affiliate of the sponsor will retain an eligible
horizontal residual interest with a fair value of at least 5% of
the aggregate fair value of the certificates issued by the trust,
which is expected to satisfy U.S. risk retention rules.

Shellpoint Mortgage Servicing (Shellpoint), a division of NewRez
LLC, f/k/a New Penn Financial, LLC, will service all the mortgage
loans in the transaction. Wells Fargo Bank, N.A. (Wells Fargo) will
be the master servicer. Three third-party review (TPR) firms
verified the accuracy of the loan level information that Moody's
received from the sponsor. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on 100% of
the mortgage loans in the collateral pool. The TPR results indicate
that there are no material compliance, credit, or data issues and
no appraisal defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its expected losses based on qualitative attributes,
including the financial strength of the representation and
warranties (R&W) provider and TPR results.

CIM 2020-INV1 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
its analysis of tail risk, Moody's considered the increased risk
from borrowers with more than one mortgage in the pool.

The complete rating actions are as follows:

Issuer: CIM Trust 2020-INV1

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 Aa1 (sf)

Cl. A-14, Assigned Aa1 (sf)

Cl. A-15, Assigned Aaa (sf)

Cl. A-16, Assigned Aaa (sf)

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

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

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

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

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

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

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

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

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

Cl. B-1, Assigned Aa3 (sf)

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

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

Cl. B-2, Assigned A3 (sf)

Cl. B-IO2*, Assigned A3 (sf)

Cl. B-2A, Assigned A3 (sf)

Cl. B-3, Assigned Baa2 (sf)

Cl. B-4, Assigned Ba2 (sf)

Cl. B-5, Assigned B3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
1.04%, in a baseline scenario-median is 0.68%, and reaches 9.43% at
a stress level consistent with its Aaa ratings.

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
residential mortgage loans 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.

The contraction in economic activity in the second quarter was
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's
increased its model-derived median expected losses by 15.00%
(11.39% for the mean) and its Aaa losses by 5.00% to reflect the
likely performance deterioration resulting from of a slowdown in US
economic activity in 2020 due to the coronavirus 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

Moody's assessed the collateral pool as of the cut-off date of
September 1, 2020. As of the cut-off date, the $335,064,756 pool
consisted of 1,009 fixed rate agency-eligible mortgage loans
secured by first liens on non-owner-occupied residential investor
properties with original terms to maturity up to 30 years (99.5% of
pool balance between 25-30 years). All of the loans were originated
in accordance with Freddie Mac and Fannie Mae guidelines, which
take into consideration, among other factors, the income, assets,
employment and credit score of the borrower. All the loans were run
through one of the governments sponsored enterprises' (GSE)
automated underwriting systems (AUS) and received an "Approve" or
"Accept" recommendation.

Pool strengths include the high credit quality of the underlying
borrowers. The borrowers in this transaction have high FICO scores
and sizeable equity in their properties. The WA original primary
borrower credit score is 770 and the CLTV is 64.3%. Only one loan
in the pool has an LTV ratio greater than 80%. High LTV loans
generally have a higher probability of default and higher loss
severity compared to lower LTV loans. Additionally, the borrowers
have a high WA total monthly income of $17,921 and significant WA
liquid cash reserves of $192,626 (approximately 75.6% of the pool
has more than the amount of 12 months of mortgage payments in
reserve).

Approximately 73.9% (by loan balance) of the properties backing the
mortgage loans are located in five states: California, New York,
Washington, Colorado and Arizona, with 54.6% (by loan balance) of
the properties located in California. Properties located in the
states of New Jersey, Texas, Virginia, Oregon and Florida, round
out the top ten states by loan balance. Approximately 87.5% (by
loan balance) of the properties backing the mortgage loans included
in CIM 2020-INV1 are located in these ten states. The top five MSAs
by loan balance are Los Angeles (22.1%), New York (9.0%), San
Francisco (8.3%), San Diego (5.5%) and San Jose (4.0%). Moody's
made adjustments in its analysis to account for this geographic
concentration risk.

Overall, the credit quality of the mortgage loans backing this
transaction is in line with other transactions issued by other
prime issuers.

There are 70 loans which had at least 1-month delinquency in the
past 12 months, of which 22 are COVID-19 related (1.8% by stated
principal balance), and approximately 42 loans (4.2% by stated
principal balance) experienced a delinquency due to servicing
transfers. However, all loans in the pool are current as of the
cut-off date. Furthermore, as of the cut-off date, no borrower
under any mortgage loan is currently in an active COVID-19 related
forbearance plan with the servicer. Certain borrowers under
mortgage loans in the mortgage pool (44 loans or 4.5% by stated
principal balance) previously have entered into a COVID-19 related
forbearance plan loans with the servicer and such borrowers have
since been reinstated (of which 1.8%, by stated principal balance,
experienced a delinquency in the past 12 months). In the event that
after the cut-off date a borrower enters into or requests a
COVID-19 related forbearance plan, such mortgage loan will remain
in the mortgage pool and the servicer will be required to make
advances in respect of delinquent interest and principal (as well
as servicing advances) on such mortgage loan during the forbearance
period (to the extent such advances are deemed recoverable).
Furthermore, any mortgage loan that becomes subject to a
forbearance plan will be reported by the servicer as delinquent
with respect to each scheduled monthly payment that is subject to
the forbearance plan and not made by the related mortgagor during
the related forbearance period.

Origination

The seller acquired the mortgage loans from BANA. BANA acquired the
loans in the pool from 7 different originators. The largest
originators in the pool with more than 10% by balance are United
Shore Financial Services, LLC (44.7%) and LoanDepot.com, LLC (43%).
The mortgage loans acquired by the seller pursuant to the CIM
2020-INV1 acquisition criteria. Generally, each mortgage loan must
(i) be underwritten to conform to the GSE's underwriting standards
and have valid findings and an "Approve" or "Accept" response from
the requirements of the DU/LP Programs, (ii) have a representative
FICO score of greater than or equal to 680, (iii) have a maximum
DTI of 45% and (iv) have a LTV ratio of less than or equal to 80%.

United Shore Financial Services, LLC (United Shore): United Shore
was founded in 1986 and is headquartered in Pontiac, Michigan.
United Wholesale Mortgage, the company's primary business unit,
conducts wholesale mortgage lending. United Shore is licensed to
originate loans in all 50 states. United Shore funds loans brokered
by its broker clients and buys loans originated by its
correspondent clients. Its clients include mortgage banks, smaller
lenders, credit unions and mortgage brokers and its loan product
offerings include FHA, VA and USDA loans, Fannie Mae and Freddie
Mac eligible loans, and certain non-conforming loan products.
United Shore underwrites all of the loans of its broker and
correspondent clients and such underwriting is performed according
to, as applicable, agency, investor, private mortgage insurer and
United Shore guidelines, United Shore overlays and United Shore
product descriptions.

loanDepot.com, LLC (loanDepot): Headquartered in Foothill Ranch,
CA, loanDepot is a national retail focused franchise, non-bank
lender which originates both agency and non-agency loans. Founded
in 2009 and launched in 2010 by Chairman and CEO Anthony Hsieh,
loanDepot has funded approximately $180 billion residential
mortgage loans as of FY 2019. After its initial launch, loanDepot's
growth strategy included acquiring independent retail platforms
across the country and using mobile, licensed lending officers to
build a nationwide retail presence. loanDepot is primarily engaged
in the origination of residential mortgages and home equity loans.
loanDepot has management team of experienced operators and lenders,
licensed mortgage lender in all 50 states, 6,600 employee, 2,300+
licensed loan officers, 5 national fulfillment centers, 225 local
branch offices across the U.S., and generates 900,000+ new leads
each month. The company had $180 billion of loan originations in
FY19 and is currently originating around ~$7 billion/month. The
company had a compounded growth in originations of 40% annually
from FY 2010-Q1 2020. In addition to its core lending activities
and established capital markets relationships, loanDepot has also
invested in several strategic joint ventures whose services
complement its core mortgage lending business such as escrow,
settlement, title, closing, new home construction and investment
management. Partners range from private to public, national and
regional, financial services to homebuilders.

With one exception, Moody's did not make an adjustment for
GSE-eligible loans, regardless of the originator, since those loans
were underwritten in accordance with agency guidelines. Moody's
increased its loss assumption for the loans originated by Home
Point Financial Corporation (4.4% by stated principal balance) due
to limited historical performance data, reduced retail footprints
which limits the seller's oversight on originations, and lack of
strong controls to support recent rapid growth.

Servicing Arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate, and as a result Moody's did not make any
adjustments to its base case and Aaa stress loss assumptions based
on the servicing arrangement.

Shellpoint will service all the mortgage loans in the transaction.
Shellpoint is generally obligated to fund monthly advances of cash
(to the extent such advances are deemed recoverable) and to make
interest payments to compensate in part for any shortfall in
interest payments due to prepayment of the mortgage loans.
Shellpoint services a variety of residential mortgage products
including conforming first lien mortgages, super-jumbo mortgages,
non-conforming first and second lien mortgages and both open and
closed home equity lines of credit (HELOCS). Shellpoint is an
approved servicer in good standing with Ginnie Mae, Fannie Mae and
Freddie Mac. As of August 31, 2020, the company's servicing
portfolio totaled approximately 1,526,989 loans with an unpaid
principal balance of approximately $268 billion. Shellpoint's
senior management team has an average of more than 15 years'
industry experience, providing a solid base of knowledge and
leadership to the company's servicing division.

Wells Fargo, the master servicer, will monitor the performance of
the servicer and will be obligated to fund any required advance and
interest shortfall payments if a servicer fails in its obligation
to do so. Moody's considers the presence of a strong master
servicer to be a mitigant for any servicing disruptions. Its
evaluation of Wells Fargo as a master servicer takes into account
the bank's strong reporting and remittance procedures, servicer
compliance and monitoring capabilities and servicing stability.
Wells Fargo's oversight encompasses loan administration, default
administration, compliance and cash management.

Also, at its option, the controlling holder may engage, at its own
expense, an asset manager to review the actions of any party
servicing the mortgage loans with respect to their actions
(including making determinations regarding whether a servicer is
making modifications or servicing the mortgage loans in accordance
with the terms of the respective agreement.

Moody's did not make any adjustments to its base case and Aaa
stress loss assumptions based on the servicing arrangement. Moody's
considers the presence of a strong master servicer and the ability
of the controlling holder to appoint an asset manager to review the
actions of any party servicing the mortgage loans to be a mitigant
against the risk of any servicing disruptions.

Servicing Fee

Shellpoint will be paid a monthly fee calculated as the product of
(i) 0.0700% per annum, multiplied by (ii) the stated principal
balance of the loans it services as of the first day of the related
period divided by (iii) twelve. The per annum servicing fee rate
for Shellpoint for any distribution date will not exceed an amount
equal to 0.0900% of the aggregate stated principal balance of the
mortgage loans as of the first day of the related period.

Wells Fargo will be paid amount equal to the greater of (i) the
product of one-twelfth of the master servicing fee rate (0.0265%
per annum) and the stated principal balance of each mortgage loan
as of the first day of the related due period and (ii) $2,500.

Third Party Review

Three TPR firms verified the accuracy of the loan level
information. These firms conducted detailed credit, property
valuation, data accuracy and compliance reviews on 100% of the
mortgage loans in the collateral pool. The TPR results indicate
that the majority of reviewed loans were in compliance with
respective originators' underwriting guidelines, no material
compliance or data issues, and no appraisal defects. The majority
of the data integrity errors were due to minor discrepancies which
were corrected in the final collateral tape and thus Moody's did
not make any adjustments to its credit enhancement.

The overall property valuation review for this transaction is
weaker than other prime transactions Moody's has rated, which
typically had third-party valuation products, such as desktop
appraisals or field reviews, ordered for the vast majority of the
collateral pool. In this transaction, for most of the mortgage
loans, the original appraisal was evaluated using only an Automatic
Valuation Model (AVM). Moody's applied an adjustment to the loss
for such loans, since Moody's considers AVMs to be less accurate
than desk reviews and field reviews due to inherent data
limitations that could adversely impact the reliability of AVM
results.

For 29 loans (2.4% by stated principal balance), the file was
missing an appraisal because such loan was approved via a property
inspection/appraisal waiver program. An appraisal waiver loan is a
loan for which a traditional appraisal has been waived. Since the
product was only introduced relatively recently, in a positive
macro-economic environment, sufficient time has not passed to
determine whether the loan level valuation risk related to a
GSE-eligible loan with an appraisal waiver is the same as a
GSE-eligible loan with a traditional appraisal due to lack of
significant data. Thus, to account for the risk associated with
this product, Moody's increased its base case and Aaa loss
expectations for all such loans.

Representation & Warranties

Overall, Moody's assessed R&W framework for this transaction as
adequate, consistent with that of other prime transactions for
which the breach review process is thorough, transparent and
objective, and the costs and manner of review are clearly outlined
at issuance. Moody's assessed the R&W framework based on three
factors: (a) the financial strength of the remedy provider; (b) the
strength of the R&Ws (including qualifiers and sunsets) and (c) the
effectiveness of the enforcement mechanisms.

Each originator will provide comprehensive loan level R&Ws for
their respective loans. Overall, the loan-level R&Ws are strong
and, in general, either meet or exceed the baseline set of
credit-neutral R&Ws Moody's identified for US RMBS. BANA will
assign each originator's R&W to the seller, who will in turn assign
to the depositor, which will assign to the trust. To mitigate the
potential concerns regarding the originators' ability to meet their
respective R&W obligations, the seller (an affiliate of the
sponsor) will backstop the R&Ws for all originator's loans. The R&W
provider's obligation to backstop third party R&Ws will terminate 5
years after the closing date, subject to certain performance
conditions. The R&W provider will also provide the gap R&Ws.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give confidence that the
loans do not systemically breach the R&Ws the originators have made
and that the originators are unlikely to face material repurchase
requests in the future. Furthermore, the transaction has reasonably
well-defined processes in place to identify loans with defects on
an ongoing basis. In this transaction, an independent reviewer,
when appointed, must review loans for breaches of representations
and warranties when certain clearly defined triggers have been
breached (review event). A review event will be in effect for a
mortgage loan if (i) such mortgage loan has become 120 days or more
delinquent, (ii) such mortgage loan is liquidated and such
liquidation results in a realized loss, or (iii) the related
servicer determines that a monthly advance for a mortgage loan is
nonrecoverable. Of note, in a continued effort to focus breach
reviews on loans that are more likely to contain origination
defects that led to or contributed to the delinquency of the loan,
an additional carve out has been in recent transactions Moody's has
rated from other issuers relating to the delinquency review
trigger. Similarly, in this transaction, exceptions exist for
certain excluded disaster mortgage loans that trip the review
event. These excluded disaster loans include COVID-19 forbearance
loans.

Transaction Structure

The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order. Realized losses are allocated in a reverse sequential order,
first to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

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 0.70% of the closing pool
balance.

Other Considerations

In CIM 2020-INV1, the controlling holder has the option to hire at
its own expense the independent reviewer upon the occurrence of a
review event. If there is no controlling holder (no single entity
holds a majority of the class principal amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at the cost
of the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals are borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter.

Moody's considers this credit neutral because a) the appraiser is
chosen by the servicer from the approved list of appraisers, b) the
fair value of the property is decided by the servicer, based on
third party appraisals, and c) the controlling holder will pay the
fair price and accrued interest.

Servicing Arrangement / COVID-19 Impacted Borrowers

As of the cut-off date, no borrower under any mortgage loan has
entered into a Covid-19 related forbearance plan with the servicer.
In the event that after the cut-off date a borrower enters into or
requests an active COVID-19 related forbearance plan, such mortgage
loan will remain in the mortgage pool and the servicer will be
required to make advances in respect of delinquent interest and
principal (as well as servicing advances) on such mortgage loan
during the forbearance period (to the extent such advances are
deemed recoverable) and the mortgage loan will be considered
delinquent for all purposes under the transaction documents. At the
end of the forbearance period, as with any other modification, to
the extent the related borrower is not able to make a lump sum
payment of the forborne amount, the servicer may, subject to the
servicing matrix, offer the borrower a repayment plan, enter into a
modification with the borrower (including a modification to defer
the forborne amounts) or utilize any other loss mitigation option
permitted under the pooling and servicing agreement.

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

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020. The methodologies
used in rating interest-only classes were "Moody's Approach to
Rating US RMBS Using the MILAN Framework" published in April 2020,
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019.


CITIGROUP COMMERCIAL 2006-C5: Fitch Affirms D Rating on Cl. O Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Citigroup Commercial
Mortgage Trust, commercial mortgage pass-through certificates,
series 2006-C5.

RATING ACTIONS

Citigroup Commercial Mortgage Trust 2006-C5

Class A-J 17310MAH3; LT Csf Affirmed; previously at Csf

Class B 17310MAJ9; LT Csf Affirmed; previously at Csf

Class C 17310MAK6; LT Csf Affirmed; previously at Csf

Class D 17310MAL4; LT Dsf Affirmed; previously at Dsf

Class E 17310MAQ3; LT Dsf Affirmed; previously at Dsf

Class F 17310MAS9; LT Dsf Affirmed; previously at Dsf

Class G 17310MAU4; LT Dsf Affirmed; previously at Dsf

Class H 17310MAW0; LT Dsf Affirmed; previously at Dsf

Class J 17310MAY6; LT Dsf Affirmed; previously at Dsf

Class K 17310MBA7; LT Dsf Affirmed; previously at Dsf

Class L 17310MBC3; LT Dsf Affirmed; previously at Dsf

Class M 17310MBE9; LT Dsf Affirmed; previously at Dsf

Class N 17310MBG4; LT Dsf Affirmed; previously at Dsf

Class O 17310MBJ8; LT Dsf Affirmed; previously at Dsf

KEY RATING DRIVERS

High Loss Expectations: The rating affirmations reflect the
continued high certainty of losses on the remaining REO assets,
which comprise 92.4% of the pool. Default of classes A-J, B and C
is considered inevitable.

Three of the six remaining loans/assets in the pool are REO
(92.4%), with significant losses expected upon liquidation. The
three non-specially serviced loans (7.6%) include one defeased loan
(4.2%) and two loans (3.5%) which are secured by multifamily
properties located in Texas and South Carolina that are low
leveraged and scheduled to mature in August and October 2021.

As of the August 2020 distribution date, the pool's aggregate
principal balance has been reduced by 95.3% to $99.5 million from
$2.1 billion at issuance. Realized losses since issuance total $185
million (8.7% of original pool balance). Cumulative interest
shortfalls totaling $15.4 million are currently affecting classes
A-J through D, G through K and M through P.

REO Assets: The largest asset, IRET Portfolio (73.2% of pool),
which became REO in January 2016, was initially comprised of a
portfolio of nine suburban office properties totaling approximately
937,000 sf located in the Omaha, NE MSA (four properties), the
greater Minneapolis, MN MSA (two), the St. Louis, MO MSA (two) and
Leawood, KS (one). Seven of those properties have since been sold
at auction between March 2017 and September 2018. The two remaining
REO properties include the Flagship Corporate Center in Eden
Prairie, MN and the Farnam Executive Center in Omaha, NE. Occupancy
at the Flagship Corporate Center, the larger of the two remaining
properties, was 67.8% as of July 2020, down from 73.8% in May 2019,
after two tenants vacated at lease expiration in 2019.
Approximately 18% of the NRA rolls through YE 2021. Occupancy at
the Farnam Executive Center remains low at 39.3% as of July 2020,
unchanged from July 2019. According to the special servicer,
neither of the two properties are currently on the market for
sale.

The second largest REO asset, Maple Grove Shopping Center (10.9%),
is a retail property in Madison, WI anchored by Pick N Save and
Walgreens. The property was 100% occupied as of July 2020,
unchanged from July 2019. The asset is not currently on the market
for sale; it had been marketed for sale prior to the coronavirus
pandemic, but the listing agreement was terminated in late February
2020. The third REO asset, North Branch Outlet Center (8.2%), is an
outlet center in North Branch, MN with declining occupancy and
additional lease rollover concerns through 2021. Property occupancy
declined to 34% as of July 2020 from 50% in July 2019 after tenants
including Gap (7.9% of NRA) and Dress Barn (6.2% of NRA) vacated
the property in 2019. The asset manager is currently working to
finalize rent relief amendments for several tenants. The asset is
not currently being marketed for sale.

Coronavirus Exposure: Given the high concentration of REO assets,
Fitch expects the coronavirus to have limited effects on the
remaining pool. However, the economic slowdown associated with the
coronavirus may delay the liquidation the REO assets, two of which
(19.2% of pool) are retail properties. Additionally, of the three
non-specially serviced loans, one loan (Thornton Hall Apartments;
0.8%) is secured by a senior housing property. Fitch considers this
subsector to be more vulnerable to the coronavirus pandemic as it
is more volatile and requires more operational experience than
traditional multifamily assets. Fitch applied an additional stress
to the senior housing loan to account for potential cash flow
disruptions due to the coronavirus pandemic; these additional
stresses did not affect the ratings or Outlooks.

RATING SENSITIVITIES

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

Upgrades are not expected due to the high concentration of REO
assets.

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

The distressed classes A-J through C are subject to further
downgrades as losses are realized.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


COLONY AMERICAN 2016-2: DBRS Gives B Rating on Class G Debt
-----------------------------------------------------------
DBRS, Inc. assigned ratings to the following nine multiborrower
transactions (the Covered Transactions) issued by CoreVest and
Colony American Finance (CAF) trusts:

Colony American Finance 2015-1 Trust
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at A (high) (sf)
-- Class E at A (sf)
-- Class F at BBB (sf)
-- Class G at BB (high) (sf)

Colony American Finance 2016-1 Trust
-- Class B at AAA (sf)
-- Class C at AA (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class F at BB (high) (sf)
-- Class G at B (high) (sf)

Colony American Finance 2016-2 Trust
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)

CoreVest American Finance 2017-1 Trust
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class X-A at AAA (sf)
-- Class X-B at BBB (sf)

CoreVest American Finance 2018-1 Trust
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class X-A at AAA (sf)
-- Class X-B at BBB (sf)

CoreVest American Finance 2018-2 Trust
-- 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 BB (high) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class X-A at AAA (sf)
-- Class X-B at BBB (low) (sf)

CoreVest American Finance 2019-1 Trust
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class X-A at AAA (sf)
-- Class X-B at BBB (sf)

CoreVest American Finance 2019-3 Trust
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (sf)
-- Class F at BB (high) (sf)
-- Class G at B (high) (sf)
-- Class X-A at AAA (sf)

CoreVest American Finance 2020-1 Trust
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at A (high) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class X-A at AAA (sf)

These securities are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings on these securities Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about September 17, 2020. In
accordance with MCR's engagement letter covering these securities,
upon withdrawal of MCR's outstanding ratings, the DBRS Morningstar
ratings will become the successor ratings to the withdrawn MCR
ratings.

The Covered Transactions are multiborrower single-family rental
securitizations.

As stated in its May 28, 2020, press release, "DBRS and Morningstar
Credit Ratings Confirm U.S. Single-Family Rental Asset Class
Coverage," DBRS Morningstar applied MCR's "U.S. Single-Family
Rental Securitization Ratings Methodology" to assign these
ratings.

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

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

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

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

-- DBRS Morningstar reviewed key transaction performance
indicators, as applicable, since the closing dates as reflected in
bond factors, loan-to-value (LTV) ratios or credit enhancements,
vacancies, delinquencies, and cumulative losses.

RATING AND CASH FLOW ANALYSIS

DBRS Morningstar reviewed MCR's rating analysis on the Covered
Transactions, which used the Morningstar Single-Family Rental
Subordination Model to generate property-level cash flows for the
Covered Transactions. The analytics included calculating the debt
service coverage ratio needed to adequately cover the monthly debt
service in each period under a given rating stress and examining
the sufficiency of the aggregate stressed property liquidation
values to cover the unpaid balance at a given rating level in
accordance with MCR's "U.S. Single-Family Rental Securitization
Ratings Methodology."

OPERATIONAL RISK REVIEW

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

HISTORICAL PERFORMANCE

DBRS Morningstar reviewed the historical performance of the Covered
Transactions as reflected in bond factors, LTVs or credit
enhancements, vacancies, delinquencies, and cumulative losses and
deemed the transactions' performances to be satisfactory.

THIRD-PARTY DUE DILIGENCE

Several third-party review firms (the TPR firms) performed due
diligence reviews of the Covered Transactions. DBRS Morningstar has
not conducted reviews of the TPR firms. The scope of the due
diligence generally comprised lease, valuation, title, and
homeowners' association discrepancy reviews. DBRS Morningstar also
relied on the written attestations the TPR firms provided to MCR on
or prior to the closing dates.

R&W FRAMEWORK

DBRS Morningstar conducted reviews of the R&W frameworks for the
Covered Transactions. The reviews covered key considerations, such
as the R&W provider, breach discovery, enforcement mechanism, and
remedy.

CORONAVIRUS DISEASE (COVID-19) ANALYSIS

To reflect the current concerns and conditions surrounding the
coronavirus pandemic, DBRS Morningstar tested the following
additional rating assumptions for single-family rental transactions
to reflect the moderate macroeconomic scenario outlined in its
commentary, "Global Macroeconomic Scenarios: September Update,"
published on September 10, 2020:

-- Vacancy (higher vacancy rate assumptions to account for
potential increases in single-family rental vacancies as a result
of rising unemployment and further economic deterioration).

-- Home prices (an additional property valuation haircut to
account for the potential decline in broader asset markets).

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

SUMMARY

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

DBRS Morningstar's ratings address the timely payment of interest
(other than payment-in-kind bonds) and full payment of principal by
the rated final maturity date in accordance with the terms and
conditions of the related securities.

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


COLT 2020-1R: Fitch Gives 'B(EXP)' Rating on Class B-2 Certs
------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed certificates issued by COLT 2020-1R Mortgage Loan
Trust.

RATING ACTIONS

COLT 2020-1R

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

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

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

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

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

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

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

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

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

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): The ongoing coronavirus
pandemic and resulting containment efforts have resulted in
revisions to Fitch's GDP estimates for 2020. As of September,
Fitch's baseline global economic outlook for U.S. GDP growth is
currently a 4.6% decline for 2020, down from 1.7% growth for 2019.
Fitch's downside scenario sees an even larger decline in output in
2020 and a weaker recovery in 2021. To account for declining
macroeconomic conditions resulting from the coronavirus, an
Economic Risk Factor (ERF) floor of 2.0 (the ERF is a default
variable in the U.S. RMBS loan loss model) was applied to 'BBBsf'
and below ratings.

Seasoned Collateral Pool (Mixed): More than 98% of the pool
comprises collateral from previously issued COLT transactions. The
pool has a weighted average (WA) seasoning of just over two years,
and only two loans are seasoned less than two years, with no loans
seasoned less than a year. The loans have benefited from a positive
home price environment and a generally strong pay history. Updated
exterior broker price opinions (BPOs) were provided on 98% of the
loans.

Payment Forbearance (Mixed): A total of 149 borrowers in the pool
have requested coronavirus payment relief plans. Of those, only 78
still remain on a plan, and all but four loans are delinquent. The
remaining borrowers have either re-instated and are current (56) or
have exited forbearance and are delinquent (15). The pool's other
forbearance plans are granted by the servicer and borrowers will be
counted as delinquent; however, the servicer will not be advancing
delinquent P&I during the forbearance period.

Nonprime Credit Quality (Mixed): The pool has a WA model credit
score of 717, a WA combined loan-to-value ratio (CLTV) of 73.4% and
a sustainable loan-to-value ratio (sLTV) of 80.2%. Of the pool, 54%
had a debt-to-income (DTI) ratio of over 43%.

Documentation (Neutral): Fitch only treated approximately 1% of the
pool as having less than full documentation, which included asset
depletion loans and loans originated to nonpermanent resident
aliens. The pool did not include any bank statement loans. The
majority of loans were underwritten to full documentation standards
but did not meet Appendix Q.

Modified Sequential Payment Structure (Mixed): The structure
distributes principal pro rata among the senior certificates while
shutting out the subordinate bonds from principal until all senior
classes have been reduced to zero. If any of a cumulative loss
trigger event, delinquency trigger event or CE trigger event occurs
in a given period, principal will be distributed sequentially to
the class A-1, A-2 and A-3 certificates until they are reduced to
zero.

Weaker Delinquency Trigger (Negative): Compared to prior COLT
transactions, this transaction features a weaker delinquency
trigger. There is no delinquency trigger for the first six months
of the transaction. Additionally, between months 7 and 36 the
delinquency trigger is 5% higher. The delinquency trigger is also
now 30% for months 37-60, up from 25%, and after month 60 the
trigger is increased 5% to 35%. The weaker delinquency trigger
causes more leakage to the A-2 and A-3 classes, which exposes more
risk to the A-1 ('AAAsf') class.

Payment Forbearance Assumptions Due to Coronavirus (Negative): The
ongoing coronavirus pandemic 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 the borrower's forbearance plans, Fitch assumed at
least 40% of the pool as 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 upon observations of legacy Alt-A delinquencies
and past-due payments following Hurricane Maria in Puerto Rico.
Based on August 2020 remittance data, approximately 20% of
called/underlying COLT transactions are 30-plus days delinquent
(DQ), which support's Fitch's assumptions.

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

Six-Month Servicer Advances (Mixed): Advances of delinquent P&I
will be made on the mortgage loans for the first 180 days of
delinquency to the extent such advances are deemed recoverable. If
the P&I advancing party fails to make a required advance, the
Master Servicer (Wells Fargo) will be obligated to make such
advance.

The servicer will not be advancing delinquent P&I for borrowers on
any forbearance plan during the forbearance period. A borrower who
does not make a payment while on a forbearance plan will be
considered delinquent; however, the servicer will not be obligated
to advance during that time.

As P&I advances are intended to provide liquidity to the rated
notes if borrowers fail to make their monthly payments, the lack of
advancing on loans in forbearance could result in temporary
interest shortfalls to the lowest ranked classes, as principal can
be used to pay interest to the A-1 and A-2 classes. Fitch ran a
sensitivity that assumed there was no advancing on the transaction
to test the lack of advancing on loans in forbearance, and in all
of Fitch's delinquency and default timing scenarios the structure
passed.

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

Low Operational Risk (Positive): Operational risk is well
controlled for this transaction. Fitch has reviewed the Hudson
Americas L.P. (Hudson) mortgage acquisition platform and found it
to have sufficient risk controls while relying on third parties to
review loans prior to purchase. All loans in the transaction pool
were originated by Caliber, which has an extensive operating
history and is one of the more established originators of non-QM
loans. Hudson's oversight of Caliber's origination of non-QM loans
also helps to reduce the risk of manufacturing defects. Primary
servicing responsibilities will be performed by Caliber, rated by
Fitch at 'RPS2-'. 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.

Representations and Warranties (R&W) Framework (Negative): While
the representations for this transaction are substantively
consistent with those listed in Fitch's published criteria and
provide a solid alignment of interest, Fitch added approximately
138 basis points (bps) to the expected loss at the 'AAAsf' rating
category to reflect the non-investment-grade counterparty risk of
the provider and the lack of an automatic review of defaulted
loans, other than for loans with a realized loss that have a
complaint or counterclaim of a violation of ATR. The lack of an
automatic review is mitigated by the ability of holders of 25% of
the total outstanding aggregate class balance to initiate a
review.

Third-Party Due Diligence Review (Positive): Third-party due
diligence was performed on 100% of loans in the transaction by
SitusAMC. As part of its rating process, Fitch reviews the due
diligence platforms of active third-party review (TPR) firms to
confirm the vendor has sufficient systems and staff in place to
effectively review mortgage loans. SitusAMC is assessed by Fitch as
'Acceptable-Tier 1'.

About 99% of the loans were graded 'A' or 'B', indicating strong
origination processes with no presence of material exceptions.
Exceptions on loans with 'B' grades were immaterial and either
identified strong compensating factors or were accounted for in
Fitch's loan loss model. Fitch applied adjustments for three loans
graded 'C' for compliance, which had an immaterial impact on the
losses. The model credit for the high percentage of loan-level due
diligence combined with the adjustments for loan exceptions reduced
the 'AAAsf' loss expectation by 32 bps.

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 analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, and lower
MVDs illustrated by a gain in home prices.

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

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

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

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30% in addition to the
model-projected 7.8%. The analysis indicates that there is some
potential rating migration with higher MVDs for all rated classes,
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.

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

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 credit/compliance/valuation. Fitch considered
this information in its analysis.

SitusAMC completed a due diligence review on 100% of the loans in
this transaction. The TPR firm is assessed by Fitch as
'Acceptable-Tier 1'. The due diligence scope was consistent with
Fitch criteria, and the results indicate sound origination quality
with no incidence of material defects. Adjustments were applied
based on the due diligence findings, which had an immaterial impact
to the losses.

Three loans had a compliance grade of 'C' for TILA-RESPA Integrated
Disclosure (TRID) exceptions that could not be cured. Fitch did not
apply a $15,500 loss severity adjustment due to the loans outside
the statute of limitations. One loan was graded 'C' for property
value due to the desk review being outside of -10%; updated values
were provided for the loans, which Fitch used for its analysis.

Approximately 96.6% of the loans in the securitization pool were
assigned a final grade of 'B'. 95.7% of the loans were graded 'B'
for compliance, primarily due to exceptions to the TRID rule. Under
TRID 3.0, a majority of these exceptions would be graded 'A'. These
exceptions were considered immaterial due to being corrected with
subsequent documentation post-close. About 23% of the loans were
graded 'B' for credit. Credit exceptions were considered immaterial
and were either approved by the originator or waived by Hudson due
to the presence of compensating factors. Loss adjustments were not
applied for loans with a final grade of 'B'.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria listed. In addition, the
following sources of information which are not discussed in the
criteria were used:

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).


CPS AUTO 2020-C: DBRS Assigns Prov. B Rating on Class F Notes
-------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by CPS Auto Receivables Trust 2020-C:

-- $107,770,000 Class A Notes at AAA (sf)
-- $38,480,000 Class B Notes at AA (sf)
-- $45,500,000 Class C Notes at A (sf)
-- $29,250,000 Class D Notes at BBB (sf)
-- $26,000,000 Class E Notes at BB (sf)
-- $5,200,000 Class F Notes at B (sf)

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

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

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

-- DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected CNL includes
an assessment of the expected impact on consumer behavior. The DBRS
Morningstar CNL assumption is 18.55% based on the expected cut-off
date pool composition.

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its commentary "Global Macroeconomic
Scenarios: July Update," published on July 22, 2020. DBRS
Morningstar initially published macroeconomic scenarios on April
16, 2020. The scenarios were last updated on July 22, 2020, and are
reflected in DBRS Morningstar's rating analysis. The assumptions
also take into consideration observed performance during the
2008–09 financial crisis and the possible impact of the stimulus
from the Coronavirus Aid, Relief, and Economic Security Act. The
assumptions consider the moderate macroeconomic scenario outlined
in the commentary (the moderate scenario serving as the primary
anchor for current ratings). The moderate scenario assumes some
success in the containment of the coronavirus within Q2 2020 and a
gradual relaxation of restrictions, enabling most economies to
begin a gradual economic recovery in Q3 2020.

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

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

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

(4) The capabilities of CPS with regard to origination,
underwriting, and servicing.

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

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

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

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

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

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

The rating on the Class A Notes reflects 59.55% of initial hard
credit enhancement provided by subordinated notes in the pool
(55.55%), the reserve account (1.00%), and OC (3.00%). The ratings
on Class B, Class C, Class D, Class E, and Class F Notes reflect
44.75%, 27.25%, 16.00%, 6.00%, and 4.00% of initial hard credit
enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.

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


CPS AUTO 2020-C: DBRS Confirms B Rating on Class F Notes
--------------------------------------------------------
DBRS, Inc. confirmed its provisional ratings on the following
classes of notes to be issued by CPS Auto Receivables Trust 2020-C,
originally assigned on September 8, 2020. The confirmations are in
conjunction with DBRS Morningstar's "Global Macroeconomic
Scenarios: September Update" published on September 10, 2020:

-- $107,770,000 Class A Notes at AAA (sf)
-- $38,480,000 Class B Notes at AA (sf)
-- $45,500,000 Class C Notes at A (sf)
-- $29,250,000 Class D Notes at BBB (sf)
-- $26,000,000 Class E Notes at BB (sf)
-- $5,200,000 Class F Notes at B (sf)

The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: September Update," published on September
10, 2020. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020, and has been regularly updating them.
The scenarios were last updated on September 10, 2020, and are
reflected in DBRS Morningstar's rating analysis.

The assumptions consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for current ratings. The moderate scenario
remains predicated on a more rapid return of confidence and a
steady recovery heading into 2021.

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


CROWN POINT 7: Moody's Confirms Ba3 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Crown Point CLO 7 Ltd.:

US$25,875,000 Class D Secured Deferrable Mezzanine 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$21,825,000 Class E Secured Deferrable Junior Floating Rate Notes
due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

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

RATINGS RATIONALE

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 3108 compared to 2760
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2793 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
20.2%. Nevertheless, Moody's noted that all the OC tests, as well
as the interest diversion test, were recently reported as passing
[3].

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: $438,122,426

Defaulted Securities: $7,757,356

Diversity Score: 74

Weighted Average Rating Factor (WARF): 3135

Weighted Average Life (WAL): 6.0 years

Weighted Average Spread (WAS): 3.50%

Weighted Average Recovery Rate (WARR): 47.8%

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 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 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.

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 2016-C7: Fitch Lowers Rating on Class F Certs to CCCsf
------------------------------------------------------------
Fitch Ratings has downgraded four classes, revised the Outlook to
Negative from Stable for one class and affirmed nine classes of
Credit Suisse CSAIL 2016-C7 Commercial Mortgage Trust Mortgage Pass
Through Certificates.

RATING ACTIONS

CSAIL 2016-C7

Class A-3 12637UAU3; LT PIFsf Paid in Full; previously at AAAsf

Class A-4 12637UAV1; LT AAAsf Affirmed; previously at AAAsf

Class A-5 12637UAW9; LT AAAsf Affirmed; previously at AAAsf

Class A-S 12637UBA6; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 12637UAX7; LT AAAsf Affirmed; previously at AAAsf

Class B 12637UBB4; LT AA-sf Affirmed; previously at AA-sf

Class C 12637UBC2; LT A-sf Affirmed; previously at A-sf

Class D 12637UAG4; LT BBB-sf Affirmed; previously at BBB-sf

Class E 12637UAJ8; LT Bsf Downgrade; previously at BB-sf

Class F 12637UAL3; LT CCCsf Downgrade; previously at B-sf

Class X-A 12637UAY5; LT AAAsf Affirmed; previously at AAAsf

Class X-B 12637UAZ2; LT AA-sf Affirmed; previously at AA-sf

Class X-E 12637UAA7; LT Bsf Downgrade; previously at BB-sf

Class X-F 12637UAC3; LT CCCsf Downgrade; previously at B-sf

KEY RATING DRIVERS

Increased Loss Expectations; High Concentration of Fitch Loans of
Concern: The downgrades and Negative Outlook revisions reflect an
increase in Fitch's loss expectations since the last rating action,
largely attributable to performance concerns related to the
coronavirus pandemic. Fitch has designated 18 Fitch Loans of
Concern (FLOCs; 50.9%), including five specially serviced loans
(15.6%), two of which are new transfers since the start of the
coronavirus pandemic. Eight of the FLOCs (41.4% of the pool) are in
the top 15.

Fitch Loans of Concern/Specially Serviced Loans: The largest FLOC,
Coconut Point (13.8%), which is secured by the 836,531-sf retail
portion of a 1.2 million sf open-air, mixed-use development
featuring a large anchored regional shopping center, two hotels and
the Residences at Coconut Point luxury high-rise condominiums. The
property is located in Estero, FL, approximately 18 miles southeast
of Fort Myers and was built in 2006. The property is anchored by
Super Target and Dillard's, both non-collaterals. Collateral
tenants include a 16-screen Regal Cinema, Bed Bath & Beyond, TJ
Maxx, Ross Dress for Less and PetSmart. Occupancy has remained
steady while DSCR has dropped to 1.71x at YE 2019 from 2.22x at YE
2018, largely due to the loan starting to amortize. Fitch applied
an additional stress given the potential negative impact of the
coronavirus pandemic.

The second largest FLOC and largest specially serviced loan is
Gurnee Mills (9.9%), which is secured by a 1.7 million sf portion
of a 1.9 million sf regional mall located in Gurnee, IL,
approximately 45 miles north of Chicago. Non-collateral anchors
include Burlington Coat Factory, Marcus Cinema and Value City
Furniture. Collateral anchors include Macy's, Bass Pro Shops and
Kohl's. Collateral occupancy has declined to 79% at YE 2019 from
91% at issuance. Sears vacated during second-quarter 2018, and Last
Call Neiman Marcus vacated during first-quarter 2018. Comparable
in-line tenant sales were reported to be $340 psf as of the
trailing twelve months (TTM) ending September 2019 compared to $332
psf for YE 2018, $313 psf for YE 2017 and $347 psf around the time
of issuance (as of TTM July 2016). The loan is 90+ days delinquent
and transferred to the special servicer in June 2020; next steps
are still being determined. Fitch ran an additional sensitivity
scenario on the Gurnee Mills loan, which assumed a 50% loss
severity to the maturity balance, to reflect the potential for
outsized losses given the delinquent status of the loan, declining
occupancy and negative impact to the property from the coronavirus
pandemic.

The second largest specially serviced loan is Preserve at Autumn
Ridge II (2.8%), a 152-unit multifamily property located in
Watertown, NY approximately 60 miles north of Syracuse, near Fort
Drum Military Base. The loan transferred in January 2019 due to
imminent non-monetary default. The sponsors, Robert and Kevin
Morgan, pled guilty to felony conspiracy to commit bank fraud
related to this and other loans, resulting in a default under the
loan agreement. The servicer is working with the borrower and a
third party on a possible assumption / equity transfer to JV while
also proceeding with foreclosure filings. The loan is currently 90+
days past due.

The third largest specially serviced loan, Holiday Inn & Suites
Plantation (1.7%), is a 156-room hotel, built in 1978, located in
Plantation, FL. The loan was transferred in June 2020 for Imminent
Default at the borrower's request, as a result of Coronavirus
pandemic performance related issues. The special servicer and
borrower are currently assessing potential options to address the
loan's performance, and the loan is currently 60 days past due.

The fourth specially serviced loan, The Registry Apartments (0.9%),
is secured by a 103-unit multifamily property located in Houston,
TX. While the loan is current, it transferred in June 2018 due to
imminent non-monetary default. As of YE 2019, DSCR and occupancy
were 1.23x and 89%, respectively, improved from 2018 DSCR and
occupancy of 1.05x and 87%. The loan is current, and the servicer
is evaluating transferring the loan back to the master servicer.

The smallest specially serviced loan is Silsbee and Lumberton
Retail (0.4%), secured by two single-story shadow- anchored retail
properties, totaling 29,091 sf. The properties are located
approximately nine miles apart in the Beaumont, TX MSA. The loan
transferred on November 2019 for non-monetary default and a default
notice was sent in February 2020. The special servicer is working
to resolve, and the loan is currently 90+ past due.

The remaining FLOCS include six additional retail properties
(12.0%), four hotel properties (6.6%), and two (2.8%) multifamily
properties. All six of the additional retail properties are FLOCs,
due at least partially to coronavirus performance issues. Some of
the properties also suffered declining performance prior to the
pandemic. All four of the hotel properties are FLOCs due to
coronavirus-related stresses. One of the multifamily loans (0.9%)
is a FLOC due to coronavirus-related issues, and the rest are
driven by performance issues prior to the coronavirus pandemic.

Coronavirus Exposure: The rating actions can be largely attributed
to the social and market disruption caused by the effects of the
coronavirus pandemic and related containment measures. Of
particular concern is the underlying pool's exposure to retail and
hotel property types. Fitch expects negative economic impact to
certain hotels and retail properties due to the recent and sudden
reductions in travel and tourism, temporary property closures and
lack of clarity on the potential duration of the pandemic. The
pandemic has prompted the closure of several hotel properties in
gateway cities, as well as malls, entertainment venues and
individual stores. Those that have since reopened are likely to
experience limited operation and reduced foot traffic

Thirteen of the loans are backed by retail properties (41.5% of the
pool), including six (35.2%) in the top 15. Hotel properties
account for six loans (8.7% of the pool), including one (3.9%) in
the top 15. Sixteen loans (19.1%) are secured by multifamily
properties, including three (7.3%) in the top 15. Fitch's base case
analysis applied additional stresses to four hotel loans, nine
retail loans and one multifamily loan due to their vulnerability to
the coronavirus pandemic. These additional stresses contributed to
the downgrade of classes E, F, X-E and X-F and the Negative Rating
Outlooks on classes D, E and X-E. 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, impacts the ratings.

Credit Enhancement Improvement/Amortization: As of the August 2020
distribution date, the pool's aggregate principal balance has been
paid down by 8.3% to $703.9 million from $767.6 million at
issuance. The pool is scheduled to amortize by 16.2% of the initial
pool balance through maturity. Of the current pool, only one loan
(7.1%) is full-term interest-only, and one loan (1.7%) has a
partial-term interest-only period remaining. One loan (0.4%) has
been defeased.

RATING SENSITIVITIES

The Stable Rating Outlooks on classes A-4 through C, X-A, and X-B
reflect the overall stable performance of the majority of the pool
and expected continued amortization. The Negative Rating Outlooks
on classes D, E and X-E 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 five 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 classes B and C 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 class D 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 classes
E, F, X-E and X-F are not likely absent significant performance
improvement on the FLOCs and substantially higher recoveries than
expected on the specially serviced loans/assets.

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

Sensitivity factors that lead to downgrades include an increase in
pool-level losses from underperforming or specially serviced
loans/assets. Downgrades to the super-senior 'AAAsf'-rated classes,
A-4 through A-SB, 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-S) and class X-A are possible should
expected losses for the pool increase significantly and/or should
many of the loans susceptible to the coronavirus pandemic suffer
losses. A downgrade to classes B, C and X-B 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. Downgrades to Classes
D, E and X-E, 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 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 X-E 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.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

CSAIL 2016-C7: Exposure to Social Impacts: 4

CSAIL 2016-C7 has an ESG Relevance Score of 4 for Exposure to
Social Impacts due to the pool's significant retail exposure,
including a specially serviced regional mall loan and two
additional malls in the top 15 that are currently underperforming
as a result of changing consumer preferences in shopping, which has
a negative impact on the credit profile and is highly relevant to
the ratings. This impact contributed to the downgrade of classes E,
F, X-E, and X-F and the Negative Outlooks on classes D and E.

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.


CSAIL 2017-CX10: DBRS Assigns B Rating on 2 Note Classes
--------------------------------------------------------
DBRS, Inc. assigned ratings to the nonpooled rake bonds of the
Commercial Mortgage Pass-Through Certificates, Series 2017-CX10
issued by CSAIL 2017-CX10 Commercial Mortgage Trust (the Issuer) as
follows:

-- Class UES-A at BBB (low) (sf)
-- Class UES-B at BB (low) (sf)
-- Class UES-C at B (sf)
-- Class UES-D at B (low) (sf)
-- Class UES-X at B (high) (sf)
-- Class V1-UESA at BB (low) (sf)
-- Class V1-UESD at B (sf)
-- Class V2-UES at B (low) (sf)
-- Class STN-A at AA (low) (sf)
-- Class STN-B at A (low) (sf)
-- Class STN-C at BBB (low) (sf)
-- Class STN-X at A (sf)
-- Class V1-STNA at A (low) (sf)
-- Class V1-STNC at BBB (low) (sf)
-- Class V2-STN at BBB (low) (sf)

All trends are Stable.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about September 7, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings. Information about the MCR ratings, including
the history of the MCR ratings, can be found at
www.morningstarcreditratings.com.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. For further information on
the NA SASB Methodology, please see the press release dated March
1, 2020, on the DBRS Morningstar website at
www.dbrsmorningstar.com.

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

The Yorkshire and Lexington Towers Loan-Specific Certificates, or
the Yorkshire and Lexington Towers loan, consist of six classes of
certificates. The ratings on these certificates reflect the
sustainable cash flow and value for the property securing the
Yorkshire and Lexington Towers loan that the trust holds, including
structural features such as additional debt and lack of
amortization, and qualitative factors, such as our opinion of the
underlying collateral quality, the current and expected performance
of the real estate market in which the properties are located, as
well as the macroeconomic environment and its potential impact on
the performance of commercial properties.

The Yorkshire and Lexington Towers loan refinanced the acquisition
of two apartment buildings with a combined 827 units, located in
Manhattan's Upper East Side neighborhood. The sponsors (The Chetrit
Group, LLC and Stellar Management, LLC) purchased the assets in
2014 for $485.0 million from a group associated with Leona
Helmsley's estate. At that time, the buildings were 78.7% occupied
and contained 379 rent-stabilized units. According to appraisals,
the buildings generated $12.2 million of net operating income,
implying a capitalization rate of 2.51%.

In 2017, Natixis Real Estate Capital LLC (Natixis) and UBS Group AG
originated the five-year, interest-only (IO) $550.0 million loan,
$400.0 million of which is held within various mortgage trusts and
$150.0 million of which is mezzanine debt. The loan facilitated the
payoff of acquisition financing, funded upfront reserves, and
closing costs as well as returned more than $124.0 million in
equity, which leaves the sponsors without any equity remaining in
the deal. DBRS Morningstar assigned ratings for the certificates
backing the $200.0 million Yorkshire & Lexington Rake Promissory B
Note.

As of YE2019, the servicer reported a net cash flow (NCF) figure of
approximately $21.3 million. DBRS Morningstar applied a 3.0%
haircut to the YE2019 NCF figure reported by the Issuer. The
resulting DBRS Morningstar NCF was $20.6 million and a cap rate of
6.0% was applied, resulting in a DBRS Morningstar Value of $343.7
million, a variance of -61.4% from the appraised value at issuance
of $890.0 million. The DBRS Morningstar Value implies an LTV of
160.0% compared with the LTV of 61.8% on the appraised value at
issuance.

The cap rate applied to the Yorkshire and Lexington Towers loan is
at the lower end of the DBRS Morningstar Cap Rate Ranges for
multifamily properties, reflecting the collateral's location in New
York's Upper East Side and the favorable asset quality. In
addition, the 6.0% cap rate DBRS Morningstar applied is
substantially above the implied cap rate of 2.7% based on the
Issuer's underwritten NCF and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 4.0%
to account for cash flow volatility, property quality, and market
fundamentals. DBRS Morningstar also made other negative adjustments
to account for certain secured debt LTV and mezzanine debt
penalties.

The Standard High Line NYC Loan-Specific Certificates, or the
Standard Hotel loan, are collateralized by a 10-year, fixed-rate
loan secured by the borrower's (GC SHL, LLC) fee simple interest in
the high-end boutique Standard, High Line Hotel in Manhattan, which
contains 338 rooms. Natixis originated the loan, which has a
maturity date of October 5, 2027. The single mortgage loan is
evidenced by four separate promissory notes with a principal
balance of $170 million, including a A-A note totalling $45.0
million, a subordinated A-B note totalling $58.4 million, a B-A
note with a principal balance of $36.6 million, and a B-B note with
a principal balance of $30.0 million. The loan has an initial term
of 120 months and bears a fixed rate of 4.73% with IO payments for
the full term. The A-A note is included in the trust and serves as
collateral for the pooled certificates. The $58.4 million
subordinated A-B note serves as collateral for the rake bonds that
DBRS Morningstar rates. The B-A and B-B notes are not included in
the trust.

The total financing, along with the borrower's equity contribution,
facilitated its acquisition of the hotel for a purchase price of
$340.0 million. The borrower also serves as the loan sponsor and is
controlled by Goodwin Gaw, the founder of Gaw Capital Partners, a
Hong Kong-based real estate private equity firm. Gaw Capital
Partners is ranked the 19th-largest real estate private equity fund
in the world, according to Private Equity Real Estate, with more
than $12.8 billion of assets under management as of Q1 2017. The
purchase of the hotel represented the firm's 11th hotel investment.
The sponsor contributed $172.6 million of equity into the purchase
of the property, accounting for more than 50% of the purchase
price.

The hotel's location on Manhattan's far west side in the
Meatpacking District, an area that boasts an abundance of amenities
and demand drivers, is excellent. The neighborhood's wide range of
high-end retailers, restaurants, bars, and other attractions are
important draws for the hotel's clientele. The district, which is
bordered by Chelsea to the north and the West Village to the south,
is home to the Whitney Museum of American Art, one of New York's
most famous art institutions. The High Line, a nearly 1.5-mile
elevated park, runs through the district and is a popular local
amenity. A handful of corporations have a presence in the district,
including Google LLC, WeWork, and Samsung Electronics Co., Ltd.

Notwithstanding its high quality, amenities, and location, the
hotel's operating trends have slipped over the past three years and
overall NCF has dropped substantially since the initial
securitization. Steadily declining room revenues have been
amplified by massive declines in food and beverage (F&B) revenues
which, per the servicer report, fell by more than 17.4% between
YE2017 and YE2019 after reportedly falling by 9.4% between YE2015
and the last 12 months ended July 31, 2017. The hotel's competitive
set also experienced a decline over the same period, but to a
lesser degree as the delivery of thousands of new hotel rooms to
Manhattan over the past few years is having a negative impact on
hotels citywide. Between YE2017 and YE2019, the asset's operating
expense ratio also increased to 89.1% from 81.5%. The combined
steady decline in room revenue, drop-off in F&B revenue, and rise
in expenses in recent years have ultimately resulted in a 53.7%
decline in NCF between YE2017 and YE2019 per the servicer report.

As of YE2019, the servicer reported a NCF figure of approximately
$6.6 million for The Standard Hotel. DBRS Morningstar applied a
3.0% haircut to the YE2019 NCF figure reported by the Issuer. The
resulting figure was $6.4 million and a cap rate of 7.5% was
applied, resulting in a DBRS Morningstar Value of nearly $85.8
million, a variance of -53.1% from the appraised value at issuance
of $340.0 million. However, DBRS Morningstar ultimately floored the
Standard Hotel loan value at $159.6 million after applying a 5.0%
discount to the appraiser's estimated land value of $168.0 million.
The resulting DBRS Morningstar Value of $159.6 million implies an
LTV of 106.5% compared with the LTV of 50.0% on the appraised value
at issuance.

The cap rate applied to The Standard Hotel loan is at the lower end
of the DBRS Morningstar Cap Rate Ranges for full-service hotel
properties, reflecting the collateral's location in New York City's
far west side and the generally favorable asset quality. In
addition, the 7.5% cap rate DBRS Morningstar applied is
substantially above the implied cap rate of 4.2% based on the
Issuer's underwritten NCF and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 3.0%
to account for cash flow volatility, property quality, and market
fundamentals. DBRS Morningstar also made other negative adjustments
to account for certain subordinate debt and total secured debt LTV
penalties.

Classes UES-X, V1-UESA, V1-UESD, V2-UES, STN-X, V1-STNA, V1-STNC,
and V2-STN 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.


CSAIL 2017-CX10: Fitch Affirms B-sf Rating on Class F Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 19 classes of CSAIL 2017-CX10 Commercial
Mortgage Trust commercial mortgage pass-through certificates,
series 2017-CX10.

RATING ACTIONS

CSAIL 2017-CX10

Class A-1 12595JAA2; LT AAAsf Affirmed; previously AAAsf

Class A-2 12595JAC8; LT AAAsf Affirmed; previously AAAsf

Class A-3 12595JAE4; LT AAAsf Affirmed; previously AAAsf

Class A-4 12595JAG9; LT AAAsf Affirmed; previously AAAsf

Class A-5 12595JAJ3; LT AAAsf Affirmed; previously AAAsf

Class A-S 12595JAS3; LT AAAsf Affirmed; previously AAAsf

Class A-SB 12595JAL8; LT AAAsf Affirmed; previously AAAsf

Class B 12595JAU8; LT AA-sf Affirmed; previously AA-sf

Class C 12595JAW4; LT A-sf Affirmed; previously A-sf

Class D 12595JBA1; LT BBB-sf Affirmed; previously BBB-sf

Class E 12595JBC7; LT BB-sf Affirmed; previously BB-sf

Class F 12595JBE3; LT B-sf Affirmed; previously B-sf

Class V1-A 12595JBL7; LT AAAsf Affirmed; previously AAAsf

Class V1-B 12595JBN3; LT A-sf Affirmed; previously A-sf

Class V1-D 12595JBQ6; LT BBB-sf Affirmed; previously BBB-sf

Class V1-E 12595JBS2; LT BB-sf Affirmed; previously BB-sf

Class X-A 12595JAN4; LT AAAsf Affirmed; previously AAAsf

Class X-B 12595JAQ7; LT AA-sf Affirmed; previously AA-sf

Class X-E 12595JAY0; LT BB-sf Affirmed; previously BB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: The overall pool
performance remains stable from issuance. One loan (5.3%) is
delinquent and in special servicing, and three loans (13.5%),
including the specially serviced loan, are Fitch Loans of Concern
(FLOCs).

Lehigh Valley Mall (5.6%) is a regional mall in the Allentown, PA
metro area anchored by JC Penney, Macy's, and Boscov's. The loan
has been designated a FLOC due to its tertiary market, weak anchors
and sponsor-related concerns.

The Standard Highline (5.3%) transferred to special servicing in
June 2020 due to payment default after the hotel was forced to
temporarily close due to the coronavirus pandemic; per the
borrower, the hotel will re-open after Labor Day. The special
servicer is in contact with the borrower to determine a workout
strategy. The loan was previously on the servicer's watchlist due
to a decline in NCF DSCR to 0.81x at YE 2019 and 1.18x as of YE
2018. Servicer commentary indicated that food and beverage revenue
declined significantly due to ongoing remodeling, including a new
chef experience. As of 1Q20, NCF DSCR was 0.66x and occupancy was
67%.

The Boulders Resort and & Spa (2.6%) is a 160-key hotel located in
Scottsdale, AZ. As of YE 2019, the property was 69% occupied and
performing at a 1.70x NOI DSCR. An additional NOI haircut was
applied to this property as a stress test due to the pandemic.

Alternative Loss Consideration: Fitch's analysis included a 15%
loss to the maturity balance of Lehigh Valley Mall in order to
determine the impact on the pool if this loan were to default and
transfer to special servicing. Due to this stressed scenario, Fitch
revised Outlooks on classes E, X-E and V1-E to Negative from
Stable.

Coronavirus Exposure: The pool contains two loans (7.9%) secured by
hotels with a weighted-average NOI DSCR of 1.31x. Retail properties
account for 10.9% of the pool balance and have weighted-average NOI
DSCR of 2.24x. 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 one hotel loan due to its vulnerability to the pandemic.
These additional stresses contributed to the Negative Outlooks on
classes E, X-E, V1-E and F.

Minimal Change to Credit Enhancement: As of the August 2020
distribution date, the pool's aggregate balance has been reduced by
0.81% to $848.4 million, from $855.3 million at issuance. Sixteen
full-term, interest-only loans account for 61.7% of the pool, and
six loans representing 11.1% of the pool are partial interest only.
Two ARD loans represent 7.0% of the pool and the remainder of the
pool consists of seven balloon loans representing 20.3% of the
pool. Interest shortfalls are currently affecting class NR.

Credit Opinion Loans: At issuance, Fitch considered four loans
(23.5%) to have investment-grade characteristics. These include
Yorkshire & Lexington Towers (BBBsf), One California Plaza (A-sf),
The Standard Highline NYC (Asf), and Centre 425 Bellevue (BBB+sf).

RATING SENSITIVITIES

The Negative Outlooks on classes E, X-E, V1-E and F reflect the
potential for a near-term rating change should the performance of
the FLOCs, specifically Lehigh Valley Mall and The Standard
Highline, deteriorate. It also reflects concerns with hotel and
retail properties due to decline in travel and commerce as a result
of the pandemic. The Stable Outlooks on all other classes reflects
the overall stable performance of the remainder of the pool.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade: --Stable to improved asset performance
coupled with paydown and/or defeasance; --Upgrades of class B, X-B,
C and V1-B 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; --An upgrade
to class D and V-1D would also consider the above factors, but
would be limited based on sensitivity to concentrations or the
potential for future concentration. Classes would not be upgraded
above 'Asf' if there is a likelihood for interest shortfalls; --An
upgrade to E, X-E, F, and V1-E 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 NR class is not eroded and the senior
classes payoff. While The Standard Highline remains in special
servicing and pandemic concerns persist, upgrades are unlikely.
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade: --An increase in pool level losses from
underperforming or specially serviced loans; --Downgrades to the
senior classes, A-1, A-2, A-3, A-4, A-5, A-SB, A-S, X-A, V1-A, B,
X-B, C and V-1B are not likely due to the high credit enhancement
and amortization, but may occur should interest shortfalls occur;
--Downgrades to classes D and V-1D would occur should overall pool
losses increase and/or one or more large loans, such as The
Standard Highline or Lehigh Valley Mall, have an outsized loss
which would erode credit enhancement; --Downgrades to classes E,
X-E, F and V1-E would occur should loss expectations increase due
to an increase in specially serviced loans (specifically if Lehigh
Valley Mall transfers to the special servicer) or an increase in
the certainty of losses on The Standard Highline. The Negative
Outlook may be revised back to Stable if performance of the FLOCs
improves and/or properties vulnerable to the pandemic stabilize
once the health crisis subsides. 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.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


CSFB COMMERCIAL 2005-C4: Moody's Lowers Rating on F Debt to Ca
--------------------------------------------------------------
Moody's Investors Service downgraded the rating on one class in
CSFB Commercial Mortgage Trust 2005-C4, Commercial Mortgage Pass
Through Certificates, Series 2005-C4 as follows:

Cl. F, Downgraded to Ca (sf); previously on Jun 17, 2019 Affirmed
Caa3 (sf)

RATINGS RATIONALE

Downgrade Cl. F due to higher anticipated losses from the remaining
loans in the pool. The remaining collateral represents an A/B note
split modification of a single mortgage loan.

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. Stress on
commercial real estate properties will be most directly stemming
from declines in hotel occupancies (particularly related to
conference or other group attendance) and declines in foot traffic
and sales for non-essential items at retail properties. Moody's
regards the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety.

Moody's rating action reflects a base expected loss of 71.3% of the
current pooled balance, compared to 37.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 6.5% of the
original pooled balance.

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 this rating 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 Moody's has identified
troubled loans representing 100% of the pool. 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.

DEAL PERFORMANCE

As of the August 17, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by over 99% to $8.2
million from $1.33 billion at securitization. The certificates are
collateralized by two mortgage loans which represent an A/B note
split modification of a single mortgage loan.

Twenty-four loans have been liquidated from the pool, contributing
to an aggregate realized loss of $81 million (for an average loss
severity of 43%).

The remaining loans are the Southport Centre - A Note Loan ($6.5
million -- 79% of the pool) and Southport Centre - B note ($1.8
million -- 21% of the pool). The loans are secured by an 86,000
square foot shadow-anchored retail center in Indianapolis, Indiana.
The shadow anchor is a Walmart Supercenter, and other tenants at
the property include Dollar Tree, GameStop, and Key Bank. The
property was 74% leased as of June 2020, compared to 60% in March
2019 and 50% in 2017. The loan passed its anticipated repayment
date (ARD) in August 2015. The original Southport Center loan was
modified in December 2013 and split into an A Note ($7.4 million)
and B Note ($1.6 million). The loans returned to the master
servicer in March 2014 and are currently on the master servicer's
watchlist due to low DSCR. The borrower submitted a request for
forbearance in April but has since rescinded the request after
determining they will be able to keep the A Note loan current. As
of the August 2020 remittance report, the loans remain current on
their debt service payments. The borrower is continuing efforts to
lease up the property. Due to the low DSCR, Moody's identified both
the A Note and B Note as troubled loans and estimates a high loss
severity from the remaining collateral.


DRYDEN 41: Moody's Confirms B3 Rating on Class F-R Notes
--------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Dryden 41 Senior Loan Fund:

US$35,750,000 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$25,300,000 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

US$8,250,000 Class F-R Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class F-R Notes"), Confirmed at B3 (sf);
previously on April 17, 2020 B3 (sf) Placed Under Review for
Possible Downgrade

The Class D-R 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 Class D-R, Class E-R, and Class F-R Notes issued by
the CLO. The CLO, originally issued in October 2015 and refinanced
in March 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end 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 3213, compared to 2930
reported in the February 2020 trustee report [2]. Moody's also
noted that the WARF was failing the test level of 2821 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
16.31%. 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: $536,150,610

Defaulted Securities: $10,531,842

Diversity Score: 90

Weighted Average Rating Factor (WARF): 3172

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.35%

Weighted Average Recovery Rate (WARR): 47.9%

Par haircut in OC tests and interest diversion test: 0.41%

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 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.

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.


EXANTAS CAPITAL 2020-RSO9: DBRS Gives (P)B(low) Rating on F Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Exantas Capital Corp. 2020-RSO9, Ltd. (the
Issuer):

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

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

DBRS Morningstar analyzed the pool to determine the provisional
ratings, reflecting the long-term risk that the Issuer will default
and fail to satisfy its financial obligations in accordance with
the terms of the transaction. The $297.0 million transaction
includes a cut-off date mortgage asset balance of $275.4 million
and aggregate future advance obligations of $21.6 million held in a
reserve account. The reserve account can be used exclusively to
fund pre-approved future funding of the mortgage assets in
accordance with the underlying mortgage documents. The collateral
pool for the transaction is static with no ramp-up period to add
additional assets and no ability to reinvest.

The transaction will have a sequential-pay structure. Interest can
be deferred for Note C, Note D, Note E, and Note F and interest
deferral will not result in an event of default. Excess amounts in
the future funding reserve account may be applied to principal
payments on Note A, Note B, Note C, Note D, Note E, Note F, and the
Preferred Shares, pro rata, unless the excess occurs as a result of
the disposition of a defaulted mortgage asset, in which case the
funds will be applied sequentially to the note classes.

The collateral consists of 32 loans secured by 34 commercial
properties. A total of four underlying loans are
cross-collateralized and cross-defaulted into two separate
portfolios. In addition, there are nine underlying loans in four
separate groups of affiliated borrowers. The asset classes in the
pool are multifamily properties (48.8%), including one
student-housing property (3.8%); office properties (14.6%);
self-storage (13.5%); retail properties (9.1%); manufactured
housing properties (7.1%); and one limited-service hotel (4.7%).
The loans are mostly secured by cash flowing assets, most of which
are in a period of transition with plans to stabilize and improve
the asset value. Of these loans, 18 have remaining future funding
commitments totaling $21.6 million. The future funding is generally
to be used for property improvements and/or for leasing costs,
including tenant improvements and leasing commissions. Please see
the chart below for loans with future funding commitments and their
uses. DBRS Morningstar modeled $15.7 million of additional capacity
as part of the paydown analysis, which was conducted in order to
bring future funded loan facilities into the trust.

All of the loans in the pool have floating interest rates and are
interest-only through their initial terms. As such, DBRS
Morningstar used the one-month Libor index, which was the lower of
DBRS Morningstar's stressed rates that corresponded to the
remaining fully extended term of the loans and the strike price of
the interest-rate cap with the respective contractual loan spread
added, to determine a stressed interest rate over the loan term.
When measuring the cut-off date balances against the DBRS
Morningstar As-Is Net Cash Flow (NCF), nine loans, representing
15.6% of the mortgage loan cut-off date balance, had a DBRS
Morningstar As-Is Debt Service Coverage Ratio (DSCR) below 1.00
times (x), a threshold indicative of default risk. Additionally,
the DBRS Morningstar Stabilized DSCR for five loans, comprising
11.6% of the initial pool balance, is below 1.00x, which indicates
elevated refinance risk. The properties are often transitioning,
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if the other loan structural features are insufficient to
support such treatment. Furthermore, even if the structure is
acceptable, DBRS Morningstar generally does not assume the assets
will stabilize above market levels.

The pool consists of moderately leveraged loans based on the
appraised as-is and stabilized values, with most of the loans
backed by the sponsor cash equity that was contributed at
origination. The weighted-average (WA) as-is and stabilized
appraised loan-to-value (LTV) ratios, based on the most recent
appraisal reports and inclusive of future funding participations,
are 67.4% and 63.2%, respectively. These LTVs compare slightly
favorably with commercial real estate collateralized loan
obligation transactions that DBRS Morningstar rated in 2019–20.

The collateral for the underlying loans primarily consists of
traditional property types, including multifamily, office, and
self-storage, with limited exposure to assets having very high
expense ratios, such as hotels, or property types where
conventional takeout financing may not be as readily available.
Twenty-five loans, comprising 72.6% of the initial trust balance,
represent acquisition financing wherein sponsors contributed cash
equity as a source of funding in conjunction with the mortgage
loan. The cash equity in the deal will incentivize the sponsor to
perform on the loan and protect their equity.

In some cases, loans included in the pool are several years
seasoned and the original business plans have not materialized as
expected, significantly increasing the loans' risk profile. Given
the nature of the assets, DBRS Morningstar sampled a large portion
of the pool at 83.9% of the cut-off date balance. This sample size
is higher than the typical sample for traditional conduit CMBS
transactions. DBRS Morningstar also performed physical site
inspections, including management meetings, for all the sampled
loans. Fourteen loans, comprising 32.9% of the pool balance, have
fully extended maturity dates in 2021. The risk of these loans not
fully achieving their business plans or being stabilized is
elevated. For modeling purposes, DBRS Morningstar also excluded
future funding from the NCF analysis and the whole-loan balance for
these loans. DBRS Morningstar also used only the as-is appraised
values of the properties to determine the loan leverage in the
model.

There is an inherent conflict of interest between the special
servicer and the seller as they are related entities. Given that
the special servicer is typically responsible for pursuing remedies
from the seller for breaches of the representations and warranties,
this conflict could be disadvantageous to the noteholders. While
the special servicer is classified as the enforcing transaction
party, if a loan repurchase request is received, the trustee and
originator shall be notified and the originator is required to
correct the material breach or defect or repurchase the affected
loan within a maximum period of 90 days. The repurchase price would
amount to the outstanding principal balance and unpaid interest
less relevant Issuer expenses and protective advances made by the
servicer. Furthermore, the issuer retains 17.25% equity in the
transaction holding the first-loss piece.

In some instances, DBRS Morningstar estimated stabilized cash flows
that are above the in-place cash flow. It is possible that the
sponsors will not successfully execute their business plans and
that the higher stabilized cash flow will not materialize during
the loan term, particularly with the ongoing coronavirus pandemic
and its impact on the overall economy. A sponsor's failure to
execute the business plan could result in a term default or the
inability to refinance the fully funded loan balance. DBRS
Morningstar made relatively conservative stabilization assumptions
and, in each instance, considered the business plan to be
achievable and the future funding amounts to be sufficient to
execute such plans. The WA DBRS Morningstar business plan score is
2.31, which is in the middle of the range and indicates that DBRS
Morningstar determined the business plans to be generally
reasonable. However, for the purpose of modeling, DBRS Morningstar
increased the WA business plan score to 3.31, effectively
increasing the weight of the as-is analysis over the as-stabilized
analysis. DBRS Morningstar also assumes no cash flow or value
upside when determining the loan-level loss severity given default
(LGD). Furthermore, the credit metrics that DBRS Morningstar used
for determining the LGD assume future funding facilities are fully
funded and add additional conservatism.

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remain highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, affected
more immediately. 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.


FIRST EAGLE 2016-1: Fitch Gives BB-sf Rating on Class D-N Notes
---------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of notes issued by five
middle market (MM) CLOs managed by First Eagle Private Credit, LLC
(First Eagle) after Fitch updated credit opinions for the
underlying middle market (MM) loan issuers. In addition, Fitch has
removed the Rating Watch Negative (RWN) from class B-1-N, B-2-N,
C-N and D-N notes in Newstar Fairfield Fund CLO, Ltd. (F/K/A Fifth
Street SLF II, Ltd.) (NewStar Fairfield) and assigned them a
Negative Outlook.

RATING ACTIONS

First Eagle Commercial Loan Funding 2016-1 LLC

Class A-1a-R 32010LAA2; LT AAAsf Affirmed; previously at AAAsf

Class A-1b-R 32010LAN4; LT AAAsf Affirmed; previously at AAAsf

NewStar Arlington Senior Loan Program LLC

Class A-R 65251PAY9; LT AAAsf Affirmed; previously at AAAsf

First Eagle Berkeley Fund CLO LLC (fka NewStar Berkeley Fund CLO
LLC)

Class A-R 65251XAN6; LT AAAsf Affirmed; previously at AAAsf

First Eagle Clarendon Fund CLO LLC

Class A-R 32010AAA6; LT AAAsf Affirmed; previously at AAAsf

Newstar Fairfield Fund CLO, Ltd. (F/K/A Fifth Street SLF II, Ltd.)

Class A-1-N 65252BAA1; LT AAAsf Affirmed; previously at AAAsf

Class A-2-N 65252BAC7; LT AAsf Affirmed; previously at AAsf

Class B-1-N 65252BAE3; LT A-sf Affirmed; previously at A-sf

Class B-2-N 65252BAJ2; LT A-sf Affirmed; previously at A-sf

Class C-N 65252BAG8; LT BBB-sf Affirmed; previously at BBB-sf

Class D-N 65252CAA9; LT BB-sf Affirmed; previously at BB-sf

TRANSACTION SUMMARY

The five CLOs included in this review are MM CLOs backed by
portfolios of primarily senior secured loans and actively managed
by First Eagle. The CLOs span various vintages, ranging from 2015
to 2018. Four of five CLOs remain in their respective reinvestment
periods, while First Eagle Clarendon Fund LLC exited its
reinvestment period in January 2019.

KEY RATING DRIVERS

Coronavirus Impact Analysis:

Fitch updated credit opinions for the underlying MM loan issuers,
reflecting the disruptions to these borrowers caused by the
coronavirus pandemic as described in the publication "Fitch
Reviewing U.S. MM CLO Portfolios and Notes", issued on June 3,
2020. Approximately 97% of the issuers with underlying credit
opinions held in these five Fitch-rated MM CLOs were updated. The
resulting changes in credit quality and recovery estimates are
detailed in the accompanying rating action report (RAR) for each
CLO.

Fitch also conducted a coronavirus baseline sensitivity scenario,
which applies a one notch

downgrade for issuers on Negative Outlook (floor at 'CCC-'),
regardless of sector. Assets with a

Fitch-derived rating with a Negative Outlook ranged from 15% to 22%
of each CLO portfolio in this review. The results of this
sensitivity analysis were considered in determining Rating Outlooks
on the CLO notes.

Average portfolio exposure to assets considered 'CCC' category and
below (excluding defaults) increased to 23% from the average of 19%
at last review of each transaction. The average

Fitch-weighted average rating factor (WARF) is 43 ('B-/CCC+') under
standard assumptions. Defaults and permitted deferrable exposures
averaged 6% and 3%, respectively. Four of the five CLOs are in
their reinvestment periods, with obligor count averaging 126
obligors and the largest ten exposures at 18% of portfolios on
average.

Asset credit quality, asset security, and portfolio composition are
captured in rating default rate

(RDR), rating recovery rate (RRR), and rating loss rate (RLR)
produced by Fitch's Portfolio Credit

Model (PCM). The PCM RLRs from the standard and coronavirus
baseline sensitivity analyses were compared to the RLRs
corresponding to the original Fitch Stressed Portfolio (FSP) at the
initial rating assignment, as well as to the rated notes' current
credit enhancement (CE) levels. Sufficient RLR cushions remain
under standard assumptions and the coronavirus baseline sensitivity
analysis on all Fitch-rated notes except for the class B-1-N, B-2-N
(collectively B-N), C-N and D-N notes issued by NewStar Fairfield.

Cash Flow Analysis:

For NewStar Fairfield, 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 current criteria.

When conducting its 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 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 is realized in a manner
consistent with Fitch's published default timing curve.

The results of the cash flow analysis under standard assumptions
show that the model-implied ratings (MIR) are a notch lower than
the respective current ratings of the class C-N and D-N notes.
However, the lower MIR for these notes is limited to the interest
rate up scenarios, and the breakeven failures in these scenarios in
the notes' current rating stresses were considered minor relative
to their respective RDR hurdles.

Conversely, the MIRs under standard assumptions for the class A-2-N
and B-N notes were a notch higher than the notes current ratings.
However, Fitch did not upgrade these notes due to the outcome of
the cash flow modeling analysis under the coronavirus baseline
sensitivity scenario. In addition, the CLO remains in its
reinvestment period until April 2023 allowing the manager to change
portfolio composition.

Based on the results of the cash flow model analysis for NewStar
Fairfield, Fitch affirmed all classes of notes in this transaction,
removed the RWN and assigned a Negative Outlook to class B-N, C-N,
and D-N notes. All other notes under this review were affirmed and
assigned a Stable Outlook.

RATING SENSITIVITIES

Fitch conducted rating sensitivity analysis on the closing date of
each CLO, incorporating increased levels of defaults and reduced
levels of recovery rates, among other sensitivities, as defined in
its CLOs and Corporate CDOs Rating Criteria.

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

For NewStar Fairfield, a 25% reduction of the mean default rate
across all ratings, and a 25% increase of the recovery rate at all
rating levels, would lead to an upgrade of up to two notches for
the class A-2-N, B-N notes, five notches for the class C-N notes,
and three notches for the class D-N notes based on the
model-implied ratings.

An upgrade scenario would not be applicable to the class A-1-N
notes in NewStar Fairfield, as well as the rated notes in the four
other CLOs in this review since they are already rated at the
highest rating level (AAAsf).

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

For NewStar Fairfield, a 25% increase of the mean default rate
across all ratings and a 25% decrease of the recovery rate at all
rating levels would lead to a downgrade of up to one notch for the
class A-1-N notes, five notches for the class A-2-N notes, four
notches for the class B-N, C-N notes, and at least two rating
categories for the class D-N notes based on the model-implied
ratings.

Downgrades may occur if realized and projected losses in the
respective portfolios are higher than those assumed at closing in
the Fitch Stressed Portfolio and that are not offset by the
increase in the CLO notes' CE levels.

Coronavirus Downside Scenario Impact:

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic

stress caused by a reemergence of infections in the major
economies, before 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. This sensitivity is not used to derive its rating
actions.

In such a scenario, the model-implied ratings for NewStar Fairfield
are up to one notch below current ratings for the class A-1-N
notes, five notches below current ratings for the class A-2-N
notes, four notches below current ratings for the class B-N, C-N
notes, and at least two rating categories below current ratings for
the class D-N notes.

In addition, the CE level for the class A-R notes would still
exceed the 'AAAsf' RLR in First Eagle Clarendon Fund CLO LLC, the
only CLO in this review that is past its reinvestment period. For
the four CLOs still in their reinvestment period, the notes' RLR
cushions are negative.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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


FLAGSHIP CREDIT 2019-2: S&P Affirms BB-(sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings raised its ratings on 14 classes of automobile
receivable-backed notes from eight Flagship Credit Auto Trust
(FCAT) transactions. At the same time, S&P affirmed its ratings on
17 classes from the same eight FCAT transactions.

The rating actions reflect S&P's view of collateral performance to
date and its expectations regarding future collateral performance,
as well as each transaction's structure and credit enhancement.
Additionally, S&P incorporated secondary credit factors, including
credit stability, payment priorities under various scenarios, and
sector- and issuer-specific analysis. Considering all of these
factors, S&P believes the creditworthiness of the notes remains
consistent with the raised and affirmed ratings.

For each of the transactions, S&P factored in an upward adjustment
to remaining losses that could result from elevated unemployment
levels associated with the current COVID-19-induced recession. In
general, FCAT 2018-2 and 2019-2 are performing in-line with S&P's
initial loss expectations, while FCAT 2016-2, 2016-3, 2016-4,
2017-1, 2018-3, and 2019-1 are performing worse than S&P's initial
or revised loss expectations. Based on its future expectations of
the deals' performance in the recession, S&P raised its expected
cumulative net losses (CNLs).

  Table 1

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

                                Pool    Current    60+ day
  Series                Mo.   factor        CNL    delinq.
  FCAT 2016-2            51    15.43      13.13       5.61
  FCAT 2016-3            48    18.02      12.47       5.16
  FCAT 2016-4            45    20.39      12.25       5.05
  FCAT 2017-1            42    24.65      10.87       5.02
  FCAT 2018-2            27    48.14       6.14       3.62
  FCAT 2018-3            24    53.06       6.04       3.98
  FCAT 2019-1            18    64.09       4.45       4.01
  FCAT 2019-2            15    70.55       3.29       3.51

  Mo.--Month.
  CNL--Cumulative net loss.
  Delinq.--Delinquencies.
  FCAT--Flagship

  Credit Auto Trust.

  Table 2

  CNL Expectations (%)
  As of the August 2020 distribution date

                                         Former           Revised
                     Original          lifetime          lifetime
                     lifetime       CNL exp.(i)          CNL exp.
  Series             CNL exp.      (Sept. 2019)      (Sept. 2020)
  FCAT 2016-2     11.25-11.75       13.00-13.50       Up to 13.75
  FCAT 2016-3     11.25-11.75       13.50-14.00       14.00-14.50
  FCAT 2016-4     11.75-12.25       13.50-14.00       14.25-14.75
  FCAT 2017-1     12.80-13.30       12.75-13.25       13.50-14.00
  FCAT 2018-2     12.75-13.25       12.50-13.00       12.75-13.25
  FCAT 2018-3     12.75-13.25       12.50-13.00       13.50-14.00
  FCAT 2019-1     12.25-12.75               N/A       13.75-14.25
  FCAT 2019-2     12.25-12.75               N/A       13.75-14.25

  CNL exp.--Cumulative net loss expectations.
  FCAT--Flagship Credit Auto Trust.
  N/A--Not Applicable.

Each transaction has a sequential principal payment structure in
which the notes are paid principal by seniority. Each transaction
also has credit enhancement consisting of a non-amortizing reserve
account, overcollateralization (O/C), subordination for the
higher-rated tranches, and excess spread. The credit enhancement
for each transaction is at its specified O/C and reserve targets.
In addition, since the transactions closed, the credit support for
each series has increased as a percentage of the amortizing pool
balance.

The raised and affirmed ratings reflect S&P's view that the total
credit support as a percentage of the amortizing pool balance,
compared with the rating agency's expected remaining losses, is
commensurate with each raised or affirmed rating.

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

                               Total hard      Current total hard
                           credit support          credit support
  Series         Class     at issuance(i)       (% of current)(i)
  FCAT 2016-2    C                  10.25                   60.69
  FCAT 2016-2    D                   4.00                   20.21
  FCAT 2016-3    C                  17.75                   94.66
  FCAT 2016-3    D                   8.25                   41.94
  FCAT 2016-3    E                   4.00                   18.35
  FCAT 2016-4    C                  17.40                   82.79
  FCAT 2016-4    D                   8.25                   37.90
  FCAT 2016-4    E                   4.00                   17.06
  FCAT 2017-1    C                  22.00                   82.56
  FCAT 2017-1    D                  12.86                   45.44
  FCAT 2017-1    E                   5.75                   16.61
  FCAT 2018-2    A                  41.00                   88.57
  FCAT 2018-2    B                  30.50                   66.76
  FCAT 2018-2    C                  18.25                   41.32
  FCAT 2018-2    D                   9.00                   22.10
  FCAT 2018-2    E                   3.25                   10.15
  FCAT 2018-3    A                  41.00                   80.92
  FCAT 2018-3    B                  30.50                   61.13
  FCAT 2018-3    C                  18.25                   38.04
  FCAT 2018-3    D                   9.00                   20.61
  FCAT 2018-3    E                   3.25                    9.77
  FCAT 2019-1    A                  37.40                   64.03
  FCAT 2019-1    B                  28.90                   50.77
  FCAT 2019-1    C                  17.65                   33.21
  FCAT 2019-1    D                   8.55                   19.02
  FCAT 2019-1    E                   1.85                    8.56
  FCAT 2019-2    A                  37.10                   57.88
  FCAT 2019-2    B                  28.35                   45.48
  FCAT 2019-2    C                  16.85                   29.18
  FCAT 2019-2    D                   7.60                   16.07
  FCAT 2019-2    E                   1.85                    7.92

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

S&P incorporated an analysis of the current hard credit enhancement
compared to the remaining expected CNLs for those classes in which
hard credit enhancement alone--without credit to the expected
excess spread--was sufficient, in S&P's opinion, to upgrade the
notes to, or affirm at, 'AAA (sf)'. For the other classes, S&P
incorporated a cash flow analysis to assess the loss coverage
level, giving credit to stressed excess spread. S&P's various cash
flow scenarios included forward-looking assumptions on recoveries,
the timing of losses, and voluntary absolute prepayment speeds that
the rating agency believes are appropriate given each transaction's
performance to date.

S&P also conducted sensitivity analyses to determine the impact
that a moderate ('BBB') stress scenario would have on its ratings
if losses began trending higher than its revised base-case loss
expectations. S&P's results showed that all of the classes have
adequate credit enhancement and are consistent with the tolerances
outlined in its credit stability criteria at the raised or affirmed
rating levels.

The rating agency will continue to monitor the performance of all
of the outstanding transactions to ensure that the credit
enhancement remains sufficient, in S&P's view, to cover its CNL
expectations under its stress scenarios for each of the rated
classes.

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

RATINGS RAISED
  Flagship Credit Auto Trust
                                  Rating
  Series      Class          To            From
  2016-2      D              AAA (sf)      BBB (sf)
  2016-3      D              AAA (sf)      AA (sf)
  2016-3      E              A- (sf)       BBB (sf)
  2016-4      D              AA+ (sf)      A+ (sf)
  2016-4      E              BBB+ (sf)     BBB (sf)
  2017-1      D              AAA (sf)      AA- (sf)
  2017-1      E              BBB (sf)      BBB- (sf)
  2018-2      B              AAA (sf)      AA+ (sf)
  2018-2      C              AA (sf)       A+ (sf)
  2018-3      C              AA- (sf)      A+ (sf)
  2019-1      B              AA+ (sf)      AA (sf)
  2019-1      C              A+ (sf)       A (sf)
  2019-2      B              AA+ (sf)      AA (sf)
  2019-2      C              A+ (sf)       A (sf)

  RATINGS AFFIRMED
  Flagship Credit Auto Trust

  Series      Class          Rating
  2016-2      C              AAA (sf)
  2016-3      C              AAA (sf)
  2016-4      C              AAA (sf)
  2017-1      C              AAA (sf)
  2018-2      A              AAA (sf)
  2018-2      D              BBB+(sf)
  2018-2      E              BB- (sf)
  2018-3      A              AAA (sf)
  2018-3      B              AA+ (sf)
  2018-3      D              BBB+(sf)
  2018-3      E              BB- (sf)
  2019-1      A              AAA (sf)
  2019-1      D              BBB (sf)
  2019-1      E              BB- (sf)
  2019-2      A              AAA (sf)
  2019-2      D              BBB (sf)
  2019-2      E              BB- (sf)


FREDDIE MAC 2020-HQA4: S&P Assigns Prelim B- Rating to B-1B Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR REMIC Trust 2020-HQA4's notes.

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

The preliminary ratings are based on information as of Sept. 17,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

-- The credit quality of the collateral included in the reference
pool--a majority of this collateral is covered by mortgage
insurance backstopped by Freddie Mac;

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

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

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

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

  PRELIMINARY RATINGS ASSIGNED
  Freddie Mac STACR REMIC Trust 2020-HQA4

  Class      Rating          Amount ($)
  A-H(i)     NR          24,008,978,545
  M-1        BBB- (sf)      177,000,000
  M-1H(i)    NR              73,093,526
  M-2        BB- (sf)       220,000,000
  M-2A       BB+ (sf)       110,000,000
  M-2AH(i)   NR              46,308,454
  M-2B       BB- (sf)       110,000,000
  M-2BH(i)   NR              46,308,454
  M-2R       BB- (sf)       220,000,000
  M-2S       BB- (sf)       220,000,000
  M-2U       BB- (sf)       220,000,000
  M-2I       BB- (sf)       220,000,000
  M-2T       BB- (sf)       220,000,000
  M-2AR      BB+ (sf)       110,000,000
  M-2AS      BB+ (sf)       110,000,000
  M-2AT      BB+ (sf)       110,000,000
  M-2AU      BB+ (sf)       110,000,000
  M-2AI      BB+ (sf)       110,000,000
  M-2BR      BB- (sf)       110,000,000
  M-2BS      BB- (sf)       110,000,000
  M-2BT      BB- (sf)       110,000,000
  M-2BU      BB- (sf)       110,000,000
  M-2BI      BB- (sf)       110,000,000
  M-2RB      BB- (sf)       110,000,000
  M-2SB      BB- (sf)       110,000,000
  M-2TB      BB- (sf)       110,000,000
  M-2UB      BB- (sf)       110,000,000
  B-1        B- (sf)        177,000,000
  B-1A       B+ (sf)         88,500,000
  B-1AR      B+ (sf)         88,500,000
  B-1AI      B+ (sf)         88,500,000
  B-1AH(i)   NR              36,546,763
  B-1B       B- (sf)         88,500,000
  B-1BH(i)   NR              36,546,763
  B-2        NR             106,000,000
  B-2A       NR              53,000,000
  B-2AR      NR              53,000,000
  B-2AI      NR              53,000,000
  B-2AH(i)   NR               9,523,382
  B-2B       NR              53,000,000
  B-2BH(i)   NR               9,523,382
  B-3H(i)    NR              62,523,381

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


GALAXY XXVII CLO: Moody's Lowers Rating on Class F Notes to Caa1
----------------------------------------------------------------
Moody's Investors Service assigned a rating to one class of CLO
refinancing notes issued by Galaxy XXVII CLO, Ltd.:

Moody's rating action is as follows:

US$23,160,000 Class B-2-R Senior Fixed Rate Notes due 2031 (the
"Refinancing Notes"), Assigned Aa2 (sf)

Moody's has also downgraded the rating on the following outstanding
notes issued by the Issuer:

US$8,000,000 Class F Deferrable Junior Floating Rate Notes due 2031
(the "Class F Notes"), Downgraded to Caa1 (sf); previously on April
17, 2020 B3 (sf) Placed Under Review for Possible Downgrade

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

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

US$24,000,000 Class D Deferrable Mezzanine 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$22,000,000 Class E Deferrable Junior 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."

The downgrade action and confirmations 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 Issuer.

RATINGS RATIONALE

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

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

Pinebridge Investments LLC (the "Manager") will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

The Issuer has issued the Refinancing Notes on September 14, 2020
(the "Refinancing Date") in connection with the refinancing of one
class of secured notes (the "Refinanced Original Notes"),
originally issued on April 17, 2018 (the "Original Closing Date").
On the Refinancing Date, the Issuer used proceeds from the issuance
of the Refinancing Notes to redeem in full the Refinanced Original
Notes. On the Original Closing Date, the issuer also issued seven
other classes of secured notes, and two classes of subordinated
notes, which remain outstanding.

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

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.

In addition, Moody's has confirmed the ratings on the Confirmed
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.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3405, compared to 2879
reported in the March 2020 trustee report [2]. Moody's notes that
the WARF was failing the test level of 2924 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
22.7% as of August 2020. Nevertheless, Moody's noted that 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: $395,291,422

Defaulted Securities: $2,328,332

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3429

Weighted Average Life (WAL): 5.69 years

Weighted Average Spread (WAS): 3.24%

Weighted Average Recovery Rate (WARR): 48.17%

Par haircut in OC tests and interest diversion test: 0.74%

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

The 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 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.

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.


GOLDENTREE LOAN 3: S&P Affirms B- (sf) Rating to Class F Notes
--------------------------------------------------------------
S&P Global Ratings assigned its 'AA (sf)' rating to the class B-2-R
replacement notes from GoldenTree Loan Management US CLO 3 Ltd., a
collateralized loan obligation (CLO) originally issued in 2018,
managed by GoldenTree Loan Management LP. S&P withdrew its ratings
on the original class B-2 notes following payment in full on the
Sept. 17, 2020, refinancing date. At the same time, S&P affirmed
its ratings on the class X, A, B-1, C, D, E, and F notes.

On the Sept. 17, 2020, refinancing date, proceeds from the class
B-2-R replacement notes were used to redeem the original class B-2
notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the original notes in line
with their full redemption, and it assigned a rating to the
replacement notes. The replacement notes are being issued via a
supplemental indenture, which, in addition to outlining the terms
of the replacement notes, will also extend the non-call period to
March 2021.

In line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios.

"In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches. The ratings reflect our opinion that the credit
support available is commensurate with the associated rating
levels," S&P said.

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

  RATINGS LIST

  GoldenTree Loan Management US CLO 3 Ltd.

  Rating assigned

  $18 mil. class B-2-R notes: AA (sf)

  Ratings affirmed
  
  Class X: AAA (sf)

  Class A: AAA (sf)

  Class B-1: AA (sf)

  Class C: A (sf)

  Class D: BBB- (sf)

  Class E: BB- (sf)

  Class F: B- (sf)

  Rating withdrawn

  Class B-2

  To: Not rated; From: AA (sf)


GS MORTGAGE 2020-NQM1: DBRS Finalizes B Rating on Class B-2 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2020-NQM1 (the
Certificates) issued by GS Mortgage-Backed Securities Trust
2020-NQM1 (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 (15.4%), Greenbox Loans, Inc. (13.3%), and various other
originators, each composing 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. Additionally, GSMC acquired loans from SG
Capital Partners LLC (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 (non-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
(58.6%), NewRez LLC doing business as Shellpoint Mortgage
Servicing, LLC (31.3%), and Rushmore Loan Management Services LLC
(10.1%). Wells Fargo Bank, N.A. (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 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.


GS MORTGAGE-BACKED 2020-PJ4: Fitch Rates Cl. B-5 Debt '(P)B2'
-------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 19
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust (GSMBS) 2020-PJ4. The ratings
range from (P)Aaa (sf) to (P)B2 (sf).

GSMBS 2020-PJ4 is the fourth prime jumbo transaction in 2020 issued
by Goldman Sachs Mortgage Company (GSMC or sponsor). GSMC is an
affiliate of Goldman Sachs & Co. LLC (Goldman Sachs). The
certificates are backed by 610 first lien 30-year, fully-amortizing
fixed-rate mortgage loans with a total balance of $464,388,676 as
of September 1, 2020, the cut-off date. Government sponsored
enterprises eligible loans (GSE-eligible loans) comprise
$142,900,197 of the pool balance, representing 30.77% of the total
pool. All the loans are subject to the Qualified Mortgage (QM) and
Ability-to-Repay (ATR) rules and are categorized as QM-Safe Harbor
or QM-Agency Safe Harbor.

The mortgage loans for this transaction were acquired by the seller
and sponsor, GSMC from United Wholesale Mortgage, LLC (United
Wholesale Mortgage) - 19.8%, loanDepot.com, LLC (loanDepot) -
16.4%, Maxex Clearing, LLC (Maxex) - 15.5%, Guaranteed Rate, Inc.
(Guaranteed Rate) - 13.1%, and Movement Mortgage, LLC (Movement
Mortgage) - 9.6%. The remaining sellers have less than 9% by loan
balance of the pool.

The weighted average (WA) loan-to-value (LTV) ratio, WA FICO and WA
mortgage rate of the mortgage pool is 70.7%, 772, and 3.7%,
respectively, which is in line with the GSMBS 2019-PJ3 and the
GSMBS 2019-PJ2 transactions (collectively, GSMBS PJ3 and PJ2), and
also with other prime jumbo transactions Moody's has recently
rated. Other characteristics of the loans in the pool are also
generally comparable to that of GSMBS PJ3 and PJ2, and other recent
prime jumbo transactions.

As of the cut-off date, all of the mortgage loans are current and
no borrower has entered into a COVID-19 related forbearance plan
with the servicer. Although not disclosed in any transaction
documents, the sponsor has indicated that as a matter of practice,
they will remove any loan that goes into a COVID-19 related
forbearance between the cut-off date and 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.

NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a
Shellpoint Mortgage Servicing (Shellpoint) will service 100% of the
pool. The servicing fee for loans serviced by Shellpoint will be
0.04%. Moody's considers the servicing fee charged by Shellpoint
low compared to the industry standard of 0.25% for prime fixed rate
loans and in the event of a servicing transfer, the successor
servicer may not accept such an arrangement. However, the
transaction documents provide that any successor servicer to
Shellpoint will be paid the successor servicing fee rate of 0.25%,
which is not limited to the Shellpoint servicing fee rate.

Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long
term debt Aa2) will be the master servicer and securities
administrator. U.S. Bank Trust National Association will be the
trustee. Pentalpha Surveillance LLC will be the representations and
warranties (R&W) breach reviewer.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its expected losses based on qualitative attributes,
including origination quality, the financial strength of the R&W
breach provider and third-party review (TPR) results.

Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure with a five-year
lockout period that benefits from a senior and subordination 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: GS Mortgage-Backed Securities Trust 2020-PJ4

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

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

Cl. A-3, Assigned (P)Aa1 (sf)

Cl. A-4, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

Cl. B, Assigned (P)Baa1 (sf)

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

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

Cl. B-2, Assigned (P)A3 (sf)

Cl. B-2A, Assigned (P)A3 (sf)

Cl. B-3, Assigned (P)Baa3 (sf)

Cl. B-3A, Assigned (P)Baa3 (sf)

Cl. B-4, Assigned (P)Ba3 (sf)

Cl. B-5, Assigned (P)B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Its expected losses in a base case scenario are 0.38% at the mean
and 0.18% at the median. Its losses reach 5.18% at a stress level
consistent with its Aaa ratings.

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
residential mortgage loans 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.

The contraction in economic activity in the second quarter was
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained, and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's
increased its model-derived median expected losses by 15% (9.79%
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 coronavirus outbreak.

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, strength of the TPR and the R&W framework of the
transaction.

Collateral Description

GSMBS 2020-PJ4 is a securitization of a pool of 610 first lien
primarily 30-year fully-amortizing fixed-rate mortgage loans with a
total balance of $464,388,676 as of the cut-off date, with a WA
remaining term to maturity of 353 months and a WA seasoning of 6
months. The WA FICO score of the borrowers in the pool is 772. The
WA LTV ratio of the mortgage pool is 70.7%, which is in line with
GSMBS PJ3 and PJ2 and J.P. Morgan Mortgage Trust (JPMMT) prime
jumbo transactions which had WA LTVs of about 70% on average. Other
characteristics of the loans in the pool are also generally
comparable to that of GSMBS PJ3 and PJ2, and recent JPMMT prime
jumbo transactions. The mortgage loans in the pool were originated
mostly in California (47.5% by loan balance).

Approximately 5.25% of the pool balance (40 loans) are appraisal
waiver loans. Such loans do not have a traditional appraisal but
instead use an estimate of value or sales price, which is typically
provided by the seller, for the purposes of underwriting the loan.
Such loans are typically assessed by Freddie Mac (via Loan Product
Advisor) or Fannie Mae (via Desktop Underwriter) to be identified
as eligible for the appraisal waiver program. All the appraisal
waiver loans in the pool have an exterior-only inspection
residential appraisal report (Form 2055). Since the appraisal
waiver product was introduced relatively recently, in a positive
macro-economic environment, sufficient time has not passed to
determine whether the loan level valuation risk related to a
GSE-eligible loan with an appraisal waiver is the same as a
GSE-eligible loan with a traditional appraisal due to lack of
significant data. To account for the risk associated with this
product, Moody's increased its base case and Aaa loss expectations
for all such loans to account for the lack of appraisal.

Although there are no loans in the pool that are currently
delinquent, there are 17 loans in the pool that have some history
of delinquency. Of these 17 delinquent loans, 7 delinquencies were
COVID-19 related delinquencies and were under a forbearance plan.
Of the remaining 10 loans, 9 loans were delinquent for other
reasons and 1 delinquent loan was related to servicer transfer. Of
note, there were 4 borrowers that had entered into a COVID-19
forbearance plan but never exercised any forbearance option and
were always current. Moody's did not make any adjustment for
COVID-19 impacted loans in its analysis as the borrowers paid the
delinquent amount, became current, and were thus reinstated.
Moody's also did not make any adjustments to non-COVID-19
delinquent loans as a majority of them had one 30-day delinquency
over the past 12 months. Although not disclosed in any transaction
documents, the sponsor has indicated that as a matter of practice,
they will remove any loan that goes into a COVID-19 related
forbearance between the cut-off date and the closing date.

Aggregator/Origination Quality

GSMC is the loan aggregator and mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.

GSMC generally acquires mortgage loans on a bulk or flow basis.
Bulk and flow purchases are made from loan sellers subject to
GSMC's counterparty approval process. The loans sold to the trust
come from bulk purchases and from unaffiliated third-party
originators/sellers. Moody's considers GSMC's aggregation platform
to be relatively weaker than that of peers due to the lack of
sufficiently available historical performance and limited quality
control process. Nevertheless, since these loans were originated to
the sellers' underwriting guidelines and Moody's reviewed each of
the seller which contributed at least 9% of the loans to the
transaction (United Wholesale Mortage, loanDepot, Maxex, Guaranteed
Rate, and Movement Mortgage), among other considerations, their
underwriting guidelines, performance history, policies and
documentation (to the extent available, respectively), Moody's did
not apply a separate loss-level adjustment for aggregation quality.
Instead, Moody's based its loss-level adjustments on its reviews of
each of the sellers.

Moody's generally assesses originators whose loans constitute more
than 10% of an RMBS portfolio, identifying any business strategies,
policies, procedures, and underwriting guidelines that could affect
their loans' performance. Moody's might make this assessment in a
single deal as a part of relevant transaction analysis or use
findings from its previously performed originator (or aggregator)
review. United Wholesale Mortgage, loan Depot, Maxex, Guaranteed
Rate and Movement Mortgage sold 19.8%, 16.4%, 15.5%, 13.1% and 9.6%
of the mortgage loans, respectively. Loans sold by other sellers
comprise less than 9% (by loan balance) of the pool. With one
exception, Moody's did not make an adjustment for GSE-eligible
loans, regardless of the originator, since those loans were
underwritten in accordance with agency guidelines.

Because Moody's considers loanDepot and Flagstar Bank, FSB to have
adequate residential prime jumbo loan origination practices and to
be in line with peers due to: (1) adequate underwriting policies
and procedures, (2) consistent performance with low delinquency and
repurchase and (3) adequate quality control, Moody's did not make
any adjustments to its loss levels for these loans. Furthermore,
because Moody's considers Caliber Home Loans Inc. to have stronger
residential prime jumbo loan origination practices than their peers
due to their strong underwriting processes and solid loan
performance, Moody's decreased its base case and Aaa (sf) loss
expectations for non-conforming loans sold by Caliber Home Loans.
In contrast, after reviewing the underwriting guidelines, quality
control processes policies and practices, and available loan
performance information, Moody's increased its base case and Aaa
loss assumption for the loans originated by United Wholesale
Mortgage, Maxex and Movement mortgage. Finally, Moody's increased
its base case and Aaa (sf) loss assumption for all of the loans
underwritten per Home Point Financial Corporation's guidelines due
to limited historical performance data, reduced retail footprint
which limits the originator's oversight on originations, and lack
of strong controls to support recent rapid growth.

Servicing Arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate, and as a result Moody's did not make any
adjustments to its base case and Aaa stress loss assumptions based
on the servicing arrangement.

Shellpoint will be the named primary servicer for this transaction
and will service 100% of the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is located in
Greenville, South Carolina. Shellpoint services residential
mortgage assets for investors that include banks, financial
services companies, GSEs and government agencies. As of August 31,
2020, the company's servicing portfolio totaled approximately
1,526,989 loans with an unpaid principal balance of approximately
$268 billion. Shellpoint's senior management team has an average of
more than 15 years' industry experience, providing a solid base of
knowledge and leadership to the company's servicing division.

Shellpoint will be paid a flat servicing fee of 0.04% per annum.
Moody's considers the servicing fee charged by Shellpoint as low
compared to the industry standard of 0.25% for prime fixed rate
loans. In the event of a servicing transfer, the successor servicer
may not accept such an arrangement. However, the transaction
documents provide that any successor servicer to Shellpoint will be
paid the successor servicing fee rate of 0.25%, which is not
limited to the Shellpoint servicing fee rate. The holder of 100% of
the voting interests in the Class A-IO-S certificates will have the
right to terminate Shellpoint and any successor servicer of the
mortgage loans at any time subject to the terms of the servicing
agreement, the consent of the master servicer and certain other
conditions.

Trustee and Master Servicer

The transaction trustee is U.S. Bank Trust National Association
(U.S. Bank Trust). U.S. Bank Trust is a national banking
association and a wholly owned subsidiary of U.S. Bank National
Association, the fifth largest commercial bank in the United
States. U.S. Bank Trust has provided owner trustee services since
the year 2000.

Wells Fargo will act as master servicer and securities
administrator under the sale and servicing agreement and as
custodian under the custodial agreement. Wells Fargo is a national
banking association and a wholly-owned subsidiary of Wells Fargo &
Company. A diversified financial services company, Wells Fargo &
Company is a U.S. bank holding company with approximately $1.9
trillion in assets and approximately 266,000 employees as of June
30, 2020. As master servicer, Wells Fargo is responsible for
servicer oversight, the termination of servicers and the
appointment of successor servicers. Moody's considers the presence
of an experienced master servicer such as Wells Fargo to be a
mitigant for any servicing disruptions. Wells Fargo is committed to
act as successor servicer if no other successor servicer can be
engaged.

Third-party Review

Five TPR firms verified the accuracy of the loan-level information
that Moody's received from the sponsor. The TPR firms conducted
detailed credit, regulatory compliance, property valuation and data
integrity reviews on 100% of the mortgage pool. The TPR results
indicated compliance with the sellers' underwriting guidelines for
the vast majority of loans, no material compliance issues and no
material appraisal defects. The loans that had exceptions to the
originators' underwriting guidelines had strong documented
compensating factors such as significant liquid assets, low LTVs
and consistent long-term employment. The TPR firms also identified
minor compliance exceptions for reasons such as inadequate RESPA
disclosures (which do not have assignee liability) and TILA/RESPA
Integrated Disclosure (TRID) violations related to fees that were
out of variance but then were cured and disclosed. Furthermore, the
majority of the data integrity errors were due to minor
discrepancies which were corrected in the final collateral tape and
thus Moody's did not make any adjustments to its credit
enhancement. As a result, Moody's did not make any adjustments to
its expected or stress loss levels due to the TPR results.

Representations & Warranties

GSMBS 2020-PJ4's R&W framework is in line with that of GSMBS PJ3
and PJ2 and JPMMT transactions where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Its review of the R&W framework takes into
account the financial strength of the R&W providers, scope of R&Ws
(including qualifiers and sunsets) and the R&W enforcement
mechanism.

Each of the originators in this pool will make certain R&Ws
concerning the mortgage loans (R&W providers). The R&W providers
vary in financial strength. The creditworthiness of the R&W
provider determines the probability that the R&W provider will be
available and have the financial strength to repurchase defective
loans upon identifying a breach. Because the R&W providers in this
transaction are unrated and/or exhibit limited financial
flexibility Moody's applied an adjustment to the loans for which
these entities provided R&Ws. With respect to certain R&Ws, GSMC
will make a "gap" representation covering the period from the date
on which the related originator made the related representation and
warranty to the cut-off date or closing date, as applicable. GSMC
will not backstop any R&W providers who may become financially
incapable of repurchasing mortgage loans. In fact, none of the
mortgage loan seller, the depositor, the servicer or any other
party will backstop the obligations of any originator or aggregator
with respect to breaches of the mortgage loan representations and
warranties.

The loan-level R&Ws are strong and, in general, either meet or
exceed the baseline set of credit-neutral R&Ws Moody's identified
for US RMBS. Among other considerations, the R&Ws address property
valuation, underwriting, fraud, data accuracy, regulatory
compliance, the presence of title and hazard insurance, the absence
of material property damage, and the enforceability of the
mortgage. Of note, for appraisal waiver loans (5.25% of the pool by
balance), the breach reviewer will check if the relevant AUS
underwriting documentation, DU-LP underwriter findings report or a
loan prospector full feedback certificate marked "Approve/Eligible
or "Accept" as applicable, is available and whether the appraisal
waiver valuation was obtained within four months prior to the
origination date. A test failure would occur only if the required
AUS documentation was missing or the appraisal waiver valuation
date was more than four months old from the date of origination.
The transaction has a number of knowledge qualifiers, which do not
appear material. While a few R&Ws sunset after three years, all of
these provisions are subject to performance triggers which extend
the R&W an additional three years based on the occurrence of
certain events of delinquency.

The R&W enforcement mechanism is adequate. Moody's analyzed the
triggers for breach review, the scope of the review, the
consistency and transparency of the review, and the likelihood that
a breached R&W would be put back to the R&W provider. The breach
review is systematic, transparent, consistent and independent. The
transaction documents prescribe a comprehensive set of tests that
the breach reviewer will perform to test whether the R&Ws are
breached. The tests, for the most part, are thorough, transparent
and consistent because the same tests will be performed for each
loan and the breach reviewer will report the results.

The review triggers are fairly strong. Depending on the particular
R&W, the breach reviewer performs the review (a) when the mortgage
loan is 120 days or more delinquent, (b) if the related servicer
determines that future advances are non-recoverable and stops
advancing or (c) if the mortgage loan liquidates with a realized
loss. In accordance with the R&W review procedures undertaken by
the breach reviewer, if the breach reviewer determines that there
has been a material test failure of a test in respect of a R&W, a
repurchase request will be made of the related responsible party.
In such case, the related responsible party may (1) dispute the
repurchase request, (2) cure the breach, (3) repurchase the
affected mortgage loan from the issuing entity or pay the realized
loss amount with respect to such affected mortgage loan, as
applicable, or (4) in some circumstances, substitute another
mortgage loan. Overall, this remedy mechanism is consistent with
GSMBS 2019-PJ3 and JPMMT prime jumbo transactions. Because
third-party review was conducted on 100% of the pool with adequate
results, this mitigates the risk of future R&W violations.

Tail Risk and Locked Out Percentage

The securitization is a single pool which has a shifting interest
structure that benefits from a senior subordination floor and a
subordinate floor. For deals in which the issuer does not exercise
a clean-up call option, the remaining subordination at the tail end
of transaction's life could become insufficient to support high
ratings on senior bonds as tranche performance depends highly on
the performance of a small number of loans. To address this risk,
the transaction has a senior floor of 1.10% and a locked out
percentage of 0.80%, both expressed as a percentage of the closing
pool balance. The subordinate locked out amount protects both the
senior tranches and non-locked subordinate tranches. It diverts
allocable principal payments from locked out subordinate tranches
to the non-locked subordinate tranches. Of note, other than the
subordinate class with the lowest numercial class designation then
outstanding, a subordinate tranche is locked out if its outstanding
balance plus the outstanding balance of all classes subordinate to
it is reduced to or falls below 0.80% of the mortgage balance as of
the cut-off date (locked out amount). If the subordinate class with
the lowest numerical class designation is paid to zero and the
aggregate amount of outstanding subordinate tranches is equal to or
less than the locked-out amount, than the allocable principal
payments from all subordinate tranches are diverted to pay senior
tranches until they are paid off.

Transaction Structure

The transaction uses the shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero, i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order.

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds is based on the net
WAC as reduced by the sum of (i) the reviewer annual fee rate and
(ii) the capped trust expense rate. In the event that there is a
small number of loans remaining, the last outstanding bonds' rate
can be reduced to zero.

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.
Although not disclosed in any transaction documents, the sponsor
has indicated that as a matter of practice, they will remove any
loan that goes into a COVID-19 related forbearance between the
cut-off date and 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, 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, then such
principal forbearance amount will be recognized as a realized loss.
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, Shellpoint 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.

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.


HIN TIMESHARE 2020-A: Fitch Gives Bsf Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Outlooks to notes issued by
HIN Timeshare Trust, 2020-A. The social and market disruption
caused by the coronavirus pandemic and related containment measures
has negatively affected the U.S. economy. To account for the
potential impact, Fitch incorporated conservative assumptions in
deriving the base case cumulative gross default (CGD) proxy. The
analysis focused on peak extrapolations of 2007-2009 and 2016-2018
vintages as a starting point. The sensitivity of the ratings to
scenarios more severe than currently expected is provided in the
Rating Sensitivities section.

RATING ACTIONS

HIN Timeshare Trust 2020-A

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

Class B; LT Asf New Rating; previously at A(EXP)sf

Class C; LT BBBsf New Rating; previously at BBB(EXP)sf

Class D; LT BBsf New Rating; previously at BB(EXP)sf

Class E; LT Bsf New Rating; previously at B(EXP)sf

KEY RATING DRIVERS

Borrower Risk — Stronger Borrower Credit Quality: The
weighted-average FICO score of HINTT 2020-A is 735, which is higher
than a score of 710 and 719 for Orange Lake Timeshare Trust (OLTT)
2019-A and 2018-A, respectively. Unlike the 2019-A transaction but
consistent with prior issuances, the HINTT 2020-A collateral will
feature a minimum FICO score of 600, which will improve the pool's
credit quality. There is no prefunding account in this transaction.
HINTT 2020-A also includes loans originated through rebranded
Silverleaf Resort sales centers. These were included in 2019-A and
2016-A. All loans actively in modification or extension have been
removed from the pool as of the cutoff date.

Forward-Looking Approach on CGD Proxy — Weakening Performance:
Holiday Inn Club Vacations Incorporated's (HICV) delinquency and
default performance exhibited material increases during the most
recent recession. Notable improvement was observed in the 2010-2014
vintages. However, the 2016-2018 vintages are experiencing higher
default rates than during the prior recession, primarily due to
integration challenges following the Silverleaf acquisition and
defaults related to paid-product exits. In deriving its CGD proxy
of 24%, Fitch focused on extrapolations of the 2007-2009 and
2016-2018 vintages.

Fitch takes into consideration the strength of the economy, as well
as future expectations, by assessing key macroeconomic indicators
correlated with timeshare loan performance, such as GDP and the
unemployment rate. These were accounted for in the derivation of
Fitch's CGD proxy for 2020-A.

Coronavirus Pandemic Causing Economic Shock: Fitch has made
assumptions about the spread of the coronavirus pandemic and the
economic impact of the related containment measures. As a base case
scenario, Fitch assumes a global recession in 1H20 driven by sharp
economic contractions in major economies with a rapid spike in
unemployment, followed by a recovery that begins in 3Q20 as the
health crisis subsides. Under this scenario, Fitch's initial base
case CGD proxy was derived using weaker performing 2007-2009 and
2016-2018 vintages.

The CGD proxy accounts for the weaker performance and potential
negative impacts from the severe downturn in the tourism and travel
industries during the pandemic that are highly correlated with the
timeshare sector.

Structural Analysis — Shifting CE Structure: Initial hard credit
enhancement (CE) is expected to be 71.15%, 47.45%, 26.45%, 16.60%
and 3.50% for class A, B, C, D and E notes, respectively. Hard CE
is composed of overcollateralization, a reserve account and
subordination. Soft CE is also provided by excess spread and is
10.8% per annum. The structure is sufficient to cover multiples of
3.00x, 2.00x, 1.50x, 1.25x and 1.00x for 'AAAsf', 'Asf', 'BBBsf',
'BBsf' and 'Bsf', respectively. Notably, this transaction is the
first from the issuer to include a class E subordinated note rated
below 'BBsf'.

Originator/Seller/Servicer Operational Review — Quality of
Origination/Servicing: HICV has demonstrated sufficient abilities
as an originator and servicer of timeshare loans, as evidenced by
the historical delinquency and default performance of the
securitized trusts and of the managed portfolio. While the resort
footprint has grown in recent years, HICV's managed portfolio, as
well as 2020-A, has shifted, and now has a larger concentration in
Texas than Orlando, Florida prior to the acquisition of
Silverleaf.

Coronavirus Pandemic's Effects: Fitch acknowledges the uncertainty
and fast changes related to the pandemic and its impact on global
markets, including the U.S. economy. Fitch has evaluated and
considers HICV's business continuity plan adequate to minimize
disruptions in the collection process. Assuming Fitch's base case
scenario, portfolio delinquencies and defaults could increase as a
result of both reduced income or temporary job losses and declines
in air travel and tourism.

The recent spike in unemployment will pressure borrower's income
and ability to make debt payments, and the discretionary nature of
timeshare ownership may be secondary to other debt. Further,
tourism and travel have been affected significantly by the
pandemic, as evidenced by resort closures across the timeshare
industry and the significant decline in occupancy rates at
timeshare resorts. However, under this scenario, delinquencies and
defaults would likely remain in line with Fitch's initial default
expectation, which is derived using weaker performing 2007-2009 and
2016-2018 vintages.

The risk of negative rating actions will increase in a more
sustained or severe scenario.

Payment Deferral Programs: More recently, OLTT transactions have
seen an increase in deferral requests due to the pandemic. These
programs have previously been offered on a limited basis and
granted to a limited number of existing customers. Notably, no
loans included in the pool will be subject to these programs as of
the cutoff date. However, these loans may still enter into deferral
after the transaction is issued.

To account for potential deferred interest, HICV has included a
mechanic in its reserve account for this transaction, named the
Force Majeure Deferral Reserve Account Deposit. For any deferred
loan, up to three months of interest on that loan will be deposited
into the reserve account until the loan has made two mortgage
payments, or once the loan has been removed from the pool.
Additionally, the amount of this deferred interest and the number
of deferred loans will be reported in the servicer report for the
transaction.

Increased Hard CE from 2019-A: Class A, B, C and D feature hard CE
totaling 71.15%, 47.45%, 26.45% and 16.60%, respectively. These
compare with 71.15%, 41.80%, 22.50% and 4.00% in hard CE for class
A, B, C and D, respectively, in the 2019-A transaction. While class
A notes remain unchanged from the prior transaction, this is the
highest level of hard CE for all subordinate classes, and includes
the addition of the subordinate class E notes, expected to be rated
'Bsf'.

Additional Subordinate Class E Notes: This transaction contains a
new class E note that has not been included in prior OLTT
transactions, which is sized to 13.10% of the initial collateral
balance and supports the senior notes.

No LIBOR Exposure: The transaction does not have any exposure to
LIBOR as the assets and liabilities are fixed rate.

RATING SENSITIVITIES

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CGD is 20% less than the projected
proxy, the expected ratings would be maintained for the class A
note at a stronger rating multiple. For the class B, C and D notes,
the multiples would increase resulting in potential upgrade of one
rating category, one notch and one rating category, respectively.

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

Increases in the frequency of defaults could produce CGD levels
higher than the base case and would likely result in declines of CE
and remaining default coverage levels available to the notes.
Additionally, unanticipated increases in prepayment activity could
also result in a decline in coverage. Decreased default coverage
may make certain note ratings susceptible to potential negative
rating actions, depending on the extent of the decline in coverage.
Hence, Fitch conducts sensitivity analyses by stressing both a
transaction's initial base case CGD and prepayment assumptions and
examining the rating implications on all classes of issued notes.

The CGD sensitivity stresses the CGD proxy to the level necessary
to reduce each rating by one full category, to non-investment grade
(BBsf) and to 'CCCsf' based on the break-even loss coverage
provided by the CE structure. The prepayment sensitivity includes
1.5x and 2.0x increases to the prepayment assumptions, representing
moderate and severe stresses, respectively. These analyses are
intended to provide an indication of the rating sensitivity of
notes to unexpected deterioration of a trust's performance.
Additionally, Fitch conducts increases of 1.5x and 2.0x to the CGD
proxy, which represents moderate and severe stresses, respectively.
These analyses are intended to provide an indication of the rating
sensitivity of notes to unexpected deterioration of a trust's
performance. A more prolonged disruption from the pandemic is
accounted for in the severe downside stress of 2.0x, and could
result in downgrades ranging from one to three rating categories.

The U.S. and the broader global economy remain under stress due to
the pandemic, with surging unemployment and pressure on businesses
stemming from government social distancing guidelines. Unemployment
pressure on the consumer base may result in increases in
delinquencies. For sensitivity purposes, Fitch also assumed a 2.0x
increase in delinquency stress. The results indicated no adverse
rating impact to the notes CGD rating sensitivity.

The greatest risk of defaults to a timeshare loan ABS transaction
is early in the transaction's life, before it has benefited from
de-levering. Therefore, Fitch has stressed each class of notes
prior to any amortization to its first dollar of default to examine
the structure's ability to withstand the aforementioned stressed
default scenarios. Fitch utilizes the break-even loss coverage to
solve for the CGD level required to reduce each rating by one full
category, to non-investment grade 'BBsf' and to 'CCCsf'. The
implied CGD proxy necessary to reduce the ratings will vary by
class based on the break-even loss coverage provided by the CE
structure.

Under this analysis, all assumptions are unchanged, with total loss
coverage available to class A notes at 75.55%. Therefore, the
implied CGD proxy would have to increase to 28.78% for class A
notes to be downgraded one rating category or 2.63x multiple
(75.55%/28.78% = 2.63x). Applying the same approach but increasing
defaults to levels commensurate with rating downgrades to 'BBsf'
and 'CCCsf' suggests defaults would have to increase to 60.44% and
125.92% for rating multiples to decline to 1.25x and 0.6x,
respectively.

Prepayment Rate Rating Sensitivity: During the prepayment
sensitivity analysis, Fitch examines the magnitude of the multiple
compression under prepayment scenarios higher than the base
assumption, while holding constant all other modeling assumptions.
This analysis yields loss coverage levels and multiples under the
base, 1.5x and 2.0x prepayment scenarios.

Rating Sensitivity for Class A Notes: Under the 1.5x prepayment
stress, multiple compression for class A notes is relatively
minimal, as the multiple declines to 3.01x. Such decline in
coverage would have no rating impact. The 2.0x prepayment stress
has a greater impact, as the multiple drops to 2.89x. Such a
decline in coverage would likely result in class A notes being
considered for a potential downgrade to the 'AAsf' rating category.
Rating Sensitivity for Class B Notes Under the 1.5x prepayment
stress, multiple compression for class B notes is relatively
minimal, as the multiple declines to 2.29x. Such decline in
coverage would have no rating impact for the class B notes. The
2.0x prepayment stress has a greater impact, as the multiple drops
to 2.15x. Such a decline in coverage would likely result in class B
notes being considered for a potential downgrade to the 'BBBsf'
rating category.

Rating Sensitivity for Class C Notes: Under the 1.5x prepayment
stress, multiple compression for class C notes is relatively
minimal, as the multiple declines to 1.58x. Such decline in
coverage would have no rating impact for the class C notes. The
2.0x prepayment stress has a greater impact, as the multiple drops
to 1.40x. Such a decline in coverage would likely result in class C
notes being considered for a potential downgrade to the 'BBsf'
rating category.

Rating Sensitivity for Class D Notes: Under the 1.5x prepayment
stress, multiple compression for class D notes is relatively
minimal, as the multiple declines to 1.29x. Such declines would
have no rating impact on the class D notes. The 2.0x prepayment
stress has a greater impact, as the multiple drops to 1.12x. Such a
decline in coverage would likely result in class D notes being
considered for a potential downgrade to the 'Bsf' rating category.

Rating Sensitivity for Class E Notes: Under the 1.5x prepayment
stress, the multiples for class E notes compress to 0.96x. Such a
decline in coverage could result in a downgrade to distressed
categories. The 2.0x prepayment stress has a greater impact, as the
multiple drops to 0.83x. Similar to the 1.5x prepayment stress,
such a decline in coverage would likely result in class E notes
being considered for a potential downgrade to distressed
categories.

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
Grant Thornton LLP. The third-party due diligence described in Form
15E focused on a comparison and re-computation of certain
characteristics with respect to 100 sample loans. Fitch considered
this information in its analysis, and it did not have an effect on
Fitch's analysis or conclusions.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and
enforcement mechanisms (RW&Es) that are disclosed in the offering
document and which relate to the underlying asset pool is available
by clicking the link to the Appendix. The appendix also contains a
comparison of these RW&Es to those Fitch considers typical for the
asset class as detailed in the Special Report titled
'Representations, Warranties and Enforcement Mechanisms in Global
Structured Finance Transactions'.

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.


HIN TIMESHARE 2020-A: S&P Assigns B (sf) Rating to Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to HIN Timeshare Trust
2020-A's timeshare loan-backed, fixed-rate notes.

The note issuance is an ABS transaction backed by a vacation
ownership interval (timeshare) loans.

To reflect the uncertain and weakened U.S. economic and sector
outlook and the heightened risk that rising COVID-19 cases in much
of the U.S. would slow the recovery path in U.S. lodging demand,
S&P is increasing its base-case default assumption by 1.25x to
stress defaults from 'B' to 'BB' rating scenarios. In addition to
its base rating stress, to reflect additional liquidity stress from
deferrals and potential increase in delinquencies, the rating
agency also considered incremental liquidity and sensitivity stress
in all rating categories.

"The ratings reflect our view of the credit enhancement available
in the form of subordination, overcollateralization, a reserve
account, and available excess spread. The ratings also reflect our
view of Holiday Inn Club Vacations Inc.'s servicing ability and
experience in the timeshare market," S&P said.

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

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

  RATINGS ASSIGNED

  HIN Timeshare Trust 2020-A

  Class       Rating       Amount (mil. $)
  A           AAA (sf)              70.219
  B           A (sf)                53.084
  C           BBB (sf)              47.036
  D           BB (sf)               22.062
  E           B (sf)                29.341


ICG US 2014-2: Moody's Confirms B3 Rating on Class F-RR Notes
-------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by ICG US CLO 2014-2, Ltd.:

US$26,800,000 Class D-RR Deferrable Mezzanine Term Notes due 2031
(the "Class D-RR Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

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

US$8,000,000 Class F-RR Deferrable Junior Term Notes due 2031 (the
"Class F-RR 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-RR Notes, and the Class F-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 D-RR Notes, the Class E-RR Notes, and the
Class F-RR Notes issued by the CLO. The CLO, originally issued in
August 2014, partially refinanced in April 2017, and refinanced in
full in March 2018 is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in January 2023.

RATINGS RATIONALE

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 3475, compared to 2946
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3030 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
22.6%. Nevertheless, Moody's noted that all of the transaction's 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: $386,019,444

Defaulted Securities: $10,774,585

Diversity Score: 71

Weighted Average Rating Factor (WARF): 3453

Weighted Average Life (WAL): 5.97 years

Weighted Average Spread (WAS): 3.64%

Weighted Average Recovery Rate (WARR): 47.39%

Par haircut in OC tests and interest diversion test: 1.31%

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

The 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 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.

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.


ICG US 2018-2: Moody's Confirms Ba3 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by ICG US CLO 2018-2, Ltd.:

US$26,200,000 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$18,200,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

These 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, 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 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 August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3435, compared to 2872
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2866 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
24.4%. Nevertheless, Moody's noted that all the OC tests, as well
as the interest diversion test, were 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: $395,438,379

Defaulted Securities: $6,450,213

Diversity Score: 71

Weighted Average Rating Factor (WARF): 3483

Weighted Average Life (WAL): 6.0 years

Weighted Average Spread (WAS): 3.78%

Weighted Average Recovery Rate (WARR): 46.75%

Par haircut in OC tests and interest diversion test: 1.7%

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

The 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 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.

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.


IMSCI 2015-6: Fitch Affirms B Rating on Class G Certs
-----------------------------------------------------
Fitch Ratings has affirmed eight classes of Institutional Mortgage
Securities Canada Inc.'s (IMSCI), commercial mortgage pass-through
certificates, series 2015-6. All currencies are denominated in
Canadian dollars (CAD).

RATING ACTIONS

Institutional Mortgage Securities Canada Inc. 2015-6

Class A-1 45779BDF3; LT AAAsf Affirmed; previously at AAAsf

Class A-2 45779BDG1; LT AAAsf Affirmed; previously at AAAsf

Class B 45779BDB2; LT AAsf Affirmed; previously at AAsf

Class C 45779BDC0; LT Asf Affirmed; previously at Asf

Class D 45779BDD8; LT BBBsf Affirmed; previously at BBBsf

Class E 45779BDE6; LT BBB-sf Affirmed; previously at BBB-sf

Class F 45779BDJ5; LT BBsf Affirmed; previously at BBsf

Class G 45779BDK2; LT Bsf Affirmed; previously at Bsf

KEY RATING DRIVERS

Overall Stable Performance: Although loss expectations have
increased slightly since Fitch's last rating action due to
performance declines on the two Fitch Loans of Concern (FLOCs; 6.3%
of pool) and the slowdown in economic activity related to the
coronavirus, overall performance for the majority of the pool
remains in line with Fitch's expectations at issuance. There are
currently no specially serviced loans.

Increased Credit Enhancement: As of the August 2020 distribution
date, the pool's aggregate principal balance has paid down by 31.5%
to $223 million from $325 million at issuance. Two loans (13.9% of
pool) have been defeased, including the largest loan, Distillery
District (9.6%). Since the last rating action, five loans ($30.9
million) were repaid prior to, at or after their scheduled maturity
dates, including the former largest FLOC, Origin at Longwood ($17.5
million). The pool has a weighted average amortization term of 25.6
years, which represents faster amortization than U.S. conduit
loans. There are no partial or full-term, interest-only loans.

Fitch Loans of Concern: Fitch has designated two loans (6.3% of
pool) as FLOCs due to declining cash flow and/or vulnerability to
the coronavirus pandemic. However, both of these loans have full
recourse to the sponsors, which mitigates potential losses.
Additionally, both loans were granted payment relief in April 2020
allowing for the deferral of principal and/or interest payments due
to economic hardship sustained from the ongoing coronavirus
pandemic.

The largest FLOC, Comfort Inn & Suites Airdrie (4.9% of pool), is
secured by a 103-room limited service hotel located in Airdrie, AB
that has experienced significant declines in occupancy and cash
flow since issuance. The property has been negatively affected by
weakness in the overall energy sector and the impact of lower oil
prices. Existing performance deterioration has been further
exacerbated by the coronavirus pandemic, and the loan was modified
for a second time in April 2020 to allow for the deferral of
monthly interest payments for May through July 2020. The servicer
is currently working with the borrower to provide further relief.
Previously, the loan had been modified in May 2018 with a 24-month
interest-only period commencing in June 2018. The servicer-reported
YE 2019 NOI was down 31% from YE 2018 and 75% from the issuer's
underwritten NOI; the YE 2019 NOI debt service coverage ratio
(DSCR) was 0.45x, down from 0.65x at YE 2018. The loan remains
current and has full recourse to the borrower, Avonos Holdings
Ltd.

The second FLOC, Kennedale Plaza (1.5%), is secured by an
unanchored retail center located in Edmonton, AB. The property is
currently 100% leased to seven tenants; however, three tenants
representing approximately 49% of the total rental income are
currently closed due to the coronavirus pandemic, and these three
tenants have notified the borrower they are unable to continue
paying rent under the present circumstances. The remainder of the
tenancy consists of smaller retail uses that are deemed essential
businesses and remain open. The loan was modified in April 2020 to
allow for the full deferral of monthly debt service payments for
May through July 2020, with the deferred payments to be repaid over
a six-month period that commenced Aug. 1, 2020. The
servicer-reported YE 2019 NOI DSCR was 1.69x, compared with 1.65x
at YE 2018.

Coronavirus Exposure: Loans secured by retail, hotel and
multifamily properties represent 50.3% of the pool (20 loans), 4.9%
(one loan) and 12.2% (three loans), respectively. The retail loans
have a weighted average (WA) NOI DSCR of 1.72x and can withstand an
average 41.8% decline to NOI before DSCR falls below 1.00x. The
hotel loan (Comfort Inn & Suites Airdrie; 4.9% of pool) reported a
YE 2019 NOI DSCR of 0.45x and has reported an NOI DSCR below 1.00x
since YE 2016. The multifamily loans have a WA NOI DSCR of 1.59x
and can withstand an average 37.3% decline to NOI before DSCR falls
below 1.00x. Fitch applied additional coronavirus-related stresses
on three retail loans (6.3%) and the single hotel loan (4.9%) to
account for potential cash flow disruptions due to the coronavirus
pandemic; these additional stresses did not affect the ratings or
Outlooks.

Canadian Loan Attributes and Historical Performance: The ratings
reflect strong 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. Of the remaining pool, 73.4% of the loans feature full
or partial recourse to the borrower and/or sponsors.

Upcoming Loan Maturities: Six loans (18.2% of pool) are scheduled
to mature in November and December 2021 and six loans (15.7%)
mature in 2022. The remainder of the pool (27 loans; 66.2%) is
scheduled to mature between 2024 and 2035.

RATING SENSITIVITIES

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

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 classes B and C would likely
occur with significant improvement in credit enhancement (CE)
and/or defeasance and/or the stabilization of properties impacted
from the coronavirus pandemic. 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 classes D
and E would also consider these factors, but would be limited based
on sensitivity to concentrations or the potential for future
concentrations. Classes would not be upgraded above 'Asf' if there
were likelihood for interest shortfalls. Upgrades to classes F and
G are not likely until the later years in the transaction and only
if the performance of the remaining pool is stable and/or
properties vulnerable to the coronavirus pandemic 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 lead to downgrades include an increase in
pool-level losses from underperforming or specially serviced
loans/assets. Downgrades to classes A-1 through C are not likely
due to the position in the capital structure, but may occur at the
'AAsf' and 'AAAsf' categories should interest shortfalls affect
these classes. Downgrades to classes D and E 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 classes F and
G would occur should loss expectations increase due to an increase
in specially serviced loans and/or the loans vulnerable to the
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.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


IVY HILL VII: Moody's Confirms Ba2 Rating on Class E-R Notes
------------------------------------------------------------
Moody's Investors Service confirmed the rating on the following
notes issued by Ivy Hill Middle Market Credit Fund VII, Ltd.:

US$34,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes
due 2029 (the "Class E-R Notes"), Confirmed at Ba2 (sf); previously
on June 24, 2020 Ba2 (sf) Placed Under Review for Possible
Downgrade

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

This action concludes the review for downgrade initiated on June
24, 2020 on the Confirmed Notes issued by the CLO. The CLO,
originally issued in October 2013 and refinanced in November 2017,
is a managed cashflow middle market CLO. The notes are
collateralized primarily by a portfolio of middle market senior
secured corporate loans and broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
October 2021, and the deal does not allow trading after the end of
the reinvestment period.

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 4226, compared to 3882
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 3700 reported in
the August 2020 trustee report [3]. Based on Moody's calculation,
the proportion of obligors in the portfolio with credit estimates
or Moody's corporate family rating of Caa1 equivalent or lower
(adjusted for negative outlook or watchlist for downgrade) was
approximately 40.15% as of August 2020. 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 failure continues. 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.

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: $411,831,483

Defaulted Securites: $13,310,277

Diversity Score: 56

Weighted Average Rating Factor (WARF): 4402

Weighted Average Life (WAL): 5.1 years

Weighted Average Spread (WAS): 4.55%

Weighted Average Recovery Rate (WARR): 47.39%

Par haircut in OC tests and interest diversion test: 2.19%

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 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.

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

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

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


JAMESTOWN CLO XI: Moody's Lowers Rating on Class E Notes to Caa1
----------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Jamestown CLO XI Ltd.:

US$8,000,000 Class E Senior 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$23,500,000 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$21,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class C Notes and 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, 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

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 3209, compared to 2826
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2760 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
17.4%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $394.9
million, or $5.1 million less than the deal's ramp-up target par
balance. Moody's noted that the OC tests as well as the interest
diversion test were recently reported [4]as passing.

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

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

Performing par and principal proceeds balance: $392,007,262

Defaulted Securities: $6,058,267

Diversity Score: 74

Weighted Average Rating Factor (WARF): 3213

Weighted Average Life (WAL): 5.82 years

Weighted Average Spread (WAS): 3.40%

Weighted Average Recovery Rate (WARR): 46.8%

Par haircut in OC tests and interest diversion test: 0.3%

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

The 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 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.

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.


JFIN CLO 2014-II: Moody's Cuts Rating on Class E Notes to Caa3
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by JFIN CLO 2014-II Ltd.:

US$33,900,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class D Notes") (current outstanding balance of
34,435,546), Downgraded to B2 (sf); previously on April 17, 2020
Ba3 (sf) Placed Under Review for Possible Downgrade

US$4,600,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class E Notes") (current outstanding balance of
4,756,853), Downgraded to Caa3 (sf); previously on April 17, 2020
B2 (sf) Placed Under Review for Possible Downgrade

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

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

US$34,800,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2026 (the "Class C Notes"), Confirmed at Baa1 (sf); previously
on April 17, 2020 Baa1 (sf) Placed Under Review for Possible
Downgrade

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

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

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the junior 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, ongoing amortization,
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 3913 compared to 3223
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 33%. Moody's noted that the OC test for the Class
D notes was recently reported as failing, which has resulted in
deferral of current interest on the Class E Notes and repayment of
the senior notes. Nevertheless, Moody's noted that the OC test for
the Class C Notes was recently reported as passing.

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

Performing par and principal proceeds balance: $261,829,528

Defaulted Securities: $21,293,247

Diversity Score: 55

Weighted Average Rating Factor (WARF): 3920

Weighted Average Life (WAL): 3.3 years

Weighted Average Spread (WAS): 3.64%

Weighted Average Recovery Rate (WARR): 47.55%

Par haircut in OC tests and interest diversion test: 6.24%

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 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.

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 2020-7: S&P Assigns Prelim B (sf) Rating to B-5 Certs
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Mortgage Trust 2020-7's mortgage pass-through certificates.

The issuance is a RMBS transaction backed by first-lien, fixed-rate
fully amortizing mortgage loans secured by one- to three-family
residential properties, condominiums, cooperatives, and
planned-unit developments to primarily prime borrowers. The $639.6
million collateral pool consists of 782 mortgage loans that are
either prime jumbo mortgages or loans conforming to
government-sponsored enterprise (GSE) underwriting standards.

The preliminary ratings are based on information as of Sept. 17,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings

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

-- The high-quality collateral in the pool;

-- The available credit enhancement;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework for this
transaction;

-- The geographic concentration;

-- The experienced aggregator;

-- The 100% due diligence results consistent with represented loan
characteristics; and

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

S&P 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.

  PRELIMINARY RATINGS ASSIGNED
  J.P. Morgan Mortgage Trust 2020-7

  Class       Rating               Amount ($)
  A-1         AAA (sf)            601,262,000
  A-2         AAA (sf)            562,870,000
  A-3         AAA (sf)            498,542,000
  A-3-A       AAA (sf)            498,542,000
  A-3-X       AAA (sf)            498,542,000(i)
  A-4         AAA (sf)            373,907,000
  A-4-A       AAA (sf)            373,907,000
  A-4-X       AAA (sf)            373,907,000(i)
  A-5         AAA (sf)            124,635,000
  A-5-A       AAA (sf)            124,635,000
  A-5-B       AAA (sf)            124,635,000
  A-5-X-1     AAA (sf)            124,635,000(i)
  A-5-X-2     AAA (sf)            124,635,000(i)
  A-6         AAA (sf)            298,438,000
  A-6-A       AAA (sf)            298,438,000
  A-6-X       AAA (sf)            298,438,000(i)
  A-7         AAA (sf)            200,104,000
  A-7-A       AAA (sf)            200,104,000
  A-7-X       AAA (sf)            200,104,000(i)
  A-8         AAA (sf)             75,469,000
  A-8-A       AAA (sf)             75,469,000
  A-8-X       AAA (sf)             75,469,000(i)
  A-9         AAA (sf)             62,318,000
  A-9-A       AAA (sf)             62,318,000
  A-9-B       AAA (sf)             62,318,000
  A-9-X-1     AAA (sf)             62,318,000(i)
  A-9-X-2     AAA (sf)             62,318,000(i)
  A-10        AAA (sf)             62,317,000
  A-10-A      AAA (sf)             62,317,000
  A-10-B      AAA (sf)             62,317,000
  A-10-X-1    AAA (sf)             62,317,000(i)
  A-10-X-2    AAA (sf)             62,317,000(i)
  A-11        AAA (sf)             64,328,000
  A-11-X      AAA (sf)             64,328,000(i)
  A-11-A      AAA (sf)             64,328,000
  A-11-AI     AAA (sf)             64,328,000(i)
  A-11-B      AAA (sf)             64,328,000
  A-11-BI     AAA (sf)             64,328,000(i)
  A-12        AAA (sf)             64,328,000
  A-13        AAA (sf)             64,328,000
  A-14        AAA (sf)             38,392,000
  A-15        AAA (sf)             38,392,000
  A-16        AAA (sf)            532,546,343
  A-17        AAA (sf)             68,715,657
  A-X-1       AAA (sf)            601,262,000(i)
  A-X-2       AAA (sf)            601,262,000(i)
  A-X-3       AAA (sf)             64,328,000(i)
  A-X-4       AAA (sf)             38,392,000(i)
  B-1         AA- (sf)             14,711,000
  B-1-A       AA- (sf)             14,711,000
  B-1-X       AA- (sf)             14,711,000(i)
  B-2         A- (sf)               8,955,000
  B-2-A       A- (sf)               8,955,000
  B-2-X       A- (sf)               8,955,000(i)
  B-3         BBB- (sf)             6,397,000
  B-3-A       BBB- (sf)             6,397,000
  B-3-X       BBB- (sf)             6,397,000(i)
  B-4         BB- (sf)              3,198,000
  B-5         B (sf)                2,239,000
  B-6         NR                    2,878,631  
  B-X         BBB- (sf)            30,063,000(i)
  B-5-Y       B (sf)                2,239,000
  B-6-Y       NR                    2,878,631
  B-6-Z       NR                    2,878,631
  A-R         NR                            0

  (i)Notional balance.
  NR--Not rated.


JPMCC COMMERCIAL 2015-JP1: Fitch Affirms B- Rating on Cl. G Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of JPMCC Commercial Mortgage
Securities Trust, commercial mortgage pass-through certificates,
series 2015-JP1.

RATING ACTIONS

JPMCC 2015-JP1

Class A-2 46590KAB0; LT AAAsf Affirmed; previously AAAsf

Class A-3 46590KAC8; LT AAAsf Affirmed; previously AAAsf

Class A-4 46590KAD6; LT AAAsf Affirmed; previously AAAsf

Class A-5 46590KAE4; LT AAAsf Affirmed; previously AAAsf

Class A-S 46590KAG9; LT AAAsf Affirmed; previously AAAsf

Class A-SB 46590KAF1; LT AAAsf Affirmed; previously AAAsf

Class B 46590KAH7; LT AA-sf Affirmed; previously AA-sf

Class C 46590KAK0; LT A-sf Affirmed; previously A-sf

Class D 46590KAL8; LT BBBsf Affirmed; previously BBBsf

Class E 46590KBA1; LT BBB-sf Affirmed; previously BBB-sf

Class F 46590KAS3; LT BBsf Affirmed; previously BBsf

Class G 46590KAU8; LT B-sf Affirmed; previously B-sf

Class X-A 46590KAN4; LT AAAsf Affirmed; previously AAAsf

Class X-B 46590KAP9; LT AA-sf Affirmed; previously AA-sf

Class X-D 46590KAR5; LT BBBsf Affirmed; previously BBBsf

Class X-E 46590KAY0; LT BBB-sf Affirmed; previously BBB-sf

KEY RATING DRIVERS

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 12 Fitch Loans of
Concern (FLOCs; 20.1% of the pool), including four specially
serviced loans (10.4%), as well as concerns over the overall impact
of the coronavirus pandemic on the pool.

Fitch Loans of Concern: Twelve loans (20.1%) have been designated
as FLOCs. The largest FLOC is the specially serviced Holiday Inn
Baltimore Inner Harbor loan (4.9%), which is secured by a 365-room
full-service hotel located in Baltimore, MD, two blocks from Camden
Yards, the home ballpark of the Baltimore Orioles. The loan
transferred to special servicing in August 2018 due to imminent
default related to its franchise agreement with IHG. Further
performance has declined since issuance. The servicer reported YE
2019 NOI debt service coverage ratio (DSCR) was only 0.05x. As of
the TTM June 2020 STR report, the property is being outperformed by
its comp set in occupancy, ADR, and RevPAR, with penetration rates
of 66%, 94% and 63%, respectively. A receiver has been appointed in
2019, which has been correcting deferred maintenance items. A sale
is being contemplated by the servicer. Fitch will continue to
monitor the resolution of this loan.

The next largest FLOC is the DoubleTree Tulsa Warren Place loan
(2.5%), which is secured by a 370-room full-service hotel located
in Tulsa, OK. Tulsa is largely driven by the volatile oil & gas
industry. The loan transferred to special servicing due to a COVID
relief request and imminent default. The loan has a scheduled
maturity of December 2020. Property performance was declining prior
to the onset of the pandemic. According to the TTM July 2020 STR
report, property occupancy, ADR and RevPAR at 43.3%, $98.93 and
$42.86, respectively. The property outperforms its comp set in
RevPAR with a penetration rate of 111%. The loan is less than
one-month delinquent, as of August 2020.

The third largest FLOC is the DoubleTree Anaheim - Orange County
loan (2.5%) loan, which is secured by a 461-room full-service hotel
located in downtown Anaheim, CA. Demand drivers include Disneyland,
Anaheim Convention Center, Angel Stadium, Honda Center, and the
Outlets at Orange. The servicer reported a YE 2019 NOI DSCR of
2.69x for this amortizing loan, but has suffered performance
hardship related to the coronavirus pandemic. The loan transferred
to special servicing in July 2020 due to payment default and is now
90+ days delinquent.

The next largest FLOC is the Franklin Ridge - 9910 Building loan
(2.3%), which is secured by three cross-collateralized and
cross-defaulted loans secured by three adjacent properties located
in Nottingham, MD. The loan is 30+ days delinquent and according to
servicer updates collections are in the process. As of the June
2020 rent roll, the property was 94% occupied; the servicer
reported YE 2019 NOI DSCR of 1.54x. John Hopkins University, which
is the largest tenant at the property (48.5% of the NRA), has a
lease expiration of December 2020. Fitch requested an update from
the servicer on the John Hopkins University lease, but has not
received a response to date.

The next FLOC is the Chattanooga & Greeley Retail Portfolio (1.5%)
loan, which is secured by a 219,986-sf retail portfolio located in
Hixson, TN and Greenly, CO. The loan is current as of August 2020,
but has been subject to recent hardships related to the coronavirus
pandemic. As of YE 2019, the servicer reported NOI DSCR was 1.23x,
a decline from 1.75x at YE 2018; this decline has been attributed
to an increase in expenses, primarily real estate taxes and
insurance.

The next largest FLOCs include the Tidewater Cove loan (1.2%),
which is secured by an office property located in Vancouver, WA.
The property has seen its most recently reported occupancy decline
to 75% from 91% in 2017; and has a servicer-reported NOI DSCR of
1.12x, as of YE 2019; and the Marketplace at Augusta - Townsend
loan (1.2%), which is secured by a retail center located in
Augusta, ME with significant upcoming lease rollover of 44% of NRA
scheduled in 2020.

No other FLOC comprises more than 1% of the pool.

Minimal Change to Credit Enhancement: As of the August 2020
distribution date, the pool's aggregate principal balance was
reduced by 5.9% to $751.7 million from $799.2 million at issuance.
Two loans (3.2% 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. Six loans (12.8%) are
full-term interest only (IO), and there are seven loans (12.7%)
with partial IO periods that are all going to begin amortizing in
November and December 2020. Upcoming loan maturities consist of six
loans (15.5%) scheduled to mature in 2020. The remainder of the
pool matures in 2025.

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 15 loans (18% of pool). Loans secured by hotel properties
account for nine loans (19.7%), while 10 loans (8.7%) are secured
by a multifamily property. Fitch's base case analysis applied
additional stresses to nine retail loans and eight hotel loans due
to their vulnerability to the coronavirus pandemic; this analysis
contributed to the Negative Outlooks on class E, F and G.

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 E, F and G reflect
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 (CE) 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, F
and G 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:

Downgrades to classes A-2 through B are not likely due to their
position in the capital structure and the high CE; however,
downgrades to these classes may occur should interest shortfalls
occur. Downgrades to class C would occur if loss expectations
increase significantly and/or CE be eroded. Downgrades to the
classes rated 'BBBsf', 'BBB-sf', 'BBsf', 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.

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


KKR CLO 30: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to KKR CLO 30
Ltd./KKR CLO 30 LLC's floating- and fixed-rate notes.

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

The preliminary ratings are based on information as of Sept. 15,
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 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.

  PRELIMINARY RATINGS ASSIGNED

  KKR CLO 30 Ltd./KKR CLO 30 LLC

  Class                Rating         Amount
                                    (mil. $)
  A-1                  AAA (sf)       267.75
  A-2                  AAA (sf)        24.75
  B-1                  AA (sf)         43.88
  B-2                  AA (sf)          5.63
  C (deferrable)       A (sf)          22.50
  D (deferrable)       BBB- (sf)       27.00
  E (deferrable)       BB- (sf)        15.75
  Subordinated notes   NR              43.50

  NR--Not rated.


LCM LTD XXIV: Moody's Lowers Rating on Class E Notes to B1
----------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by LCM XXIV Ltd.:

US$33,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$24,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class E Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D 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 July 2022.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3055, compared to 2848
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2610 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
14.17%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $580.3
million, or $17.4 million less than the deal's ramp-up target par
balance.

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

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

Performing par and principal proceeds balance: $578,125,396

Defaulted Securities: $8,840,122

Diversity Score: 90

Weighted Average Rating Factor (WARF): 3060

Weighted Average Life (WAL): 5.5 years

Weighted Average Spread (WAS): 3.18%

Weighted Average Recovery Rate (WARR): 48.14%

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

The 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 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.

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.


MFA TRUST 2020-NQM1: DBRS Finalizes B Rating on Class B-2 Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2020-NQM1 (the
Certificates) issued by MFA 2020-NQM1 Trust (MFA 2020-NQM1):

-- $276.6 million Class A-1 at AAA (sf)
-- $25.4 million Class A-2 at AA (sf)
-- $41.6 million Class A-3 at A (sf)
-- $18.0 million Class M-1 at BBB (sf)
-- $11.1 million Class B-1 at BB (sf)
-- $8.2 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 Mortgage Pass-Through Certificates, Series
2020-NQM1 (the Certificates). The Certificates are backed by 1,168
mortgage loans with a total principal balance of $390,979,926 as of
the Cut-Off Date (July 31, 2020).

Subsequent to the issuance of the related Presale Report, there
were minimal loan drops and balance updates. The Certificates are
backed by 1,177 mortgage loans with a total principal balance of
$393,083,403 in the Presale Report. Unless specified otherwise, all
the statistics regarding the mortgage loans in the related Rating
Report are based on the Presale Report balance.

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.


MORGAN STANLEY 2017-C34: Fitch Affirms B-sf Rating on Cl. F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Morgan Stanley Bank of
America Merrill Lynch Trust 2017-C34 commercial mortgage
pass-through certificates.

RATING ACTIONS

MSBAM 2017-C34

Class A-1 61767EAA2; LT AAAsf Affirmed; previously at AAAsf

Class A-2 61767EAB0; LT AAAsf Affirmed; previously at AAAsf

Class A-3 61767EAD6; LT AAAsf Affirmed; previously at AAAsf

Class A-4 61767EAE4; LT AAAsf Affirmed; previously at AAAsf

Class A-S 61767EAH7; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 61767EAC8; LT AAAsf Affirmed; previously at AAAsf

Class B 61767EAJ3; LT AA-sf Affirmed; previously at AA-sf

Class C 61767EAK0; LT A-sf Affirmed; previously at A-sf

Class D 61767EAU8; LT BBB-sf Affirmed; previously at BBB-sf

Class E 61767EAW4; LT BB-sf Affirmed; previously at BB-sf

Class F 61767EAY0; LT B-sf Affirmed; previously at B-sf

Class X-A 61767EAF1; LT AAAsf Affirmed; previously at AAAsf

Class X-B 61767EAG9; LT A-sf Affirmed; previously at A-sf

Class X-D 61767EAL8; LT BBB-sf Affirmed; previously at BBB-sf

Class X-E 61767EAN4; LT BB-sf Affirmed; previously at BB-sf

Class X-F 61767EAQ7; LT B-sf Affirmed; previously at B-sf

KEY RATING DRIVERS

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 six Fitch Loans
of Concern (FLOCs; 16.5% of the pool), including two specially
serviced loans (3.9%), as well as concerns over the overall impact
of the coronavirus pandemic on the pool.

Fitch Loans of Concern: Fitch has designated six loans (16.5%) as
FLOCs. The largest FLOC is the OKC Outlets loan (4.8%), which is
secured by a 394,240-sf outlet center located in Oklahoma City, OK.
The loan was delinquent in June 2020, but was brought current as of
August 2020. Property cash flow had been trending downward prior to
the onset of the coronavirus pandemic due to increased operating
expenses, primarily advertising and marketing; NOI declined 3.4%
between 2018 and 2019. Property occupancy was 87.5% as of the March
2020 rent roll, which is in line with issuance. Near-term lease
rollover includes 5.5% of the NRA expiring in 2020, 37.4% in 2021,
23.1% in 2022 and 5% in 2023. Fitch was not provided updated sales
information; however, around the time of issuance, tenant sales for
December 2016, January 2017 and February 2017 had already showed
same-month sales declines of 2.5%, 16.8% and 14.7%, respectively.
Additionally, Oklahoma's economy is heavily reliant upon the energy
market.

The second largest FLOC is the Mall of Louisiana loan (4.3%), which
is secured by 776,789-sf of in-line space within a 1.5 million sf
super-regional mall located in Baton Rouge, LA. Per the March 2020
rent roll, collateral occupancy is 93%, and total mall occupancy is
96%. Leases representing 24.5% of the NRA are scheduled to expire
in the next 12 months. While cash flow at the property has remained
stable overall, in-line sales have declined since issuance. Per the
March 2020 sales report, comp in-line sales for tenants less than
10,000 sf were $414 psf (excluding Apple) compared to $461 psf at
YE 2018, $461 psf at issuance (March 2018), $438 psf in March 2017
and $428 psf in 2014. AMC Theatres (9.6% NRA) is the largest
collateral tenant and has experienced a decline in sales per screen
to $342,933 as of March 2020 compared to $390,617 per screen at YE
2018 and $560,583 per screen at issuance. Non-collateral anchors at
the property include Dillard's, Dillard's Men & Home, JC Penney,
Macy's and Sear's, all of which have reported nationwide store
closures and declining revenue in recent years. While the subject
is the dominant mall in its trade area, it is also located in a
secondary market with fewer demand drivers. The loan begins
amortizing this month.

The third largest FLOC is the Townsend Hotel loan (3.4%), which is
secured by a 150-room boutique luxury hotel located in Birmingham,
MI. The loan transferred to special servicing in June 2020 due to
payment default as a result of the coronavirus pandemic. The loan
is 90+ days delinquent. Per the servicer, discussions with the
borrower are ongoing. The servicer reported YE 2019 NOI DSCR was
3.80x for this IO loan.

The next largest FLOC is the Starwood Capital Group Hotel Portfolio
loan (2.4%), which is secured by a portfolio of 65 hotels located
in 17 states, largely located in California, Texas and Indiana. 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 for this IO loan. According to the servicer, the borrower has
requested coronavirus-related relief and is working toward a
resolution. The loan remains current.

The remaining two FLOCs combine for approximately 1.6% of the pool
balance and are secured by an office property located in Fort
Lauderdale, FL that has seen a significant decline in occupancy,
and an industrial warehouse located in Huntington Valley, PA that
transferred to special servicing in October 2018 and is moving
towards foreclosure.

Minimal Change to Credit Enhancement (CE): As of the August 2020
distribution date, the pool's aggregate principal balance was
reduced by 1.4% to $1.03 billion from $1.05 billion at issuance.
There have been no realized losses to date and interest shortfalls
are currently affecting the non-rated class G. Thirteen loans (26%)
are full-term IO, and 10 loans (25.5%) remain in their partial IO
periods.

Alternative Loss Considerations: Fitch performed an additional
sensitivity scenario that assumed potential outsized losses of 20%
on the maturity balances of the Louisiana Mall loan and the OKC
Outlets. This scenario contributes to the Negative Rating Outlook
on class F.

Coronovirus Impact: 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 comprise 15 loans (26.4%). Loans secured by
hotel properties comprise five loans (9.4%), while five loans
(6.6%) are secured by a multifamily property. Fitch's base case
analysis applied additional stresses to two retail loans and two
hotel loans due to their vulnerability to the coronavirus pandemic;
this contributed to the Negative Outlooks on class E and F.

RATING SENSITIVITIES

The Stable Outlooks reflect the class' sufficient CE 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 E and F reflect 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 a
positive rating action/upgrade:

Upgrades to classes B and C would likely occur with significant
improvement in CE 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, F and G are not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable and/or properties
vulnerable to the coronavirus return to pre-pandemic levels, and
there is sufficient CE to the classes.

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

Downgrades to classes A-2 through B are not likely due to their
position in the capital structure and the high CE; however,
downgrades to these classes may occur should interest shortfalls
occur. Downgrades to class C would occur if loss expectations
increase significantly and/or should CE 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.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


MORGAN STANLEY 2017-HR2: Fitch Affirms B- Rating on Cl. H-RR Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Morgan Stanley Capital I
Trust 2017-HR2 commercial mortgage pass-through certificates.

RATING ACTIONS

MSC 2017-HR2

Class A-1 61691NAA3; LT AAAsf Affirmed; previously at AAAsf

Class A-2 61691NAB1; LT AAAsf Affirmed; previously at AAAsf

Class A-3 61691NAD7; LT AAAsf Affirmed; previously at AAAsf

Class A-4 61691NAE5; LT AAAsf Affirmed; previously at AAAsf

Class A-S 61691NAH8; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 61691NAC9; LT AAAsf Affirmed; previously at AAAsf

Class B 61691NAJ4; LT AA-sf Affirmed; previously at AA-sf

Class C 61691NAK1; LT A-sf Affirmed; previously at A-sf

Class D 61691NAN5; LT BBB-sf Affirmed; previously at BBB-sf

Class E-RR 61691NAQ8; LT BBB-sf Affirmed; previously at BBB-sf

Class F-RR 61691NAS4; LT BB+sf Affirmed; previously at BB+sf

Class G-RR 61691NAU9; LT BB-sf Affirmed; previously at BB-sf

Class H-RR 61691NAW5; LT B-sf Affirmed; previously at B-sf

Class X-A 61691NAF2; LT AAAsf Affirmed; previously at AAAsf

Class X-B 61691NAG0; LT AA-sf Affirmed; previously at AA-sf

Class X-D 61691NAL9; LT BBB-sf Affirmed; previously at BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: Despite a majority of the pool
exhibiting relatively stable performance, loss expectations have
increased since issuance primarily due to an increase in Fitch
Loans of Concern (FLOCs) and coronavirus-related performance
concerns. Fitch identified four loans (10.2%) as FLOCs, including
two loans (5.1%) secured by hotels, a portfolio of parking garages
and a mixed-use building, all of which are in the top 15.

The largest FLOC is the Hampton Inn & Suites Ballpark (2.7%), which
is secured by a 168-key limited service hotel located across the
street from Nationals Park, home of Major League Baseball's
Washington Nationals. The hotel's performance has been
significantly impacted by the COVID-19 pandemic. According to the
July 2020 STR report, occupancy, ADR and RevPar were reported to be
53%, $181.76 and $96.33, respectively, for the TTM period compared
to 76.1%, $193.10 and $146.96, respectively, reported at issuance.
The full-term interest only loan remains current, and the debt
service coverage ratio was reported to be 1.40x for the TTM period
ending June 2020.

The second largest FLOC is the Riverside Boulevard Garage Portfolio
(2.6%), which is secured by five parking garages in five
condominium regimes totaling 893 parking spaces (228,083 SF)
located along Riverside Boulevard in the Lincoln Square
neighborhood of the Upper West Side of Manhattan. The full-term
interest-only loan reported a YE 2019 debt service coverage ratio
(DSCR) of 2.27x. The loan is 90+ days delinquent and transferred to
the special servicer in August. According to the servicer, the
borrower has requested coronavirus-related relief, which is being
evaluated.

The 260-272 Meserole loan (2.6%) is the third largest FLOC. It is
secured by a five-story commercial loft and retail building
totaling 70,475 SF located in Brooklyn, NY. The property contains
155 loft units on the upper floors of the building with an average
unit size of 294 SF; the majority of these units are leased to
musicians on one-year lease/use agreements to record and rehearse.
The retail component is located on the ground and second floors.
The square footage breakdown between the loft units and retail
space is 64.7% and 35.3%, respectively. The retail tenants are also
generally music-oriented and include live music performance venues
in addition to food and beverage. As of YE 2019, occupancy and DSCR
were reported to be 91% and 1.34x, respectively. The loan has been
transferred to the special servicer for imminent monetary default;
it is currently due for the June and July 2020 payments and the
borrower has notified the servicer of coronavirus related
hardships.

As of the August 2020 distribution period, there are six (11.5%)
loans on the servicer's watchlist for delinquent payments, cash
flow decline, deferred maintenance and failure to submit financial
statements.

Minimal Changes to Credit Enhancement: The pool has amortized 0.85%
since the transaction closed in December 2017. Nineteen loans
representing 67.8% of the pool balance are interest only for the
full term, which is significantly higher than other similar vintage
deals. Three loans representing 12.4% of the pool are scheduled to
mature in 2022, and all remaining loans are scheduled to mature in
2027.

Coronavirus Exposure: Twelve loans (30.1%) are secured by retail
properties, which is greater than other similar vintage
transactions. Retail loans consist of a mix of stand-alone,
anchored shopping centers and a lifestyle center; none of the
properties are regional malls. The retail properties within the
pool have a weighted average NOI DSCR of 2.39x. There are seven
loans secured by hotel properties (11%), which have a weighted
average NOI DSCR of 2.16x. The base case analysis applied
additional stresses to five of the seven hotel loans and one of the
retail loans due to their vulnerability to the coronavirus
pandemic. These additional stresses contributed to the Negative
Outlook on classes G-RR and H-RR.

RATING SENSITIVITIES

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

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

Sensitivity factors that lead to upgrades would include stable to
improved asset performance coupled with pay down and/or defeasance.
Upgrades to the 'Asf' and 'AAsf' categories would likely occur with
significant improvement in credit enhancement and/or defeasance;
however, adverse selection, increased concentrations and/or further
underperformance of the FLOCs or loans expected to be negatively
affected by the coronavirus pandemic could cause this trend to
reverse. Upgrades to the 'BBBsf' category would also take into
account these factors but would be limited based on sensitivity to
concentrations or the potential for future concentration. Classes
would not be upgraded above 'Asf' if there were likelihood for
interest shortfalls. Upgrades to the 'Bsf' and 'BBsf' categories
are not likely until the later years in a transaction when there is
significant increase in credit enhancement and only if the
performance of the remaining pool is stable and properties
vulnerable to the coronavirus return to pre-pandemic levels.

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

Sensitivity factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades to the, 'AAsf' and 'AAAsf' categories are not likely due
to the position in the capital structure but may occur should
interest shortfalls occur. Downgrades to the 'Asf' and 'BBBsf'
category would occur if a high proportion of the pool defaults and
expected losses increase significantly. Downgrades to the 'Bsf' and
'BBsf' categories would occur should loss expectations increase
and/or the loans vulnerable to the coronavirus pandemic not
stabilize. The Outlooks on classes E and F may be revised back to
Stable if the performance of the FLOC's and/or properties
vulnerable to the coronavirus stabilize once the pandemic is over.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
additional negative rating actions, including downgrades of a
category or more, and Negative Outlook revisions.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


NEWARK BSL 1: Moody's Confirms Ba3 Rating on Class D-R Notes
------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Newark BSL CLO 1, Ltd.:

US$27,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due December 2029 (the "Class C-R Notes"), Confirmed at Baa3
(sf); previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due December 2029 (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 and the Class D-R 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 3118, compared to 2843
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2835 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
15.5%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $497.3
million, or $2.7 million less than the deal's initial 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:

Par amount and principal proceeds balance: $495,148,472

Defaulted Securities: $5,254,304

Diversity Score: 88

Weighted Average Rating Factor (WARF): 3120

Weighted Average Life (WAL): 5.75 years

Weighted Average Spread (WAS): 3.37%

Weighted Average Recovery Rate (WARR): 47.85%

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 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.

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.


NEWSTAR EXETER: Moody's Lowers Rating on Class F Notes to Caa3
--------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by NewStar Exeter Fund CLO LLC:

US$12,000,000 Class F Secured Deferrable Floating Rate Notes due
2027 (the "Class F Notes"), Downgraded to Caa3 (sf); previously on
June 24, 2020 Caa2 (sf) Placed Under Review for Possible Downgrade

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

This action concludes the review for downgrade initiated on June
24, 2020 on the Downgraded Notes issued by the CLO. The CLO,
originally issued in February 2015 and refinanced in July 2018, is
a managed cashflow middle market CLO. The notes are collateralized
primarily by a portfolio of middle market senior secured corporate
loans and broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in January 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.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 4194, compared to 3880
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 3564 reported in
the August 2020 trustee report [3]. Based on Moody's calculation,
the proportion of obligors in the portfolio with credit estimates
or Moody's corporate family rating of Caa1 equivalent or lower
(adjusted for negative outlook or watchlist for downgrade) was
approximately 41.6% as of August 2020. Moody's noted that the Class
E OC test was recently reported as failing, which could result in
the diversion of a portion of excess interest and principal
collections to repay the senior notes at the next payment date
should the failure continues. Nevertheless, Moody's noted that the
OC tests for the Class B, Class C, and 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: $162,717,959

Defaulted Securites: $6,399,092

Diversity Score: 32

Weighted Average Rating Factor (WARF): 4896

Weighted Average Life (WAL): 3.36 years

Weighted Average Spread (WAS): 5.02%

Weighted Average Recovery Rate (WARR): 47.34%

Par haircut in OC tests and interest diversion test: 3.67%

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

The 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 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.

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

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

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


NORTHWOODS CAPITAL XVII: Moody's Confirms Ba3 Rating on Cl. E Debt
------------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Northwoods Capital XVII, Limited:

US$31,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Confirmed at A2 (sf);
previously on June 3, 2020 A2 (sf) Placed Under Review for Possible
Downgrade

US$27,750,000 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$24,750,000 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 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 Notes and the Class E Notes and on June 3,
2020 on the Class C Notes issued by the CLO. The CLO, issued in
March 2018, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
April 2023.

RATINGS RATIONALE

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 3314, compared to 2802
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2991 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
21.9%. Nevertheless, Moody's noted that all the OC tests and 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: $509,436,943

Defaulted Securities: $10,637,627

Diversity Score: 66

Weighted Average Rating Factor (WARF): 3271

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.83%

Weighted Average Recovery Rate (WARR): 46.4%

Par haircut in OC tests and interest diversion test: 2.1%

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 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 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.

Fitch 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.


NRZ ADVANCE 2015-ON1: S&P Rates Class E-T2 Notes 'BB (sf)'
----------------------------------------------------------
S&P Global Ratings assigned its ratings to NRZ Advance Receivables
Trust 2015-ON1's advance receivables-backed notes series 2020-T2.

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

The ratings reflect S&P's view of:

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

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

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

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

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

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

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

The ratings assigned to the series 2020-T2 notes do not address
whether the cash flows generated by the receivables pool will be
sufficient to pay certain supplemental fees, such as default
supplemental fees and expected repayment date supplemental fees,
which may become payable to noteholders if certain events occur.

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

  RATINGS ASSIGNED

  NRZ Advance Receivables Trust 2015-ON1 (Series 2020-T2)

  Class   Rating     Amount (mil. $)
  A-T2    AAA (sf)           528.320
  B-T2    AA (sf)             13.136
  C-T2    A (sf)              14.227
  D-T2    BBB (sf)            37.701
  E-T2    BB (sf)              6.616


OBX TRUST 2020-EXP3: Fitch to Rate Class B-5 Debt 'B(EXP)'
----------------------------------------------------------
Fitch Ratings has assigned expected ratings to OBX 2020-EXP3
Trust.

RATING ACTIONS

OBX 2020-EXP3

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

Class 1-A-2; LT AAA(EXP)sf Expected Rating; previously at  

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

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

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

Class 1-A-IO1; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-IO2; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-AIO-3; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-AIO-4; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-AIO-5; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-AIO-6; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-6; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-7; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-8; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-9; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-10; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-11; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-11X; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-12; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-IO71; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-IO72; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-IO81; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-IO82; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-IO781; LT AAA(EXP)sf Expected Rating; previously at  

Class 1-A-IO782; LT AAA(EXP)sf Expected Rating; previously at  

Class 2-A-1A; LT AAA(EXP)sf Expected Rating; previously at  

Class 2-A-1B; LT AAA(EXP)sf Expected Rating; previously at  

Class 2-A-1; LT AAA(EXP)sf Expected Rating; previously at  

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

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

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

Class B-1; LT A+(EXP)sf Expected Rating; previously at  

Class B1-IO1; LT A+(EXP)sf Expected Rating; previously at  

Class B1-IO2; LT A+(EXP)sf Expected Rating; previously at  

Class B1-A; LT A+(EXP)sf Expected Rating; previously at  

Class B1-B; LT A+(EXP)sf Expected Rating; previously at  

Class B2-1; LT A+(EXP)sf Expected Rating; previously at  

Class B2-1-IO1; LT A+(EXP)sf Expected Rating; previously at  

Class B2-1-IO2; LT A+(EXP)sf Expected Rating; previously at  

Class B2-1-A; LT A+(EXP)sf Expected Rating; previously at  

Class B2-1-B; LT A+(EXP)sf Expected Rating; previously at  

Class B2-2; LT A(EXP)sf Expected Rating; previously at  

Class B2-2-IO1; LT A(EXP)sf Expected Rating; previously at  

Class B2-2-IO2; LT A(EXP)sf Expected Rating; previously at  

Class B2-2-A; LT A(EXP)sf Expected Rating; previously at  

Class B2-2-B; LT A(EXP)sf Expected Rating; previously at  

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

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

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

Class B6-1; LT NR(EXP)sf Expected Rating; previously at  

Class B6-2; LT NR(EXP)sf Expected Rating; previously at  

Class FB; LT NR(EXP)sf Expected Rating; previously at  

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed notes issued
by OBX 2020-EXP3 Trust. The transaction is scheduled to close on
Sept. 24, 2020. The notes are supported by 1,050 loans with a total
unpaid principal balance of approximately $514.6 million as of the
cutoff date. The pool consists of fixed-rate mortgages and
adjustable-rate mortgages acquired by Annaly Capital Management,
Inc. from various originators and aggregators. Distributions of
principal and interest (P&I) and loss allocations are based on a
traditional senior-subordinate, shifting-interest Y-structure.

The unrated class FB notes are supported by the deferred principal
balances of the 97 loans, most related to borrowers that have
received deferrals after a coronavirus pandemic-related forbearance
plan. Distributions of principal and loss allocations for these
notes will be based exclusively on these deferred balances.

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): The coronavirus and
resulting containment efforts have resulted in revisions to Fitch's
GDP estimates for 2020. The current baseline outlook for U.S. GDP
growth is negative 4.6% for 2020, down from 1.7% for 2019. To
account for declining macroeconomic conditions, the Economic Risk
Factor default variable for the 'Bsf' and 'BBsf' rating categories
was increased from a floor of 1.0x and 1.5x, respectively, to
2.0x.

High-Quality Mortgage Pool (Positive): The pool consists of
fixed-rate and adjustable-rate fully amortizing loans to borrowers
with strong credit profiles, relatively low leverage and large
liquid reserves. The loans are seasoned an average of 27 months.

The pool has a weighted average (WA) Fitch-calculated model FICO
score of 751, high average balance of $490,104 and a low
sustainable loan/value (sLTV) ratio of 67.8%.

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 at least 40% of the pool will be 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 observed in 2009.

Payment Forbearance (Mixed): There are 173 loans in the pool that
received a pandemic-related forbearance plan (19.3% by unpaid
principal balance (UPB) and 16.5% by loan count) and one loan is
pending. For all of these loans, the forbearance plan has ended,
the most recent on Sept. 1, 2020. To the extent a borrower was on a
forbearance plan and is now cash flowing, they were not penalized
as having a prior delinquency. All borrowers in the pool are
current.

For 94 loans (11.7% by UPB and 9% by loan count), the borrowers
were offered a post-forbearance deferral. This was offered to a
borrower whose forbearance plan expired, is now current, and the
forborne balance that was not paid while on the forbearance plan
was deferred to the end of the loan. In order to receive this
post-forbearance deferral, the borrower had to make at least one
monthly payment, so therefore all of these borrowers are currently
paying and current. No penalty was applied to these loans. The
deferral balance was included in the combined loan-to-value (CLTV)
calculation, and this balance will eventually be owed by the
borrower.

The P&I advancing party will advance delinquent P&I for borrowers
not making the monthly payment 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 amounts.

If the borrower does not 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
25bps at each rating category to address the potential for
writedowns due to reimbursements of servicer advances. This
increase is based on Fitch's 40% payment stress assumption for the
first six months.

Investor Properties, Non-QM and Alternative Documentation
(Negative): The pool contains a meaningful amount of investor
properties (39%), non-qualified mortgage (non-QM) loans (41%) and
non-full documentation loans (40%). Fitch's loss expectations
reflect the higher default risk associated with these attributes as
well as loss severity (LS) adjustments for potential
ability-to-repay challenges. Higher LS assumptions are assumed for
the investor property product to reflect potential risk of a
distressed sale or disrepair.

Low Operational Risk (Positive): Operational risk is well
controlled in this transaction. Annaly employs an effective loan
aggregation process and has an 'Average' assessment from Fitch. A
majority of the loans (61%) are being serviced by Select Portfolio
Servicing, Inc., which is rated 'RPS1-'/Negative and the remainder
is being serviced by Shellpoint Mortgage Servicing, rated
'RPS2-'/Negative and Specialized Loan Servicing, LLC, rated
'RPS2+'/Negative for this product. Fitch applies a servicer credit
to servicers rated 'RPS1-' or higher, which resulted in a reduction
of 58bps to the 'AAAsf' expected loss. The issuer's retention of at
least 5% of the bonds helps ensure an alignment of interest between
issuer and investor.

Representation and Warranty Framework (Negative): Fitch considers
the transaction's representation, warranty and enforcement (RW&E)
mechanism framework to be consistent with Tier 2 quality. The RW&Es
are being provided by Onslow Bay Financial, LLC, which does not
have a financial credit opinion or public rating from Fitch. While
an automatic review can be triggered by loan delinquencies and
losses, the triggers can toggle on and off. Additionally, a high
threshold of investors is needed to direct the trustee to initiate
a review. The Tier 2 framework and nonrated counterparty resulted
in a loss penalty of 99bps at 'AAAsf'.

Third-Party Due Diligence (Positive): A low incidence of material
defects was found in the third-party due diligence which was
performed, per criteria, on 100% of the pool. Where applicable,
credit, compliance and valuation reviews were performed. The
third-party review (TPR) was conducted by SitusAMC; Opus Capital
Market Consultants, Clayton, IngletBlair, Digital Risk and
Consolidated Analytics. SitusAMC and Clayton are assessed by Fitch
as 'Acceptable - Tier 1'; Opus, IngletBlair and Digital Risk are
assessed as 'Acceptable - Tier 2'; and Consolidated Analytics is
assessed as 'Acceptable - Tier 3'. The due diligence results are in
line with industry averages, and based on loan count, 99% were
graded 'A' or 'B'. Fitch applied adjustments for a small number of
loans, which had an immaterial impact to loss levels. The model
credit for the high percentage of loan-level due diligence,
combined with the adjustments for loan exceptions, reduced the
'AAAsf' loss expectation by 33bps.

Servicing Advancing (Neutral): Advances of delinquent P&I will be
made on the mortgage loans for the first 120 days of delinquency to
the extent such advances are deemed recoverable. Advances will be
made (to the extent deemed recoverable) from amounts on deposit for
future distribution, the excess servicing strip fee that would
otherwise be allocable to class A-IO-S notes and the P&I advancing
party fee. If such amounts are insufficient, the P&I advancing
party (Onslow) will be responsible for any remaining amounts. In
the event the underlying obligations are not fulfilled, Wells Fargo
Bank, N.A. as master servicer will be required to make advances.

High California Concentration (Negative): Approximately 52% of the
pool is located in California. In addition, the metropolitan
statistical area (MSA) concentration is large, as the top-three
MSAs (Los Angeles, New York and San Francisco) account for 46% of
the pool. As a result, a geographic concentration penalty of 1.07x
was applied to the probability of default (PD).

Shifting-Interest Deal Structure (Negative): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest Y-structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early in the
transaction, the structure is more vulnerable to defaults occurring
later in the life of the deal, compared to a sequential or modified
sequential structure. To help mitigate tail risk, which arises as
the pool seasons and fewer loans are outstanding, a subordination
floor of 2.20% of the original balance will be maintained for the
notes.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts 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 notes.
Furthermore, the expenses to be paid from the trust are capped at
$275,000 per annum, which can be carried over each year, subject to
the cap until paid in full.

Deferred Balances (Negative): Ninety-seven loans have deferred
balances totaling $1,099,288; 94 of these are due to the borrower
receiving a pandemic-related post-forbearance deferral. Fitch
included the deferred amounts when calculating the borrower's CLTV
and sLTV, despite the lower payment and amounts not being owed
during the term of the loan. The inclusion resulted in a higher PD
and LS than if there were no deferrals. These deferred balances
will be securitized in a separate nonrated FB class, so these
balances were not included in the current loan amount.

Hurricane Laura Impact (Neutral): There are three loans in this
pool (0.5%) located in Louisiana, all of which are located in
Federal Emergency Management Agency disaster declaration areas. All
three, however, are located in public assistance areas and not in
individual assistance areas. The servicer has indicated that no
comments regarding the hurricane or a potential inability to pay
have been noted in the conversations between the servicer and these
borrowers. Additionally, Fitch's Loan Loss model incorporates and
adjustment to address catastrophic risk. Due to these mitigants and
the strong credit profile of the borrowers (748 FICO; $160,000
reserves) no adjustment was made to these loans.

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 analysis was conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool, as well as lower MVDs illustrated by a gain in home prices.

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

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

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

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30% in addition to the
model-projected 5.7%. The analysis indicates that there is some
potential rating migration with higher MVDs for all rated classes,
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.

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

CRITERIA VARIATION

Fitch's analysis incorporated one criteria variation from 'U.S.
RMBS Rating Criteria'.

Fitch's originator assessment of Caliber's (7% of the pool) is
slightly outdated, as they were last reviewed in December 2018 as
an average originator. Fitch expects to conduct an updated
originator assessment every 12-18 months. An updated review of
Caliber has been conducted but the assessment has not been
finalized. There are no material changes expected and therefore,
Caliber was treated as an average originator. This variation did
not have an impact on the transaction.

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

The pool consisted of both newly originated loans (approximately
75% by loan count) and seasoned loans. A due diligence TPR was
completed on 100% of the loans in this transaction, and the scope
was consistent with Fitch's criteria. The diligence results
indicated moderate operational risk. Four loans were graded 'C' and
six loans graded 'D'. Adjustments were applied to four loans to
account for due diligence findings. In addition, loss severity was
increased to account for outstanding liens and delinquent property
taxes. Overall, the adjustments had an immaterial impact on loss
levels. One seasoned loan was graded 'D' for compliance due to an
estimated HUD-1 used for predatory testing purposes. 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 by 5% on this loan to
account for missing final HUD-1. Five seasoned loans were graded
'D' for compliance due to the final HUD-1 not being either signed
or stamped. The final HUD-1 was used to test for predatory lending
so no adjustments were applied. Three loans were graded 'C' for
property value due to the secondary value having a negative
variance greater than 10% to the appraised value. For the two newly
originated loans, Fitch used the lower property value in its
analysis. In addition, these two loans have a low LTV of 37% and
57%. No adjustment was applied to the remaining loan since it is
seasoned and an updated value was obtained. One seasoned loan was
graded 'C' for credit due to a debt-to-income (DTI) calculation
discrepancy. The TPR calculated DTI was used in Fitch's analysis.
Of the 791 newly originated loans, 326 (41% by loan count) were
received a credit grade of 'B'. These loans had various nonmaterial
credit exceptions granted by the lender. Additionally, all of the
'B' loans were approved due to strong compensating factors to
mitigate the exceptions. Fitch was provided with Form ABS Due
Diligence-15E as prepared by AMC, Opus, Clayton, Inglet Blair,
Digital Risk and Consolidated Analytics. The third-party due
diligence described in Form 15E focused on credit, compliance and
valuation. Fitch considered this information in its analysis and,
as a result, Fitch made minor adjustment(s) to its analysis, which
had an immaterial impact on loss levels.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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


OCEANVIEW MORTGAGE 2020-SBC1: DBRS Finalizes B(low) on B3 Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of secured floating-rate notes issued by Oceanview Mortgage
Loan Trust 2020-SBC1 (the Issuer):

-- 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.

Since the presale report and corresponding ratings were published
on August 26, 2020, the Issuer elected to exclude 20 loans,
comprising $8,898,226 or 3.2% of the previous trust balance, from
the transaction.

The collateral consists of 637 individual loans secured by 761
commercial, multifamily, and single-family rental (SFR) properties
with an average (unless noted otherwise, average refers to straight
average) loan balance of $428,354. The transaction is configured
with a sequential-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 637 individual loans, 399 loans, representing 60.1% of the
pool, have a fixed interest rate with an average of 6.9%. The
floating-rate loans have interest rate life floors ranging from
2.00% to 10.3%, with a straight average of 7.00%, and interest rate
margin ranging from 0.50% to 5.50%, with a straight average of
2.4%. 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 53.9% of the
pool, with term debt service coverage ratios (DSCRs) below 1.15
times (x), a threshold indicative of a higher likelihood of term
default.

The pool has an average original term length of 355 months, or 29.6
years, with an average remaining term of 343 months, or 28.5 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 66.9%. DBRS Morningstar applied a pool average LTV
of 71.3%, which reflects the adjustments it made to values based on
implied cap rates by market rank. Furthermore, all but two of 637
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 637 loans, 46 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 $428,354, a concentration profile equivalent to that of
a pool with 386 equal-sized loans and a top-10 loan concentration
of only 7.1%. 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 66.9% based on
appraisal values at loan origination that suggests overall moderate
leverage.

The pool is heavily concentrated with multifamily, 39.1% 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 47 loans that DBRS Morningstar sampled (performed an
exterior site inspection and/or reviewed third-party photographs),
21 loans, representing 24.1% 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 11.5% 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 40.7% 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-three 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 77 loans, representing 14.0%
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 52.6% of the pool balance.
DBRS Morningstar increased default rates for 13 loans, representing
1.8% of the trust balance, because they were listed in the AMC
Guideline review with exceptions for credit eligibility. Finally,
617 of the 637 loans had a borrower FICO score as of July 2020,
with an average FICO score of 736. While the CMBS Methodology does
not contemplate FICO scores, the RMBS Methodology does and would
characterize a FICO score of 736 as near-prime, where prime is
greater than 750. A borrower with a FICO score of 736 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 637 loans, 64 loans (11.7% 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 18 loans
(3.3% 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, six loans (1.6% 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 18-R: S&P Affirms B+(sf) Rating on Class D Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its 'A (sf)' rating to the $24.25
million class B-2-R replacement notes from Octagon Investment
Partners 18-R Ltd. a CLO originally issued in April 2018, managed
by Octagon Credit Investors. S&P withdrew its rating on the class
B-2 notes following payment in full on the Sept. 16, 2020,
refinancing date. At the same time, S&P affirmed its ratings on the
original class A-1a, A-2, B-1, C, D, and E notes, which were not
refinanced.

On the Sept. 16, 2020, refinancing date, proceeds from the class
B-2-R replacement note issuance were used to redeem the original
class B-2 notes as outlined in the transaction document provisions.
Therefore, S&P withdrew its ratings on the refinanced notes in line
with their full redemption and assigned a rating to the replacement
notes. The replacement notes are being issued via a proposed
supplemental indenture.

In line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios.

"In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches. The ratings reflect our opinion that the credit
support available is commensurate with the associated rating
levels," S&P said.

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

  RATING ASSIGNED

  Octagon Investment Partners 18-R Ltd.

  Replacement class   Rating    Amount (mil $)

  B-2-R               A (sf)           24.25

  RATINGS AFFIRMED

  Octagon Investment Partners 18-R Ltd.

  Class        Rating

  A-1a         AAA (sf)
  A-2          AA (sf)
  B-1          A (sf)
  C            BBB- (sf)
  D            B+ (sf)
  E            CCC+ (sf)

  RATING WITHDRAWN

  Octagon Investment Partners 18-R Ltd.

                        Rating
  Original class      To       From
  B-2                 NR       A (sf)

  NR--Not rated.


OCTAGON INVESTMENT 26: Moody's Confirms B3 Rating on Cl. F-R Notes
------------------------------------------------------------------
Moody's Investors Service confirmed the rating on the following
notes issued by Octagon Investment Partners 26, Ltd.:

US$10,000,000 Class F-R Secured 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 F-R Notes are referred to herein as the "Confirmed
Notes."

This action concludes the review for downgrade initiated on April
17, 2020 on the Class F-R Notes issued by the CLO. The CLO,
originally issued in April 2016 and partially refinanced in June
2018, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period 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 August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3018 compared to 2739
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 15.0%. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $490.0 million, or $10.0 million less than the
deal's ramp-up target par balance. Nevertheless, Moody's noted that
the WARF was passing the test level of 3078 reported in the August
2020 trustee report [3] and all 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: $484,279,707

Defaulted Securities: $9,835,613

Diversity Score: 76

Weighted Average Rating Factor (WARF): 3023

Weighted Average Life (WAL): 6.0 years

Weighted Average Spread (WAS): 3.59%

Weighted Average Recovery Rate (WARR): 47.03%

Par haircut in O/C tests and interest diversion test: 1.42%

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

The 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 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.

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

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

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


OCTAGON INVESTMENT 40: Moody's Confirms Ba3 Rating on Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the rating on the following
notes issued by Octagon Investment Partners 40, Ltd.:

US$30,000,000 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 E Notes are referred to herein as the "Confirmed Notes."

This action concludes the review for downgrade initiated on April
17, 2020 on the Class E Notes issued by the CLO. The CLO, issued in
March 2019, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
April 2024.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (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 2958 compared to 2742
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 15.6%. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $592.5 million, or $7.5 million less than the deal's
ramp-up target par balance. Nevertheless, Moody's noted that the
WARF was passing the test level of 3078 reported in the August 2020
trustee report [3] and all 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: $584,883,121

Defaulted Securities: $ 11,180,570

Diversity Score: 72

Weighted Average Rating Factor (WARF): 2971

Weighted Average Life (WAL): 6.2 years

Weighted Average Spread (WAS): 3.65%

Weighted Average Recovery Rate (WARR): 47.03%

Par haircut in O/C tests and interest diversion test: 1.2%

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 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 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.

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

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

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


ONDECK ASSET 2019-1: DBRS Keeps Rating on 4 Tranches Under Review
-----------------------------------------------------------------
DBRS, Inc. maintained the Under Review with Negative Implications
status on the following four classes of notes (the Notes) issued by
OnDeck Asset Securitization Trust II LLC, Series 2018-1 and Series
2019-1:

-- Series 2018-1 Asset Backed Notes, Class C rated BBB (sf)

-- Series 2018-1 Asset Backed Notes, Class D rated BB (high) (sf)

-- Series 2019-1 Fixed Rate Asset Backed Notes, Class D rated BBB

     (sf)

-- Series 2019-1 Fixed Rate Asset Backed Notes, Class E rated BB
     (high) (sf)

DBRS Morningstar initially placed its ratings on the Notes Under
Review with Negative Implications on April 20, 2020. Maintaining
the Under Review status on the Notes considers DBRS Morningstar's
set of macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: July Update," published on July 22, 2020.
DBRS Morningstar initially published macroeconomic scenarios on
April 16, 2020, which were last updated on July 22, 2020, and are
reflected in DBRS Morningstar's analysis. The moderate scenario
assumes some success in containment of the coronavirus within Q2
2020 and a gradual relaxation of restrictions, enabling most
economies to begin a gradual economic recovery in Q3 2020.

Because of widespread interruption in economic activity throughout
the United States related to the coronavirus, the small business
sector continues to face significant headwinds. Small businesses
have been vulnerable to the coronavirus' impacts, including sharply
lower or nonexistent consumer foot traffic, supply-chain
disruptions, and employee absences. The collateral pool in these
transactions continues to exhibit high missed payment factors and
both Series 2018-1 and Series 2019-1 are currently in rapid
amortization.

DBRS Morningstar also notes:

(1) Significant principal repayment on the outstanding notes from
April 2020 to July 2020, resulting in note factors of 41% and 52%
for Series 2018-1 and Series 2019-1, respectively, as of the August
2020 remittance report date; and

(2) OnDeck Capital, Inc.'s general success in improving and
sustaining the collectability rate for its portfolio and increasing
its paying customer percentage from the low level in April 2020.
Obligors for a material portion of delinquent and defaulted
receivables continue to make partial or full payments.

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


PARALLEL 2020-1: S&P Assigns BB- (sf) Rating to Class D Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Parallel 2020-1
Ltd./Parallel 2020-1 LLC's floating-rate notes.

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

The ratings reflect:

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

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

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

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

  RATINGS ASSIGNED

  Parallel 2020-1 Ltd./Parallel 2020-1 LLC

  Class                Rating      Amount (mil. $)
  A-1                  AAA (sf)             175.00
  A-2                  AA (sf)               47.00
  B                    A (sf)                18.00
  C-1 (deferrable)     BBB+ (sf)              9.00
  C-2 (deferrable)     BBB- (sf)              9.00
  D (deferrable)       BB- (sf)              10.50
  Subordinated notes   NR                    35.15

  NR--Not rated.


PARALLEL LTD 2018-1: Moody's Lowers Rating on Class D Notes to B1
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Parallel 2018-1 Ltd.:

US$27,800,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Downgraded to Ba1 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$16,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Downgraded to B1 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

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

RATINGS RATIONALE

The downgrades on the 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 3369, compared to 2864
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2926 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 23%.
Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $389.2 million,
or $10.8 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: $388,304,741

Defaulted Securities: $1,621,776

Diversity Score: 77

Weighted Average Rating Factor (WARF): 3437

Weighted Average Life (WAL): 6.0 years

Weighted Average Spread (WAS): 3.31%

Weighted Average Recovery Rate (WARR): 48.0%

Par haircut in OC 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 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 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.

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.


PARALLEL LTD 2018-2: Moody's Lowers Rating on Class D Notes to B1
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Parallel 2018-2 Ltd.:

US$27,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Downgraded to Ba1 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Downgraded to B1 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C Notes and the Class D 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 October 2023.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3339, compared to 2836
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2910 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%.
Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $388.7 million,
or $11.3 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: $387,620,680

Defaulted Securities: $2,069,924

Diversity Score: 76

Weighted Average Rating Factor (WARF): 3405

Weighted Average Life (WAL): 6.1 years

Weighted Average Spread (WAS): 3.30%

Weighted Average Recovery Rate (WARR): 48.1%

Par haircut in OC 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 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 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.

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.


REGIONAL MANAGEMENT 2020-1: DBRS Gives Prov. BB(low) on D Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following notes (the
Notes) to be issued by Regional Management Issuance Trust 2020-1
(the Issuer):

-- $134,060,000 Class A at AA (sf)
-- $18,090,000 Class B at A (low) (sf)
-- $16,130,000 Class C at BBB (low) (sf)
-- $11,720,000 Class D at BB (low) (sf)

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

-- DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected cumulative
net loss (CNL) includes an assessment of the expected impact on
consumer behavior. The DBRS Morningstar CNL assumption is 11.00%.

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary Global
Macroeconomic Scenarios: September Update, published on September
10, 2020. DBRS Morningstar initially published macroeconomic
scenarios on April 16, 2020 and has been regularly updated. The
scenarios were last updated on September 10, 2020, and are
reflected in DBRS Morningstar's rating analysis.

-- The assumptions consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for current ratings. The moderate scenario
remains predicated on a more rapid return of confidence and a
steady recovery heading into 2021.

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

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

-- Regional Management Corp.'s (Regional) capabilities with regard
to originations, underwriting, and servicing.

-- DBRS Morningstar has performed an operational review of
Regional and considers the entity to be an acceptable originator
and servicer of unsecured personal loans with an acceptable backup
servicer.

-- Regional's senior management team has considerable experience
and a successful track record within the consumer loan industry.

-- Regional has remained consistently profitable since 2007.

-- In February 2018, Regional completed a system migration to the
Nortridge Loan Management System, allowing for the implementation
of centralized underwriting for all branches, which led to the
ability to implement a hybrid servicing model.

-- The credit quality of the collateral and performance of
Regional's consumer loan portfolio. DBRS Morningstar used a hybrid
approach in analyzing Regional's portfolio that incorporates
elements of static pool analysis, employed for assets such as
consumer loans, and revolving asset analysis, employed for assets
such as credit card master trusts.

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

-- Credit enhancement in the transaction consists of
overcollateralization (OC), subordination, a reserve account, and
excess spread. The initial amount of OC is approximately 4.00% of
the Initial Loan Pool. The subordination in the transaction refers
to the Class B, Class C, and the Class D, which are subordinated to
the Class A. The reserve account is 1.00% of the Initial Loan Pool
and is funded at inception and non-declining. Initial Class A
credit enhancement of 29.50% includes a reserve account of 1.00%,
OC of 4.00%, and subordination of 24.50%. Initial Class B credit
enhancement of 19.85% includes a reserve account of 1.00%, OC of
4.00%, and subordination of 14.85%. Initial Class C credit
enhancement of 11.25% includes a reserve account of 1.00%, OC of
4.00%, and subordination of 6.25%. Initial Class D credit
enhancement of 5.00% includes a reserve account of 1.00% and OC of
4.00%.

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


SEVEN STICKS: Moody's Confirms Ba3 Rating on Class D-R Notes
------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Seven Sticks CLO Ltd.:

US$27,300,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C-R Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (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 reviews for downgrade initiated on April
17, 2020 on the Class C-R and D-R Notes issued by the CLO. The CLO,
originally issued in June 2016 and refinanced in July 2018, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in July 2020.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (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 3086, compared to 2993
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF is passing the test level of 3169 according to 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%.
Moody's noted that all OC tests in this deal 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: $389,649,531

Defaulted Securities: $5,465,000

Diversity Score: 67

Weighted Average Rating Factor (WARF): 3201

Weighted Average Life (WAL): 4.6 years

Weighted Average Spread (WAS): 3.33%

Weighted Average Recovery Rate (WARR): 47.8%

Par haircut in OC tests and interest diversion test: 1.0%

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

The 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 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.

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 2013-IV-R: Moody's Cuts Rating on Class E Notes to Caa2
------------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Shackleton 2013-IV-R CLO, Ltd.:

US$27,750,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Downgraded to Ba1 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$18,300,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

US$8,400,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class E Notes"), Downgraded to Caa2 (sf);
previously on April 17, 2020 B3 (sf) Placed Under Review for
Possible Downgrade

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

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

RATINGS RATIONALE

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3381 compared to 2948
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2961 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
19.94%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $404.3
million, or $13.7 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 C and 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: $402,229,004

Defaulted Securities: $8,838,450

Diversity Score: 72

Weighted Average Rating Factor (WARF): 3330

Weighted Average Life (WAL): 5.67 years

Weighted Average Spread (WAS): 3.40%

Weighted Average Recovery Rate (WARR): 47.90%

Par haircut in OC tests and interest diversion test: 0%

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

The 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 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.

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 2015-VII-R: Moody's Lowers Rating on F Notes to Caa2
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Shackleton 2015-VII-R CLO, Ltd.:

US$26,500,000 Class E Junior Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$8,100,000 Class F Junior Deferrable Floating Rate Notes due 2031
(the "Class F Notes"), Downgraded to Caa2 (sf); previously on June
3, 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$30,500,000 Class D Mezzanine Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on
June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

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

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class D Notes, the Class E Notes, and the Class F
Notes issued by the CLO. The CLO, issued in July 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in July 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 August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3383, compared to 2940
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2955 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
18.1%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $484.9
million, or $15.1 million less than the deal's ramp-up target par
balance. Moody's noted that the interest diversion test was
recently reported [4] as failing, which could result in a portion
of excess interest collections being diverted towards reinvestment
in collateral or repayment of senior notes at the next payment date
should the failures continue. Nevertheless, the OC test for the
Class D Notes was 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: $481,875,526

Defaulted Securities: $13,107,590

Diversity Score: 74

Weighted Average Rating Factor (WARF): 3303

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.41%

Weighted Average Recovery Rate (WARR): 47.9%

Par haircut in OC tests and interest diversion test: 1.1%

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

The 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 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.

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

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


SOUND POINT CLO XII: Moody's Lowers Rating on Class E-R Notes to B1
-------------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Sound Point CLO XII, Ltd.:

US$35,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2028 (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$35,000,000 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

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 the Class E-R Notes issued by
the CLO. The CLO, originally issued in August 2016 and refinanced
in March 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

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 3050 compared to 2619
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2702 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
16.20%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $680
million, or $20 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: $677,806,616

Defaulted Securities: $3,824,099

Diversity Score: 85

Weighted Average Rating Factor (WARF): 3097

Weighted Average Life (WAL): 4.66 years

Weighted Average Spread (WAS): 3.57%

Weighted Average Recovery Rate (WARR): 47.23%

Par haircut in OC tests and interest diversion test: 0.85%

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 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.

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

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


SOUND POINT VI-R: Moody's Lowers Rating on Class F Notes to Caa1
----------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Sound Point CLO VI-R, Ltd.:

US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class F Notes"), Downgraded to Caa1 (sf); previously
on April 17, 2020 B3 (sf) Placed Under Review for Possible
Downgrade

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

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

US$33,000,000 Class D 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$30,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

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

RATINGS RATIONALE

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
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 3031 compared to 2612
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2783 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
17.01%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $578.8
million, or $21.2 million less than the deal's ramp-up target par
balance. Moody's noted that the interest reinvestment 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 all the OC tests 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: $576,603,502

Defaulted Securities: $3,812,789

Diversity Score: 84

Weighted Average Rating Factor (WARF): 3092

Weighted Average Life (WAL): 5.91 years

Weighted Average Spread (WAS): 3.64%

Weighted Average Recovery Rate (WARR): 47.36%

Par haircut in OC tests and interest reinvestment test: 0.075%

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 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.

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.


STACR REMIC 2020-HQA4: Moody's Assigns (P)Ba2 Rating on 10 Tranches
-------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 23
classes of credit risk transfer notes issued by Freddie Mac STACR
REMIC TRUST 2020-HQA4. The ratings range from (P)Baa2 (sf) to
(P)Ba2 (sf).

Freddie Mac STACR REMIC TRUST 2020-HQA4 (STACR 2020-HQA4) is the
fourth transaction of 2020 in the HQA series issued by the Federal
Home Loan Mortgage Corporation (Freddie Mac) to share the credit
risk on a reference pool of mortgages with the capital markets. The
transaction is structured as a real estate mortgage investment
conduit (REMIC).

The notes in STACR 2020-HQA4 receive principal payments as the
loans in the reference pool amortize or prepay. Principal payments
to the notes are paid from assets in the trust account established
from proceeds of the note's issuance. Interest payments to the
notes are paid from a combination of investment income from trust
assets, an asset of the trust known as the interest-only (IO)
Q-REMIC interest, and Freddie Mac. Freddie Mac is responsible to
cover (1) any interest owed on the notes not covered by the
investment income from the trust assets and the yield on the IO
Q-REMIC interest and (2) to reimburse the trust for any investment
losses from sales of the trust assets.

Investors have no recourse to the underlying reference pool. The
credit risk exposure of the notes depends on the actual realized
losses and modification losses incurred by the reference pool.
Freddie Mac is obligated to pay off the notes in September 2050 if
any balances remain outstanding.

The complete rating actions are as follows:

Issuer: Freddie Mac STACR REMIC TRUST 2020-HQA4

Cl. M-1, Assigned (P)Baa2 (sf)

Cl. M-2, Assigned (P)Ba1 (sf)

Cl. M-2R, Assigned (P)Ba1 (sf)

Cl. M-2S, Assigned (P)Ba1 (sf)

Cl. M-2T, Assigned (P)Ba1 (sf)

Cl. M-2U, Assigned (P)Ba1 (sf)

Cl. M-2I*, Assigned (P)Ba1 (sf)

Cl. M-2A, Assigned (P)Baa3 (sf)

Cl. M-2AR, Assigned (P)Baa3 (sf)

Cl. M-2AS, Assigned (P)Baa3 (sf)

Cl. M-2AT, Assigned (P)Baa3 (sf)

Cl. M-2AU, Assigned (P)Baa3 (sf)

Cl. M-2AI*, Assigned (P)Baa3 (sf)

Cl. M-2B, Assigned (P)Ba2 (sf)

Cl. M-2BR, Assigned (P)Ba2 (sf)

Cl. M-2BS, Assigned (P)Ba2 (sf)

Cl. M-2BT, Assigned (P)Ba2 (sf)

Cl. M-2BU, Assigned (P)Ba2 (sf)

Cl. M-2BI*, Assigned (P)Ba2 (sf)

Cl. M-2RB, Assigned (P)Ba2 (sf)

Cl. M-2SB, Assigned (P)Ba2 (sf)

Cl. M-2TB, Assigned (P)Ba2 (sf)

Cl. M-2UB, Assigned (P)Ba2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
1.12%, in a baseline scenario-median is 0.86%, and reaches 6.29% at
a stress level consistent with its Aaa ratings.

Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis (MILAN) GSE 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,
qualitative adjustments for origination quality and third-party
review (TPR) scope.

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
residential mortgage loans 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.

The contraction in economic activity in the second quarter was
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's
increased its model-derived median expected losses by 15% 12.25%
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 coronavirus outbreak

Moody's increased its model-derived median expected losses by 15%
(12.25% for the mean) and its Aaa losses by 5% to reflect the
likely performance deterioration resulting from of a slowdown in US
economic activity in 2020 due to the coronavirus outbreak.

Servicing practices, including tracking coronavirus 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 and the
amount of modification losses.

Moody's may infer and extrapolate from the information provided
based on this or other transactions or industry information, or
make stressed assumptions.

Collateral Description

The reference pool consists of over ninety-five thousand prime,
fixed-rate, one- to four-unit, first-lien conforming mortgage loans
acquired by Freddie Mac. The loans were originated on or after
January 1, 2015 with a weighted average seasoning of eight months.
Each of the loans in the reference pool had a loan-to-value (LTV)
ratio at origination that was greater than 80% and less than or
equal to 97%. 13.0% of the pool are loans underwritten through
Freddie Mac's Home Possible program and 98.9% of loans in the pool
are covered by mortgage insurance as of the cut-off date.

Aggregation/Origination Quality

Moody's considers Freddie Mac's overall seller management and
aggregation practices to be adequate and Moody's did not apply a
separate loss-level adjustment for aggregation quality.

Underwriting

Freddie Mac uses a delegated underwriting process to purchase
loans. Sellers are required to represent and warrant that loans are
made in accordance with negotiated terms or Freddie Mac's guide.
Numerous checks in the selling system ensures that loans with the
correct characteristics are delivered to Freddie Mac. Sellers are
required to cure, make an indemnification payment or repurchase the
loans if a material underwriting defect is discovered subject to
certain limits. In certain cases, Freddie Mac may elect to waive
the enforcements of the repurchase if an alternative such as an
indemnification payment is provided.

Quality control

Freddie Mac monitors each seller's risk exposure both on an
aggregated basis as well as by product lines. A surveillance team
reviews sellers' financials at least on an annual basis, monitors
exposure limits, risk ratings, lenders QC reports and internal
audit results and may adjust credit limits, require additional
loan/operational reviews or put the seller on a watch list, as
needed.

Home Possible loans: Approximately 13.0% of the loans by Cut-off
Date Balance were originated under the Home Possible program. The
program is designed to make responsible homeownership accessible to
low- to moderate-income homebuyers, by requiring low down payments,
lower risk-adjusted pricing, flexibility in sources of income, and,
in certain circumstances, lower than standard mortgage insurance
coverage. Home Possible loans in STACR 2020-HQA4's reference pool
have a WA FICO of 743 and WA LTV of 94.1%, versus a WA FICO of 751
and a WA LTV of 91.5% for the rest of the loans in the pool. While
its MILAN model takes into account characteristics listed on the
loan tape, such as lower FICOs and higher LTVs, there may be risks
not captured by its model due to less stringent underwriting,
including allowing more flexible sources of funds for down payment
and lower risk-adjusted pricing. Moody's applied an adjustment to
the loss levels to address the additional risks that Home Possible
loans may add to the reference pool.

Enhanced Relief Refinance (ERR)

The ERR program is designed to provide refinance opportunities to
borrowers with existing Freddie Mac's mortgage loans who are
current on their mortgage payments but whose LTV ratios exceed the
maximum permitted for standard refinance products. The program is
intended to offer refinance opportunities to borrowers so they can
reduce their monthly payment. STACR 2020-HQA4's reference pool does
not include ERR loans at closing, however, transaction documents
allow for the replacement of loans in the reference pool with ERR
loans in the future. The replacement will not constitute a
prepayment on the replaced loan, credit event or a modification
event.

At closing, Moody's did not make any adjustment to its collateral
losses due to the existence of the ERR program. Moody's believes
the programs are beneficial for loans in the pool, especially
during an economic downturn when limited refinancing opportunities
would be available to borrowers with low or negative equity in
their properties. However, since such refinanced loans are likely
to have later maturities and slower prepayment rates than the rest
of the loans, the reference pool is at risk of having a high
concentration of high LTV loans at the tail of the transaction's
life. Moody's will monitor ERR loans in the reference pool and may
make an adjustment in the future if the percentage of them becomes
significant after closing.

Servicing arrangement

As master servicer, Freddie Mac has strong servicer oversight and
monitoring processes. Generally, Freddie Mac does not itself
conduct servicing activities. When a mortgage loan is sold to
Freddie Mac, the seller enters into an agreement to service the
mortgage loan for Freddie Mac in accordance with a comprehensive
servicing guide for servicers to follow. Freddie Mac monitors
primary servicer performance and compliance through its Servicer
Success Program, scorecard and servicing quality assurance group.
Freddie Mac also reviews individual loan files to identify
servicing performance gaps and trends.

Moody's considers the servicing arrangement to be adequate and
Moody's did not make any adjustments to its loss levels based on
Freddie Mac's servicer management.

Third-party Review

Moody's considers the scope of the TPR based on Freddie Mac's
acquisition and QC framework to be adequate. Moody's assessed an
adjustment to loss at a Aaa stress level due to lack of compliance
review on TILA-RESPA Integrated Disclosure (TRID) violations.

The results and scope of the pre-securitization third-party,
loan-level review (due diligence) suggest a heavier reliance on
sellers' representations and warranties (R&Ws) compared with
private label securitizations. The scope of the TPR, for example,
is weaker because the sample size is small (only 0.45% of the loans
in reference pool are included in the sample). To the extent that
the TPR firm classifies certain credit or valuation discrepancies
as 'findings', Freddie Mac will review and may provide rebuttals to
those findings, which could result in the change of event grades by
the review firm.

The third-party due diligence scope focuses on the following:

Compliance: The diligence firm reviewed 333 loans for compliance
with federal, state and local high cost Home Ownership and Equity
Protection Act (HOEPA) regulations (298 loans were reviewed for
compliance plus 35 loans were reviewed for both credit/valuation
and compliance). None were deemed to be noncompliant.

Appraisals: The third-party diligence provider also reviewed
property valuation on 999 loans in the sample pool (964 loans were
reviewed for credit/valuation plus 35 loans were reviewed for both
credit/valuation and compliance). Eight loans received final
valuation grades of "C". The third-party diligence provider was not
able to obtain property appraisal risk reviews on two loans due to
the property locations in Guam and New Mexico. The remaining six
loans had Appraisal Desktop with Inspections (ADI) which did not
support the original appraised value within the 10% tolerance.

Credit: The third-party diligence provider reviewed credit on 999
loans in the sample pool. Five loans had final grades of "D" and
three loans had final grades of "C" due to underwriting defects.
These loans were removed from the reference pool. The results were
consistent with prior STACR transactions Moody's rated.

Data integrity: The third-party review firm analyzed the sample
pool for data calculation and comparison to the imaged file
documents. The review revealed 56 data discrepancies on 52 loans,
with 17 discrepancies related to DTI and 18 discrepancies related
to first time home buyers.

Unlike private label RMBS transactions, a review of TRID violation
was not part of Freddie Mac's due diligence scope. A lack of
transparency regarding how many loans in the transaction contain
material violations of the TRID rule is a credit negative. However,
since Moody's expects overall losses on STACR transactions owing to
TRID violations to be fairly minimal, Moody's only made a slight
qualitative adjustment to losses under a Aaa scenario. Furthermore,
lender R&Ws and the GSEs' ability to remove defective loans from
the transactions will likely mitigate some of aforementioned
concerns.

Reps & Warranties Framework

Freddie Mac is not providing loan level (R&Ws for this transaction
because the notes are a direct obligation of Freddie Mac. The
reference obligations are subject to R&Ws made by the sellers. As
such, Freddie Mac commands robust R&Ws from its seller/servicers
pertaining to all facets of the loan, including but not limited to
compliance with laws, compliance with all underwriting guidelines,
enforceability, good property condition and appraisal procedures.
Freddie Mac will be responsible for enforcing the R&Ws made by the
sellers/lenders in the reference pool. To the extent that Freddie
Mac discovers a confirmed underwriting defect or a major servicing
defect, the respective loan will be removed from the reference
pool. Since Freddie Mac retains a significant portion of the risk
in the transaction, it will likely take necessary steps to address
any breaches of R&Ws. For example, Freddie Mac undertakes quality
control reviews and servicing quality assurance reviews of small
samples of the mortgage loans that sellers deliver to Freddie Mac.
These processes are intended to determine, among other things, the
accuracy of the R&Ws made by the sellers in respect of the mortgage
loans that are sold to Freddie Mac. Moody's made no adjustments to
the transaction regarding the R&W framework.

The notes

Moody's refers to the M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B
notes as the original notes, and the 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-2, B-1AR, B-1AI,
B-2AR and B-2AI notes as the Modifiable and Combinable REMICs
(MACR) notes; together Moody's refers to them as the notes.

The M-2 notes can be exchanged for M-2A and M-2B notes, M-2R and
M-2I notes, M-2S and M-2I, M-2T and M-2I, and M-2U and M-2I notes.

The M-2A notes can be exchanged for M-2AR and M-2AI notes, M-2AS
and M-2AI notes, M-2AT and M-2AI, and M-2AU and M-2AI notes.

The M-2B notes can be exchanged for M-2BR and M-2BI notes, M-2BS
and M-2BI notes, M-2BT and M-2BI notes, and M-2BU and M-2BI notes.

Classes M-2I, M-2AI, M-2BI, B-1AI and B-2AI are interest only
tranches referencing to the notional balances of Classes M-2, M-2A,
M-2B, B-1A and B-2A, respectively.

Classes M-2RB, M-2SB, M-2TB and M-2UB are each an exchangeable for
two classes that are initially offered at closing. Its ratings of
M-2RB, M-2SB, M-2TB and M-2UB reference the rating of Class M-2B
only, disregarding the rating of M-2AI. This is the case because
Class M-2AI's cash flow represents an insignificant portion of the
overall promise. In the event Class M-2B gets written down through
losses and Class M-2AI is still outstanding, Moody's would continue
to rate Classes M-2RB, M-2SB, M-2TB and M-2UB consistent with Class
M-2B's last outstanding rating so long as Classes M-2RB, M-2SB,
M-2TB and M-2UB are still outstanding.

Transaction Structure

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. Realized
losses are allocated in a reverse sequential order starting with
the Class B-3H reference tranche.

Interest due on the notes is determined by the outstanding
principal balance and the interest rate of the notes. The interest
payment amount is the interest accrual amount of a class of notes
minus any modification loss amount allocated to such class on each
payment date, plus any modification gain amount. The modification
loss and gain amounts are calculated by taking the respective
positive and negative difference between the original accrual rate
of the loans, multiplied by the unpaid balance of the loans, and
the current accrual rate of the loans, multiplied by the
interest-bearing unpaid balance.

So long as the senior reference tranche 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.

The STACR 2020-HQA4 transaction allows for principal distribution
to subordinate notes by the supplemental subordinate reduction
amount even if performance triggers fail. The supplemental
subordinate reduction amount equals the excess of the offered
reference tranche percentage over 6.15%. The distribution of the
supplemental subordinated reduction amount would reduce principal
balances of the offered reference tranche and correspondingly limit
the credit enhancement of class A note to be always below 6.15%
plus the note balance of B-3H. This feature is beneficial to the
offered certificates.

Credit Events and Modification Events

Reference tranche write-downs occur as a result of loan level
credit events. A credit event with respect to any loan means any of
the following events: (i) a short sale with respect to the related
mortgaged property is settled, (ii) a related seriously delinquent
mortgage note is sold prior to foreclosure, (iii) the mortgaged
property that secured the related mortgage note is sold to a third
party at a foreclosure sale, (iv) an REO disposition occurs, or (v)
the related mortgage note is charged-off. As a result, the
frequency of credit events will be the same as actual loan default
frequency, and losses will impact the notes similar to that of a
typical RMBS deal.

Loans that experience credit events that are subsequently found to
have an underwriting defect, a major servicing defect or are deemed
ineligible will be subject to a reverse credit event. Reference
tranche balances will be written up for all reverse credit events
in sequential order, beginning with the most senior tranche that
has been subject to a previous write-down. In addition, the amount
of the tranche write-up will be treated as an additional principal
recovery, and will be paid to noteholders in accordance with the
cash flow waterfall.

If a loan experiences a forbearance or mortgage rate modification,
the difference between the original mortgage rate and the current
mortgage rate will be allocated to the reference tranches as a
modification loss. The Class B-3H reference tranche, which
represents 0.25% of the pool, will absorb modification losses
first. The final coupons on the notes will have an impact on the
amount of interest available to absorb modification losses from the
reference pool.

Tail Risk

Similar to prior STACR transactions, the initial subordination
level of 4% is lower than the deal's minimum credit enhancement
trigger level of 4.25%. The transaction begins by failing the
minimum credit enhancement test, leaving the subordinate tranches
locked out of unscheduled principal payments until the deal builds
an additional 0.25% subordination. STACR 2020-HQA4 does not have a
subordination floor. This is mitigated by the sequential principal
payment structure of the deal, which ensures that the credit
enhancement of the subordinate tranches is not eroded early in the
life of the transaction.

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.

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020. The methodologies
used in rating interest-only classes were "Moody's Approach to
Rating US RMBS Using the MILAN Framework" published in April 2020,
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019.


STEELE CREEK 2017-1: Moody's Confirms Ba3 Rating on Class E Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Steele Creek CLO 2017-1, Ltd.:

US$28,125,000 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$18,000,000 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 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 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 December 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 3195, compared to 2930
reported in the February 2020 trustee report [2]. Moody's
calculation also showed the WARF was failing the test level of 2882
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 September 2020. Furthermore, Moody's
calculated the total collateral par balance, including recoveries
from defaulted securities, at $441.5 million, or $8.5 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: $435,688,818

Defaulted Securities: $13,659,832

Diversity Score: 74

Weighted Average Rating Factor (WARF): 3216

Weighted Average Life (WAL): 5.80 years

Weighted Average Spread (WAS): 3.53%

Weighted Average Recovery Rate (WARR): 46.84%

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

The 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 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.

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 2018-1: Moody's Confirms Ba3 Rating on Class E Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Steele Creek CLO 2018-1, Ltd.:

US$23,500,000 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$16,000,000 Class E Mezzanine 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.

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 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 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 3258, compared to 2940
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 25.2% as of September 2020. Furthermore, Moody's
calculated the total collateral par balance, including recoveries
from defaulted securities, at $391.4 million, or $8.6 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: $385,781,976

Defaulted Securities: $12,446,522

Diversity Score: 73

Weighted Average Rating Factor (WARF): 3284

Weighted Average Life (WAL): 5.81 years

Weighted Average Spread (WAS): 3.53%

Weighted Average Recovery Rate (WARR): 46.91%

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

The 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 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.

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 2019-1: Moody's Confirms Ba3 Rating on Class E Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Steele Creek CLO 2019-1, Ltd.:

US$23,800,000 Class D Mezzanine 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 Mezzanine 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.

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 April 2019, is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in April 2024.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (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 3094, compared to 2719
reported in the February 2020 trustee report [2]. Moody's
calculation also showed the WARF was failing the test level of 2724
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 19.6% as of August 2020. Furthermore, Moody's
calculated the total collateral par balance, including recoveries
from defaulted securities, at $397 million, or $3 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: $394,099,945

Defaulted Securities: $5,552,263

Diversity Score: 71

Weighted Average Rating Factor (WARF): 3084

Weighted Average Life (WAL): 5.98 years

Weighted Average Spread (WAS): 3.54%

Weighted Average Recovery Rate (WARR): 46.85%

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 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.

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.


STRATA CLO I: Moody's Confirms Ba3 Rating on Class E Notes
----------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Strata CLO I, Ltd.:

US$33,000,000 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$33,000,000 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 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 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 August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 4185 compared to 4071
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 41%. Furthermore, Moody's calculated the total
collateral par balance, including recoveries at market value from
defaulted securities, at $395.5 million, or $4.5 million less than
the deal's ramp-up target par balance. Nevertheless, Moody's noted
that the OC tests 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: $386,416,915

Defaulted Securities: $13,958,549

Diversity Score: 40

Weighted Average Rating Factor (WARF): 4864

Weighted Average Life (WAL): 5.4 years

Weighted Average Spread (WAS): 4.8%

Weighted Average Recovery Rate (WARR): 44.5%

Finally, Moody's notes that it also considered the information
which became available by 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 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 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.

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.


TCI-SYMPHONY CLO 2016-1: Moody's Cuts Rating on E-R Notes to B1
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by TCI-Symphony CLO 2016-1 Ltd.:

US$28,750,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2029 (the "Class D-R Notes"), Downgraded to Ba1 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,000,000 Class E-R Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (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."

This action concludes the review 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 partially
refinanced in November 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 on October 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
and the credit enhancement available to the CLO notes has
declined.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3325, compared to 2780
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2950 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
18.9%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $494.1
million, or $5.9 million less than the target par balance at the
October 2019 refinancing. Nevertheless, Moody's noted that the OC
tests as well as the interest diversion test were recently reported
[4] as passing.

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

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

Performing par and principal proceeds balance: $489,034,756

Defaulted Securities: $12,475,048

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3350

Weighted Average Life (WAL): 5.73 years

Weighted Average Spread (WAS): 3.35%

Weighted Average Recovery Rate (WARR): 48.0%

Par haircut in OC 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 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 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.

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.


TIAA CLO I: S&P Affirms 'B (sf)' Rating on Class E-R Notes
----------------------------------------------------------
S&P Global Ratings assigned its rating to the class B-2-RR
replacement notes from TIAA CLO I Ltd., a CLO originally issued in
2016 and reset in 2018 that is managed by Teachers Advisors LLC. At
the same time, S&P withdrew its rating on the original class B-2-R
notes following payment in full on the Sept. 17, 2020, refinancing
date and affirmed its ratings on the class A-R, B-1-R, C-R, D-R,
and E-R notes.

On the Sept. 17, 2020, refinancing date, the proceeds from the
class B-2-RR replacement note issuance were used to redeem the
original class B-2-R notes, as outlined in the transaction document
provisions. Therefore, S&P withdrew its rating on the original
notes in line with their full redemption and assigned its 'AA (sf)'
rating to the replacement notes.

S&P said, "The replacement notes are being issued via a
supplemental indenture which outlines the terms of the replacement
notes.

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

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

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

  RATING ASSIGNED

  TIAA CLO I Ltd./TIAA CLO I LLC
  Replacement class          Rating       Amount (mil. $)
  B-2-RR                     AA (sf)                17.00
  
  RATING WITHDRAWN

  TIAA CLO I Ltd./TIAA CLO I LLC
                            Rating
  Original class       To              From
  B-2-R                NR              AA (sf)

  RATINGS AFFIRMED

  TIAA CLO I Ltd./TIAA CLO I LLC

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

  NR--Not rated.


TRALEE CLO III: Moody's Confirms Ba3 Rating on Class E-R Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Tralee CLO III, Ltd.:

US$24,000,000 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$19,750,000 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,
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 August 2014 and partially
refinanced in November 2016 and 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

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features, deleveraging of the
senior notes and its actual over-collateralization (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 3800, compared to 3119
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 approximately
30.7%. Furthermore, the OC test for the Class D notes were failing
which resulted in additional repayment of the senior notes with the
excess interest collections on the July 2020 payment date.
Nevertheless, according to the August 2020 trustee report [4], the
OC tests for the Class A/B, Class C, and Class D notes were
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: $330,249,059

Defaulted Securities: $10,025,135

Diversity Score: 64

Weighted Average Rating Factor (WARF): 3824

Weighted Average Life (WAL): 3.6 years

Weighted Average Spread (WAS): 3.71%

Weighted Average Recovery Rate (WARR): 48.6%

Par haircut in OC tests and interest diversion test: 5.1%

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 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 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.

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 COMMERCIAL 2017-C4: Fitch Affirms B- Rating on 2 Tranches
-------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of UBS Commercial Mortgage
Trust, commercial mortgage pass-through certificates, series
2017-C4 (UBS 2017-C4). Fitch has also revised the Outlooks on
classes D, E, X-D, and X-E to Negative from Stable and maintained
the Negative Outlooks on classes F and X-F.

RATING ACTIONS

UBS 2017-C4

Class A1 90276RBA5; LT AAAsf Affirmed; previously at AAAsf

Class A2 90276RBB3; LT AAAsf Affirmed; previously at AAAsf

Class A3 90276RBD9; LT AAAsf Affirmed; previously at AAAsf

Class A4 90276RBE7; LT AAAsf Affirmed; previously at AAAsf

Class AS 90276RBH0; LT AAAsf Affirmed; previously at AAAsf

Class ASB 90276RBC1; LT AAAsf Affirmed; previously at AAAsf

Class B 90276RBJ6; LT AA-sf Affirmed; previously at AA-sf

Class C 90276RBK3; LT A-sf Affirmed; previously at A-sf

Class D 90276RAL2; LT BBB-sf Affirmed; previously at BBB-sf

Class E 90276RAN8; LT BB-sf Affirmed; previously at BB-sf

Class F 90276RAQ1; LT B-sf Affirmed; previously at B-sf

Class XA 90276RBF4; LT AAAsf Affirmed; previously at AAAsf

Class XB 90276RBG2; LT AA-sf Affirmed; previously at AA-sf

Class XD 90276RAA6; LT BBB-sf Affirmed; previously at BBB-sf

Class XE 90276RAC2; LT BB-sf Affirmed; previously at BB-sf

Class XF 90276RAE8; LT B-sf Affirmed; previously at B-sf

KEY RATING DRIVERS

Stable Overall Performance; Increased Loss Expectations Due to
Coronavirus Pandemic Concerns: While overall pool performance
remains stable, loss expectations have increased since Fitch's
prior rating action due to declining servicer-reported NOI and
additional stresses applied to loans expected to be impacted in the
near term from the coronavirus pandemic. Twenty-three loans (41.8%
of pool) were designated Fitch Loans of Concern (FLOCs), including
nine (19.8%) in special servicing. Nineteen of these loans (34.8%)
were designated FLOCs primarily due to exposure to the coronavirus
pandemic in the near term.

FLOCs/Specially Serviced Loans: The largest FLOC, The District
(4.8%), is secured by a 612,102-sf open-air anchored retail
shopping center located in South Jordan, Utah. The loan was
designated a FLOC due to coronavirus-related concerns.
Approximately 23% net rentable area (NRA) is leased to Megaplex
Theatres through May 2021. Other large tenants include Target
(non-collateral), JCPenney (non-collateral), Harmons and Hobby
Lobby. At YE 2019, occupancy and servicer-reported NOI DSCR were
96% and 1.41x, respectively.

The second largest FLOC, the specially-serviced Embassy Suites -
Brea (4.8%), is secured by a 228-key, full-service hotel in Brea,
CA. The loan transferred to special servicing in July 2020 due to
monetary default. The loan is 60 days delinquent. The borrower has
provided financial information and the special servicer is
currently pursuing a forbearance agreement. As the TTM ended June
2020, occupancy was 64%, and as of the TTM ended March 2020,
servicer-reported NOI DSCR was 2.23x. As of the TTM ended June
2020, the hotel was outperforming its competitive set with a RevPAR
penetration rate of 129.8%.

Minimal Change to Credit Enhancement: As of the August 2020
distribution date, the pool's aggregate balance has been reduced by
2.6% to $797.3 million from $818.3 million at issuance. One loan
with a $7.5 million balance at disposition was prepaid with yield
maintenance since Fitch's prior review. Based on the loans'
scheduled maturity balances, the pool is expected to amortize 9.8%
during the term. Thirteen loans (40% of pool) are full-term,
interest-only, and 17 loans (33.1%) had a partial-term,
interest-only component, of which 13 have begun amortizing.

Pool Concentration: The top 10 loans comprise 44.9% of the pool.
Loan maturities are concentrated in 2027 (93.1%). Based on property
type, the largest concentrations are office at 24.9%, retail at
23.9% and hotel at 20.0%.

Exposure to Coronavirus Pandemic: Ten loans (20.0%) are secured by
hotel properties. The weighted average NOI DSCR for all the hotel
loans is 2.58x. These hotel loans could sustain a weighted average
decline in NOI of 62% before DSCR falls below 1.00x. Sixteen loans
(23.9%) are secured by retail properties. The weighted average NOI
DSCR for all performing retail loans is 2.22x. These retail loans
could sustain a weighted average decline in NOI of 55% before DSCR
falls below 1.00x. Additional coronavirus specific base case
stresses were applied to all 10 hotel loans (20.0%), eight retail
loans (12.9%) and one loan secured by a parking garage (1.9%).
These additional stresses contributed to the Negative Outlooks on
classes D, E, F, X-D, X-E and X-F.

RATING SENSITIVITIES

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

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

Factors that lead to upgrades would include stable to improved
asset performance coupled with paydown and/or defeasance. Upgrades
of classes B and C would likely occur with significant improvement
in CE and/or defeasance. However, increased concentrations, further
underperformance of FLOCs and decline in performance of loans
expected to be impacted by the coronavirus pandemic could cause
this trend to reverse. An upgrade of 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 a likelihood for interest shortfalls.
Upgrades of classes E and F are not likely due to performance
concerns, with loans expected to be impacted by the 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 classes are not eroded and the senior classes pay-off.

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

Factors that lead to downgrades include an increase in pool level
losses from underperforming or specially serviced loans. Downgrades
of classes A-1 through A-S are not likely due to the position in
the capital structure and the overall stable performance of the
pool. Downgrades of classes B through F could occur if additional
loans become FLOCs or with further underperformance of the FLOCs
and decline in performance of loans expected to be impacted by the
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 a Negative Outlook or those
with a Negative Outlook would be downgraded one or more
categories.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


UBS-BAMLL 2012-WRM: Fitch Lowers Rating on Class E Certs to Bsf
---------------------------------------------------------------
Fitch Ratings downgrades ratings on, and assigns Negative Rating
Outlooks to, five classes of UBS-BAMLL Trust 2012-WRM commercial
mortgage pass-through certificates, series 2012-WRM; the Rating
Watch Negative is removed. Fitch also affirms two classes, revising
the Rating Outlooks to Negative from Stable.

RATING ACTIONS

UBS-BAMLL Trust 2012-WRM

Class A 90269PAA9; LT AAAsf Affirmed; previously at AAAsf

Class B 90269PAG6; LT Asf Downgrade; previously at AAsf

Class C 90269PAJ0; LT BBBsf Downgrade; previously at Asf

Class D 90269PAL5; LT BBsf Downgrade; previously at BBBsf

Class E 90269PAN1; LT Bsf Downgrade; previously at BBB-sf

Class X-A 90269PAC5; LT AAAsf Affirmed; previously at AAAsf

Class X-B 90269PAE1; LT Asf Downgrade; previously at AAsf

KEY RATING DRIVERS

Sustained Cash Flow Decline/MainPlace Occupancy Decline: Overall,
the combined Fitch stressed net cash flow (NCF) for both properties
(Galleria at Roseville and MainPlace Mall) has declined 14%
compared to Fitch stressed NCF at issuance, mainly due to lower
occupancy and revenues, and increased expenses associated with the
MainPlace Mall loan. Sales have been stable to improve at the
Galleria at Roseville and flat/declining at the MainPlace Mall.
Both properties have lost non-collateral anchors, and there is
ongoing stabilization and additional proposed redevelopment planned
for MainPlace Mall.

Fitch Leverage: The $275 million loan has a Fitch DSCR and LTV of
1.32x and 67.5%, respectively, totaling $411 psf. The $140 million
loan has a Fitch DSCR and LTV of 0.65x and 144.0%, respectively,
totaling $227 psf.

Vacant Non-Collateral Anchor/Exposure to Underperforming Anchors:
Sears vacated the Galleria at Roseville in August 2018. Sears is
owned by Seritage, and, as of the the last review, redevelopment
plans were underway for completion in 2Q20, which included Round
One Bowling & Entertainment, Cinemark Theatres, additional retail
and restaurants, and AAA Auto Repair Center, to occupy the vacant
Sears Auto Center space. Both malls are currently open; however,
Round One and Cinemark Theatres have not opened yet and locations
are listed on individual company websites as "coming soon."
Additionally, Nordstrom vacated the MainPlace Mall in March 2017.
Per the master servicer, 10-12 tenants had co-tenancy clauses and
four tenants (Footlocker, Kids Footlocker, The Walking Company and
Children's Place) exercised their right in November 2017. Per media
reports, the MainPlace Mall redevelopment project was recommended
for approval to the City Council by the Planning Commission on May
13, 2019, and was approved June 4 and June 18, 2019.

Vulnerability to Coronavirus: The downgrades and Negative Rating
Outlooks reflect Fitch's concerns with decline in NCF, a potential
sustained and further decline to NCF, exposure to anchors with
declining performance, ongoing stabilization and proposed
redevelopment of MainPlace Mall without a detailed update on
progress, in addition to potential refinance concerns at maturity
in June 2022. Further downgrades are possible should performance
continue to be negatively affected by the coronavirus pandemic. If
the property reverts to its pre-pandemic performance, the ratings
could be affirmed and Rating Outlooks revised to Stable. Fitch will
continue to monitor any declines in loan performance and will
adjust ratings and Rating Outlooks accordingly.

In-Line Occupancy and Sales: Galleria at Roseville's YE 2019
in-line sales excluding Apple are $661 psf, compared with YE 2018
of $549 psf, $511 psf at YE 2017, $420 psf at YE 2016, $412 psf at
YE 2015 and $454 at issuance. The property was 93.2% occupied as of
March 2020, compared with 95% as of YE 2018, 96% at YE 2017, 94% at
9/2016, 99% at YE 2015 and 95% at issuance.

MainPlace Mall updated YE 2019 financials were requested but not
provided. As of YE 2018, in-line sales were $401 psf, compared with
YE 2017 sales of $407 psf, YE 2016 sales of $365 psf, YE 2015 sales
of $401 psf and $360 at issuance. The mall's occupancy declined to
80.6% as of March 2020 from 99% as of Dec. 2018, 97% at Dec. 2017,
95% at December 2016, 99% at YE 2015 and 91% at issuance. Per the
master servicer, the borrower has indicated the decline in
occupancy is due to a number of tenants going bankrupt in 2019,
tenants who vacated the center at lease expirations and several
lease terminations. However, all of these changes were offset
slightly by some new tenants. Additionally, some spaces returned
from national tenants due to bankruptcy have been filled with
temporary in-line retailers.

Experienced Sponsorship and Management: The loan sponsor for
Galleria At Roseville is Westfield America, Inc., a real estate
investment trust (REIT) that currently holds interests in 55
shopping centers totaling approximately 63 million sf across the
U.S. At issuance, Westfield was also the sponsor for MainPlace
Mall. However, in 2015, the mall was sold as part of a $1.1 billion
deal that included four other Westfield Corp. retail centers to a
partnership composed of Centennial Real Estate Company, USAA Real
Estate Company and Montgomery Street Partners.

High Asset Concentration: The transaction is secured by two
regional malls: The Galleria at Roseville and Westfield MainPlace;
therefore, it is more susceptible to event risk related to the
market, sponsor or the largest tenants occupying the properties.
Both assets have exposure to JCPenney and Macy's, neither of which
is on recent store closing lists.

RATING SENSITIVITIES

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

  -- Classes A, X-A, B, C, D, E and X-B are on Rating Outlook
Negative given concerns with refinance risk given the sustained
decline in net cash flow since issuance, exposure to anchors with
declining performance, ongoing stabilization and proposed
redevelopment of the MainPlace Mall.

  -- Factors that could lead to additional downgrades include
sustained or further deterioration in performance of the Mainplace
Mall and/or if the redevelopment plans do not materialize, or do
not help to improve cash flow/sales. Downgrades to classes B, C, D,
E and X-B could be a full category or more.

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

  -- Upgrades may be limited as performance of the two malls is
more susceptible to event risk related to the market, sponsors or
the largest tenants, and both malls mature in 2022. Factors that
lead to upgrades would include significant improvement in
occupancy, cash flow/and or sales of MainPlace Mall. Upgrades of
classes in the 'Asf' and 'BBBsf' categories would occur with
significant improvement of performance of MainPlace Mall. Upgrades
to classes rated 'BBsf' are not likely given the current
performance, expectation of additional declines due to the
coronavirus impact and lower position in the capital stack;
however, upgrades are possible if MainPlace Mall's performance
significantly improves.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

The USB-BAMLL 2012-WRM transaction has an ESG Relevance Score of 4
for Exposure to Social Impacts due to the MainPlace Mall, which is
underperforming as a result of changing consumer preference to
shopping, which has a negative impact on the credit profile and is
highly relevant to the rating, resulting in the downgrades and
Negative Rating Outlooks of classes B, C, D, E and X-B, and Outlook
Revisions on classes A and X-A. Except for the matters discussed,
the highest level of ESG credit relevance, if present, is a score
of 3 - ESG issues are credit neutral or have only a minimal credit
impact on the entity(ies), either due to their nature or the way in
which they are being managed by the entity(ies).


US CAPITAL III: Fitch Lowers Ratings on 2 Tranches to 'Dsf'
-----------------------------------------------------------
Fitch Ratings has downgraded the class B-1 and B-2 notes of U.S.
Capital Funding III, Ltd./Corp. to 'Dsf' from 'Csf', following the
failure to pay the entire amount of interest due to such timely
classes on the September 2020 payment period. In addition, the
class A-2 notes were affirmed at 'AAsf' and the Rating Outlook
revised to Negative from Stable.

RATING ACTIONS

U.S. Capital Funding III, Ltd./Corp.

Cl A-2 Floating 90342BAC7; LT AAsf Affirmed; previously AAsf

Cl B-1 Floating 90342BAE3; LT Dsf Downgrade; previously Csf

Cl B-2 Fixed/Floating 90342BAG8; LT Dsf Downgrade; previously Csf

KEY RATING DRIVERS

Over the last few years, the payment of the class B-1 and B-2
interest has frequently relied on funds from the reserve account,
and proceeds from prepayments and/or cured interest. On the
September 2020 payment date, the funds in the reserve account were
exhausted, and no new redemptions or cures took place, resulting in
the interest shortfall. The non-payment continued for five days,
which triggered an event of default.

The class A-2 notes' outstanding balance was unchanged due to a
lack of redemptions and available excess spread, resulting in the
same performing credit enhancement, which capped the rating based
on the application of the performing CE cap as described in Fitch's
"U.S. Trust Preferred CDOs Surveillance Rating Criteria". The
Negative Outlook reflects the increasing risk of interest shortfall
at the 'AAsf' rating stress, given the out of the money interest
rate swap that does not expire until 2030, along with an amortizing
portfolio and the depleted interest reserve account.

RATING SENSITIVITIES

The ratings for notes issued by these CDOs remain sensitive to
significant levels of defaults, deferrals, cures, and collateral
redemptions. To address potential risks of adverse selection and
increased portfolio concentration, Fitch applied a sensitivity
scenario, as described in its criteria, to applicable
transactions.

In addition to Fitch's TruPS CDO criteria standard analytical
framework, this review applied a coronavirus baseline stress
scenario where all issuers in the pool were downgraded either by
0.5 for private bank scores or one notch for publicly rated banks
and insurance issuers with a mapped rating. The review included a
downside sensitivity scenario, which contemplates a more severe and
prolonged economic stress caused by a re-emergence of infections in
the major economies, where all issuers in the pool were downgraded
either by 1.0 for private bank scores or three notches for publicly
rated banks and insurance issuers with a mapped rating. Fitch
considered the outcome of these sensitivities in determining the
Outlook.

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

  -- Future upgrades to the rated notes may occur if a transaction
experiences improvement in credit enhancement through deleveraging
from collateral redemptions and/or interest proceeds being used for
principal repayment.

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

  -- Downgrades to the rated notes may occur if a significant share
of the portfolio issuers defers or defaults on their TruPS
instruments, which would cause a decline in performing CE levels.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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


VENTURE 37: Moody's Confirms Ba3 Rating on Class E Notes
--------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Venture 37 CLO, Limited:

US$26,500,000 Class D Mezzanine 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$26,500,000 Class E Junior 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 Notes and the Class E Notes issued by the
CLO. The CLO, originally 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 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 3027, compared to 2739
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 18.98%. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $492.3 million, or $7.6 million less than the deal's
ramp-up target par balance. Nevertheless, Moody's noted that the OC
tests for the Class D Notes and the Class E Notes, as well as the
interest diversion test were recently reported [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: $485,533,291

Defaulted Securities: $12,149,744

Diversity Score: 98

Weighted Average Rating Factor (WARF): 3136

Weighted Average Life (WAL): 6.05 years

Weighted Average Spread (WAS): 3.92%

Weighted Average Recovery Rate (WARR): 47.3%

Par haircut in OC tests and interest diversion test: 0.9959%

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 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.

Fitch 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.


VENTURE XV: Moody's Lowers Rating on Class E-R2 Notes to B1
-----------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Venture XV CLO, Limited:

US$35,000,000 Class E-R2 Junior Secured Deferrable Floating Rate
Notes due 2032 (the "Class E-R2 Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class E-R2 Notes are referred to herein as the "Downgraded
Notes."

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

US$32,500,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D-R2 Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

The Class D-R2 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-R2 and Class E-R2 Notes issued by the CLO.
The CLO, originally issued in December 2013, refinanced in October
2016, and refinanced again 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 on July 2024.

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 2939, compared to 2766
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 15.99%. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $565.5 million, or $34.5 million less than the
deal's ramp-up target par balance. Moody's noted that the interest
diversion test was recently reported [3] as failing, which could
result in repayment of a portion of excess interest collections
being diverted towards reinvestment in collateral at the next
payment date should the failures continue. Nevertheless, Moody's
noted that the OC tests for the Class D-R2 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: $556,161,541

Defaulted Securities: $23,406,622

Diversity Score: 102

Weighted Average Rating Factor (WARF): 3035

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.70%

Weighted Average Recovery Rate (WARR): 46.89%

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

The 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 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.

Fitch 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.


VIBRANT CLO IX: Moody's Confirms Ba3 Rating on Class D Notes
------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Vibrant CLO IX, Ltd.:

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

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

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C Notes and the Class D 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 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 August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3213, compared to 2821
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2990 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
14.7%. Nevertheless, according to the August 2020 trustee report
[4], the OC tests for the Class A, Class B, Class C, and Class D
notes, as well as the interest diversion test were recently
reported as passing.

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

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

Performing par and principal proceeds balance: $486,483,209

Defaulted Securities: $3,540,462

Diversity Score: 66

Weighted Average Rating Factor (WARF): 3295

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.61%

Weighted Average Recovery Rate (WARR): 47.1%

Par haircut in OC 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 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 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.

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 2016-2: Moody's Lowers Rating on Class D-R Notes to B1
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Voya CLO 2016-2, Ltd.:

US$25,600,000 Class B-R Deferrable Floating Rate Notes due 2028
(the "Class B-R Notes"), Downgraded to A3 (sf); previously on June
3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

US$21,200,000 Class C-R Deferrable Floating Rate Notes due 2028
(the "Class C-R Notes"), Downgraded to Ba1 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$16,400,000 Class D-R Deferrable Floating Rate Notes due 2028
(the "Class D-R Notes"), Downgraded to B1 (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."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C-R and Class D-R Notes and on June 3, 2020
on the Class B-R Notes issued by the CLO. The CLO, originally
issued in July 2016 and refinanced in August 2019, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in July 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 3319, compared to 2834
reported in the February 2020 trustee report [2]. Moody's also
noted that the WARF was failing the test level of 2869 reported in
the July 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
18.1%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $390
million, or $10 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: $387,237,703

Defaulted Securities: $5,934,630

Diversity Score: 91

Weighted Average Rating Factor (WARF): 3299

Weighted Average Life (WAL): 4.8 years

Weighted Average Spread (WAS): 3.25%

Weighted Average Coupon (WAC): 1.0%

Weighted Average Recovery Rate (WARR): 47.9%

Par haircut in OC tests and interest diversion test: 0.2%

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 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 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.

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 2017-1: Moody's Lowers Rating on Class D Notes to B1
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Voya CLO 2017-1, Ltd.:

US$32,500,000 Class B Deferrable Floating Rate Notes due 2030 (the
"Class B Notes"), Downgraded to A3 (sf); previously on June 3, 2020
A2 (sf) Placed Under Review for Possible Downgrade

US$27,500,000 Class C Deferrable Floating Rate Notes due 2030 (the
"Class C Notes"), Downgraded to Ba1 (sf); previously on April 17,
2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$20,000,000 Class D Deferrable Floating Rate Notes due 2030 (the
"Class D Notes"), Downgraded to B1 (sf); previously on April 17,
2020 Ba3 (sf) Placed Under Review for Possible Downgrade

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

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

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3245, compared to 2788
reported in the February 2020 trustee report [2]. Moody's also
noted that the WARF was failing the test level of 2669 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
16.9%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $489.9
million, or $10.1 million less than the deal's ramp-up target par
balance.

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

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

Performing par and principal proceeds balance: $486,337,619

Defaulted Securities: $7,972,346

Diversity Score: 90

Weighted Average Rating Factor (WARF): 3249

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.17%

Weighted Average Recovery Rate (WARR): 48.3%

Par haircut in OC 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 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 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.

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

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


WELLS FARGO 2018-C47: Fitch Affirms B- Rating on Cl. H-RR Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Wells Fargo Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
series 2018-C47.

RATING ACTIONS

WFCM 2018-C47

Class A-1 95002DAU3; LT AAAsf Affirmed; previously at AAAsf

Class A-2 95002DAX7; LT AAAsf Affirmed; previously at AAAsf

Class A-3 95002DBD0; LT AAAsf Affirmed; previously at AAAsf

Class A-4 95002DBG3; LT AAAsf Affirmed; previously at AAAsf

Class A-S 95002DBR9; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 95002DBA6; LT AAAsf Affirmed; previously at AAAsf

Class B 95002DBU2; LT AA-sf Affirmed; previously at AA-sf

Class C 95002DBX6; LT A-sf Affirmed; previously at A-sf

Class D 95002DAC3; LT BBB-sf Affirmed; previously at BBB-sf

Class E-RR 95002DAE9; LT BBB-sf Affirmed; previously at BBB-sf

Class F-RR 95002DAG4; LT BB+sf Affirmed; previously at BB+sf

Class G-RR 95002DAJ8; LT BB-sf Affirmed; previously at BB-sf

Class H-RR 95002DAL3; LT B-sf Affirmed; previously at B-sf

Class X-A 95002DBK4; LT AAAsf Affirmed; previously at AAAsf

Class X-B 95002DBN8; LT AA-sf Affirmed; previously at AA-sf

Class X-D 95002DAA7; LT BBB-sf Affirmed; previously at 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 13 loans as FLOCS (30.4% of the pool), including two
(5.0%) of which have recently transferred to the special servicer.

FLOC/Specially Serviced Loans: The largest FLOC, Starwood Hotel
Portfolio (7.4%), is secured by a portfolio of 22 hotels with 2,943
rooms located in 12 states, largely located in Missouri, Kansas and
Illinois. The collateral is diversified across several properties,
with no property accounting for more than 13.2% of allocated loan
balance. The hotels reflect 11 different franchises, largely from
flags such as Marriott and Hilton, which consist of 2,698 of the
rooms. The full-term interest-only loan reported a YE 2019 NOI DSCR
of 2.68x which increased from 2.49x at YE 2018. The loan remains
current.

The second largest FLOC, Showcase II (4.8%), is secured by a
41,407-sf retail property located in Las Vegas, NV. The property is
located on Las Vegas Boulevard and is within walking distance of
numerous hotel resorts, casinos and other demand drivers. Major
tenants include American Eagle (26.5% NRA, lease expires Jan.
2028), Adidas (25% NRA, lease expires Sept. 2027) and T-Mobile
(24.8% NRA, lease expires Jan. 2028). As of YE 2019, the property
was 100% occupied and the loan reported a NOI DSCR of 1.70x.

The third largest FLOC, Virginia Beach Hotel Portfolio (4.8%), is
secured by two full-service hotels, the Hilton Garden Inn Virginia
Beach Oceanfront and Hilton Virginia Beach Oceanfront, consisting
of 456 keys with both located on the Virginia Beach boardwalk. The
loan is 90+ days delinquent after not making mortgage payments from
April through August. The servicer is currently reviewing a relief
request from the borrower in which they are asking to use reserve
funds to pay principal and interest. The servicer reported YE 2019
NOI DSCR was 2.65x. Occupancy, ADR and RevPar at both hotels has
been exceeding its competitive set over the past 12 months.

The fourth largest FLOC and largest specially serviced loan,
Holiday Inn FIDI (3.7%), is secured by a 492 key full-service
Holiday in Express in the financial district of New York City that
was built in 2014. The loan transferred to the special servicer in
May 2020 for imminent monetary default as the borrower is
requesting a six- month forbearance. The loan is 90+ days
delinquent after not making mortgage payments from April through
August. The servicer reported TTM March 2020 NOI DSCR was 2.26x
down from 2.38x at YE 2019 and 2.58x at YE 2018.

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 28 loans (38.3% of the pool),
including five (19.8%) in the top 15, two of which are regional
malls. Hotel properties account for nine loans (22.1% of the pool),
including four (17.8%) in the top 15. Nine loans (12.1%) are
secured by multifamily properties. Fitch's base case analysis
applied additional stresses to eight hotels, 11 retail and
mixed-use loans, and one multifamily loan due to their
vulnerability to the coronavirus pandemic. These additional
stresses contributed to the Negative Rating Outlooks on classes D,
E-RR, F-RR, G-RR and H-RR.

Minimal Changes to Credit Enhancement: As of the August 2020
remittance, the pool's aggregate principal balance has been paid
down by 0.6% to $946.0 million from $951.6 million at issuance. All
74 loans remain in the pool. Twenty-nine loans (39.4% of the pool)
have a partial interest-only component, five of these loans have
begun to amortize. Eighteen loans (39.3%) are interest-only for the
full loan term, including six loans (28.6%) in the top 15.

Investment-Grade Credit Opinion Loans: At issuance, three loans
(13.3% of the pool) received investment-grade credit opinions: The
Aventura Mall (5.3%) received a stand-alone credit opinion of
'Asf'; Christiana Mall (5.3%) received a stand-alone credit opinion
of 'AA-sf'; and 2747 Park Boulevard (2.8%) received a stand-alone
credit opinion of 'BBB-sf'.

Nine loans (37.1% of the pool) are pari passu loans.

Maturity Concentrations: Two loans (2.7% of the pool) mature in
2023. The remaining pool (97.3%) matures in 2028.

RATING SENSITIVITIES

The Negative Outlooks on classes D, E-RR, F-RR, G-RR and H-RR
reflect concerns over the FLOCs, including two specially serviced
loans/assets 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 overall stable performance of the pool
along with 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, particularly on the FLOCs, coupled with
paydown and/or defeasance. Upgrades of the 'AA-sf' and 'A-sf'
category would likely occur with significant improvement in credit
enhancement and/or defeasance; however, adverse selection and
increased concentrations or the underperformance of particular
loan(s) could cause this trend to reverse. Upgrades to 'BBB-sf'
category are considered unlikely and would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if there
is likelihood for interest shortfalls. The 'BB+sf', 'BB-sf' 'B-sf'
are unlikely to be upgraded absent significant performance
improvement and substantially higher recoveries than expected on
the FLOCs.

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-S) 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', 'A-sf',
and 'BBB-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 not stabilize. Downgrades to 'BBB-sf', 'BB-sf', 'B-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.

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.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

ESG CONSIDERATIONS

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


WFRBS COMMERCIAL 2014-C24: Fitch Lowers Rating on 4 Tranches to Csf
-------------------------------------------------------------------
Fitch Ratings has downgraded eight classes and affirmed six classes
of Wells Fargo Commercial Mortgage Securities, Inc.'s WFRBS
Commercial Mortgage Trust Series 2014-C24 commercial mortgage
pass-through certificates. Fitch also revised the Rating Outlook on
two classes to Negative from Stable.

RATING ACTIONS

WFRBS 2014-C24

Class A-3 92939KAC2; LT AAAsf Affirmed; previously at AAAsf

Class A-4 92939KAD0; LT AAAsf Affirmed; previously at AAAsf

Class A-5 92939KAE8; LT AAAsf Affirmed; previously at AAAsf

Class A-S 92939KAG3; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 92939KAF5; LT AAAsf Affirmed; previously at AAAsf

Class B 92939KBR8; LT Asf Downgrade; previously at AA-sf

Class C 92939KAK4; LT BBBsf Downgrade; previously at A-sf

Class D 92939KAT5; LT B-sf Downgrade; previously at BBB-sf

Class E 92939KAV0; LT Csf Downgrade; previously at CCCsf

Class F 92939KAX6; LT Csf Downgrade; previously at CCsf

Class PEX 92939KAL2; LT BBBsf Downgrade; previously at A-sf

Class X-A 92939KAH1; LT AAAsf Affirmed; previously at AAAsf

Class X-C 92939KAM0; LT Csf Downgrade; previously at CCCsf

Class X-D 92939KAP3; LT Csf Downgrade; previously at CCsf

KEY RATING DRIVERS

Increased Loss Expectations/FLOCs: Loss expectations for the pool
have increased since Fitch's last rating action due to declining
performance on a greater number of specially serviced loans/assets
and the larger Fitch Loans of Concern (FLOCs) within the top 15.
Thirteen loans (32.0% of pool) are considered FLOCs, including 10
specially serviced loans/assets (21.5%). Seven (28.4%) of the top
15 loans are specially serviced. For the FLOCs with full-year 2018
and 2019 financials the NOI declined an average of 25.1% from 2018
to 2019.

The largest FLOC is the second largest loan in the pool, Two
Westlake Park (9.3%). The loan transferred to special servicing in
July 2018 for imminent default. The property suffered significant
declines in occupancy due to the loss of its largest tenants, BP
Amoco and Conoco Phillips, which represented 82% of the property's
NRA at issuance. BP Amoco vacated their space in June 2017, with
their lease expiring in April 2019. Conoco Phillips (originally
60.3% of the NRA), which has subleased some of its space, had their
lease expire in November 2019. As of June 2020, the property was
6.7% leased. The asset became REO in June 2020. The servicer
anticipates a sale of the property by fourth quarter 2020.

The second largest FLOC is Crossings at Corona (7%), which is
secured by an 834,075-sf anchored retail center located in Corona,
CA. The property, which is anchored by Kohl's and shadow-anchored
by Target, has suffered from declining occupancy after four
collateral anchor tenants vacated. Toys R Us (formerly 7.6% of NRA)
and Sports Authority (4.5%) both vacated upon filing for
bankruptcy, while Bed Bath & Beyond (2.9%) and Cost Plus (2.2%)
both vacated upon their January 2019 lease expirations. Occupancy
as of June 2020 dropped to 78.5% from 80.6% at YE 2019, 86.1% at YE
2018, 93.1% at YE 2017 and 94.5% at YE 2016. As of YE 2019, the
servicer-reported net operating income (NOI) debt service coverage
ratio (DSCR) declined to 1.20x from 1.26x at YE 2018, 1.68x at YE
2017 and 1.89x at YE 2016. Fitch applied additional stresses to the
loan to account for the potential further declines in performance.
The loan remains current.

The third largest FLOC is Hilton Biltmore Park (3.1%), which is
secured by a 165-key full-service hotel and 8,526 sf of ground
floor retail located in Asheville, NC within Park Town Square. YE
2019 NOI is 30.7% below 2018. The property underwent an interior
remodel that included new carpet, wall vinyl, FF&E, bathroom
fixtures, and paint. Per the TTM 6/2020 STR report, the property
underperforms its competitive set in terms of occupancy and RevPAR
with penetration ratios of 91% and 98%, respectively. Property
occupancy, ADR, RevPAR was 50%, $178 and $89, compared to 55%, $165
and $91 for its competitive set. The loan remains current.

The fourth largest FLOC is the specially serviced Bend River
Promenade loan (2.7%), which is secured by a 252,147-sf retail
center located in Bend, OR, approximately 165 miles southeast of
Portland. The property is anchored by Macy's, Hobby Lobby and TJ
Maxx. Macy's recently renewed for five years through Jan. 31, 2024.
The loan was transferred to special servicing in April 2020 due to
imminent monetary default as a result of COVID-19. The loan is 90+
days delinquent.

The fifth largest FLOC is the specially serviced
WallyPark-Philadelphia loan (2.3%), which is secured by a
1,440-space surface parking, self-parking facility located in
Tinicum Township, PA, adjacent to the Philadelphia International
Airport. The loan transferred to special servicing in August 2020
due to payment default related to COVID-19 hardships. The loan is
90+ days delinquent; paid through April 6, 2020.

The sixth largest FLOC is the specially serviced Greenwich Center
loan (2.1%), which is secured by a 182,583-sf retail power center
located in Phillipsburg, NJ, anchored by Ashley Furniture,
Michaels, Dollar Tree. The property is shadow anchored by Target
and Lowe's. Other tenants include Petco, Mattress Firm and Famous
Footwear. YE 2018 NOI is down 10.5% from YE 2017. Staples (11% of
NRA) vacated their space at lease expiration in December 2017 and
Best Buy (18% of NRA) vacated their space at lease expiration in
January 2020. All leases at the property are scheduled to mature
prior to loan maturity. As of March 2020, the property was 67%
occupied. The loan was transferred to special servicing on Mary
2020 due to payment default; the borrower remains unresponsive. The
loan is 60 days delinquent.

The seventh largest FLOC is the specially serviced Orlando Plaza
Retail Center loan (2.0%), which is secured by 101,330 sf of retail
space on the first and second floor of a two-tower office and
condominium building. As of March 2020, the property was 92.6%
leased. The CMX Cinemas Plaza Café 12 (formerly Cobb Theaters)
occupies 56.25% of the property. The theater has filed for
bankruptcy citing COVID-19 disruptions; the theater does not have
any showtimes on website. The loan transferred to special servicing
in April 2020 for imminent monetary default. The loan is 90+ days
delinquent.

Increased Credit Enhancement: The pool's aggregate principal
balance has been reduced by 12.5% to $951.0 million from $1.087
billion at issuance. Since Fitch's last rating action, three loans
have paid off at or prior to maturity, and one previously specially
serviced loan was liquidated with a $2.5 million loss. Six loans
(6.3% of pool) are fully defeased. The pool is scheduled to
amortize by 9.3% of the initial pool balance prior to maturity. Of
the current pool, approximately 34% is full term interest-only, 46%
of the pool is partial interest only and 20% of the pool consists
of amortizing balloon loans.

Coronavirus Exposure: Seven non-defeased loans (8.6% of pool) are
secured by hotel properties and 17 non-defeased loans (43.0%) are
secured by retail properties. The hotel loans have a weighted
average (WA) DSCR of 2.28x. On average, the hotel loans can sustain
an average decline of 49.3% before the NOI DSCR would fall below
1.0x. The retail loans have a WA DSCR of 2.03x. On average, the
retail loans can sustain a 53.6% decline in NOI before the DSCR
would fall below 1.0x. Fitch applied additional coronavirus-related
stresses to four hotel loans, seven retail loans and one mixed use
property to account for potential cash flow disruptions due to the
coronavirus pandemic; these additional stresses contributed to the
downgrades and the Negative Outlooks on classes A-S through D.

Alternative Loss Consideration: Fitch applied a 100% loss severity
as a sensitivity scenario on TwoWestlake Park asset to reflect
recoverability concerns and the potential for outsized losses; this
contributed to the downgrades and the Negative Outlooks on classes
A-S through D.

Pool Concentrations: The largest loan represents 10.9% of the pool
and the top 10 loans represent 50.6% of the pool. Eighteen loans
(43.4%), seven of which (35.7%) are within the top 15 loans in the
pool, are comprised of retail properties.

Credit Opinion Loan: At issuance, the largest loan in the pool, the
St. Johns Town Center pooled note, representing 10.9% of the pool,
was given a Fitch credit opinion of 'AA-sf' on a stand-alone basis.
However, per the master servicer, the borrower is not required to
report sales. The occupancy and cash flow are stable to improve
from issuance.

RATING SENSITIVITIES

Classes A-1 through A-SB have Stable Outlooks due to sufficient
credit enhancement relative to expected losses and expected
continued amortization. The Negative Outlooks on classes A-S, B, C,
D, X-A, and PEX reflect downgrade concerns due to declining
performance of the specially serviced loans/assets and larger FLOCs
and the reduced economic activity as a result of the coronavirus
pandemic.

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

Sensitivity factors that could lead to upgrades include stable to
improved asset performance, particularly on the FLOCs, coupled with
additional paydown and/or defeasance. Upgrades to class B 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 negatively affected by the coronavirus pandemic could cause
this trend to reverse. Upgrades to class C would also take into
account these factors but would be limited based on sensitivity to
concentrations or the potential for future concentration.

Classes would not be upgraded above 'Asf' if interest shortfalls
are likely. An upgrade to class D is not likely until the later
years in the transaction and only if the performance of the
remaining pool is stable and/or properties vulnerable to the
coronavirus return to pre-pandemic levels, and there is sufficient
credit enhancement. Classes E and F are unlikely to be upgraded
absent significant performance improvement on the FLOCs and
substantially higher recoveries than expected on the specially
serviced loans/assets.

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

Sensitivity factors that could lead to downgrades include an
increase in pool level losses from underperforming or specially
serviced loans/assets. Downgrades to the super senior classes A-1
through A-SB are not likely due to the position in the capital
structure, but may occur should interest shortfalls affect these
classes. A downgrade of one category to class A-S is possible
should expected losses for the pool increase significantly and/or
should all of the loans susceptible to the coronavirus pandemic
suffer losses. Downgrades to classes B, C and D are possible 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. Downgrades to classes E and
F to 'Dsf' would occur 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
additional negative rating actions, including downgrades of a
category or more and Negative Outlook revisions.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


WFRBS COMMERCIAL 2014-C24: Moody's Affirms Ba2 Rating on SJ-D Certs
-------------------------------------------------------------------
Moody's Investors Service affirmed the ratings on ten classes and
downgraded ratings on two classes in WFRBS Commercial Mortgage
Trust 2014-C24, Commercial Mortgage Pass-Through Certificates
Series 2014-C24.

Cl. A-3, Affirmed Aaa (sf); previously on Sep 14, 2018 Affirmed Aaa
(sf)

Cl. A-4, Affirmed Aaa (sf); previously on Sep 14, 2018 Affirmed Aaa
(sf)

Cl. A-5, Affirmed Aaa (sf); previously on Sep 14, 2018 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Sep 14, 2018 Affirmed
Aaa (sf)

Cl. A-S, Affirmed Aa1 (sf); previously on Sep 14, 2018 Affirmed Aa1
(sf)

Cl. B, Affirmed Aa3 (sf); previously on Sep 14, 2018 Affirmed Aa3
(sf)

Cl. C, Downgraded to Baa2 (sf); previously on Sep 14, 2018 Affirmed
A3 (sf)

Cl. PEX**, Downgraded to A2 (sf); previously on Mar 18, 2019
Upgraded to Aa3 (sf)

Cl. SJ-A***, Affirmed Aa2 (sf); previously on Sep 14, 2018 Affirmed
Aa2 (sf)

Cl. SJ-B***, Affirmed A2 (sf); previously on Sep 14, 2018 Affirmed
A2 (sf)

Cl. SJ-C***, Affirmed Baa1 (sf); previously on Sep 14, 2018
Affirmed Baa1 (sf)

Cl. SJ-D***, Affirmed Ba2 (sf); previously on Sep 14, 2018 Affirmed
Ba2 (sf)

** Reflects exchangeable classes

*** Reflects rake bond classes

RATINGS RATIONALE

The ratings on six pooled P&I classes, Cl. A-3 through Cl. B, were
affirmed because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.

The rating on one pooled P&I class, Cl. C, was downgraded due to a
decline in pool performance and higher anticipated losses from
specially serviced and troubled loans. The largest specially
serviced loan is secured by an office property in Houston that
represents over 9% of the pool and is now real estate owned
("REO").

The ratings on four non-pooled rake classes, Cl. SJ-A, SJ-B, SJ-C
and SJ-D, were affirmed based on the key metrics of their
referenced loan, including Moody's loan to value (LTV) ratio. The
rake classes are supported by the subordinate debt associated with
the St. John's Town Center loan.

The rating on the exchangeable class, Cl. PEX, was downgraded due
to decline in the credit quality of its referenced exchangeable
classes.

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. Stress on
commercial real estate properties will be most directly stemming
from declines in hotel occupancies (particularly related to
conference or other group attendance) and declines in foot traffic
and sales for non-essential items at retail properties. Moody's
regards the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety.

Moody's rating action reflects a base expected loss of 11.1% of the
current pooled balance, compared to 6.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 9.9% of the
original pooled balance, compared to 6.2% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
exchangeable classes and rake bond classes was "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in May 2020. The
principal methodology used in rating exchangeable classes was
"Moody's Approach to Rating Repackaged Securities" published in
June 2020. The principal methodology used in rating rake bond
classes 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 pooled certificate balance has decreased by 12.5% to
$951.0 million from $1.088 billion at securitization. The
certificates are collateralized by 73 mortgage loans ranging in
size from less than 1% to 10.9% of the pool, with the top ten loans
constituting 50.8% of the pooled loan balance. Six loans,
constituting 6.3% of the pool, have defeased and are secured by US
government securities. One loan, constituting 10.9% of the pooled
balance, has an investment-grade structured credit assessment.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 22, compared to 26 at Moody's last review.

As of the August 17, 2020 remittance report, loans representing
79.8% were current or within their grace period on their debt
service payments, 0.8% were beyond their grace period but less than
30 days delinquent, 0.5% were between 30 -- 59 days delinquent,
2.1% were 60 -- 89 days delinquent and 16.8% were greater than 90
days delinquent or REO.

Twelve loans, constituting 15.0% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

One loan has been liquidated from the pool with realized loss of
$2.4 million (for a loss severity of 84%). Ten loans, constituting
21.5% of the pool, are currently in special servicing. Six of the
specially serviced loans, representing 10.5% of the pool, have
transferred to special servicing since March 2020.

The largest loan in special servicing is the Two Westlake Park Loan
($88.2 million -- 9.3% of the pool), which is secured by a 450,000
SF office building located in Houston, Texas. The property was
developed in 1982 and primarily consists of a 17-story office tower
and a seven-story parking garage located within the Energy
Corridor/West Katy Freeway office submarket of Houston, Texas. The
property is part of a larger complex known as WestLake Park, which
contains approximately 2.3 million SF of Class A office space. The
loan transferred to special servicing in July 2018 due to imminent
monetary default. The property's performance declined significantly
in recent years after the two largest tenants at securitization,
ConocoPhillips (46.0% of the NRA; lease expiration November 2019)
and BP (36.2% of the NRA; lease expiration in June 2017), vacated
at or prior to their initial lease expiration dates. The property
has not backfilled its vacant space and the property was only 6%
leased as of December 2019. According to CBRE, the Katy Freeway
Class A office submarket had a vacancy of 20.5% in Q2 2020. The
property became REO in June 2020 and is being listed for sale. Due
to the property's distressed occupancy and the high submarket
office vacancy, Moody's anticipates a significant loss on this
loan.

The second largest loan in special servicing is Bend River
Promenade ($25.8 million -- 2.7% of the pool), which is secured by
a 252,147 SF retail center located in Bend, Oregon. The loan
transferred to special serving in April 2020 in relation to the
coronavirus outbreak and is last paid through its April 2020
payment date. The property was performing well prior to 2020 with
an occupancy of 96% and actual NOI DSCR of 1.84X as of year-end
2019. The largest tenants include Macy' (40% of NRA; lease
expiration in January 2024); Hobby Lobby (25%; lease expiration in
January 2026 and TJ Maxx (11%; lease expiration in May 2021). The
special servicer is currently discussing potential resolution
options with the borrower.

The next largest loan was secured by a parking facility within the
Philadelphia International Airport (2.3% of the pool) which
transferred due to hardships associated with the coronavirus
pandemic. The remaining seven specially serviced loans are
primarily secured primarily by retail properties.

Moody's has also assumed a high default probability for two poorly
performing loans, constituting 1.6% of the pool, and has estimated
an aggregate loss of $79.4 million (38% expected loss on average)
from these troubled loans and specially serviced loan.

Moody's received full year 2019 operating results for 97% of the
pool and partial year 2020 operating results for 68% of the pool.
Moody's weighted average conduit LTV is 104%, compared to 102% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 16% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.8%.

Moody's actual and stressed conduit DSCRs are 1.79X and 1.10X,
respectively, the same as the last review. Moody's actual DSCR is
based on Moody's NCF and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stress rate the
agency applied to the loan balance.

The loan with a structured credit assessment is the St. Johns Town
Center Loan ($103.5 million -- 9.7% of the pooled balance), which
is secured by a 981,000 SF component of a 1.4 million SF
super-regional outdoor mall located in Jacksonville, Florida. The
loan represents a pari passu interest in a $203.5 million senior
loan. The property is also encumbered by a $146.5 million B-note
which contribute to the transaction as non-pooled rake bonds. The
loan sponsor is a joint venture between subsidiaries of Simon
Property Group (SPG), Inc. and Deutsche Bank Asset & Wealth
Management with SPG managing the property. The mall is anchored by
Dillard's, Target, Dick's Sporting Goods, Ashley Furniture, and
Nordstrom. Dillard's, Target and Ashely Furniture are not part of
the collateral and own their own spaces. As of March 2020, the
property was 88% occupied, compared to 95% as of December 2019, and
98% in December 2018. Overall performance has improved since
securitization with reported year-end 2019 NOI increasing to $36.8
million from $31.3 million at securitization. The property is
considered the dominant mall in the area and the loan was current
as of the August 2020 remittance date. Moody's structured credit
assessment and stressed DSCR on the pooled portion are aaa (sca.pd)
and 1.61X, respectively, the same as at last review. The Moody's
total debt LTV including the B-note was 86.4%.

The top three conduit loans represent 18% of the pool balance. The
largest loan is the Gateway Center Phase II Loan ($75.0 million --
7.9% of the pool), which represents a pari passu portion of a $300
million mortgage loan. The loan is secured by a 602,000 SF retail
center located in Brooklyn, New York. The center is the second
phase of a larger retail power center. As of December 2019, the
property was 100% leased, unchanged from securitization. Retailers
at the property include JC Penney (which owns their improvements
and leases the land from the borrower), ShopRite, and Burlington
Coat Factory. The JC Penney location has not been included in any
of the recent store closure announcements. JC Penney represents 20%
of the total property's square footage but less than 5% of the base
rental revenue. Through year-end 2019 the property performance has
improved since securitization and revenue has continued to increase
over the past three years. The loan is interest-only throughout the
loan term. The loan was current as of its August 2020 payment date
and Moody's LTV and stressed DSCR are 114% and 0.78X, respectively,
the same as at the last review.

The second largest loan is the Crossings at Corona Loan ($66.6
million -- 7.0% of the pool), which is secured by an 834,000 SF
component of an approximately 962,200 SF power center located 50
miles south-east of Los Angeles in Corona, California. The center
is anchored by a Kohl's, Edwards Cinemas (Regal) and Best Buy and
is also shadow anchored by a Target. As of December 2019, the
property was 81% leased, compared to 86% as of December 2018 and
97% at securitization. Toys R Us (7.6% of the NRA) closed in April
2018 in conjunction with the bankruptcy of the company. As a
result, the loan is on the servicer's watchlist due to low DSCR
(NCF DSCR of 1.08X) and low occupancy. The loan is current as of
the August 2020 payment date and Moody's LTV and stressed DSCR are
140% and 0.73X, respectively, compared to 130% and 0.77X at Moody's
last review.

The third largest loan is the CTO NNN Portfolio Loan ($30.0 million
-- 3.2% of the pool), which is secured by six single tenant retail
properties, located in six states, totaling 266,764 SF. The
properties are leased to six tenants; Lowes, Harris Teeter, Rite
Aid, Walgreens, and Big Lots. The loan is interest-only throughout
the loan term. Property performance has been stable since
securitization and Moody's LTV and stressed DSCR are 103% and
0.99X, respectively, the same as at the last review.


[*] Fitch Takes Action on Distressed Bonds From 6 US CMBS Deals
---------------------------------------------------------------
Fitch Ratings, on Sept. 11, 2020, took various action on already
distressed bonds in six U.S. commercial mortgage-backed securities
(CMBS) transactions.

RATING ACTIONS

ML-CFC Commercial Mortgage Trust 2006-1

Class C 606935AM6; LT Dsf Affirmed; previously Dsf

Class C 606935AM6; LT WDsf Withdrawn; previously Dsf

Class D 606935AN4; LT Dsf Affirmed; previously Dsf

Class D 606935AN4; LT WDsf Withdrawn; previously Dsf

Class E 606935AP9; LT Dsf Affirmed; previously Dsf

Class E 606935AP9; LT WDsf Withdrawn; previously Dsf

Class F 606935AQ7; LT Dsf Affirmed; previously Dsf

Class F 606935AQ7; LT WDsf Withdrawn; previously Dsf

Class G 606935AR5; LT Dsf Affirmed; previously Dsf

Class G 606935AR5; LT WDsf Withdrawn; previously Dsf

Class H 606935AS3; LT Dsf Affirmed; previously Dsf

Class H 606935AS3; LT WDsf Withdrawn; previously Dsf

Class J 606935AT1; LT Dsf Affirmed; previously Dsf

Class J 606935AT1; LT WDsf Withdrawn; previously Dsf

Class K 606935AU8; LT Dsf Affirmed; previously Dsf

Class K 606935AU8; LT WDsf Withdrawn; previously Dsf

Class L 606935AV6; LT Dsf Affirmed; previously Dsf

Class L 606935AV6; LT WDsf Withdrawn; previously Dsf

Class M 606935AW4; LT Dsf Affirmed; previously Dsf

Class M 606935AW4; LT WDsf Withdrawn; previously Dsf

Class N 606935AX2; LT Dsf Affirmed; previously Dsf

Class N 606935AX2; LT WDsf Withdrawn; previously Dsf

Class P 606935AY0; LT Dsf Affirmed; previously Dsf

Class P 606935AY0; LT WDsf Withdrawn; previously Dsf

Morgan Stanley Capital, I Trust 2008-TOP29

Class G 61757LAR1; LT Dsf Affirmed; previously Dsf

Class G 61757LAR1; LT WDsf Withdrawn; previously Dsf

Class H 61757LAS9; LT Dsf Affirmed; previously Dsf

Class H 61757LAS9; LT WDsf Withdrawn; previously Dsf

Class J 61757LAT7; LT Dsf Affirmed; previously Dsf

Class J 61757LAT7; LT WDsf Withdrawn; previously Dsf

Class K 61757LAU4; LT Dsf Affirmed; previously Dsf

Class K 61757LAU4; LT WDsf Withdrawn; previously Dsf

Class L 61757LAV2; LT Dsf Affirmed; previously Dsf

Class L 61757LAV2; LT WDsf Withdrawn; previously Dsf

Class M 61757LAW0; LT Dsf Affirmed; previously Dsf

Class M 61757LAW0; LT WDsf Withdrawn; previously Dsf

Class N 61757LAX8; LT Dsf Affirmed; previously Dsf

Class N 61757LAX8; LT WDsf Withdrawn; previously Dsf

Class O 61757LAY6; LT Dsf Affirmed; previously Dsf

Class O 61757LAY6; LT WDsf Withdrawn; previously Dsf

J. P. Morgan Chase Commercial Mortgage Securities Corp. 2003-CIBC6

Class M 46625MXL8; LT Dsf Affirmed; previously Dsf

Class M 46625MXL8; LT WDsf Withdrawn; previously Dsf

Class N 46625MXM6; LT Dsf Affirmed; previously Dsf

Class N 46625MXM6; LT WDsf Withdrawn; previously Dsf

Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11

Class B 07387MAK5; LT Dsf Downgrade; previously Csf

Class B 07387MAK5; LT WDsf Withdrawn; previously Csf

Class C 07387MAL3; LT Dsf Affirmed; previously Dsf

Class C 07387MAL3; LT WDsf Withdrawn; previously Dsf

Class D 07387MAM1; LT Dsf Affirmed; previously Dsf

Class D 07387MAM1; LT WDsf Withdrawn; previously Dsf

Class E 07387MAN9; LT Dsf Affirmed; previously Dsf

Class E 07387MAN9; LT WDsf Withdrawn; previously Dsf

Class F 07387MAP4; LT Dsf Affirmed; previously Dsf

Class F 07387MAP4; LT WDsf Withdrawn; previously Dsf

Class G 07387MAQ2; LT Dsf Affirmed; previously Dsf

Class G 07387MAQ2; LT WDsf Withdrawn; previously Dsf

Class H 07387MAR0; LT Dsf Affirmed; previously Dsf

Class H 07387MAR0; LT WDsf Withdrawn; previously Dsf

Class J 07387MAS8; LT Dsf Affirmed; previously Dsf

Class J 07387MAS8; LT WDsf Withdrawn; previously Dsf

Class K 07387MAT6; LT Dsf Affirmed; previously Dsf

Class K 07387MAT6; LT WDsf Withdrawn; previously Dsf

Class L 07387MAU3; LT Dsf Affirmed; previously Dsf

Class L 07387MAU3; LT WDsf Withdrawn; previously Dsf

Class M 07387MAV1; LT Dsf Affirmed; previously Dsf

Class M 07387MAV1; LT WDsf Withdrawn; previously Dsf

Class N 07387MAW9; LT Dsf Affirmed; previously Dsf

Class N 07387MAW9; LT WDsf Withdrawn; previously Dsf

Class O 07387MAX7; LT Dsf Affirmed; previously Dsf

Class O 07387MAX7; LT WDsf Withdrawn; previously Dsf

J. P. Morgan Chase Commercial Mortgage Securities Corp. 2004-PNC1

Class F 46625M5R6; LT Dsf Downgrade; previously CCsf

Class G 46625M5S4; LT Dsf Downgrade; previously Csf

LB-UBS Commercial Mortgage Trust 2007-C1

Class G 50179AAS6; LT Dsf Downgrade; previously Csf

Class G 50179AAS6; LT WDsf Withdrawn; previously Csf

Class H 50179AAT4; LT Dsf Affirmed; previously Dsf

Class H 50179AAT4; LT WDsf Withdrawn; previously Dsf

Class J 50179AAU1; LT Dsf Affirmed; previously Dsf

Class J 50179AAU1; LT WDsf Withdrawn; previously Dsf

Class K 50179AAV9; LT Dsf Affirmed; previously Dsf

Class K 50179AAV9; LT WDsf Withdrawn; previously Dsf

Class L 50179AAW7; LT Dsf Affirmed; previously Dsf

Class L 50179AAW7; LT WDsf Withdrawn; previously Dsf

Class M 50179AAX5; LT Dsf Affirmed; previously Dsf

Class M 50179AAX5; LT WDsf Withdrawn; previously Dsf

Class N 50179AAY3; LT Dsf Affirmed; previously Dsf

Class N 50179AAY3; LT WDsf Withdrawn; previously Dsf

The ratings on 42 bonds in five transactions were withdrawn. One
bond in Bear Stearns Commercial Mortgage Securities Trust
2006-PWR11 was downgraded to 'Dsf' from 'Csf', as the class
incurred its first loss and was subsequently withdrawn. The
remaining classes were affirmed at 'Dsf' and subsequently
withdrawn. This deal had only 'Dsf' rated bonds remaining, it is no
longer considered relevant to Fitch's coverage. Additionally, Fitch
has affirmed and subsequently withdrawn 12 classes in ML-CFC
Commercial Mortgage Trust 2006-1 and eight classes in Morgan
Stanley Capital I Trust 2008-TOP29. Both of these deals had only
'Dsf' rated bonds remaining, they are no longer considered relevant
to Fitch's coverage.

Lastly, Fitch has downgraded one bond in LB-UBS Commercial Mortgage
Trust 2007-C1 to 'Dsf' from 'Csf', as the class incurred its first
loss. The rating was subsequently withdrawn. The remaining six
classes were affirmed at 'Dsf' and subsequently withdrawn. Fitch
also affirmed and subsequently withdrew the ratings on two bonds in
J.P. Morgan Chase Commercial Mortgage Securities Corp. 2003-CIBC6.
The trust balances in both deals have been reduced to zero; there
is no remaining collateral.

Fitch also downgraded two bonds in J.P. Morgan Chase Commercial
Mortgage Securities Corp. 2004-PNC1 to 'Dsf'; these bonds took
their first dollar loss. The classes were previously rated 'CCsf'
and 'Csf'.

KEY RATING DRIVERS

All transactions where ratings were withdrawn had only 'Dsf' rated
bonds remaining and are no longer considered relevant to Fitch's
coverage. The two bonds that were downgraded took their first
dollar loss. The classes were previously rated 'CCsf' and 'Csf'.

Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11
previously had an ESG score of '5'. The deal is being withdrawn.

RATING SENSITIVITIES

The actions are limited to the bonds that have incurred losses. Any
remaining bonds in the transactions have not been analyzed as part
of this review. No further rating changes are expected as these
bonds have incurred principal realized losses. While the bonds that
have defaulted are not expected to recover any material amount of
lost principal in the future, there is a limited possibility this
may happen. In this unlikely scenario, Fitch would further review
the affected classes.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
No third-party due diligence was provided or reviewed in relation
to this rating action.

ESG CONSIDERATIONS

Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 has an
ESG Relevance Score of '5' for Exposure to Social Impacts, which
reflects the transaction's exposure to a sustained structural shift
in secular preferences affecting consumer trends, occupancy trends,
etc., and is highly relevant to the ratings.

Morgan Stanley Capital, I Trust 2008-TOP29 has an ESG Relevance
Score of '4' for Exposure to Environmental Impacts, which reflects
the transaction's exposure to extreme weather events and other
catastrophe risk.

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).


[*] Moody's Takes Action on 20 Tranches From 18 Securitizations
---------------------------------------------------------------
Moody's Investors Service, on Sept. 11, 2020, downgraded six
classes of bonds and confirmed fourteen classes of bonds issued by
eighteen auto loan and lease securitizations. The bonds are backed
by pools of retail automobile loan or lease contracts originated
and serviced by multiple parties.

The complete rating actions are as follows:

Issuer: ACC Trust 2019-1

Class C Notes, Downgraded to B3 (sf); previously on May 11, 2020 B2
(sf) Placed Under Review for Possible Downgrade

Issuer: ACC Trust 2019-2

Class B Notes, Confirmed at Baa3 (sf); previously on May 11, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

Class C Notes, Downgraded to B3 (sf); previously on May 11, 2020 B2
(sf) Placed Under Review for Possible Downgrade

Issuer: AmeriCredit Automobile Receivables Trust 2017-4

Class E Notes, Confirmed at Baa1 (sf); previously on Mar 27, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

Issuer: Carvana Auto Receivables Trust 2019-4

Class D Notes, Confirmed at Baa3 (sf); previously on Mar 27, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

Issuer: CIG Auto Receivables Trust 2019-1

Class D Notes, Confirmed at Ba2 (sf); previously on Mar 27, 2020
Ba2 (sf) Placed Under Review for Possible Downgrade

Issuer: Drive Auto Receivables Trust 2019-3

Class D Notes, Confirmed at Baa1 (sf); previously on Mar 27, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

Issuer: Drive Auto Receivables Trust 2019-4

Class D Notes, Confirmed at Baa3 (sf); previously on Mar 27, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

Issuer: Drive Auto Receivables Trust 2020-1

Class D Notes, Confirmed at Baa3 (sf); previously on Mar 27, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

Issuer: Exeter Automobile Receivables Trust 2019-3

Class D Notes, Confirmed at Baa1 (sf); previously on Mar 27, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

Issuer: Exeter Automobile Receivables Trust 2019-4

Class D Notes, Confirmed at Baa1 (sf); previously on Mar 27, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

Issuer: Exeter Automobile Receivables Trust 2020-1

Class D Notes, Confirmed at Baa1 (sf); previously on Mar 27, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

Issuer: Foursight Capital Automobile Receivables Trust 2020-1

Class D Notes, Confirmed at Baa1 (sf); previously on Mar 27, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

Class E Notes, Confirmed at Ba1 (sf); previously on Mar 27, 2020
Ba1 (sf) Placed Under Review for Possible Downgrade

Issuer: Juniper Receivables 2019-1 DAC

Class A Asset Backed Notes, Downgraded to Ba2 (sf); previously on
Apr 30, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

Issuer: Juniper Receivables 2019-2 DAC

Class A Asset Backed Notes, Downgraded to Ba2 (sf); previously on
Apr 30, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

Issuer: Juniper Receivables 2020-1 DAC

Class A Asset Backed Notes, Downgraded to Ba2 (sf); previously on
Apr 30, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

Issuer: Juniper Receivables DAC

Class A Asset Backed Notes, Downgraded to Baa2 (sf); previously on
Apr 30, 2020 A3 (sf) Placed Under Review for Possible Downgrade

Issuer: Santander Drive Auto Receivables Trust 2019-3

Class D Notes, Confirmed at Baa1 (sf); previously on Mar 27, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

Issuer: Securitized Term Auto Receivables Trust 2019-CRT

Class D Notes, Confirmed at Ba1 (sf); previously on Apr 30, 2020
Ba1 (sf) Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating action reflects its revised loss expectations for the
underlying auto loans and leases driven by an increased likelihood
of deterioration in the performance of the underlying loans and
leases 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 30%
increase in remaining expected losses for non-prime auto loan and
lease pools, and up to an approximately 50% increase in remaining
expected losses for prime auto loan pools. The analysis reflects
the percentage of loans and leases granted payment deferrals in the
individual pools and such loans and leases' higher likelihood to
default. Based on an analysis of historical defaults, Moody's
expects loans and leases in non-prime pools that were granted
deferrals to have approximately 1.2x to 1.9x the loss rates of
non-deferred loans and leases, while Moody's expects the deferred
loans in prime pools to have approximately 4.2x to 5.6x the loss
rates of non-deferred loans. The proportion of borrowers who have
received a hardship deferral in these pools varied greatly between
approximately 10% and 40%. Its analysis also reflects individual
transaction specifics such as overcollateralization amounts,
reserve fund targets, availability of excess spread and any
deleveraging of the deals in recent months.

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
consumer assets from the current weak U.S. and Canadian 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.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
July 2020.

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

Up

Moody's could upgrade the notes if, given its expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. Moody's expectation of pool losses could decline as
a result of a lower number of obligor defaults or appreciation in
the value of the vehicles securing an obligor's promise of payment.
Portfolio losses also depend greatly on the US and Canadian job
markets, the market for used vehicles, and changes in servicing
practices.

Down

Moody's could downgrade the notes 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
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US and Canadian job markets, the market
for used vehicles, and poor servicing. Other reasons for
worse-than-expected performance include error on the part of
transaction parties, inadequate transaction governance, and fraud.


[*] S&P Takes Actions on 218 Classes From 35 US Cash Flow Deals
---------------------------------------------------------------
S&P Global Ratings took various rating actions on 218 classes of
notes from 35 U.S. cash flow CLO transactions. Sixty-three of these
ratings had been placed on CreditWatch negative following the
outbreak of the COVID-19 pandemic. Of the 63 ratings on CreditWatch
negative, S&P affirmed 12, lowered 51, and removed them all from
CreditWatch. In addition, S&P affirmed 148 ratings, raised two,
discontinued one, and lowered one that was not on CreditWatch. S&P
also placed three ratings on CreditWatch with negative
implications.

These CLOs had one or more tranches placed on CreditWatch with
negative implications following the outbreak of the pandemic in the
U.S. S&P's actions resolve these CreditWatch placements as well as
place two additional ratings on CreditWatch with negative
implications.

All of the CLOs in the current batch are broadly syndicated loan
(BSL) CLOs that have exited their reinvestment period. As CLOs in
the amortization phase have unique situations, such as paydowns and
increased concentration risk, the rating movements can at times be
more than a notch. In addition, the same CLO can have both upgrades
for the senior tranches and downgrades for the junior tranches.

The rating actions follow the application of S&P's global corporate
CLO criteria and S&P's credit and cash flow analysis of each
transaction. S&P's analysis of the transactions entailed a review
of their performance, and the ratings list table below highlights
key performance metrics behind specific rating changes.

In line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and default scenarios. In addition, S&P's analysis considered the
transactions ability to pay timely interest and/or ultimate
principal to each of its rated tranches. The results of the cash
flow analysis and other qualitative factors, as applicable,
demonstrated in S&P's view that all of the rated outstanding
classes have adequate credit enhancement available at the rating
levels associated with these rating actions following the rating
actions."

While each tranche's indicative cash flow results were one primary
factor, S&P also incorporated various considerations into its
decisions to raise, lower, affirm, or limit the ratings when
reviewing the indicative ratings suggested by its projected cash
flows. Some of these considerations may include:

-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral;

-- Existing subordination or overcollateralization and recent
trends;

-- Cushion available for coverage ratios and comparative analysis
with other CLO tranches with similar ratings;

-- Exposure to assets in stressed industries and/or stressed
market values;

-- Exposure to assets whose ratings are currently on CreditWatch
negative;

-- Increased concentration;

-- Risk of imminent default; and

-- Additional sensitivity runs to account for any of the above.

The downgrades primarily reflect the cash flow results and
supplemental test but also incorporate some of the forward-looking
and qualitative considerations mentioned above.

S&P's ratings on the some classes were constrained by the
application of the largest-obligor default test, a supplemental
stress test included as part of the rating agency's corporate CLO
criteria. The test is intended to address event and model risks
that might be present in rated transactions.

Ratings lowered to the 'CCC' category reflect S&P's view based on
forward-looking analysis on existing 'CCC' and/or 'CCC-' exposure,
increased exposure to defaults, par losses, that the previous
credit enhancement has deteriorated--or is likely to
deteriorate--such that the class is vulnerable and dependent on
favorable market conditions. Such market conditions undergo
analysis in accordance with S&P's guidance criteria.

Three ratings were lowered to the 'CC' category. This reflects
S&P's opinion of a virtual certainty that these classes will not
receive their full principal and timely interest considering the
current portfolio characteristics. All three classes are the
junior-most rated tranche in their respective CLOs. The total
balance of the assets in each of those CLOs--even assuming a 100%
recovery on defaults--is less than the total principal and deferred
balance, if any, due on all rated tranches.

The affirmations indicate S&P's opinion that the current
enhancement available to those classes is commensurate with their
current ratings.

S&P placed its ratings on three ratings from three CLOs on
CreditWatch with negative implications because it views these
specific tranches as likely to face adverse credit conditions in
the short term that could affect their existing credit support. The
cash flow results of these tranches are failing at their current
rating level, and the credit quality of the respective portfolios
has deteriorated. The portfolios have some assets with ratings
still on CreditWatch negative, which could result in additional
credit volatility in the near term. However, the continuation of
any junior overcollateralization (O/C) test failure could result in
more paydowns to the senior-most note. As a result, S&P intends to
resolve these new CreditWatch placements over the next few months
after monitoring the performance.

S&P upgraded two tranches of CLOs in their amortization periods
whose senior note balances have declined due to paydowns. The lower
balance of the senior notes typically increased the O/C levels,
which is one of the primary reasons for the upgrades.

However, increased O/C levels by themselves did not result in
upgrades. Given the uncertainty during this coronavirus pandemic,
S&P wanted to ensure that such upgrades can be sustained in case
the economic environment worsens in the next few quarters. As a
result, for upgrades, S&P considered only the senior tranches that
were rated in the 'AA' category and that met one or more higher
thresholds that the rating agency determined for this purpose.
These metrics focused on a minimum overcollateralization threshold,
lower level of exposure to assets in the 'CCC' category, and the
existing number of obligors (to ensure diversity). Only those 'AA
(sf)' rated tranches with cash flows that pointed to upgrades even
in S&P's forward sensitivity runs and met one or more the higher
requirements were considered for upgrades.

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

S&P will continue to review whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and take rating actions as it deems necessary.

A list of Affected Ratings can be viewed at:

             https://bit.ly/2RnOdMX


[*] S&P Takes Various Actions on 123 Classes From 45 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 123 classes from 45 U.S.
RMBS transactions, including 41 U.S. RMBS re-securitized real
estate mortgage investment conduits (re-REMIC), issued between 2002
and 2010. The review yielded nine upgrades, 20 downgrades, 65
affirmations, 25 withdrawals, and four discontinuances.

ANALYTICAL CONSIDERATIONS

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


S&P's views also consider that the loans supporting the RMBS in the
rating actions are significantly seasoned and are to borrowers that
have weathered the Great Recession; a period of significant
economic stress.

The rating agency incorporate various considerations into its
decisions to raise, lower, or affirm ratings when reviewing the
indicative ratings suggested by its projected cash flows. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes. Some of these considerations may include:

-- Factors related to the COVID-19 pandemic;
-- Collateral performance or delinquency trends;
-- Underlying collateral performance or delinquency trends;
-- Historical interest shortfalls or missed interest payments;
-- Available subordination and/or overcollateralization;
-- Small loan count; and
-- Expected short duration.

RATING ACTIONS

"The rating changes reflect our opinion regarding the associated
transaction-specific collateral performance or structural
characteristics, and/or reflect the application of specific
criteria applicable to these classes," S&P said.

"The ratings affirmations reflect our opinion that our projected
credit support and collateral performance on these classes have
remained relatively consistent with our prior projections," the
rating agency said.

S&P withdrew its ratings on 19 classes from seven transactions due
to the small number of loans remaining in the related group or
underlying group. Once a pool has declined to a de minimis amount,
their future performance becomes more difficult to project. As
such, S&P believes there is a high degree of credit instability
that is incompatible with any rating level. Additionally, as a
result, S&P applied its principal-only criteria, "Methodology For
Surveilling U.S. RMBS Principal-Only Strip Securities For Pre-2009
Originations," published Oct. 11, 2016, on class PO from MASTR
Seasoned Securitization Trust 2004-1, which resulted in rating a
withdrawal.

S&P also withdrew its 'D (sf)' ratings on five classes from three
re-REMIC transactions because each of the respective underlying
classes are no longer entitled to receive payments. Per the
underlying transaction documents, after certain distribution dates,
the pass-through rate of the underlying interest-only classes will
become zero and the underlying prepayment penalty class will no
longer receive prepayment charges in connection with principal
prepayments on the related loans. The distribution periods on each
of the underlying classes have passed and, as a result, S&P
believes that the re-REMIC transactions will no longer receive
payments from the underlying securities. Immediately prior to the
withdrawal, four of the five classes were lowered to 'D (sf)', from
'CC (sf)', to reflect the lack of payment.

A list of Affected Ratings can be viewed at:

             https://bit.ly/33BYniQ


[*] S&P Takes Various Actions on 68 Classes From 20 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 68 classes from 20 U.S.
RMBS transactions issued between 2001 and 2007. The review yielded
two upgrades, 34 downgrades, 31 affirmations, and one withdrawal.

Analytical Considerations

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

"Our views consider that the loans supporting the RMBS in the
rating actions are significantly seasoned and are to borrowers that
have weathered the Great Recession, a period of significant
economic stress. As the situation evolves, we will update our
assumptions and estimates accordingly," S&P said.

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:

-- Factors related to the COVID-19 pandemic,
-- Increases in/erosion of credit support,
-- Collateral performance or delinquency trends,
-- Historical interest shortfalls or missed interest payments,
-- Loan modifications,
-- Tail risk,
-- Small loan count, and
-- Available subordination and/or overcollateralization.

Rating Actions

The rating changes reflect S&P's view regarding the associated
transaction-specific collateral performance and structural
characteristics, and/or application of specific criteria applicable
to these classes.

"The affirmations reflect our view that our projected credit
support and collateral performance on these classes have remained
relatively consistent with our prior projections," S&P said.

S&P raised its rating on class A-5 from GMACM Home Loan Trust
2006-HLTV1 to 'AAA (sf)' from 'A+ (sf)', as its credit support
increased to 96.8% in August 2020 from 73.3% during its last review
and the rating agency believes that the class will likely pay off
within the next six months.

"We lowered our ratings on 21 classes from eight transactions
primarily because of principal payments made to more subordinate
classes, resulting in erosion of projected credit support for the
affected classes. Additionally, we have seen higher reported
delinquencies when compared to those reported during the previous
review dates, which resulted in increased projected losses," S&P
said.

"We withdrew our rating on class M-I-2 from Home Equity Loan Trust
2001-HS3 due to the small number of loans remaining in the related
group. Once a pool has declined to a de minimis amount, future
performance becomes more difficult to project. As such, we believe
there is a high degree of credit instability that is incompatible
with any rating level," the rating agency said.

The list of Affected Ratings can be viewed at:

             https://bit.ly/3mxKvPd


[*] S&P Takes Various Rating Actions on Aircraft, Engine ABS Deals
------------------------------------------------------------------
S&P Global Ratings took various actions concerning 60 ratings on 23
aircraft and aircraft engine ABS transactions. Of these, 54 ratings
were lowered and six ratings were affirmed. All 60 ratings were
removed from CreditWatch, where they were placed with negative
implications on March 19, 2020, as a result of the anticipated
impact of the COVID-19 outbreak.

The downgrades mainly reflect the notes' insufficient credit
enhancement at their previous respective rating levels, based on
S&P's assumptions. Additionally, the rating actions also take into
account some of the considerations mentioned below:

-- A high overall loan-to-value (LTV) ratio;

-- The declining credit quality of the lessees;

-- Declining lease collections and debt service coverage ratios
(DSCRs) owing to delayed or deferred rental payments by airlines
amid the current challenging environment;

-- A higher exposure to wide-body or older aircraft relative to
peers, which are subject to comparatively higher stresses in S&P's
rating runs due to current challenges for such aircraft;

-- A significant portion of collateral that are either off lease
now or coming off lease in the next six to 12 months;

-- Feedback from lessors regarding plans for off-lease aircraft;

-- For notes that are rated 'CCC', S&P considered the fact that
their LTVs were close to or in excess of 100% and continued
deferral of interest on the subordinated note is likely to increase
the LTV further. S&P believes that the notes may require favorable
business, financial, or economic conditions to resume interest
payments under the current environment;

-- Structural considerations, including the availability of a
third-party provided liquidity facility for most transactions,
which typically covers nine months' interest on the senior notes.

-- At the time of review, none of the transactions had drawn upon
this facility. The transactions also have a maintenance reserve
account to cover for any refurbishments in the coming months;

-- For the aircraft engine ABS deals, a high portion of collateral
that are either off lease now or expiring in the next 12 months,
and continued non-payment of principal on the notes, resulting in
increased LTVs; and

-- The ongoing uncertainties surrounding airline operations amid
the coronavirus pandemic.

S&P's analysis incorporated additional stresses on aircraft values,
time to re-lease, default timing, and retirement age, due to the
impact of COVID-19. It also acknowledges the uncertainties around
airlines' future fleet size planning and aircraft maintenance
projections, which are additional variables in S&P's cash flow
model.

S&P previously placed the 60 ratings on 23 transactions addressed
in this report on CreditWatch with negative implications on March
19, 2020, when lockdowns and social distancing measures were
introduced to combat the spread of COVID-19. Although these
measures are easing up in some places, in 2020, S&P expects global
air passenger traffic to drop by 60%-70% compared with 2019, with
only a minimal recovery in 2021. IATA, in its recent forecast,
expects air traffic will not return to 2019 levels until 2024.
Wide-bodies are expected to have a longer recovery path. Continued
decline in air traffic will put more pressure on the airlines'
credit quality."

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

S&P'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 on Aug. 17, 2020.
A second wave of Coronavirus 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. S&P expects a gradual recovery to
pre-COVID-19 traffic levels by 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-19.

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. S&P believes 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.

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 on how the market is
coping under the enormous strain. S&P has 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, S&P will
evaluate whether additional adjustments are appropriate. Changes in
these projections could have an impact on its estimates, which, in
turn, could affect ratings on the notes.

In its review of the aircraft ABS transactions listed in the
ratings list below, S&P ran its rating runs based on certain
adjusted criteria assumptions described in more detail below,
including a criteria exception regarding aircraft/engine on ground
(AOG) time, and in certain cases, S&P also ran a management case in
which it considered 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, S&P compared appraised values provided in
connection with its June 2020 review and the current review to
other third-party values. In most cases, S&P utilizes the
third-party-provided appraisals and apply its aircraft-specific
depreciation assumptions from the date of the appraisal to the
first payment date. In addition, S&P applied an additional haircut
to the starting values for this review. More specifically, S&P
applied 50% of its 'B' lease rate decline stress to haircut the
initial portfolio value. The rating agency 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
ranged between approximately 10% and 15%, 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 a constant
compounding factor each year to depreciate aircraft values and
further reduce lease rates and residual values based on the rating
agency's 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
it 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 its criteria allows for analytical judgment and certain
adjustments to assumptions regarding collateral value, default
patterns, and useful life, it stipulates that S&P 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 what the rating agency 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
during the first modeled recession for aircraft ABS transactions 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 the rating agency believes
that wide-bodies will be more vulnerable to lower demand and will
likely be subject to longer downtime than narrow-bodies.
Pre-COVID-19, S&P assumed that it would take 12 months to re-lease
all types of aircraft under a 'AAA' stress scenario. Comparatively,
due to the impact on the sector from COVID-19, 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          After application of        
   
        criteria exception             criteria exception
Stress  All aircraft AOG   Recession1  Recession1  Recessions2/3  
   
                            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.

In comparison, when S&P reviewed the transactions three months ago
in connection with the first CreditWatch placement, as part of the
rating agency's sensitivity analysis, the rating agency assumed a
15-month AOG time for narrow-body aircraft and a 24-month AOG time
for wide-body at the 'A' stress level. S&P revised these
assumptions based on the easing of travel restrictions in many
places and certain information from lessors regarding re-leasing
expectations.

The criteria exception does not apply to aircraft engine ABS
transactions. However, S&P considered as part of its review the
results of the June 2020 COVID-19 sensitivity runs and key credit
and portfolio characteristics.

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 certain airlines will plan their future fleets.
Therefore, S&P generally assumed a 22-year useful life for all
aircraft, except for portfolios with a weighted average age of less
than eight years by value, in which case, the rating agency assumed
a 25-year useful life for all aircraft. S&P also assumed an early
retirement (earlier than 22 or 25 years in some cases) for some of
the older aircraft (mainly 19 years or older) upon the end of their
current lease. Additionally, for some transactions, S&P received a
fleet plan from the lessors indicating their future strategy
(re-lease or sale) upon current lease expiry. For those cases, S&P
ran an additional scenario factoring such plans and adjusting the
useful life accordingly.

Summary of assumptions

In connection with its June 2020 review, S&P considered, as part of
its analysis, the results of a COVID-19 sensitivity run. S&P has
revised these assumptions, and they now form the basis of its
rating runs. The revision to the underlying assumptions from the
June 2020 COVID-19 sensitivity reflect the passage of time from the
onset of COVID-19 as well as information from servicers and
third-party resources.

These assumptions may vary or S&P may stress additional factors
going forward, depending on transaction characteristics and the
availability of more information on these key variables.

S&P will continue to review whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and will take further rating actions as the rating
agency deems necessary.

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

-- Health and safety

A list of Affected Ratings can be viewed at:

              https://bit.ly/33yBX1R


                            *********

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