/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/200927.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, September 27, 2020, Vol. 24, No. 270 Headlines 522 FUNDING 2018-2(A): Moody's Confirms Ba3 Rating on Cl. E Notes 522 FUNDING 2018-3(A): Moody's Confirms Ba3 Rating on Cl. E Notes A10 BRIDGE 2020-C: DBRS Finalizes B Rating on Class G Notes AMMC CLO 18: Moody's Confirms Ba3 Rating on Class ER Notes AMSR TRUST 2020-SFR4: DBRS Gives Prov. B(low) on Class G-2 Certs ANGEL OAK 2020-6: DBRS Finalizes B Rating on Class B-2 Certs APEX CREDIT 2017-II: Moody's Confirms Ba3 Rating on Class E Notes APEX CREDIT 2018: Moody's Confirms B3 Rating on Class F Notes ARIVO ACCEPTANCE 2019-1: DBRS Confirms BB Rating on Class C Trust ATLANTIC MARINE: S&P Lowers Class IV Bond Rating to 'BB(sf)' ATLAS SENIOR XIV: Moody's Lowers Rating on Class E Notes to B1 ATRIUM HOTEL 2017-ATRM: Moody's Cuts Class F Certs to Caa2 BAIN CAPITAL 2016-2: Moody's Lowers Rating on Class E Notes to B1 BEAR STEARNS 2007-PWR18: Fitch Affirms Dsf Rating on 12 Tranches BX COMMERCIAL 2020-VKNG: DBRS Gives Prov. B Rating on Class G Certs CAMBIUM LEARNING: Fitch Affirms B IDR on Rosetta Stone Acquisition CANTOR COMMERCIAL 2016-C3: Fitch Affirms B- Rating on 2 Tranches CBAM 2017-4: Moody's Confirms Ba3 Rating on Class E Notes CBAM 2018-5: Moody's Confirms Ba3 Rating on Class E Notes CBAM 2018-6: Moody's Confirms Ba3 Rating on Class E-R Notes CFMT LLC 2020-AB1: DBRS Assigns Prov. BB(low) on Class M4 Notes CIG AUTO 2020-1: Moody's Gives Ba3 Rating on Class E Notes CITIGROUP MORTGAGE 2020-RP1: Fitch to Rate Cl. B-2 Debt 'B(EXP)sf' COLT 2020-1R: Fitch Rates Class B-2 Certs 'Bsf' COMM 2012-CCRE1: Fitch Lowers Rating on Class G Certs to 'CCsf' COMM 2014-CCRE16: Fitch Lowers Rating on Class F Certs to CCsf COREVEST AMERICAN 2020-3: DBRS Gives Prov. B Rating on Cl. G Certs CPA AUTO 2020-C: DBRS Finalizes B Rating on Class F Notes CUTWATER LTD 2015-I: Moody's Lowers Rating on Class E-R Notes to B1 DRYDEN 38: Moody's Confirms Ba3 Rating on Class E-R Notes DT AUTO 2020-3: S&P Assigns BB- (sf) Rating to Class E Notes DT AUTO: DBRS Confirms BB(sf) Ratings on 5 Tranches EXETER AUTOMOBILE 2020-3: S&P Rates Class F Notes 'B (sf)' FREED ABS 2019-2: DBRS Confirms BB(low) Rating on Class C Notes GALLATIN CLO VIII: Moody's Confirms B3 Rating on Class F Notes GOLUB CAPITAL 26(B)-R: Moody's Confirms Ba3 Rating on Cl. E-R Debt GOLUB CAPITAL 37(B): S&P Affirms BB- (sf) Rating on Class E Notes GS MORTGAGE 2020-PJ4: DBRS Gives Prov. B Rating on Class B-5 Certs ICG US 2014-1: Moody's Lowers Rating on Class E-R Notes to Caa1 ICG US 2014-3: Moody's Confirms Ba3 Rating on Class D-RR Notes ICG US 2015-1: Moody's Confirms Ba3 Rating on Class D-R Notes ICG US 2015-2R: Moody's Confirms Ba3 Rating on Class D Notes ICG US 2016-1: Moody's Confirms Ba3 Rating on Class D-R Notes IMSCI 2012-2: DBRS Keeps B(low) on Class G Notes Under Review IMSCI 2013-3: DBRS Keeps B on Class F Notes Under Review INSITE SECURED 2020-1: Fitch Gives BB-sf Rating on Class C Notes IVY HILL XII: Moody's Lowers Rating on Class D Notes to B1 JACKSON MILL: Moody's Confirms B3 Rating on $5MM Class F-R Notes JP MORGAN 2020-7: DBRS Gives Prov. B(low) Rating on 2 Tranches JP MORGAN 2020-LTV2: Moody's Gives (P)B3 Rating on 2 Tranches KKR CLO 30: S&P Assigns BB- (sf) Rating to $15.75MM Class E Notes LCM XIV: Moody's Lowers Rating on Class F-R Notes to B3 LCM XV: Moody's Lowers Rating on Class E-R Notes to B1 MARBLE POINT X: Moody's Lowers Rating on Class E Notes to B1 MCAP CMBS 2014-1: DBRS Keeps B on Class G Certs Under Review MONROE CAPITAL 2014-1: Moody's Cuts Rating on Class E Notes to Ba3 MORGAN STANLEY 2016-C32: Fitch Affirms B-sf Rating on Cl. F Debt MORGAN STANLEY 2018-L1: Fitch Affirms B- Rating on Class H-RR Debt MOUNTAIN VIEW 2017-2: Moody's Confirms B3 Rating on Class F Notes MOUNTAIN VIEW XIV: Moody's Lowers Rating on Class F Notes to Caa1 NATIONSTAR HECM 2020-1: DBRS Gives Prov. BB Rating on 2 Tranches NORTHWOODS CAPITAL XII-B: Moody's Confirms B2 on Class F Notes NORTHWOODS CAPITAL XVI: Moody's Confirms Ba3 Rating on Cl. E Notes NORTHWOODS CAPITAL XVIII: Moody's Confirms Ba3 on Class E Notes OBX TRUST 2020-EXP3: DBRS Gives Prov. B Rating on Class B6-1 Notes OBX TRUST 2020-EXP3: Fitch Finalizes Bsf Rating on Class B-5 Debt OCEAN TRAILS X: S&P Assigns Prelim BB- (sf) Rating to Class E Notes OCTAGON INVESTMENT 48: S&P Assigns Prelim 'BB-' Rating on E Notes OZLM LTD XII: Moody's Lowers Rating on Class E Notes to Caa3 OZLM LTD XIII: Moody's Lowers Rating on Class E Notes to Caa1 PAWNEE EQUIPMENT 2020-1: DBRS Gives Prov. BB Rating on Cl. E Notes PRESTIGE AUTO 2019-1: DBRS Confirms BB Rating on Class E Notes PRESTIGE AUTO 2019-1: S&P Affirms BB (sf) Rating on Class E Notes RADNOR RE 2020-2: Fitcn Gives (P)B3 Rating on Class B-1 Notes REGIONAL MANAGEMENT 2020-1: S&P Rates Class D Notes 'BB+ (sf)' ROCKFORD TOWER 2017-3: Moody's Confirms Ba3 Rating on Cl. E Notes ROMARK WM-R: S&P Affirms CCC+ (sf) Rating on Class F Notes SDART 2020-3: Moody's Rates $152MM Class E Notes 'B2' SLM STUDENT 2010-1: Fitch Affirms Bsf Rating on 2 Tranches SOUND POINT V-R: Moody's Confirms B3 Rating on Class F Notes SOUND POINT X: Moody's Confirms Ba2 Rating on Class E-R Notes SOUND POINT XI: Moody's Lowers Rating on Class E-R Notes to Ba3 SOUND POINT XV: Moody's Confirms Ba3 Rating on Class E Notes SOUND POINT XVI: Moody's Confirms Ba3 Rating on Class E Notes SOUND POINT XXVII: S&P Assigns BB- (sf) Rating to Class E Notes SYMPHONY CLO XVI: Moody's Lowers Rating on Class F-R Notes to Caa2 TCI-SYMPHONY 2017-1: Moody's Confirms Ba3 Rating on Class E Notes UBS COMMERCIAL 2017-C5: Fitch Affirms B- Rating on Cl. G-RR Certs UBS COMMERCIAL 2018-C13: Moody's Affirms B- on Cl. G-RR Certs UNITED AUTO 2019-1: DBRS Confirms B Rating on Class F Notes VOYA CLO 2016-4: Moody's Lowers Rating on Class E-2 Notes to B1 WELLFLEET CLO 2016-2: Moody's Confirms Ba3 Rating on Cl. D-R Notes WELLS FARGO 2015-C31: Fitch Lowers Rating on Class F Certs to CCCsf WESTLAKE AUTOMOBILE 2019-3: DBRS Confirms B Rating on Cl. F Notes WHITEBOX CLO II: S&P Assigns BB- (sf) Rating to Class E Notes WIND RIVER 2017-2: Moody's Confirms B3 Rating on Class F Notes ZAIS CLO 16: S&P Assigns BB- (sf) Rating to $8.25MM Class E Notes [*] S&P Takes Various Actions on 72 Classes From Nine US RMBS Deals ********* 522 FUNDING 2018-2(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 2018-2(A), Ltd.: US$26,250,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$20,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes and the Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Class D Notes and the 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 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 3274 compared to 2733 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3114 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 22.89%. 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: $421,549,999 Defaulted Securities: $1,808,934 Diversity Score: 73 Weighted Average Rating Factor (WARF): 3311 Weighted Average Life (WAL): 5.80 years Weighted Average Spread (WAS): 3.52% Weighted Average Recovery Rate (WARR): 47.19% Par haircut in OC tests and interest diversion test: 1.44% 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 2018-3(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 2018-3(A), Ltd.: US$30,150,000 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$25,870,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes and the Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Class D Notes and the Class E Notes. 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 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 3249 compared to 2919 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3046 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 22.10%. 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: $456,570,538 Defaulted Securities: $1,808,934 Diversity Score: 74 Weighted Average Rating Factor (WARF): 3278 Weighted Average Life (WAL): 5.84 years Weighted Average Spread (WAS): 3.50% Weighted Average Recovery Rate (WARR): 47.21% Par haircut in OC tests and interest diversion test: 1.37% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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 Finalizes B Rating on Class G Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes 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 pay off, 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 were 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. AMMC CLO 18: Moody's Confirms Ba3 Rating on Class ER Notes ---------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by AMMC CLO 18, Limited: US$22,000,000 Class DR Secured Deferrable Floating Rate Notes due 2031 (the "Class DR Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$20,000,000 Class ER Secured Deferrable Floating Rate Notes due 2031 (the "Class ER Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class DR Notes and the Class ER Notes are referred to herein, together, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class DR Notes and the Class ER Notes issued by the CLO. The CLO, originally issued in May 2016 and refinanced in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on May 26, 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 3067, compared to 2863 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2925 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 16.51%. Moody's noted that the interest diversion test was recently reported 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 failure continue. Nevertheless, Moody's noted that the OC tests for all the classes of the 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: $386,280,442 Defaulted Securities: $4,663,216 Diversity Score: 89 Weighted Average Rating Factor (WARF): 3082 Weighted Average Life (WAL): 5.49 years Weighted Average Spread (WAS): 3.32% Weighted Average Recovery Rate (WARR): 48.0% Par haircut in OC tests and interest diversion test: 0.9893% 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. AMSR TRUST 2020-SFR4: DBRS Gives Prov. B(low) on Class G-2 Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Single-Family Rental Pass-Through Certificates (the Certificates) to be issued by AMSR 2020-SFR4 Trust (AMSR 2020-SFR4). -- $320.0 million Class A at AAA (sf) -- $91.7 million Class B at AA (high) (sf) -- $47.0 million Class C at A (high) (sf) -- $55.9 million Class D at A (low) (sf) -- $31.3 million Class E-1 at BBB (high) (sf) -- $62.6 million Class E-2 at BBB (low) (sf) -- $57.1 million Class F at BB (low) (sf) -- $39.2 million Class G-1 at B (high) (sf) -- $55.9 million Class G-2 at B (low) (sf) The AAA (sf) rating on the Class A Certificates reflects 61.2% of credit enhancement provided by subordinated notes in the pool. The AA (high) (sf), A (high) (sf), A (low) (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf), B (high) (sf), and B (low) (sf) ratings reflect 50.0%, 44.3%, 37.5%, 33.7%, 26.1%, 19.2%, 14.4%, and 7.6% credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AMSR 2020-SFR4 Certificates are supported by the income streams and values from 4,037 rental properties. The properties are distributed across 11 states and 23 metropolitan statistical areas (MSAs) in the United States. DBRS Morningstar maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion value, 51.6% of the portfolio is concentrated in three states: Georgia (27.7%), Texas (12.1%), and Arizona (11.8%). The average value is $221,697. The average age of the properties is roughly 25 years. The majority of the properties have three or more bedrooms. The Certificates represent a beneficial ownership in an approximately five-year, fixed-rate, and interest-only loan with an initial aggregate principal balance of approximately $760.7 million. The Sponsor intends to satisfy its risk-retention obligations under the U.S. Risk Retention Rules by Class H, which is 8.27% of the initial total issuance balance, either directly or through a majority-owned affiliate. DBRS Morningstar assigned the provisional ratings for each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination model and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar finalized the provisional ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable rating level. DBRS Morningstar's analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times (x). Furthermore, DBRS Morningstar reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to DBRS Morningstar. DBRS Morningstar also conducted a legal review and found no material rating concerns. Notes: All figures are in U.S. dollars unless otherwise noted. ANGEL OAK 2020-6: DBRS Finalizes B Rating on Class B-2 Certs ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Certificates, Series 2020-6 (the Certificates) issued by Angel Oak Mortgage Trust 2020-6 (the Trust): -- $208.3 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) -- $8.9 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 rating 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 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: September Update," published on September 10, 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. APEX CREDIT 2017-II: Moody's Confirms Ba3 Rating on Class E Notes ----------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Apex Credit CLO 2017-II Ltd.: US$29,250,000 Class C Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$22,500,000 Class D 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$22,500,000 Class E 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 C, 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 E Notes and on June 3, 2020 on the Class C Notes issued by the CLO. The CLO, issued in September 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in December 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 3509 compared to 2936 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2869 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 24.3%. Nevertheless, Moody's noted that the OC tests for the Class E notes and the interest diversion test were recently reported as failing, and has resulted in approximately $1.6 million of the excesss interest proceeds to pay down the senior notes on June 2020 payment date. Excess interest proceeds will be diverted to pay down the senior notes and deleverage the transaction should the failures continue. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $438,396,445 Defaulted Securities: $14,064,304 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3484 Weighted Average Life (WAL): 5.38 years Weighted Average Spread (WAS): 3.73% Weighted Average Recovery Rate (WARR): 46.32% 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. APEX CREDIT 2018: Moody's Confirms B3 Rating on Class F Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Apex Credit CLO 2018 Ltd.: US$25,500,000 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$21,500,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade US$7,500,000 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 D Notes, Class E Notes, and the Class F Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Class D, E, and F 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 3273 compared to 2795 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 18.2%. Nevertheless, Moody's noted that all the OC tests were recently reported as passing. In addition, the interest diversion test was recently reported as failing, which could result in diverting the excess interst proceeds to either pay down the senior notes or reinvestment into additional collateral. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $438,086,551 Defaulted Securities: $12,558,120 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3262 Weighted Average Life (WAL): 5.7 years Weighted Average Spread (WAS): 3.65% Weighted Average Recovery Rate (WARR): 46.56% 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. ARIVO ACCEPTANCE 2019-1: DBRS Confirms BB Rating on Class C Trust ----------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following classes of securities issued by Arivo Acceptance Auto Loan Receivables Trust 2019-1: -- Class A, confirmed at A (sf) -- Class B, confirmed at BBB (sf) -- Class C, confirmed at BB (sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have 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. Observed performance during the 2008–09 financial crisis and the possible impact from the stimulus package from the CARES Act were also incorporated into the analysis. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve funds has grown as the transactions have amortized because of their sequential-pay nature. As a result, hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss (CNL) (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the ratings above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. ATLANTIC MARINE: S&P Lowers Class IV Bond Rating to 'BB(sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on Atlantic Marine Corps. Communities LLC (AMCC), N.C.'s class I bonds one notch to 'A+(sf)' from 'AA-(sf)', class II and III bonds one notch to 'A-(sf)' from 'A(sf)', and class IV bonds one notch to 'BB(sf)' from 'BB+(sf)'. The outlook is stable. The rating action reflects the implementation of S&P's criteria, titled "Methodology for Rating U.S. Public Finance Rental Housing Bonds," published April 15, 2020, on RatingsDirect, and its view of the project's weakened financial performance. "We could lower the rating further or revise the outlook to negative if net rental collections were to decrease due to reimbursements or a weaker occupancy or if operating expenses were to increase, such that average debt service coverage decreases below 1.5x on class I bonds, below 1.25x on class II and III bonds, and below 1.1x on class IV bonds. This could include continued deployments that exceed the base's ability to fill unoccupied units or higher costs related to service orders and personnel costs to address deferred maintenance," said S&P Global Ratings credit analyst David Greenblatt. "We could raise the rating or revise the outlook to positive if financial performance were to improve significantly and demonstrate continued stability." AMCC issued the 2005 bonds to acquire, rehabilitate, or construct about 3,600 units of family housing at Camp Lejeune and Cherry Point in North Carolina and Stewart Air Base in New York. AMCC issued the 2006 bonds for phase II of its military-housing-privatization project, which added about an additional 1,100 units. AMCC issued the 2007 bonds for phase III of its military-housing-privatization project. Upon the closing date of AMCC's Tri-Command Military Housing LLC acquisition, AMCC assumed all Tri-Command LLC's obligations and liabilities related to its military-housing-privatization project started in 2005. Total bonds outstanding were roughly $642 million at June 30, 2020. S&P has analyzed the project's environmental, social, and governance risks relative to its debt service coverage and liquidity, management and governance, and market position. The rating action incorporates S&P's view regarding COVID-19-related health-and-safety risks, which have greatly affected all affordable-housing developments, including military housing. Specifically, S&P has evaluated the risk of increasing expenses related to COVID-19 social risks in its rating. S&P, however, finds the risks less severe for properties receiving basic-allowance-for-housing revenue. S&P considers AMCC's, the obligor, governance risk comparable with the sector standard based on strong management effectiveness and high oversight and incentives for project success. In S&P's opinion, environmental risks are in-line with the sector standard due to a lack of elevated environmental threats in the area where the project operates. ATLAS SENIOR XIV: Moody's Lowers Rating on Class E Notes to B1 -------------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by Atlas Senior Loan Fund XIV, Ltd.: US$23,800,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$22,800,000 Class E Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes and the Class E Notes are referred to herein, collectively, as the "Downgraded Notes." Moody's also confirmed the rating on the following notes: US$17,400,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade The Class C Notes are referred to herein as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the 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 June 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2024. RATINGS RATIONALE The downgrades on the Downgraded Notes reflect the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the 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 3079, compared to 2739 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2828 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 16.9%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $389.6 million, or $10.4 million less than the deal's ramp-up target par balance. Nevertheless, Moody's noted that all the OC tests and 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: $387,833,249 Defaulted Securities: $5,180,451 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3090 Weighted Average Life (WAL): 6.0 years Weighted Average Spread (WAS): 3.49% Weighted Average Recovery Rate (WARR): 47.7% Par haircut in OC tests and interest diversion test: 0.3% Finally, Moody's notes that it also considered the information in the September 2020 trustee report [4] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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. ATRIUM HOTEL 2017-ATRM: Moody's Cuts Class F Certs to Caa2 ---------------------------------------------------------- Moody's Investors Service affirmed the ratings on three classes and downgraded the ratings on three classes of Atrium Hotel Portfolio Trust 2017-ATRM, Commercial Mortgage Pass-Through Certificates, Series 2017-ATRM. Moody's rating action is as follows: Cl. A, Affirmed Aaa (sf); previously on Dec 12, 2018 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Dec 12, 2018 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Dec 12, 2018 Affirmed A3 (sf) Cl. D, Downgraded to Ba1 (sf); previously on Dec 12, 2018 Affirmed Baa3 (sf) Cl. E, Downgraded to B2 (sf); previously on Apr 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. F, Downgraded to Caa2 (sf); previously on Apr 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade RATINGS RATIONALE The ratings on the three most senior P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, are within acceptable ranges. The ratings on Cl. D, Cl. E and Cl. F were downgraded due to an increase in Moody's LTV as a result of weakening net cash flow (NCF) since securitization in addition to the immediate decline in performance due to the coronavirus outbreak and the uncertainty over the timing and extent of the recovery. Fitch has assumed a significant drop in NCF in 2020, followed by two or more years of improvement in pool performance, resulting in a lower than previously assumed Moody's NCF levels. The actions conclude the review for downgrade initiated on April 17, 2020. 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. 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, defeasance of the loan or an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan, or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in May 2020. DEAL PERFORMANCE As of the September 15, 2020 distribution date, the transaction's certificate balance remains unchanged at $600 from securitization. The certificates are collateralized by a single floating rate loan backed by a first lien commercial mortgage related to a portfolio of 29 full- and limited-service hotels. The loan's final maturity date is in December 2024. There is mezzanine debt totaling $150 million held outside of the trust. The properties are located across 16 states and total 7,015 guestrooms. The portfolio operates under nine different flags across three nationally recognized hotel franchises (Hilton Worldwide Holdings, Inc., Marriott International, Inc., and Intercontinental Hotels & Resorts) and one independently managed property. The properties were constructed between 1979 and 2000. The portfolio's NCF for the trailing twelve-month period ending June 2020 was $22.4 MM reflecting the stress from closures and travel ban due to the coronavirus outbreak. However, the portfolio's performance had declined steadily since securitization from a NCF of $74.1 MM in 2018 to $61.6 MM achieved in 2019. The US lodging sector neared its cyclical peak in 2018 and 2019. During this time US hotels experienced slowing RevPAR growth rates and some net cash flow erosions due to expenses increasing faster than revenues. However, due to declining RevPAR the subject portfolio experienced greater declines than those of other comparable hotel pools. The loan was transferred to special servicing in April 2020 for imminent monetary default related to the impact of COVID and a standstill agreement was executed in May 2020 that included a 3-month payment moratorium though July 2020 with two 30-day period extension options. The agreement required that at the end of the moratorium, accrued but unpaid payment obligations, use of reserves, fees, and advances must be repaid in 12 equal monthly installments. Default notices to the borrower and default/purchase option event notices to mezzanine lenders were sent out on September 2, 2020 when the borrower failed to make the debt service and installment payments per the standstill agreement. Each mezzanine lender has the option to cure the payment defaults or purchase the senior loan. For full year 2020 NCF, Moody's expects a significant drop due to coronavirus outbreak induced property closures and travel restrictions that were put into effect in the first half of the year and negative impact from those measures. In the foreseeable future, Moody's expects demand for lodging in leisure drive-to destinations to lead the recovery, followed by the return of corporate transient segment. Due to the length and the magnitude of the disruption, Fitch does not expect hotel performance to return to pre-COVID levels within the next 18 months, and the pace of recovery to vary depending on the property's primary market segment and location. As a result of the standstill agreement, the loan status is current as of the September distribution date; however, there are outstanding P&I and property protective advances totaling approximately $27.5 million as the borrower's last debt service payment date was made in April 2020. The first mortgage balance represents a Moody's stabilized LTV of 115%. Moody's first mortgage stressed debt service coverage ratio (DSCR) is 1.06X. However, these metrics are based on return of travel demand for leisure and corporate travel and normalized operation after 24 to 36 month of stabilization period. The downgrade of the ratings on Cl. D, Cl. E and Cl. F take into account volatility and uncertainty of the pool's near-term performance. There are no outstanding interest shortfalls and no losses as of the current distribution date. BAIN CAPITAL 2016-2: Moody's Lowers Rating on Class E Notes to B1 ----------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Bain Capital Credit CLO 2016-2, Limited: US$21,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class E Notes are referred to herein as the "Downgraded Notes." This action concludes the review for downgrade initiated on April 17, 2020 on the Class E Notes issued by the CLO. The CLO, originally issued in December 2016 and partially refinanced in August 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on January 2021. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased and expected losses (ELs) on these notes have increased. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3272, compared to 2861 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2972 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 $506.8 million, or $18.2 million less than the deal's ramp-up target par balance. Moody's noted that the OC tests for the Class E notes, as well as the interest diversion test were recently reported [4] as failing, which could result in repayment of senior notes or in a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failures continue. 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: $501,381,529 Defaulted Securities: $ 17,950,387 Diversity Score: 83 Weighted Average Rating Factor (WARF): 3257 Weighted Average Life (WAL): 5.03 years Weighted Average Spread (WAS): 3.50% Weighted Average Recovery Rate (WARR): 47.50% Par haircut in OC tests and interest diversion test: 0.8% Finally, Moody's notes that it also considered the information in the September 2020 trustee report [5] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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. BEAR STEARNS 2007-PWR18: Fitch Affirms Dsf Rating on 12 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Bear Stearns Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2007-PWR18 (BSCMS 2007-PWR18). RATING ACTIONS Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 Class B 07401DAL5; LT Bsf Affirmed; previously at Bsf Class C 07401DAM3; LT Csf Affirmed; previously at Csf Class D 07401DAN1; LT Csf Affirmed; previously at Csf Class E 07401DAP6; LT Dsf Affirmed; previously at Dsf Class F 07401DAQ4; LT Dsf Affirmed; previously at Dsf Class G 07401DAR2; LT Dsf Affirmed; previously at Dsf Class H 07401DAS0; LT Dsf Affirmed; previously at Dsf Class J 07401DAT8; LT Dsf Affirmed; previously at Dsf Class K 07401DAU5; LT Dsf Affirmed; previously at Dsf Class L 07401DAV3; LT Dsf Affirmed; previously at Dsf Class M 07401DAW1; LT Dsf Affirmed; previously at Dsf Class N 07401DAX9; LT Dsf Affirmed; previously at Dsf Class O 07401DAY7; LT Dsf Affirmed; previously at Dsf Class P 07401DAZ4; LT Dsf Affirmed; previously at Dsf Class Q 07401DBA8; LT Dsf Affirmed; previously at Dsf KEY RATING DRIVERS Specially Serviced Loan: The Outlook revision to Negative from Stable on class B reflects continued performance concerns on the last remaining loan in the pool, the specially serviced Marriott Houston Westchase. The loan is secured by a 604-key, Marriott-flagged, full-service hotel located in Houston, TX, approximately 10 miles west of the CBD. The coronavirus pandemic has exacerbated already existing pre-pandemic performance deterioration at the property stemming from the weak economic conditions in Houston, reliance on the energy/oil sector and new hotel supply in the market. The loan previously transferred to special servicing in July 2017 due to imminent maturity default and subsequently matured in November 2017. In June 2018, the property was purchased and the loan was modified and assumed by a new borrower, which paid down 2.5% of the outstanding loan balance at closing and repaid past-due franchising fees and trade payables. Debt service payments were also converted to interest-only and the loan maturity was extended through June 2021. The new borrower was required to pay down the loan by an additional 2.5% on or by Dec. 31, 2019; however, the payment has not been made to date. The loan briefly returned to the master servicer in December 2018, but subsequently transferred to the special servicer again in March 2019 due to the new borrower's request for another loan modification. The modification was approved in December 2019; the modification terms included extending the maturity through June 1, 2023 and the establishment of a new PIP reserve. The borrower has requested coronavirus relief, which is currently being reviewed. As of September 2020, the loan is more than 90 days delinquent. The hotel remains open for business. As of the latest STR report provided to Fitch as of TTM August 2019, the property reported occupancy, ADR and RevPAR of 70%, $119 and $83, respectively, compared with 69%, $125 and $86 one year earlier. The property underwent a $21 million renovation in 2016 that was completed in January 2017, which included the addition of a Marriott Rewards Club Lounge, four new guest rooms, new bedding and furnishings, guest room refrigerators and modernized elevators. The borrower also spent more than $2 million between June 2018 and June 2020 to renovate and upgrade rooms, common areas, mechanicals and amenities. The property's franchise agreement with Marriott Hotels & Resorts expires in December 2023 and has one 10-year renewal option. No Changes to Credit Enhancement since Last Rating Action: There has been no pay down since the July 2018 remittance. As of the September 2020 distribution date, the pool's aggregate principal balance has been reduced by 97.2% to $69.9 million from $2.5 billion at issuance. Realized losses to date total 8.5% of the original pool balance. Interest shortfalls totaling $10.9 million are currently affecting classes D through S. RATING SENSITIVITIES The Negative Outlook on class B reflects the potential for downgrade should the coronavirus health crisis continues beyond 2021, and performance of the specially serviced Marriott Houston Westchase loan deteriorates further. Factors that Could, Individually or Collectively, Lead to a Positive Rating Action/Upgrade: Upgrades are not expected given the significant pool concentration unless performance of the sole remaining specially serviced loan improves significantly. Factors that Could, Individually or Collectively, Lead to a Negative Rating Action/Downgrade: Downgrades to class B may occur if performance of the Marriott Houston Westchase loan continues to deteriorate and/or if updated information on valuation or workout strategy indicate that realized losses will be greater than currently expected. Downgrades to classes C and D to 'Dsf' will occur 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). BX COMMERCIAL 2020-VKNG: DBRS Gives Prov. B Rating on Class G Certs ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-VKNG to be issued by BX Commercial Mortgage Trust 2020-VKNG: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) -- Class HRR at B (low) (sf) -- Class X-CP at A (low) (sf) -- Class X-NCP at A (low) (sf) All trends are Stable. The Class X-CP and X-NCP Certificates are interest-only (IO) classes whose balances are notional. BX Commercial Mortgage Trust 2020-VKNG is single-asset/single-borrower transaction that is collateralized by the borrower's fee-simple interest in 67 industrial and logistics properties totaling approximately 8.2 million square feet across six states in the West Coast, Midwest, and mid-Atlantic regions of the United States. The portfolio is primarily composed of last-mile facilities in urban infill locations, with average clear heights of 21.6 feet and an average year built of 1992. The portfolio's composition includes a percentage of light industrial and office properties than other recently-analyzed industrial portfolios. The portfolio has a property with a Herfindahl score of 40.9 by allocated loan amount, which is in line with other smaller single-borrower industrial portfolios. The properties are across six U.S. states in multiple regions, and the portfolio also exhibits both tenant diversity and granularity. No tenant currently accounts for more than 6.7% of in-place base rent, and no property accounts for more than 2.1% of the portfolio's NOI. Citi Real Estate Funding Inc. and Bank of America, N.A. are expected to originate the two-year initial term (with three one-year extension options) mortgage loan that pays estimated floating rate interest of Libor plus 2.000% on an IO basis through the initial maturity of the loan, contingent upon final pricing. The $645 million whole loan comprises a mortgage loan totaling $600 million and a mezzanine loan totaling $45 million. The mezzanine loan is not being securitized in this transaction and is likely to be held by BlackRock or an affiliate. The borrower amassed the portfolio in phases across seven acquisitions dating from October 2019 to April 2020 for a total acquisition cost of approximately $849.3 million (including acquisition and defeasance costs). Whole loan proceeds will recapitalize the borrower's interest in the portfolio, which was unencumbered by secured debt. The portfolio primarily consists of last-mile logistics properties in infill locations within their respective markets, with a portfolio weighted-average population density of 2.0 million people within a 15-mile radius. Infill markets generally benefit from less new supply because there is little available land, as competition from higher value uses and restrictive zoning inhibit new industrial development. Because required delivery times have shortened for many online retailers and e-commerce companies, they have begun leasing smaller warehouse and distribution spaces closer to dense consumer bases. The portfolio has been largely unaffected by the immediate-term disruptions from the Coronavirus Disease (COVID-19) pandemic, with collections averaging 97.2% over May (98.2%), June (98.2%), July (95.7%), and August (97.0%). Furthermore, DBRS Morningstar believes that industrial properties are among the best positioned to weather any short- and medium-term market dislocations related to the pandemic. With regard to the coronavirus pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, feeling more immediate effects. DBRS Morningstar continues to monitor the ongoing coronavirus pandemic and its impact on both the commercial real estate sector and the global fixed income markets. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis, for example by front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. The portfolio is heavily concentrated in the Minneapolis-St. Paul metropolitan statistical area (MSA), which contributes approximately 70.7% of the portfolio's net operating income. While DBRS Morningstar generally has a favorable view on the Minneapolis industrial market, the exposure poses some risk if industrial demand in the MSA weakens. Leases representing approximately 66% of DBRS Morningstar's base rent are scheduled to roll through the fully extended loan term. The rollover is especially concentrated in 2022 and 2023, when 14.6% and 17.9% of the base rent is scheduled to expire, respectively. Significant portfolio rollover typically indicates future cash flow could be volatile, particularly if market rents or occupancy rates have become less favorable. The loan allows for pro rata paydowns for the first 30% of the unpaid principal balance. The loan has a partial pro rata/sequential-pay structure. We consider this structure to be credit negative, particularly at the top of the capital stack. Under a partial pro rata structure, deleveraging of the senior notes through the release of individual properties occurs at a slower pace as compared with a sequential-pay structure. The borrower can also release individual properties with customary requirements. However, the prepayment premium for releasing individual assets is 105% of the allocated loan amount until the outstanding principal balance has dropped to $420 million, and 110% thereafter. DBRS Morningstar considers the release premium to be weaker than a generally credit-neutral standard of 115%. DBRS Morningstar applied a penalty to the transaction's capital structure to account for the weak deleveraging premium. The mortgage loan is IO through the five-year fully extended term and does not benefit from deleveraging through amortization. Classes X-CP and X-NCP are IO certificates that reference 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. CAMBIUM LEARNING: Fitch Affirms B IDR on Rosetta Stone Acquisition ------------------------------------------------------------------ Fitch has affirmed the Long-Term Issuer Default Rating (LT IDR) of Cambium Learning Group, Inc. at 'B' following the company's planned acquisition of Rosetta Stone, Inc. for $728 million. Fitch has assigned a 'BB'/'RR1' rating to the incremental first-lien term loans and a 'CCC+'/'RR6' rating to the incremental second-lien term loans. Fitch has also assigned a 'B' IDR to co-borrower Rosetta Stone, Inc. Concurrently, Fitch has affirmed the 'B' IDRs to the existing co-borrowers VKidz Holding, Inc. and Cambium Assessment Inc. Fitch has also affirmed the existing first-lien credit facilities at 'BB'/'RR1' and the second-lien term loan at 'CCC+'/'RR6'. The Rating Outlook is Stable. The rating actions are prompted by Cambium's proposed issuance of $600 million in incremental debt to fund the acquisition of Rosetta Stone, a leader in literacy and language digital education. The new debt consists of a $425 million incremental first-lien term loan and a $150 million incremental second-lien term loan. In addition, the existing revolving credit facility will be upsized to $75 million in committed capacity. The terms of the new secured debt are consistent with the existing senior secured credit facilities. In addition, Fitch also assigned a 'BB'/'RR1' to the first-lien terms loans and a 'CCC+'/'RR6' to the second-lien term loans for co-borrowers Cambium Assessment Inc. and Cambium Learning Group, Inc. which were rated last year. Fitch views the strategic rationale of the acquisition positively as Rosetta Stone's K-12 digital product suite Lexia will enhance Cambium's existing suite of literacy and language offerings, particularly the Voyager Sopris intervention product. Incrementally, Cambium will provide Lexia, with enhanced marketing capabilities through its estabished salesforce with teachers, schools and districts. The acquisition will increase Fitch-calculated pro forma total leverage, as measured as total debt with equity credit-to-operating EBITDA, to roughly 6.9x up roughly one turn based on the combined EBITDA of $203 million for the TTM period ending July 31, 2020 (excluding changes in deferred revenues, but including outlined cost savings). While total leverage is elevated, Fitch believes that the enhanced operating profile and expanded revenue and cash flow base provides sufficient offset. Fitch expects Cambium will remain acquisitive as it continues to expand its suite of digital learning capabilities and leverage its extensive marketing and sales network across U.S. schools and districts. The ratings are supported by Fitch's positive view of the digital learning sector, Cambium's exposure to the digital K-12 assessment and supplemental learning market, which will continue to benefit from sector tailwinds, the company's high customer retention rates and well-regarded products. The ratings also reflect that the digital supplemental learning market is highly fragmented and will remain competitive. However, Fitch believes that Cambium's established sales and marketing team will remain a competitive advantage in retaining and growing share in the digital supplemental space. Notably, Cambium's performance has remained relatively stable and resilient despite the impacts of the coronavirus pandemic and widespread school closures which commenced in spring 2020. Cambium's digital learning products have benefited from increased sell-through as students, teachers, schools and districts pivoted to increased digital learnings solutions. Consolidated bookings were up 8% YTD July 2020. Cambium Assessment's revenues were down just 1% YTD July 2020, supported by the contractual nature of those revenues despite the cancellation of the spring 2020 summative assessments. Fitch recognizes that the coronavirus pandemic will likely negatively affect federal, state and local budgets, which may lead to reduced or delayed aggregate spending on education. However, Fitch believes that the coronavirus pandemic will likely accelerate K-12 adoption of digital learning products and budgets will be increasingly directed toward digital. KEY RATING DRIVERS Rosetta Stone Acquisition: Fitch views positively the strategic benefits of the Rosetta Stone acquisition given the asset's product strength in K-12 literacy and language digital learning. Rosetta Stone's Lexia product (approximately 50% of Rosetta Stone's digital learning business) is highly complementary to the Cambium's existing Voyager Sopris literacy products. Fitch expects the Lexia product will benefit from the strength of Cambium's marketing and sales distribution channel which should provide for improved product penetration. Currently, Lexia is used by roughly 2,900 U.S. school districts, representing roughly 22% of total districts and reach approximately 4.5 million students. In comparison, Cambium's learning products are used in approximately 10,000 U.S. school districts and reach approximately 10 million students. Highly Levered: Fitch estimates pro forma total leverage, as measured as total debt with equity credit-to-operating EBITDA, will approximate roughly 6.9x including the roughly $25 million in outlined cost synergies. Fitch does not include changes in deferred revenues in its calculation of operating EBITDA. While Cambium's leverage is high for the rating category, Fitch views the company's concentration in digital supplemental learning and assessment positively and believes that the expanded revenue and product diversification of the combined firm bolsters the credit profile and sufficiently supports the 'B' IDR. Fitch expects that Cambium will continue to both organically (by leveraging Cambium's established sales team) and through acquisitions to expand capabilities and penetration in the K-12 education segment. Fitch believes that incremental acquisitions could slow deleveraging capacity, despite the company's expanding FCF. Coronavirus Pandemic: Notably, Cambium's business has proved more resilient from headwinds experienced from the cancellation of the spring K-12 school assessment testing. Cambium's consolidated bookings were up 8% YTD July 2020, while Cambium Assessment's revenues declined just 1%. The ultimate impact to FY 2020 results is somewhat uncertain owing to the length of the coronavirus pandemic and Fitch's expectations that required school closures could differ by district and geography. However, increased customer conversion could provide an offset to potential lingering top-line weakness at Cambium Assessment. Fitch recognizes that the coronavirus pandemic will likely negatively affect federal, state and local budgets, which may lead to reduced or delayed aggregate spending on education. Cambium could be somewhat insulated from these budgetary pressures owing to its concentration in the digital learning category and the potential increased reliance on supplemental digital learning tools following the pandemic. Adequate Liquidity: Cambium has sufficient liquidity supported by roughly $75 million in pro forma balance sheet cash and a $75 million revolving credit facility which will be undrawn at the acquisition closing. Cambium's business is subject to seasonality owing to the buying cycle for education products, which historically resulted in cash generation occurring largely in the second half of the fiscal year. The Cambium Assessment business helps smooth seasonality as most of its revenues are earned during the school spring testing cycle (1Q and 2Q) and as such reduce Cambium's reliance on its revolver to fund seasonal fluctuations in cash flow. Fitch continues to expect positive FCF generation over the rating horizon and believes that Cambium's liquidity is sufficient to fund any near-term shortfalls owing to the seasonality of the legacy Cambium digital learning products. Strong Sector Tailwinds: With the general raising of K-12 educational standards and the adoption of Common Core or some variant, there is an increased need for supplemental and more personalized learning to improve assessment results and student outcomes. Fitch expects a growing amount of school district and state funding to be allocated towards digital. Cambium, with its presence in the digital supplemental instructional market, is poised to benefit from the transition to digital in the K-12 education market. Fitch notes that the digital assessment market provides for a less significant growth opportunity (total digital assessment market will grow at a 4% CAGR for 2017A through 2020E), but does recognize the opportunity to improve penetration of Cambium's assessment products over the longer term. Recession Resistant: Fitch believes that the digital assessment and supplemental instructional market is somewhat insulated from fluctuations in the general economy. K-12 spending is supported by diversified funding sources (federal 10%, state 45% and local 45%). Student summative assessments are federally mandated for grades three and above in Math and English Language Arts under the 2015 Every Student Succeeds Act (ESSA). Notably, Cambium on a stand-alone basis experienced robust growth through the last recessionary period and digital bookings have grown at a CAGR of roughly 20% to $200 million in 2019 from $25 million in 2008. Fitch believes that even during a period of state and local budget pressure, schools and districts will allocate a growing proportion of funding to digital learning solutions. DERIVATION SUMMARY Cambium is highly levered and is smaller than the larger and more diversified education peers, such as McGraw-Hill Global Education Holdings, LLC (B+/Negative Outlook) and Houghton Mifflin Harcourt Company (B/Negative). Cambium is more narrowly focused on providing K-12 digital supplemental education and assessment materials. However, Cambium will benefit from rising K-12 education standards and the increasing use of digital supplemental instructional products outside of the classroom. Cambium has higher margins than peers owing to its concentration in digital. Fitch views the Rosetta Stone acquisition positively as it increases the company's scale and diversification and adds to its existing intervention digital learning products. Meanwhile, the Cambium Assessment segment provides better visibility into cash flows owing to the longer contract lengths (state level funding). KEY ASSUMPTIONS -- Results reflect the acquisition of Rosetta Stone in late 2020. Incrementally, results reflect the Cambium Assessment business acquisition which closed in December 2019. -- Fitch assumes that Cambium Assessment revenues decline by roughly 5% in 2020 owing to the coronavirus pandemic and canceled state summative assessments. Increased growth in digital supplemental learning products provide an offset. Assessment revenues normalize in 2021 reflecting the contractual nature of these revenues and the expectation that the coronavirus does not cause any incremental summative assessment cancellations in the 2020-2021 school year; -- Thereafter, total revenues grow in the low-single digit range reflecting growth in assessment and digital supplemental products. Fitch assumes somewhat slower supplemental digital learning product growth owing to budgetary pressures; -- EBITDA margins improve in 2020 reflecting mix shift and increased growth in digital products. Thereafter, EBITDA margins in the low 30% range reflect the realization of cost synergies offset somewhat by increased marketing and research and development investments; -- Capex in a range of $35 million to $45 million annually to support integration and continued investments; -- Minimal cash taxes; -- Positive FCF generation; -- No near-term incremental acquisition activity; -- No debt reduction other than term loan amortization; -- Total leverage (total debt with equity credit/EBITDA), excluding changes in deferred revenues, remains elevated in excess of 7x in 2020 declining to closer to 6.0x by 2022. Recovery Considerations -- The recovery analysis assumes that Cambium would be considered a going concern in bankruptcy and that the company would be reorganized rather than liquidated. Fitch has assumed a 10% administrative claim; -- Fitch estimates an adjusted distressed enterprise valuation of roughly $1.1 billion using a 6.0x multiple and roughly $195 million in going-concern EBITDA. Cambium's going-concern EBITDA assumes a decline in assessments owing to a global pandemic, which results in school closures. It also considers increased competition in the digital supplemental K-12 instructional market and pressure on state and local budget funding results in customer losses and slowing digital product growth. Additionally, margins are depressed by the company's need to reinvigorate its product sales and marketing. Fitch's estimate of going-concern EBITDA represents roughly a 20% decline from pro forma cash-adjusted EBITDA of $243 million (including deferred revenues and anticipated cost savings following the vKidz, Cambium Assessment and Rosetta Stone acquisitions). -- Fitch assumes that Cambium will receive a going-concern recovery multiple of 6.0x. The estimate considers several factors including the company's relatively smaller scale and product focus in the assessment and digital supplemental K-12 segment. The estimate also considers that HMH and Pearson have traded at a median EV/EBITDA of 12.2x and 10.9x, respectively. During the last financial recession, Pearson traded at about 8.0x EV/EBITDA, while neither McGraw-Hill nor HMH were public at the time. In 2014, Cengage emerged from bankruptcy with a $3.6 billion valuation, equating to an emergence multiple of 7.7x. The most recent textbook publishing transaction occurred in February 2019 with Pearson's announced sale of its K-12 business for $250 million or 9.5x operating profit (EBITDA was not disclosed). In March 2013, Apollo Global Management LLC acquired McGraw-Hill from S&P Global, Inc. for $2.5 billion, or a multiple of estimated EBITDA of approximately 7x. Notably, the 6x going-concern recovery multiple is below the recent transactions, including Cambium's acquisition of vKidz for $98 million representing an 11x multiple of cash-adjusted EBITDA and acquisition of AST for roughly 7.5x. -- Fitch assumes a fully drawn revolver in its recovery analysis since credit revolvers are tapped as companies are under distress. Fitch assumes a full draw on Cambium's $75 million revolver. -- Fitch estimates strong recovery prospects for the first-lien credit facilities and rates them 'BB'/'RR1', or three notches above Cambium's 'B' IDR. Fitch estimates limited recovery prospects for the second-lien term loan and rates it 'CCC+'/'RR6', two notches below Cambium's IDR. RATING SENSITIVITIES Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- Fitch does not expect an upgrade over the near-term given the elevated leverage following the Rosetta Stone acquisition; -- Over the longer-term, Fitch-calculated total leverage (total debt with equity credit/operating EBITDA) below 5.5x and further reductions in business segment and product concentration could provide positive momentum. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Total leverage (total debt with equity credit/operating EBITDA) exceeds 7.0x on a sustained basis driven by operational issues or additional debt-funded M&A; -- FCF margins remain below 5.0%. LIQUIDITY AND DEBT STRUCTURE Adequate Liquidity: Cambium has sufficient liquidity supported by roughly $75 million in pro forma balance sheet cash and a $75 million revolving credit facility which will be undrawn at the acquisition closing. Cambium's business is subject to seasonality owing to the buying cycle for education products, which historically resulted in cash generation occurring in the second half of the fiscal year. The Cambium Assessment business helps smooth seasonality as the most of its revenues are earned during the school spring testing cycle (1Q and 2Q) and as such reduce Cambium's reliance on its revolver to fund seasonal fluctuations in cash flow. Fitch continues to expect positive FCF generation over the rating horizon and believes that Cambium's liquidity is sufficient to fund any near-term shortfalls owing to the seasonality. Cambium's debt amortization is modest at just 1% of the Term Loan B (approximately $10 million annually). 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). CANTOR COMMERCIAL 2016-C3: Fitch Affirms B- Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Cantor Commercial Real Estate CFCRE 2016-C3 Mortgage Trust commercial mortgage pass-through certificates. RATING ACTIONS CFCRE 2016-C3 Class A-1 12531WAY8; LT AAAsf Affirmed; previously at AAAsf Class A-2 12531WBA9; LT AAAsf Affirmed; previously at AAAsf Class A-3 12531WBB7; LT AAAsf Affirmed; previously at AAAsf Class A-SB 12531WAZ5; LT AAAsf Affirmed; previously at AAAsf Class AM 12531WBF8; LT AAAsf Affirmed; previously at AAAsf Class B 12531WBG6; LT AA-sf Affirmed; previously at AA-sf Class C 12531WBH4; LT A-sf Affirmed; previously at A-sf Class D 12531WAL6; LT BBB-sf Affirmed; previously at BBB-sf Class E 12531WAN2; LT BB+sf Affirmed; previously at BB+sf Class F 12531WAQ5; LT BB-sf Affirmed; previously at BB-sf Class G 12531WAS1; LT B-sf Affirmed; previously at B-sf Class X-A 12531WBC5; LT AAAsf Affirmed; previously at AAAsf Class X-B 12531WBD3; LT AA-sf Affirmed; previously at AA-sf Class X-D 12531WAA0; LT BBB-sf Affirmed; previously at BBB-sf Class X-E 12531WAC6; LT BB+sf Affirmed; previously at BB+sf Class X-F 12531WAE2; LT BB-sf Affirmed; previously at BB-sf Class X-G 12531WAG7; LT B-sf Affirmed; previously at B-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 eight loans (26.8%) as FLOCs, including two loans (11.6%) in the top 15 secured by regional malls. The largest FLOC, Empire Mall (7.2% of pool), which is secured by a 1.02 million-sf superregional mall located in Sioux Falls, SD, had already experienced pre-pandemic performance declines due to the loss of collateral anchor tenants, Sears and Younkers, in September and October 2018, respectively. Collateral occupancy was 74.8% as of June 2020, down from 79.1% as of March 2019 and 96.3% as of June 2018. The current third largest collateral anchor tenant, Stage Stores (5.9% of NRA), which took over the former Gordman's lease, filed for bankruptcy; liquidation sales began in May 2020 and the store is expected to close at the end of September. This will further drop collateral occupancy below 70%. In addition, the largest collateral anchor tenant, JC Penney (13.1% of NRA), has an upcoming lease expiration in May 2021. The servicer-reported NOI debt service coverage ratio (DSCR) declined to 1.64x in 2019 from 2.46x in 2018 and 2.51x in 2017; the loan converted to principal and interest payments in January 2019. Comparable in-line tenant sales below 10,000-sf were $407 psf in 2017, compared to $423 psf in 2014 and $435 psf in 2013; updated tenant sales reports have been requested from the servicer, but not provided. The second largest FLOC and the seventh largest loan in the pool, NMS Los Angeles Multifamily Portfolio (4.4%), transferred to the special servicer in July 2020 after requesting coronavirus relief and is due for the September 2020 payment. The loan is secured by a portfolio of six multifamily properties, totaling 384 units and located in Santa Monica, Los Angeles, Northridge, and Canoga Park California. As of YE 2019, the properties were 88% occupied down from 94% at YE 2018 and performing at a 2.43x NOI DSCR at YE 2019 compared to 2.38x at YE 2018. The loan is full term interest only and matures in September 2025. The third largest FLOC is the Springfield Mall loan (4.4%), which is secured by a 611,079-sf (223,180 sf collateral) retail mall located in Springfield Township, PA. The mall is anchored by non-collateral tenants Macy's and Target. The loan is 30 days delinquent. According to servicer updates, the loan has not transferred to special servicing; however, the special servicer is reviewing a modification request. Per its website, the mall has reportedly re-opened with reduced hours. As of YE 2019, the servicer reported NOI DSCR for this amortizing loan was 1.75x with collateral occupancy of 92%. Per the December 2019 rent roll, 22% of the NRA rolls in 2020, 22% of NRA in 2021, 21% of NRA in 2022 and 1.4% of NRA in 2023. Comparative inline sales for the TTM March 2020 period were reported at $396 psf compared with $401 psf at YE 2018 and $412 psf at YE 2017. Limited Change to Credit Enhancement: There has been minimal change to credit enhancement since issuance as the pool has amortized 3.8%. Excluding the three defeased loans (11.3%), 12 loans (42.3% of the pool) are full term interest-only and the remaining 23 loans (57.7%) are balloon loans or are partial interest-only loans that have started to amortize. 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 13 loans (40.5% of the pool), including six (30%) in the top 15. Hotel properties account for three loans (4.9% of the pool) and seven loans (13.2%) are secured by multifamily properties. Fitch's base case analysis applied additional stresses to five retail loans, two hotel loans and one multifamily loan due to their vulnerability to the coronavirus pandemic. These additional stresses contributed to revising the Outlooks on classes D and E to Negative from Stable and maintaining the Negative Outlooks on classes F and G. RATING SENSITIVITIES The Negative Outlooks on classes D through G 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 C 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 transaction has an ESG Relevance Score of 4 for Exposure to Social Impacts due to the pool's significant retail exposure (34.6%), including two regional mall loans that are underperforming as a result of changing consumer preferences in shopping, which has a negative impact on the credit profile and is relevant to the ratings. Except for the matters discussed, the highest level of ESG credit relevance, if present, is a score of 3 - ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). CBAM 2017-4: Moody's Confirms Ba3 Rating on Class E Notes --------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by CBAM 2017-4, Ltd.: US$65,000,000 Class D Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$45,000,000 Class E Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class 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 December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2023. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3027, compared to 2872 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2863 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 14.1%. 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: $970,690,982 Defaulted Securities: $20,733,666 Diversity Score: 72 Weighted Average Rating Factor (WARF): 3045 Weighted Average Life (WAL): 5.9 years Weighted Average Spread (WAS): 3.59% Weighted Average Recovery Rate (WARR): 46.0% Par haircut in OC tests and interest diversion test: 0.9% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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 2018-5: Moody's Confirms Ba3 Rating on Class E Notes --------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by CBAM 2018-5, Ltd.: US$62,500,000 Class D Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$45,000,000 Class E Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class 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 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 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 2998, compared to 2781 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2873 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 13.1%. Nevertheless, Moody's noted that 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: $976,119,106 Defaulted Securities: $17,339,711 Diversity Score: 72 Weighted Average Rating Factor (WARF): 3019 Weighted Average Life (WAL): 5.9 years Weighted Average Spread (WAS): 3.51% Weighted Average Recovery Rate (WARR): 45.9% Par haircut in OC tests and interest diversion test: 0.9% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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 2018-6: Moody's Confirms Ba3 Rating on Class E-R Notes ----------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by CBAM 2018-6, Ltd.: US$61,000,000 Class D-R 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$51,500,000 Class E-R Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes and the Class E-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R and E-R Notes issued by the CLO. The CLO, originally issued in June 2018 and refinanced in December 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 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 2993, compared to 2753 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2869 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 12.3%. 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: $977,097,537 Defaulted Securities: $17,189,594 Diversity Score: 72 Weighted Average Rating Factor (WARF): 3013 Weighted Average Life (WAL): 5.9 years Weighted Average Spread (WAS): 3.47% Weighted Average Recovery Rate (WARR): 46.0% Par haircut in OC tests and interest diversion test: 0.6% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; 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. CFMT LLC 2020-AB1: DBRS Assigns Prov. BB(low) on Class M4 Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Asset-Backed Notes, Series 2020-1 to be issued by CFMT 2020-AB1, LLC: -- $247.1 million Class A at AAA (sf) -- $12.4 million Class M1 at AA (sf) -- $12.3 million Class M2 at A (sf) -- $6.0 million Class M3 at BBB (sf) -- $8.0 million Class M4 at BB (low) (sf) The AAA (sf) rating reflects 90.3% of cumulative advance rate. The AA (sf), A (sf), BBB (sf), and BB (low) (sf) ratings reflect 94.8%, 99.3%, 101.5%, and 104.4% of cumulative advance rate, respectively. Other than the specified classes above, DBRS Morningstar did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the July 31, 2020, cut-off date, the collateral has approximately $273.7 million in unpaid principal balance (UPB) from 1,056 active home equity conversion mortgage reverse mortgage loans secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. The loans were originated between 1996 and 2016. Of the total loans, 662 have a fixed interest rate (67.9% of the balance), with a 5.06% weighted-average coupon (WAC). The remaining 394 loans have floating-rate interest (32.1% of the balance) with a 2.00% WAC, bringing the entire collateral pool to a 4.08% WAC. As of the cut-off date, the loans in this transaction are all performing. However, all these loans are insured by the U.S. Department of Housing and Urban Development (HUD), which mitigates losses vis-a-vis uninsured loans. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value (LTV) ratio but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 46.9% for these loans. To calculate the WA LTV, DBRS Morningstar divides the UPB by the maximum claim amount and the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have coupon caps at 2%. The Class M1, M2, M3, and M4 notes have principal lockout terms insofar as they are not entitled to principal payments upon the Issuer's failure to pay all interest (including any cap carryover amount), principal, and fees due on the mandatory call date (this period is known as the Class M Principal Lockout Period). The Class M Principal Lockout Period begins on the day following the mandatory call date and ends on the earliest of (i) the occurrence of a sufficient proceeds auction, (ii) an acceleration event, and (iii) the ninth anniversary of the mandatory call date. If the Class M Principal Lockout Period ends before the occurrence of a sufficient proceeds auction or an acceleration event, then amounts will be paid in accordance with the priority of payments. Note that the DBRS Morningstar cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, DBRS Morningstar does not expect these rules to affect the natural cash flow waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. CIG AUTO 2020-1: Moody's Gives Ba3 Rating on Class E Notes ---------------------------------------------------------- Moody's Investors Service assigned definitive ratings to the notes 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 are 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 $116,940,000, 0.68%, Class A Notes, Definitive Rating Assigned Aaa (sf) $18,290,000, 1.55%, Class B Notes, Definitive Rating Assigned Aa1 (sf) $8,660,000, 1.75%, Class C Notes, Definitive Rating Assigned Aa3 (sf) $25,510,000, 2.35%, Class D Notes, Definitive Rating Assigned Baa2 (sf) $11,070,000, 4.43%, Class E Notes, Definitive Rating Assigned 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. The definitive rating for the Class B notes and Class C notes, Aa1 (sf) and Aa3 (sf), are one notch higher than its provisional rating, (P) Aa2 (sf) and (P) A1 (sf). This difference is a result of the transaction closing with a lower weighted average cost of funds (WAC) than Moody's modeled when the provisional ratings were assigned. The WAC assumptions as well as other structural features, were provided by the issuer. 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 will 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. CITIGROUP MORTGAGE 2020-RP1: Fitch to Rate Cl. B-2 Debt 'B(EXP)sf' ------------------------------------------------------------------ Fitch Ratings expects to rate Citigroup Mortgage Loan Trust 2020-RP1. RATING ACTIONS CMLTI 2020-RP1 Class A-1; LT AAA(EXP)sf Expected Rating Class A-1-IO; LT AAA(EXP)sf Expected Rating Class A-2; LT AA(EXP)sf Expected Rating Class A-2-IO; LT AA(EXP)sf Expected Rating Class A-3; LT A(EXP)sf Expected Rating Class A-3-IO; LT A(EXP)sf Expected Rating Class A-4; LT BBB(EXP)sf Expected Rating Class A-4-IO; LT BBB(EXP)sf Expected Rating Class A-5; LT AAA(EXP)sf Expected Rating Class A-6; LT AA(EXP)sf Expected Rating Class A-7; LT A(EXP)sf Expected Rating Class A-8; LT BBB(EXP)sf Expected Rating Class M-1; LT AA(EXP)sf Expected Rating Class M-1-IO; LT AA(EXP)sf Expected Rating Class M-2; LT A(EXP)sf Expected Rating Class M-2-IO; LT A(EXP)sf Expected Rating Class M-3; LT BBB(EXP)sf Expected Rating Class M-3-IO; LT BBB(EXP)sf Expected Rating Class M-4; LT AA(EXP)sf Expected Rating Class M-5; LT A(EXP)sf Expected Rating Class M-6; 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 B-4; LT NR(EXP)sf Expected Rating Class B-5; LT NR(EXP)sf Expected Rating Class PT-1; LT NR(EXP)sf Expected Rating Class PT-2; LT NR(EXP)sf Expected Rating Class PT-3; LT NR(EXP)sf Expected Rating Class PT-4; LT NR(EXP)sf Expected Rating Class PT-5; LT NR(EXP)sf Expected Rating Class PT-6; LT NR(EXP)sf Expected Rating Class PT-7; LT NR(EXP)sf Expected Rating Class PT-8; LT NR(EXP)sf Expected Rating Class PT-9; LT NR(EXP)sf Expected Rating Class PT-10; LT NR(EXP)sf Expected Rating Class PT-11; LT NR(EXP)sf Expected Rating Class PT-12; LT NR(EXP)sf Expected Rating Class PT-13; LT NR(EXP)sf Expected Rating Class PT-14; LT NR(EXP)sf Expected Rating Class C; LT NR(EXP)sf Expected Rating Class A-IO-S; LT NR(EXP)sf Expected Rating Class SA; LT NR(EXP)sf Expected Rating The transaction is expected to close on Sept. 29, 2020. The notes are supported by one collateral group that consists of 2,388 seasoned performing loans (SPLs) and re-performing loans (RPLs) with a total balance of approximately $537.8 million, which includes $72 million, or 13.5%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the statistical calculation date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Revised GDP Due to the Coronavirus (Negative): The ongoing coronavirus pandemic and resulting containment efforts have led to revisions in Fitch's GDP estimates for 2020. Fitch's baseline global economic outlook for U.S. GDP growth is currently a 4.4% 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 the declining macroeconomic conditions resulting from the pandemic, an Economic Risk Factor (ERF) floor of 2.0 (the ERF is a default variable in the U.S. RMBS loan loss model) has been applied to ratings of 'BBBsf' and below. Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage, SPLs and RPLs. Prior to the adjustment for forbearance and deferrals listed below, 1.6% of the pool was 30 days delinquent as of the statistical calculation date, and 15.7% of loans are current but have had recent delinquencies or incomplete 24 month pay strings. 82.7% of the loans have been paying on time for the past 24 months. Roughly 98% has been modified. Expected Payment Deferrals Related to the Coronavirus Pandemic (Negative): The ongoing coronavirus pandemic and widespread containment efforts in the U.S. have resulted in increased unemployment and cashflow disruptions. To account for the cashflow disruptions, Fitch assumed deferred payments on a minimum of 40% of the pool for the first six months of the transaction in all rating categories, with a reversion to its standard delinquency and liquidation timing curve by month 10. This assumption is based on observed peak delinquencies for legacy Alt-A collateral. Under these assumptions the 'AAAsf' and 'AAsf' classes did not incur any shortfalls and are expected to receive timely payments of interest. The cash flow waterfall providing for principal otherwise distributable to the lower rated bonds to pay timely interest to the 'AAAsf' and 'AAsf' bonds and availability of excess spread also mitigate the risk of interest shortfalls. The 'Asf' through 'Bsf' rated classes incurred temporary interest shortfalls that were ultimately recovered. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. Citigroup is assessed by Fitch as an 'Average' aggregator and meets the industry standards necessary for acquiring seasoned and distressed loans. Select Portfolio Servicing, Inc. (SPS) is the named servicer for the transaction and is rated by Fitch as 'RPS1-' with a Negative Outlook. Fitch decreased its loss expectation at the 'AAAsf' rating category by 180 bps based primarily on the strong rating for the servicer counterparty. Issuer retention of at least 5% of the bonds also helps ensure an alignment of interest between both the issuer and investor. Third-Party Due Diligence (Positive): A third-party due diligence review was performed on 100% of the loans in the transaction pool. The review consisted solely of a compliance review and was performed by SitusAMC which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. The results indicate moderate compliance risk with 17.0% of loans receiving a final grade of 'C' or 'D'. While this concentration of material exceptions is similar to other Fitch-rated RPL RMBS, adjustments were applied only to loans missing of estimated final HUD-1 documents that are subject to testing for compliance with predatory lending regulations. These regulations are not subject to statute of limitations like most compliance findings which ultimately exposes the trust to added assignee liability risk. Fitch increased its loss expectation at the 'AAAsf' rating category by 5 bps to account for this added risk. Representation Framework (Negative): The representation, warranty and enforcement (RW&E) framework for this transaction contains substantially all loan level representations listed in Fitch criteria and is consistent with a Tier 1 framework. Fitch decreased its loss expectations by 92 bps at the 'AAAsf' rating category to reflect the RW&E framework combined with the investment-grade counterparty risk of the rep provider. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. Deferred Amounts (Negative): Non-interest-bearing principal forbearance or deferral amounts totaling $72.6 million (13.5%) of the UPB are outstanding on 1,403 loans. Fitch included the deferred amounts when calculating the borrower's loan-to-value ratio (LTV) and sustainable LTV (sLTV), despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in a higher probability of default (PD) and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (i.e. sale or refinancing) will be limited relative to those borrowers with more equity in the property. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to a negative rating action/downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 38.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to a positive rating action/upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has added a Coronavirus Sensitivity Analysis that that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade ratings. 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, LLC. A third-party due diligence review was completed on 100% of the loans in the transaction pool. The due diligence scope included a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with Fitch criteria for due diligence on RPL RMBS. An updated tax, title and lien search was also performed on 100% of loans in the transaction pool. The search identified loans with outstanding liens and taxes that could take priority over the subject mortgage. Fitch considered this information in its analysis and, as a result, Fitch adjusted its loss expectation at the 'AAAsf' by approximately 15 basis points 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 CMLTI 2020-RP1 has an ESG Relevance Score of '+4' for Transaction Parties & Operational Risk. Operational risk is well controlled for in CMLTI 2020-RP1, including strong R&W and transaction due diligence and a strong originator and servicer, which resulted in a reduction in expected losses. 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. COLT 2020-1R: Fitch Rates Class B-2 Certs 'Bsf' ----------------------------------------------- Fitch Ratings has assigned ratings to the residential mortgage-backed certificates issued by COLT 2020-1R Mortgage Loan Trust (COLT 2020-1R). RATING ACTIONS COLT 2020-1R 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 M-1; LT BBBsf New Rating; previously at BBB(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-3; LT NRsf New Rating; previously at NR(EXP)sf Class A-IO-S; LT NRsf New Rating; previously at NR(EXP)sf Class X; LT NRsf New Rating; previously at NR(EXP)sf 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 non-permanent 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. There was one criteria variation to Fitch's U.S. RMBS Rating Criteria. Fitch expects an update tax and title search to be conducted for transactions in which more than 10% of the deal comprises seasoned loans (i.e., more than two years' seasoned). Fitch was comfortable with the lack of an updated search given that the loans were held with the same servicer since origination and were previously securitized, while the servicer would have been required to advance on these amounts to maintain the trust's priority. Also, upon the cleanup call being exercised, they would have repaid themselves from the proceeds. Further, the seasoning is only a few months outside of the window in which Fitch would expect an updated search to be conducted. As a result, Fitch did not make any adjustments to its loss expectations. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to, or that may be considered in the surveillance of the transaction. Sensitivity 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. 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). COMM 2012-CCRE1: Fitch Lowers Rating on Class G Certs to 'CCsf' --------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed six classes of German American Capital Corp., commercial mortgage pass-through certificates, series 2012-CCRE1 (COMM 2012-CCRE1). In addition, Fitch has revised the Rating Outlook on six classes to Negative from Stable. RATING ACTIONS COMM 2012-CCRE1 Class A-3 12624BAC0; LT AAAsf Affirmed; previously at AAAsf Class A-M 12624BAF3; LT AAAsf Affirmed; previously at AAAsf Class A-SB 12624BAD8; LT AAAsf Affirmed; previously at AAAsf Class B 12624BAG1; LT AAsf Affirmed; previously at AAsf Class C 12624BAH9; LT Asf Affirmed; previously at Asf Class D 12624BAL0; LT Bsf Downgrade; previously at BBB-sf Class E 12624BAN6; LT Bsf Downgrade; previously at BBB-sf Class F 12624BAQ9; LT CCCsf Downgrade; previously at BBsf Class G 12624BAS5; LT CCsf Downgrade; previously at Bsf Class X-A 12624BAE6; LT AAAsf Affirmed; previously at AAAsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations with the Fitch Loans of Concern (FLOCs). Thirteen loans (40.2% of pool) were designated FLOCs, including three (23.8%) in special servicing. Two of these FLOCs are secured by regional malls: Crossgates Mall (15.2%) and RiverTown Crossings Mall (6.9%). Regional Mall FLOCs: The largest loan in the pool is Crossgates Mall (15.2%), which is secured by 1.3 million sf of a 1.7 million-sf regional mall in Albany, NY. The loan was designated a FLOC due to potential refinance concerns at the loan's maturity in May 2022 as a result of substantial outstanding debt on the property, as well as declining anchor and major tenant sales. The loan, which transferred to special servicing in April 2020, has been modified with principal and interest payments deferred for four months with a 60-day extension and repayment commencing in January 2021. The mall is anchored by Macy's, Lord & Taylor and JCPenney, of which only JCPenney is included as collateral. Per media reports, Lord & Taylor recently announced liquidation and closure of all remaining stores. Other large tenants include Dick's, Best Buy and Dave and Buster's. A new dual-branded Tru by Hilton/Homewood Suites by Hilton hotel located across the street from Crossgates Mall opened at the end of 2018. As of June 2020, collateral occupancy was 87%, and at YE 2019, servicer-reported NOI DSCR was 1. 45x.DSCR. At YE 2019, In-line sales (excluding Apple) were $421 psf. A recently received appraisal value indicates that losses could be incurred if the loan is disposed. The third largest loan, RiverTown Crossings Mall (6.9%), which is secured by 635,769 sf of a 1.3 million-sf regional mall in Grandville, MI, was designated a FLOC due to refinance concerns at the loan's maturity in June 2021. The mall features four non-collateral anchors, Macy's, JCPenney, Sears and Kohls. Younkers had also occupied a non-collateral box, but closed it in August 2018 after the bankruptcy/liquidation of its parent company, Bon-Ton. The vacant Younkers box was purchased by the sponsor. Per servicer updates, the borrower is preparing for construction of the upper level for Round 1. As of March 2020, collateral occupancy was 89%, and at YE 2019, servicer-reported NOI DSCR was 1.82x. As of the TTM ended March 2020, in-line sales were $361 psf. Increase in Credit Enhancement: As of the September 2020 distribution date, the pool's aggregate principal balance has paid down by 26.4% to $686.3 million from $932.8 million at issuance. The majority of the pool (94.1%) is currently amortizing. Nine loans (20.2%) are fully defeased. Loan Maturities: Loan maturities are concentrated in 2022 (93.1%) One loan (6.9%) matures in 2021. Exposure to Coronavirus Pandemic: Fitch expects significant economic impact to certain hotels, retail and multifamily properties from the coronavirus pandemic due to the sudden reductions in travel and tourism, temporary property closures and lack of clarity at this time on the potential duration of the impact. The pandemic has prompted the closure of several hotel properties in gateway cities, as well as malls, entertainment venues and individual stores. Seven loans (8.6%) are secured by hotel properties. The weighted average NOI DSCR for all non-defeased hotel loans is 2.23x. These hotel loans could sustain a weighted average decline in NOI of 56% before DSCR falls below 1.00x. Twenty loans (53.0%) are secured by retail properties. The weighted average NOI DSCR for all non-defeased retail loans is 1.83x. These retail loans could sustain a weighted average decline in NOI of 46% before DSCR falls below 1.00x. Additional coronavirus specific base case stresses were applied to all non-defeased hotel loans (5.7%), five non-defeased retail loans (10.9%) and one student housing loan (1.6%). These additional stresses contributed to the Negative Outlooks on classes A-M, B, C and X-A. Alternative Loss Considerations: Fitch Ratings performed an additional sensitivity scenario on Crossgates Mall (15.2%) and RiverTown Crossings Mall (6.9%), which assumed a potential outsized loss of 40% and 45%, respectively on the loans' respective maturity balance to account for potential refinance concerns. The analysis also factored in the expected paydown of the transaction from defeased loans. This scenario contributed to the Negative Rating Outlooks on classes A-M, B, C and X-A. RATING SENSITIVITIES The Stable Outlooks on classes A-3 and A-SB reflect the expectation of continued amortization, as well as the likely payoff of performing non-FLOCs. The Negative Outlooks on classes A-M through E and X-A reflect concerns with the FLOCs, primarily Crossgates Mall and RiverTown Crossings Mall. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors resulting in upgrades include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades are not likely due to performance/refinance concerns with the FLOCs but could occur if performance of the FLOCs improves significantly and/or if there is sufficient CE, which would likely occur if the non-rated class is not eroded and the senior classes pay-off. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors resulting in downgrades include an increase in pool level expected losses from underperforming or specially serviced loans. Downgrades of classes A-3 and A-SB are not likely due the expected receipt of continued amortization and payoff of performing non-FLOCs. Downgrades of classes A-M, B and C could occur if additional loans become FLOCs or with further underperformance of the FLOCs, primarily Crossgates Mall and Rivertown Crossing and decline in performance of loans expected to be affected by the coronavirus pandemic. Classes D through G would be downgraded further if loans fail to refinance at maturity, primarily Crossgates Mall and RiverTown Crossings Mall. 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 COMM 2012-CCRE1 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to malls that are 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. COMM 2014-CCRE16: Fitch Lowers Rating on Class F Certs to CCsf -------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed nine classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE16 Mortgage Trust commercial mortgage pass-through certificates. RATING ACTIONS COMM 2014-CCRE16 Mortgage Trust Class A-3 12591VAD3; LT AAAsf Affirmed; previously at AAAsf Class A-4 12591VAE1; LT AAAsf Affirmed; previously at AAAsf Class A-M 12591VAG6; LT AAAsf Affirmed; previously at AAAsf Class A-SB 12591VAC5; LT AAAsf Affirmed; previously at AAAsf Class B 12591VAH4; LT AA-sf Affirmed; previously at AA-sf Class C 12591VAK7; LT A-sf Affirmed; previously at A-sf Class D 12591VAQ4; LT BBsf Downgrade; previously at BBB-sf Class E 12591VAS0; LT CCCsf Downgrade; previously at Bsf Class F 12591VAU5; LT CCsf Downgrade; previously at CCCsf Class PEZ 12591VAJ0; LT A-sf Affirmed; previously at A-sf Class X-A 12591VAF8; LT AAAsf Affirmed; previously at AAAsf Class X-B 12591VAL5; LT AA-sf Affirmed; previously at AA-sf Class X-C 12591VAN1; LT CCCsf Downgrade; previously at Bsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations since the last rating action, primarily attributable to the social and market disruption caused by the effects of the coronavirus pandemic and related containment measures. Fitch has designated nine Fitch Loans of Concern (FLOCs; 25.1% of the pool), which includes four loans in special servicing. Six of the Top 15 loans are FLOCs (23.8% of the pool). Coronavirus Exposure: Loans secured by hotel properties comprise 17% of the pool, including four loans in the top 15 (16.3% of the pool). The pool's hotel component has a weighted average debt service coverage ratio (DSCR) of 1.96x. Loans secured by retail properties comprise 13.2% of the pool, including two loans in the top 15 (8.2% of the pool), one of which is an REO regional mall in special servicing. The pool's retail component has a weighted average DSCR of 0.96x. Additional coronavirus related stresses were applied to three hotel loans (13.5% of the pool), two retail loans (4.1% of the pool) and one multifamily loan (0.2% of the pool); these additional stresses contributed to the downgrade of classes. Fitch Loans of Concern: The largest FLOC is Sanibel Harbour Marriott Resort & Spa (8.6% of the pool). The collateral is a 347-key full-service hotel in Fort Myers, FL. The loan transferred to the special servicer in March 2020 after the borrower requested a six-month waiver of FF&E reserve contributions and a three-month deferral of seasonality reserve contributions. The loan was returned to the master servicer in April 2020 but remains on the servicer's watchlist, and negotiations are ongoing. Market penetration was 100.8% (occupancy), 103.2% (ADR) and 104% (RevPAR) at issuance. This declined to 82.2%, 77.8% and 64% for T12 June 2019, as a result of improved market performance and declined subject performance. Current performance for the property and competitive set is depressed due to the coronavirus pandemic. The second largest FLOC, and the largest contributor to Fitch's projected losses, is West Ridge Mall & Plaza (5.8% of the pool). The collateral includes approximately 392,000 sf of inline space within the 1.0 million sf enclosed regional West Ridge Mall and an adjacent anchored retail center, located in Topeka, Kansas. The loan transferred to special servicing in November 2018 for imminent default and was foreclosed in December 2019. Over the last few years, the mall has lost two anchor tenants and collateral occupancy has fallen to 54.3% as of July 2020. The most recent servicer site inspection for the REO asset indicates the property is dated with many items of deferred maintenance, including water intrusion in several retail units. Leases representing 7.4% of the NRA are month-to-month and an additional 5.7% of leases are scheduled to roll in the next 12 months. Minimal Changes to Credit Enhancement: No loans have been repaid since the last rating action. As of the September 2020 distribution, the pool has paid down by 20.5% to $854 million from $1.1 billion at issuance. Nine loans representing 9.7% of the pool are fully defeased. There are currently five delinquent loans, representing 19.6% of the pool, several of which are in the process of negotiating forbearance terms due to the coronavirus pandemic. The fifth largest loan is an REO asset. Four loans representing 27% of the pool are interest-only, and all but one of the remaining loans are not scheduled to mature until 2024. RATING SENSITIVITIES The Rating Outlooks on classes A-3 through B, and X-A and X-B remain Stable. Classes D, E, F and X-C have been downgraded. The Rating Outlooks on classes C, D and PEZ remain Negative. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include significantly improved performance coupled with paydown and/or defeasance. An upgrade to class B 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 C and D would only occur with significant improvement in credit enhancement and stabilization of the FLOCs. An upgrade to classes E and F is not likely unless performance of the FLOCs improves and if performance of the remaining pool is stable. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to position in the capital structure, but may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur. A downgrade to class B may occur if pool performance declines or loss expectations increase. Downgrades to classes C and D may occur if loans in special servicing remain unresolved or if performance of the FLOCs fail to stabilize. Classes with distressed ratings may be downgraded as losses are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. 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 COMM 2014-CCRE16 has an ESG Relevance Score of 4 for Exposure to Social Impacts due to retail exposure including an REO regional mall which is currently 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. This has contributed to the downgrades of classes D, E, F and X-C as well as the Negative Outlooks on classes C, PEZ and D. 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). COREVEST AMERICAN 2020-3: DBRS Gives Prov. B Rating on Cl. G Certs ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates (the Certificates) to be issued by CoreVest American Finance 2020-3 Trust (the Issuer): -- $184.7 million Class A at AAA (sf) -- $184.7 million Class X-A at AAA (sf) -- $82.5 million Class X-B at BBB (sf) -- $42.5 million Class B at AA (low) (sf) -- $22.7 million Class C at A (low) (sf) -- $17.2 million Class D at BBB (sf) -- $4.0 million Class E at BBB (low) (sf) -- $9.9 million Class F at BB (low) (sf) -- $1.8 million Class G at B (sf) The AAA (sf) rating on the Certificates reflects 37.00% of credit enhancement provided by subordinated notes in the pool. The AA (low) (sf), A (low) (sf), BBB (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 22.5%, 14.75%, 8.88%, 7.5%, 4.13%, and 3.5% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The collateral includes 43 multifamily properties, and two mixed-use properties, which represent 8.5% and 0.3% by cut-off principal balance, respectively. DBRS Morningstar applies the same stresses and assumptions to both property types. DBRS Morningstar makes adjustments in its analysis to account for features unique to multifamily and mixed-use properties, compared with single-family rental properties. For example, we used only the direct-capitalization method for valuing the multifamily and mixed-use properties and did not incorporate our mortgage approach in determining the annual assigned rent. This transaction is backed by loans to borrowers who invest in single-family rental properties. Multiborrower single-family rental transactions lack ample historical data for tenant management, operational efficiencies, and cost containment, and have yet to be established among the smaller noninstitutional borrowers. DBRS Morningstar believes that the net cash flow (NCF) from the rented properties and the value of the properties at the balloon payment dates will support the Certificates. DBRS Morningstar applies base stresses to the underwritten income and expenses on each property. While this results in the DBRS Morningstar debt service coverage ratio (DSCR) averaging less than 1.0 times (x) for the mortgage pool, in each rating scenario, the Certificates receive timely interest and the stressed values of the properties at the end of the loan terms are enough to repay the remaining principal on the Certificates. DBRS Morningstar's assumed base-case NCF is $12.8 million, which is 49.7% lower than the Issuer's underwritten NCF of $25.4 million. Stressing the NCF during the term of the loan and at the maturity date reflects worsening economic conditions that are consistent with DBRS Morningstar's rating stresses. See Appendix A for a summary of the DBRS Morningstar Single-Family Rental Subordination Model. Please see the Cash Flow Analysis section for further detail on the components of the NCF. DBRS Morningstar does not rely solely on the actual rent provided in the data tape. Instead, DBRS Morningstar used an assigned rent incorporating the actual rent, concession adjustments, third-party rental data points, and a mortgage payment assumption. DBRS Morningstar's annual assigned rent for this pool is $41.9 million compared with the Issuer's underwritten gross potential annual rent of $45.9 million. Gross rental yield measured by gross potential rent (GPR)/Issuer value is 10.0%. Gross rental yield using DBRS Morningstar's annual GPR/Issuer value is 9.7%. Net rental yields for the pool using DBRS Morningstar's BBB rating stress assumptions are at 2.9%. Rental yield is an important metric for potential single-family rental investors to consider. Gross rental yields on the properties in the pool are generally higher than those of previous single-family rental transactions. Please see the Rent Yields section in the presale report for further detail on gross and net rental yields. The Trust's 2,403 properties are in 30 states with the largest concentration by allocated loan amount in Texas (21.2%). The largest metropolitan statistical area (MSA) by allocated loan amount is Salt Lake City (15.5%), followed by Houston (14.0%). The geographic concentration dictates the home price stresses applied to the portfolio. Please see Exhibit 5 for further detail on the home price index (HPI) stresses applied on the top five MSAs. Based on the cut-off date principal balance, 63.4% of the properties backing the loans were valued using full appraisals, which are generally more comprehensive than other valuation sources. DBRS Morningstar made additional adjustments to the HPI declines for valuations using full appraisals; however, DBRS Morningstar applied higher stresses to properties valued using other valuation methods because, in general, these valuations may be less comprehensive than a valuation based on a full appraisal. DBRS Morningstar's operational risk assessments group does not review individual property managers in multiborrower transactions; however, DBRS Morningstar conducted an on-site review of the loan originator, CoreVest American Finance Lender LLC (CoreVest), formerly Colony American Finance Lender, LLC, a specialty finance company that offers recourse and nonrecourse mortgages to investors of residential rental properties. DBRS Morningstar performed a phone review of CoreVest's originations platform and believes the company is an acceptable single-family rental aggregator and originator. Please see the Transaction Participants Summary in the presale report for further detail on CoreVest. The transaction allows for discretionary substitutions of up to 38.55% of the number of properties as of the closing date, as long as certain restrictions are met. The Sponsor intends to satisfy its risk retention obligations under the U.S. Risk Retention Rules by holding the Class E, F, G, and H Certificates, either directly or through a majority-owned affiliate. The rating assigned to Class G below differs from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation, but in this case, the ratings of the subject note reflect limited historical performance as well as certain risks that constrain the quantitative model output. Notes: All figures are in U.S. dollars unless otherwise noted. CPA AUTO 2020-C: DBRS Finalizes B Rating on Class F Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes 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 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: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, and they have been regularly updated. The scenarios were last updated on September 10, 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 (CARES Act). 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. (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 originations, 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 the 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. CUTWATER LTD 2015-I: Moody's Lowers Rating on Class E-R Notes to B1 ------------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Cutwater 2015-I, Ltd.: US$18,400,000 Class E-R 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 E-R Notes are referred to herein as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$24,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Confirmed at A2 (sf); previously on April 17, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$27,400,000 Class D-R Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade The Class C-R Notes and 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 Notes, Class D-R Notes, and Class E-R Notes issued by the CLO. The CLO, originally issued in June 2015 and refinanced in October 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on October 2020. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined, and expected losses (ELs) on certain notes have increased. Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3681, compared to 3087 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3191 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 31.5%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $435.9 million, or $14.1 million less than the deal's par balance at refinancing. Moody's noted that the OC test for the Class E-R Notes was recently reported as failing, which could result in excess interest collections being diverted to repayment of senior notes at the next payment date should the failures continue. Nevertheless, Moody's noted that the OC tests for the Class C-R Notes and Class D-R Notes were recently reported as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $426,486,548 Defaulted Securities: $20,424,082 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3716 Weighted Average Life (WAL): 4.6 years Weighted Average Spread (WAS): 4.25% Weighted Average Recovery Rate (WARR): 46.6% Par haircut in OC tests and interest diversion test: 3.33% 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. DRYDEN 38: Moody's Confirms Ba3 Rating on Class E-R Notes --------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Dryden 38 Senior Loan Fund: US$31,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$24,200,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes and the Class E-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R and E-R Notes issued by the CLO. The CLO, originally issued in May 2015 and refinanced in August 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on 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 3148, compared to 2904 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2889 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 15.21%. 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: $485,472,635 Defaulted Securities: $12,318,885 Diversity Score: 91 Weighted Average Rating Factor (WARF): 3117 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.31% Weighted Average Recovery Rate (WARR): 47.9% Par haircut in OC tests and interest diversion test: 1.2% Finally, Moody's notes that it also considered the information in the September 2020 trustee report [5] which became available prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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. DT AUTO 2020-3: S&P Assigns BB- (sf) Rating to Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to DT Auto Owner Trust 2020-3's asset-backed notes series 2020-3. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 64.2%, 59.1%, 49.4%, 44.0%, and 40.7% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 1.92x, 1.75x, 1.44x, 1.27x, and 1.17x coverage of S&P's expected net loss range of 32.75%-33.75% for the class A, B, C, D, and E notes, respectively. Credit enhancement also covers cumulative gross losses of approximately 91.7%, 84.4%, 70.5%, 62.8%, and 58.2%, respectively, assuming a 30% recovery rate. -- The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that it deems appropriate for the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.30x S&P's expected loss level), all else being equal, its ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Rating Definitions. -- The collateral characteristics of the subprime pool being securitized, including a high percentage (approximately 76%) of obligors with higher payment frequencies (more than once a month), which S&P expects will result in a somewhat faster paydown on the pool. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. S&P acknowledges a high degree of uncertainty about the rate of spread and peak of the coronavirus outbreak. "Some government authorities estimate the pandemic will peak around midyear, and we are using this assumption in assessing the economic and credit implications. In our view, the measures adopted to contain COVID-19 have pushed the global economy into recession. As the situation evolves, we will update our assumptions and estimates accordingly," the rating agency said. RATINGS ASSIGNED DT Auto Owner Trust 2020-3 Class Rating Amount (mil. $) A AAA (sf) 192.37 B AA (sf) 48.15 C A (sf) 70.66 D BBB- (sf) 37.80 E BB- (sf) 21.15 DT AUTO: DBRS Confirms BB(sf) Ratings on 5 Tranches --------------------------------------------------- DBRS, Inc. confirmed, upgraded, or discontinued its ratings on the following classes of securities included in 10 DT Auto Owner Trust transactions: -- Series 2016-4 Notes, Class D, confirmed at AAA (sf) -- Series 2016-4 Notes, Class E, confirmed at AAA (sf) -- Series 2017-1 Notes, Class C, discontinued due to repayment -- Series 2017-1 Notes, Class D, confirmed at AAA (sf) -- Series 2017-1 Notes, Class E, upgraded to AA (high) (sf) -- Series 2017-2 Notes, Class C, discontinued due to repayment -- Series 2017-2 Notes, Class D, confirmed at AAA (sf) -- Series 2017-2 Notes, Class E, upgraded to A (high) (sf) -- Series 2017-3 Notes, Class C, discontinued due to repayment -- Series 2017-3 Notes, Class D, upgraded to AAA (sf) -- Series 2017-3 Notes, Class E, upgraded to BBB (high) (sf) -- Series 2017-4 Notes, Class C, discontinued due to repayment -- Series 2017-4 Notes, Class D, upgraded to AAA (sf) -- Series 2017-4 Notes, Class E, upgraded to BBB (sf) -- DT Auto Owner Trust 2018-1, Class B Notes, discontinued due to repayment -- DT Auto Owner Trust 2018-1, Class C Notes, confirmed at AAA (sf) -- DT Auto Owner Trust 2018-1, Class D Notes, upgraded to A (high) (sf) -- DT Auto Owner Trust 2018-1, Class E Notes, confirmed at BB (sf) -- DT Auto Owner Trust 2018-2, Class A Notes, discontinued due to repayment -- DT Auto Owner Trust 2018-2, Class B Notes, discontinued due to repayment -- DT Auto Owner Trust 2018-2, Class C Notes, upgraded to AAA (sf) -- DT Auto Owner Trust 2018-2, Class D Notes, upgraded to A (high) (sf) -- DT Auto Owner Trust 2018-2, Class E Notes, confirmed at BB (sf) -- DT Auto Owner Trust 2019-1, Class A Notes, confirmed at AAA (sf) -- DT Auto Owner Trust 2019-1, Class B Notes, upgraded to AAA (sf) -- DT Auto Owner Trust 2019-1, Class C Notes, upgraded to AA (sf) -- DT Auto Owner Trust 2019-1, Class D Notes, confirmed at BBB (sf) -- DT Auto Owner Trust 2019-1, Class E Notes, confirmed at BB (sf) -- DT Auto Owner Trust 2019-3, Class A Notes, confirmed at AAA (sf) -- DT Auto Owner Trust 2019-3, Class B Notes, upgraded to AA (high) (sf) -- DT Auto Owner Trust 2019-3, Class C Notes, confirmed at A (sf) -- DT Auto Owner Trust 2019-3, Class D Notes, confirmed at BBB (sf) -- DT Auto Owner Trust 2019-3, Class E Notes, confirmed at BB (sf) -- DT Auto Owner Trust 2020-1, Class A Notes, confirmed at AAA (sf) -- DT Auto Owner Trust 2020-1, Class B Notes, confirmed at AA (sf) -- DT Auto Owner Trust 2020-1, Class C Notes, confirmed at A (sf) -- DT Auto Owner Trust 2020-1, Class D Notes, confirmed at BBB (sf) -- DT Auto Owner Trust 2020-1, Class E Notes, confirmed at BB (sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have 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. Observed performance during the 2008–09 financial crisis and the possible impact from the stimulus package from the CARES Act were also incorporated into the analysis. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve funds has grown as the transactions have amortized because of their sequential-pay nature. As a result, hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss (CNL) (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the ratings above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. EXETER AUTOMOBILE 2020-3: S&P Rates Class F Notes 'B (sf)' ---------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2020-3's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 60.30%, 53.90%, 44.80%, 38.70%, 32.40%, and 29.70% credit support for the class A (collectively, class A-1, A-2, and A-3 notes), B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios (including excess spread). This credit support provides coverage of approximately 2.50x, 2.20x, 1.80x, 1.50x, 1.25x, and 1.10x S&P's 23.50%-24.50% expected cumulative net loss range. These break-even scenarios withstand cumulative gross losses of approximately 92.80%, 82.90%, 71.70%, 61.90%, 51.90%, and 47.50% respectively." -- S&P expectation for timely interest and principal payments on the notes, based on stressed cash flow modeling scenarios, which, in its view, are appropriate for the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, S&P's ratings are consistent with the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Ratings Definitions. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. 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 Exeter Automobile Receivables Trust 2020-3 Class Rating Amount (mil. $) A-1 A-1+ (sf) 68.00 A-2 AAA (sf) 161.40 A-3 AAA (sf) 88.05 B AA (sf) 92.12 C A (sf) 106.29 D BBB (sf) 68.02 E BB (sf 69.45 F B (sf) 28.34 FREED ABS 2019-2: DBRS Confirms BB(low) Rating on Class C Notes ---------------------------------------------------------------- DBRS, Inc. confirmed or upgraded its ratings on the following 12 classes of securities issued by four FREED ABS Trust transactions: FREED ABS Trust 2018-1 Class A Notes, upgraded to A (high)(sf) Class B Notes, upgraded to BBB (high)(sf) Class C Notes, confirmed at BB (high) (sf) FREED ABS Trust 2018-2 Class A Notes, upgraded to A (high)(sf) Class B Notes, upgraded to BBB (high)(sf) Class C Notes, confirmed at BB (high)(sf) FREED ABS Trust 2019-1 Class A Notes, upgraded to A (high)(sf) Class B Notes, confirmed at BBB (high)(sf) Class C Notes, confirmed at BB (high)(sf) FREED ABS Trust 2019-2 Class A Notes, confirmed at A (high)(sf) Class B Notes, confirmed at BBB (high) (sf) Class C Notes, confirmed at BB (low) (sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have 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. Observed performance during the 2008–09 financial crisis and the possible impact from the stimulus package from the CARES Act were also incorporated into the analysis. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve funds has grown as the transactions have amortized because of their sequential-pay nature. As a result, hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss (CNL) (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the ratings above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. GALLATIN CLO VIII: Moody's Confirms B3 Rating on Class F Notes -------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Gallatin CLO VIII 2017-1, Ltd.: US$34,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2027 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$27,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2027 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade US$9,000,000 Class F Deferrable Mezzanine Floating Rate Notes due 2027 (the "Class F Notes"), Confirmed at B3 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class D Notes, the Class E Notes, and the Class F 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 Notes, the Class E Notes, and the Class F Notes issued by the CLO. The CLO, originally issued in October 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2019. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the July 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3503, compared to 2958 reported in the February 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2911 reported in the July 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 21.3% as of September 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $579 million. 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: $574,182,465 Defaulted Securities: $12,484,831 Diversity Score: 54 Weighted Average Rating Factor (WARF): 3517 Weighted Average Life (WAL): 3.94 years Weighted Average Spread (WAS): 3.59% Weighted Average Recovery Rate (WARR): 47.24% Par haircut in OC tests: 1.22% 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. GOLUB CAPITAL 26(B)-R: Moody's Confirms Ba3 Rating on Cl. E-R Debt ------------------------------------------------------------------ Moody's Investors Service confirmed the ratings on the following notes issued by Golub Capital Partners CLO 26(B)-R, Ltd.: US$21,250,000 Class C-R Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$26,250,000 Class D-R Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$22,500,000 Class E-R Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class C-R Notes, Class D-R Notes, and Class E-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Class D-R and Class E-R Notes and on June 3, 2020 on the Class C-R Notes issued by the CLO. The CLO, issued in November 2015 and refinanced on April 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on April 2023. RATINGS RATIONALE 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 3654, compared to 3063 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 3050 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 28.0% as of August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $401.4 million, or $1.4 million more than the deal's ramp-up target par balance. 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: $398,828,125 Defaulted Securities: $2,343,750 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3635 Weighted Average Life (WAL): 5.5 years Weighted Average Spread (WAS): 3.54% Weighted Average Recovery Rate (WARR): 47.6% Par haircut in OC tests and interest diversion test: 2.7% 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. GOLUB CAPITAL 37(B): S&P Affirms BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 'AA (sf)' rating to the $17 million class B-2-R replacement notes from Golub Capital Partners CLO 37(B) Ltd., a CLO originally issued in August 2018, managed by OPAL BSL LLC, a subsidiary of Golub Capital LLC. S&P withdrew its rating on the class B-2 notes following payment in full on the Sept. 18, 2020, refinancing date. At the same time, S&P affirmed its ratings on the original class A-1, B-1, C, D, and E notes, which were not refinanced. On the Sept. 18, 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. 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 Golub Capital Partners CLO 37(B) Ltd. Replacement class Rating Amount (mil $) B-2-R AA (sf) 17.00 RATINGS AFFIRMED Golub Capital Partners CLO 37(B) Ltd. Class Rating A-1 AAA (sf) B-1 AA (sf) C A (sf) D BBB- (sf) E BB- (sf) GS MORTGAGE 2020-PJ4: DBRS Gives Prov. B Rating on Class B-5 Certs ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-PJ4 (the Certificates) to be issued by GS Mortgage-Backed Securities Trust 2020-PJ4 (GSMBS 2020-PJ4): -- $394.7 million Class A-1 at AAA (sf) -- $394.7 million Class A-2 at AAA (sf) -- $45.3 million Class A-3 at AAA (sf) -- $45.3 million Class A-4 at AAA (sf) -- $296.0 million Class A-5 at AAA (sf) -- $296.0 million Class A-6 at AAA (sf) -- $98.7 million Class A-7 at AAA (sf) -- $98.7 million Class A-8 at AAA (sf) -- $440.0 million Class A-9 at AAA (sf) -- $440.0 million Class A-10 at AAA (sf) -- $440.0 million Class A-X-1 at AAA (sf) -- $394.7 million Class A-X-2 at AAA (sf) -- $45.3 million Class A-X-3 at AAA (sf) -- $296.0 million Class A-X-5 at AAA (sf) -- $98.7 million Class A-X-7 at AAA (sf) -- $19.3 million Class B at BBB (sf) -- $6.3 million Class B-1 at AA (sf) -- $6.3 million Class B-1-A at AA (sf) -- $6.3 million Class B-1-X at AA (sf) -- $7.9 million Class B-2 at A (sf) -- $7.9 million Class B-2-A at A (sf) -- $7.9 million Class B-2-X at A (sf) -- $5.1 million Class B-3 at BBB (sf) -- $5.1 million Class B-3-A at BBB (sf) -- $5.1 million Class B-3-X at BBB (sf) -- $2.1 million Class B-4 at BB (sf) -- $928.0 thousand Class B-5 at B (sf) Classes A-X-1, A-X-2, A-X-3, A-X-5, A-X-7, B-1-X, B-2-X, B-3-X, and B-X are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-4, A-6, A-8, A-9, A-10, A-X-2, B-1, B-2, B, B-3, and B-X are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-1, A-2, A-5, A-6, A-7, and A-8 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-3 and A-4) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 5.25% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.90%, 2.20%, 1.10%, 0.65%, and 0.45% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 610 loans with a total principal balance of $464,388,676 as of the Cut-Off Date (September 1, 2020). The originators for the mortgage pool are United Shore Financial Services, LLC (19.8%), loanDepot.com, LLC (loanDepot, 16.4%), Guaranteed Rate, Inc (11.8%), and various other originators, each comprising less than 10.0% of the mortgage loans. Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller of the transaction. For certain originators, the related loans were sold to MAXEX Clearing LLC (15.5%) and were subsequently acquired by the Mortgage Loan Seller. NewRez LLC, doing business as Shellpoint Mortgage Servicing, will service all mortgage loans within the pool. Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Negative trend by DBRS Morningstar) will act as the Master Servicer, Securities Administrator, and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) File Reviewer. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average (WA) loan age of six months. Approximately 30.8% of the pools are conforming; high-balance mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. The remaining 69.2% of the pool are traditional, nonagency, prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related report. For this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, 11 loans (1.7% of the pool) had been granted forbearance plans because the borrowers reported financial hardship related to the Coronavirus Disease (COVID-19) pandemic. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. As of the Cut-Off Date, all 11 loans satisfied their forbearance plans and are current. Furthermore, none of the loans in the pool are on active coronavirus forbearance plans. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure. CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many residential mortgage-backed securities (RMBS) asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies and loans on forbearance plans, slower voluntary prepayment rates, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020), for the prime asset class DBRS Morningstar assumes a combination of higher unemployment rates and more conservative home price assumptions than what DBRS Morningstar previously used. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus pandemic may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value ratio (LTV) borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, satisfactory third-party due-diligence review, structural enhancements, and 100% current loans. The ratings reflect transactional weaknesses that include their R&W framework, borrowers on forbearance plans, entities lacking financial strength or securitization history, and servicer's financial capability. Notes: All figures are in U.S. dollars unless otherwise noted. ICG US 2014-1: Moody's Lowers Rating on Class E-R Notes to Caa1 --------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by ICG US CLO 2014-1, Ltd.: US$7,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class E-R Notes"), Downgraded to Caa1 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class E-R Notes are referred to herein as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$23,600,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$17,550,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade 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 Notes, the Class D-R Notes, and the Class E-R Notes issued by the CLO. The CLO, originally issued in March 2014 and refinanced in November 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2022. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined, and expected losses (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 3361 compared to 2990 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3004 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 19.9%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $342.5 million, or $7.5 million less than the deal's ramp-up target par balance. Moody's noted that the interest diversion test was recently reported as failing, which could result in a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failures continue. Nevertheless, Moody's noted that the OC tests for the Class C-R Notes and the Class D-R 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: $334,687,246 Defaulted Securities: $13,077,039 Diversity Score: 71 Weighted Average Rating Factor (WARF): 3333 Weighted Average Life (WAL): 5.3 years Weighted Average Spread (WAS): 3.64% Weighted Average Recovery Rate (WARR): 47.34% Par haircut in OC tests and interest diversion test: 1.51% Finally, Moody's notes that it also considered the information in the September 2020 trustee report [4] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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 2014-3: Moody's Confirms Ba3 Rating on Class D-RR Notes -------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by ICG US CLO 2014-3, Ltd.: US$27,000,000 Class C-RR Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C-RR Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$18,800,000 Class D-RR Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D-RR Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class C-RR Notes and the Class D-RR Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class C-RR Notes and the Class D-RR Notes issued by the CLO. The CLO, originally issued in December 2014 and refinanced in May 2017 and 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 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 3367, compared to 2950 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2980 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 20.5%. 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: $387,556,169 Defaulted Securities: $15,927,438 Diversity Score: 68 Weighted Average Rating Factor (WARF): 3296 Weighted Average Life (WAL): 6.0 years Weighted Average Spread (WAS): 3.61% Weighted Average Recovery Rate (WARR): 47.52% Par haircut in OC tests and interest diversion test: 1.8% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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 2015-1: Moody's Confirms Ba3 Rating on Class D-R Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by ICG US CLO 2015-1, Ltd.: US$24,250,000 Class C-R Senior 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$22,250,000 Class D-R Senior 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 Notes and the Class D-R Notes issued by the CLO. The CLO, originally issued in June 2015 and refinanced in October 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2020. RATINGS RATIONALE 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 3315 compared to 3000 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 19.7%. Nevertheless, Moody's noted that the OC tests for the Class C-R Notes, Class D-R Notes, as well as the interest diversion test 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: $387,873,393 Defaulted Securities: $16,051,711 Diversity Score: 71 Weighted Average Rating Factor (WARF): 3296 Weighted Average Life (WAL): 5.0 years Weighted Average Spread (WAS): 3.65% Weighted Average Recovery Rate (WARR): 47.4% Par haircut in OC tests and interest diversion test: 1.28% Finally, Moody's notes that it also considered the information in the September 2020 trustee report [4] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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, and dependent Combination Securities, 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 2015-2R: Moody's Confirms Ba3 Rating on Class D Notes ------------------------------------------------------------ Moody's Investors Service confirmed the ratings on the following notes issued by ICG US CLO 2015-2R, Ltd.: US$24,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2033 (the "Class C Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$25,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2033 (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 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 2025. 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 3339, compared to 2926 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2993 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 21.7%. 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: $385,772,821 Defaulted Securities: $15,267,137 Diversity Score: 66 Weighted Average Rating Factor (WARF): 3312 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.59% Weighted Average Recovery Rate (WARR): 47.4% Par haircut in OC tests and interest diversion test: 1.5% Finally, Moody's notes that it also considered the information in the September 2020 trustee report [5] which became available shortly prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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 2016-1: Moody's Confirms Ba3 Rating on Class D-R Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by ICG US CLO 2016-1, Ltd.: US$26,000,000 Class C-R Senior 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$17,000,000 Class D-R Senior 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 Notes and Class D-R Notes issued by the CLO. The CLO, originally issued in August 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 3340, compared to 3008 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2970 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 18.3%. Nevertheless, Moody's noted that all the OC tests, as well as the Reinvestment OC 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: $386,059,256 Defaulted Securities: $11,356,982 Diversity Score: 68 Weighted Average Rating Factor (WARF): 3274 Weighted Average Life (WAL): 4.7 years Weighted Average Spread (WAS): 3.67% Weighted Average Recovery Rate (WARR): 47.28% 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. IMSCI 2012-2: DBRS Keeps B(low) on Class G Notes Under Review ------------------------------------------------------------- DBRS Limited maintained the Under Review with Negative Implication status on the following classes of Commercial Mortgage Pass-Through Certificates Series 2012-2 issued by Institutional Mortgage Securities Canada Inc. (IMSCI) 2012-2: -- Class XC at A (sf), Under Review with Negative Implications -- Class D at BBB (high) (sf), Under Review with Negative Implications -- Class E at BBB (low) (sf), Under Review with Negative Implications -- Class F at BB (low) (sf), Under Review with Negative Implications -- Class G at B (low) (sf), Under Review with Negative Implications These ratings do not carry trends. These rating actions are reflective of the uncertainty surrounding the resolution of the Centre 1000 loan (Prospectus ID#7; 9.0% of the pool), which remains in special servicing after the loan's sponsor, Strategic Group LLC, submitted an application filing in December 2019 under Canada's Companies' Creditors Arrangement Act (CCAA) that affected the property and 49 others within the sponsor's 171-property portfolio. The interim receiver assigned at the time of the CCAA proceedings was recently replaced by Trillium Property Group, and the property manager is now Jones Lang LaSalle. Given the sharp declines in cash flow for the collateral property over the last several years, difficult market conditions for office properties from both a tenant- and investor-demand perspective, and the general stress on the Canadian economy amid the Coronavirus Disease (COVID-19) pandemic, the risks for this loan have significantly increased from issuance. There is a partial-recourse guarantee in the amount of $3.1 million in place to Riaz Mamdani, the guarantor and indemnitor, who indirectly controls the borrowing entity, Centre 1000 LP. However, DBRS Morningstar believes the servicer's ability to enforce recourse provisions may be limited amid the economic difficulties for the guarantor. DBRS Morningstar also continues to monitor the increased risks for another Alberta loan in Lakewood Apartments (Prospectus ID#3; 10.4% of the pool), which is secured by a multifamily property in Fort McMurray, Alberta. The borrower recently requested payment relief due to the increased stress on oil markets amid the pandemic, and the servicer has confirmed that an approval for a loan modification to allow for interest-only (IO) payments for the period between April 2020 and August 2020 has been granted. The terms of the modification also defer principal paydowns structured as part of a previous loan modification to extend the maturity date through the end of the IO period. Given these latest developments and the most recent difficulties for oil markets that could persist through a larger economic downturn, the subject loan has been placed on the DBRS Morningstar Hotlist and will be monitored closely for developments. DBRS Morningstar also notes two additional loans—Mont-Tremblant Retail (Prospectus ID#9; 7.9% of the pool) and Lachenaie Retail (Prospectus ID#11; 6.3% of the pool)—have both undergone loan modifications as a result of effects amid the coronavirus pandemic. The Mont-Tremblant Retail loan was brought current as of August 2020 and is now structured with IO payments from September 2021 to April 2022. The borrower for the Lachenaie Retail loan has made no additional requests for relief and will have six months to pay off the deferred payment amounts before returning to regular principal and interest payments. As information (e.g., updated property-level financials, rent rolls, new valuations for specially serviced loans, and workout and/or modification specifics) becomes available, DBRS Morningstar will address the Under Review with Negative Implication rating actions over the near to moderate term. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period, but the circumstances surrounding these rating actions may result in a prolonged resolution period. Classes XC is an IO certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in Canadian dollars unless otherwise noted. IMSCI 2013-3: DBRS Keeps B on Class F Notes Under Review -------------------------------------------------------- DBRS Limited maintained the Under Review with Negative Implication status on the following classes of Commercial Mortgage Pass-Through Certificates Series 2013-3 issued by Institutional Mortgage Securities Canada Inc. (IMSCI) Series 2013-3: -- Class X at A (sf), Under Review with Negative Implications -- Class D at BBB (sf), Under Review with Negative Implications -- Class E at BBB (low) (sf), Under Review with Negative Implications -- Class F at B (sf), Under Review with Negative Implications -- Class G at B (low) (sf), Under Review with Negative Implications These ratings do not carry trends. DBRS Morningstar maintained the Under Review with Negative Implications designation on the aforementioned classes due to the uncertainty surrounding the resolution of two loans that transferred to special servicing in January 2020. Deerfoot Court (Prospectus ID#5, 9.0% of the pool) and Airways Business Plaza (Prospectus ID#12, 6.0% of the pool) are both secured by office properties in Calgary and were transferred to special servicing after Strategic Group LLC (Strategic Group), a Calgary-based real estate investment firm, submitted an initial application filing under Canada's Companies' Creditors Arrangement Act (CCAA). The filing affected entities affiliated with 50 commercial properties within Strategic Group's 171-property portfolio, including the two aforementioned properties. The interim receiver assigned at the time of the CCAA proceedings was recently replaced by Trillium Property Group and the property manager is now Jones Lang LaSalle. According to the February 2020 appraisals, the Deerfoot Court property's as-is value was reported at $9.5 million (down from $15.6 million at issuance) and the Airways Business Plaza property's as-is value was reported at $10.0 million (down from $12.0 million at issuance). Given the soft market, depressed oil prices, as well as the general risks to the Canadian economy amid the Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar believes the workout period for these loans could be extended, with the value declines suggesting significantly increased risk of losses to the trust at disposition. Both loans have recourse to the borrowing entity and sponsor for the full amount of the outstanding debt; however, there is substantial uncertainty surrounding the financial wherewithal of the recourse providers. For further information on these loans, please see the DBRS Viewpoint platform, for which information has been provided below. In addition to the assets above, DBRS Morningstar continues to monitor increased risks for three loans secured by multifamily properties in Fort McMurray, Alberta: Lunar and Whimbrel Apartments (Prospectus ID#10, 5.2% of the pool), Snowbird and Skyview Apartments (Prospectus ID#11, 4.9% of the pool), and Parkland and Gannet Apartments (Prospectus ID#17, 4.3% of the pool). All three collateral properties have seen significant performance declines amid the turmoil in the oil and gas markets over the last several years. The loans, which spent time in special servicing in 2016 and 2018, were modified to allow for an extension of the maturity dates, with the most recent extension granted to February 2022. The economic impact of the coronavirus pandemic has compounded previous difficulties for the collateral properties, a factor in the borrower's recent request for payment relief, which was granted by the servicer and allows for a nine-month deferral of scheduled principal and interest payments between April 2020 and December 2020. The deferred payments along with compounded interest are due at the extended loan maturity date. In addition, DBRS Morningstar is monitoring a coronavirus-related relief request submitted by the borrower for the third-largest loan, Marche Terrabone (Prospectus ID#8, 8.3% of the pool), which is secured by a retail property in Terrabonne, Québec. The servicer approved a modification to allow for interest-only (IO) payments from May 2020 to July 2020, with deferred payments to be repaid over a six-month period, which began in August 2020. As information (e.g., updated property-level financials, rent rolls, new valuations for specially serviced loans, and workout and/or modification specifics) becomes available, DBRS Morningstar will address the Under Review with Negative Implication rating actions over the near to moderate term. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period, but the circumstances surrounding these rating actions may result in a prolonged resolution period. Notes: All figures are in Canadian dollars unless otherwise noted. INSITE SECURED 2020-1: Fitch Gives BB-sf Rating on Class C Notes ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Outlooks to InSite Wireless Group's InSite Issuer LLC and InSite Co-Issuer Corp. Secured Cellular Site Revenue Notes, Series 2020-1: RATING ACTIONS InSite Secured Cellular Site Revenue Notes, Series 2020-1 Class A; LT Asf New Rating; previously at A(EXP)sf Class B; LT BBB-sf New Rating; previously at BBB-(EXP)sf Class C; LT BB-sf New Rating; previously at BB-(EXP)sf InSite Secured Cellular Site Revenue Notes, Series 2018-1 Class A 45780KAG1; LT Asf Affirmed; previously at Asf Class B 45780KAJ5; LT BBB-sf Affirmed; previously at BBB-sf Class C 45780KAL0; LT BB-sf Affirmed; previously at BB-sf InSite Secured Cellular Site Revenue Notes, Series 2016-1 Class A 45780KAD8; LT Asf Affirmed; previously at Asf Class B 45780KAE6; LT BBB-sf Affirmed; previously at BBB-sf Class C 45780KAF3; LT BB-sf Affirmed; previously at BB-sf -- $121,100,000 2020-1 class A 'Asf'; Outlook Stable; -- $21,400,000 2020-1 class B 'BBB-sf'; Outlook Stable; -- $21,500,000 2020-1 class C 'BB-sf'; Outlook Stable. In addition, Fitch has affirmed the following classes: -- $219,000,000 2018-1 class A 'Asf'; Outlook Stable; -- $57,000,000 2018-1 class B 'BBB-sf'; Outlook Stable; -- $22,000,000 2018-1 class C 'BB-sf'; Outlook Stable; -- $210,500,000 2016-1 class A 'Asf'; Outlook Stable; -- $21,000,000 2016-1 class B 'BBB-sf'; Outlook Stable; -- $70,000,000 2016-1 class C 'BB-sf'; Outlook Stable. Upon the closing of the 2020 series, the 2020-1 class A will rank pari passu with the 2016-1 class A and 2018-1 class A; the 2020-1 class B will rank pari passu with the 2016-1 class B and the 2018-1 class B; and the 2020-1 class C will rank pari passu with the 2016-1 class C and the 2018-1 class C. The new series of securities was issued pursuant to a supplement to the existing indenture in conjunction with a supplemental indenture on the closing date. Fitch has reviewed the indenture supplement and confirmed that the 2016 and 2018 series of notes will not be downgraded upon the issuance of the 2020 series or as a result of the amended indenture. The ratings are based on information provided by the issuer as of July 2020. TRANSACTION SUMMARY The transaction is an issuance of notes backed by mortgaged cellular sites representing approximately 79.1% of the annualized run rate (ARR) net cash flow (NCF) and guaranteed by the direct parent of the co-issuers. The guarantees are secured by a pledge and first-priority-perfected security interest in 100% of the equity interest of the co-issuers and their subsidiaries. The co-issuers and their subsidiaries own or lease 1,860 wireless communication sites, which include the rights to operate 31 distributed antennae system (DAS) networks. This new series of securities will be issued pursuant to a supplement to the indenture. KEY RATING DRIVERS Trust Leverage: The Fitch NCF for the pool is $82.5 million, implying a Fitch-stressed debt service coverage ratio (DSCR) of 1.16x. The debt multiple relative to Fitch's NCF is 9.3x, which equates to a debt yield of 10.8%. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for tower space, similar to most wireless tower transactions, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date of more than 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology - rendering obsolete the current transmission of wireless signals through cellular sites - will be developed. Wireless service providers (WSPs) currently depend on towers to transmit their signals and continue to invest in this technology. DAS Networks: The collateral pool contains 31 DAS networks representing 7.9% of the ARRNCF. DAS sites are located within buildings or other structures, or venues for which an asset entity has rights under a lease or license to install and operate a DAS, or to manage a DAS network, on the premises. Prefunding: On the closing date, $30 million (3.9% of total proceeds across 2016-1, 2018-1 and 2020-1) will be deposited into a site acquisition account to be used during a 12-month period to acquire additional cellular sites or convert leasehold sites to owned or easement, or in connection with lease-up activity on existing sites. Prefunding introduces uncertainty as to final collateral characteristics. Fitch accounted for prefunding by stressing the NCF of the prefunding component to reflect the most conservative prefunding pool composition tests. Leases to Strong Tower Tenants: There are 3,858 tenant leases. Telephony and data tenants represent 77.5% annualized run rate revenue (ARRR), and 58.3% of the ARRR is from tenants with investment-grade-rated parent entities. Tenant leases on the cellular sites have average annual escalators of 3.0% and an average final remaining term (including renewals) of 22.3 years. Diversified Pool: There are 1,331 tower sites, 498 land sites and 31 DAS sites spanning 50 states, Canada (166 sites), the U.S. Virgin Islands (seven sites) and Puerto Rico (73 sites). The largest state (Texas) represents approximately 10.8% ARRRNCF. The top-10 states and provinces represent 56.1% ARRNCF. Scheduled Amortization: The transaction is structured with scheduled monthly principal payments that will amortize down the principal balance of the 2018 notes by 10% by the anticipated repayment date in year five, reducing the refinance risk. The scheduled amortization is deferrable such that no event of default will have occurred if the borrower accrues monthly principal payments to the next period, prior to its rated final payment date. The 2020 and 2016 series of notes have no scheduled amortization. Canadian Towers: The collateral pool includes 166 sites located in Canada (6.1% ARRNCF). There is no currency swap in place for this transaction. Two collection accounts (USD and CAD) have been established. So long as there are sufficient funds in the collection accounts to pay the required amounts, the trustee will apply funds from those respective accounts. In the event there are insufficient funds in the collection account of the applicable currency, but there are available funds in the other collection account, the indenture trustee shall withdraw funds from such other collection account, convert them into the other currency at the spot rate of foreign exchange and apply such converted funds to pay the remaining amounts owed. To account for the potential CAD-USD currency risk, Fitch applied a 25% additional stress to its NCF from the Canadian sites. Security Interest: Sites representing approximately 79.1% of the ARRNCF (85.9% excluding DAS) are secured by a first leasehold mortgage and a perfected security interest in the personal property owned by the asset entities. The security interests are perfected by the filing of the financing statements under the Uniform Commercial Code. The pledge of the equity of co-issuers provides noteholders with the ability to foreclose on the ownership of co-issuers in the event of default. Title insurance policies are or will be in place for all mortgaged sites by the closing date. The DSCR parameters reflect the collateral of the transaction. Importance of Towers to WSPs: Increased smartphone penetration and data usage have increased the need for cell towers. With WSPs continuing to densify 4G networks and roll out 5G networks handling higher demand for data capacity, there is a need for additional towers. The emergence of tablets and other devices further increases demand for higher speeds and network build-outs. Additional Securities: The transaction allows for the issuance of additional notes. The additional notes will rank pari passu with any class of notes bearing the same class designation and are subject to, among other things, the DSCR after the issuance of additional notes, not being less than the DSCR before such issuance. Additional notes may be issued without additional collateral, provided the DSCR after the issuance is not less than 2.0x. As Fitch monitors the transaction, the possibility of rating upgrades may be limited due to the provision that allows additional notes and cash flow deterioration. T-Mobile and Sprint Consolidation: T-Mobile US, Inc. and Sprint Corporation (combined 21.3% of ARRR) merged in April 2020 to form The New T-Mobile; approximately 8.0% of transaction-level ARRR from The New T-Mobile is attributable to Sprint legacy leases. Leases from those tenants could experience churn if overlapping sites are decommissioned. Fitch's NCF assumes 50% of co-located Sprint leases will not renew at lease maturity, resulting in approximately a $0.3 million reduction in Fitch stressed cash flow. Coronavirus: Fitch believes the risk of the coronavirus pandemic negatively affecting the telecom sector's operational performance, including that of tower operators, is relatively low. The lower risk is due to the integral nature of wireless services in consumers' day-to-day lives. As such, wireless phone services have a high position in consumer priority payments. Nonetheless, demands on infrastructure due to changes in work and usage patterns, as well as the ability of network suppliers to provide products and services to wireless carriers, could have an impact. The ultimate impact on the sector is mixed, as some factors could also increase demand for certain products and services. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: -- Increasing cash flow without an increase in corresponding debt, from contractual lease escalators, new tenant leases or lease amendments could lead to upgrades. -- A 10% increase in Fitch's NCF indicates the following model-implied rating sensitivities: class A from 'Asf' to 'Asf'; class B from 'BBB-sf' to 'BBBsf'; and class C from 'BB-sf' to 'BBsf'. -- Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: -- Declining cash flow as a result of higher site expenses or lease churn, and the development of an alternative technology for the transmission of wireless signal, could lead to downgrades. -- Fitch's NCF was 4.8% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following model-implied rating sensitivities: class A from 'Asf' to 'BBB-sf'; class B from 'BBB-sf' to 'BBsf'; and class C from 'BB-sf' to 'B-sf'. The presale report includes a detailed explanation of additional stresses and sensitivities. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison of certain characteristics with respect to the portfolio of wireless communication sites and related tenant leases in the data file. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. 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 InSite Secured Cellular Site Revenue Notes, Series 2020-1: Transaction & Collateral Structure: '4' InSite Secured Cellular Site Revenue Notes, Series 2016-1: Transaction & Collateral Structure: '4' InSite Secured Cellular Site Revenue Notes, Series 2018-1: Transaction & Collateral Structure: '4' Except for the matters discussed, 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 the way in which they are being managed by the entity(ies). IVY HILL XII: Moody's Lowers Rating on Class D Notes to B1 ---------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Ivy Hill Middle Market Credit Fund XII, Ltd.: US$29,700,000 Class D Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class D Notes"), Downgraded to B1 (sf); previously on June 24, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D Notes are referred to herein as the "Downgraded Notes." In addition, Moody's has confirmed the rating on the following notes: US$22,800,000 Class C Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class C Notes"), Confirmed at Baa3 (sf); previously on June 24, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade The Class C Notes are referred to herein as the "Confirmed Notes." These actions conclude the review for downgrade initiated on June 24, 2020 on the Downgraded Notes and Confirmed Notes issued by the CLO. The CLO, issued in June 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 July 2021, and the deal does not allow trading after the end of the reinvestment period. 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. 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 4321, compared to 4021 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 3589 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 41.54% as of August 2020. 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: Par amount and principal proceeds balance: $370,527,667 Defaulted Securites: $13,271,570 Diversity Score: 55 Weighted Average Rating Factor (WARF): 4339 Weighted Average Life (WAL): 4.1 years Weighted Average Spread (WAS): 4.68% Weighted Average Recovery Rate (WARR): 47.25% Par haircut in OC tests and interest diversion test: 2.2% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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. JACKSON MILL: Moody's Confirms B3 Rating on $5MM Class F-R Notes ---------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Jackson Mill CLO Ltd.: US$32,500,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2027 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$24,500,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2027 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade US$5,500,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2027 (the "Class F-R Notes"), Confirmed at B3 (sf); previously on June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes, the Class E-R Notes, and the Class F-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on June 3, 2020 on the Class D-R, E-R, and F-R Notes issued by the CLO. The CLO, originally issued in May 2015 and refinanced in May 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2019. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3342, compared to 3016 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3106 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 21.4%. Moody's noted that all the OC tests were recently reported [4] as passing, although the Reinvestment OC test was reported as failing [5]. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $494,131,342 Defaulted Securities: $15,892,813 Diversity Score: 76 Weighted Average Rating Factor (WARF): 3330 Weighted Average Life (WAL): 4.14 years Weighted Average Spread (WAS): 3.51% Weighted Average Recovery Rate (WARR): 47.99% Par haircut in OC tests and interest diversion test: 1.8% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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: DBRS Gives Prov. B(low) Rating on 2 Tranches -------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-7 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2020-7: -- $601.3 million Class A-1 at AAA (sf) -- $562.9 million Class A-2 at AAA (sf) -- $498.5 million Class A-3 at AAA (sf) -- $498.5 million Class A-3-A at AAA (sf) -- $498.5 million Class A-3-X at AAA (sf) -- $373.9 million Class A-4 at AAA (sf) -- $373.9 million Class A-4-A at AAA (sf) -- $373.9 million Class A-4-X at AAA (sf) -- $124.6 million Class A-5 at AAA (sf) -- $124.6 million Class A-5-A at AAA (sf) -- $124.6 million Class A-5-B at AAA (sf) -- $124.6 million Class A-5-X-1 at AAA (sf) -- $124.6 million Class A-5-X-2 at AAA (sf) -- $298.4 million Class A-6 at AAA (sf) -- $298.4 million Class A-6-A at AAA (sf) -- $298.4 million Class A-6-X at AAA (sf) -- $200.1 million Class A-7 at AAA (sf) -- $200.1 million Class A-7-A at AAA (sf) -- $200.1 million Class A-7-X at AAA (sf) -- $75.5 million Class A-8 at AAA (sf) -- $75.5 million Class A-8-A at AAA (sf) -- $75.5 million Class A-8-X at AAA (sf) -- $62.3 million Class A-9 at AAA (sf) -- $62.3 million Class A-9-A at AAA (sf) -- $62.3 million Class A-9-B at AAA (sf) -- $62.3 million Class A-9-X-1 at AAA (sf) -- $62.3 million Class A-9-X-2 at AAA (sf) -- $62.3 million Class A-10 at AAA (sf) -- $62.3 million Class A-10-A at AAA (sf) -- $62.3 million Class A-10-B at AAA (sf) -- $62.3 million Class A-10-X-1 at AAA (sf) -- $62.3 million Class A-10-X-2 at AAA (sf) -- $64.3 million Class A-11 at AAA (sf) -- $64.3 million Class A-11-X at AAA (sf) -- $64.3 million Class A-11-A at AAA (sf) -- $64.3 million Class A-11-AI at AAA (sf) -- $64.3 million Class A-11-B at AAA (sf) -- $64.3 million Class A-11-BI at AAA (sf) -- $64.3 million Class A-12 at AAA (sf) -- $64.3 million Class A-13 at AAA (sf) -- $38.4 million Class A-14 at AAA (sf) -- $38.4 million Class A-15 at AAA (sf) -- $532.5 million Class A-16 at AAA (sf) -- $68.7 million Class A-17 at AAA (sf) -- $601.3 million Class A-X-1 at AAA (sf) -- $601.3 million Class A-X-2 at AAA (sf) -- $64.3 million Class A-X-3 at AAA (sf) -- $38.4 million Class A-X-4 at AAA (sf) -- $14.7 million Class B-1 at AA (sf) -- $14.7 million Class B-1-A at AA (sf) -- $14.7 million Class B-1-X at AA (sf) -- $9.0 million Class B-2 at A (sf) -- $9.0 million Class B-2-A at A (sf) -- $9.0 million Class B-2-X at A (sf) -- $6.4 million Class B-3 at BBB (sf) -- $6.4 million Class B-3-A at BBB (sf) -- $6.4 million Class B-3-X at BBB (sf) -- $3.2 million Class B-4 at BB (sf) -- $2.2 million Class B-5 at B (low) (sf) -- $30.1 million Class B-X at BBB (sf) -- $2.2 million Class B-5-Y at B (low) (sf) Classes A-3-X, A-4-X, A-5-X-1, A-5-X-2, A-6-X, A-7-X, A-8-X, A-9-X-1, A-9-X-2, A-10-X-1, A-10-X-2, A-11-X, A-11-AI, A-11-BI, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, and B-X are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-B, A-5-X-1, A-5-X-2, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-9-A, A-10, A-10-A, A-11-A, A-11-AI, A-11-B, A-11-BI, A-12, A-13, A-14, A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, B-5-Y, B-6-Y, and B-6-Z are exchangeable certificates. These classes can be exchanged for combinations of base depositable certificates as specified in the offering documents. DBRS Morningstar does not rate Classes B-6-Y and B-6-Z. Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-5-B, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-9-B, A-10, A-10-A, A-10-B, A-11, A-11-A, A-11-B, A-12, and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.00% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (low) (sf) ratings reflect 3.70%, 2.30%, 1.30%, 0.80%, and 0.45% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 782 loans with a total principal balance of $639,640,632 as of the Cut-Off Date (September 1, 2020). The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of primarily 30 years. Approximately 4.3% of the loans in the pool are conforming mortgage loans predominantly originated by United Shore Financial Services, LLC doing business as United Wholesale Mortgage and Shore Mortgage (United Shore) which were eligible for purchase by Fannie Mae or Freddie Mac. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related presale report. The originators for the aggregate mortgage pool are United Shore (27.2%), First Republic Bank (First Republic; 18.1%), and various other originators, each comprising less than 10% of the pool. Also, approximately 5.2% and 2.5% of the loans by balance were acquired by the Seller from MaxEx Clearing LLC and Oceanview Dispositions, LLC, respectively. The mortgage loans will be serviced or subserviced by Shellpoint Mortgage Servicing (SMS; 47.5%), Cenlar FSB (Cenlar; 26.6%), First Republic (18.1%), and various other servicers/subservicers, each comprising less than 10%. For Cenlar-subserviced loans, the Servicers are United Shore and loanDepot. For USAA Federal Savings Bank-subserviced loans, the Servicer is Nationstar Mortgage LLC (Nationstar). Servicing will be transferred from SMS to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) on the servicing transfer date (November 1, 2020, or a later date) as determined by the Issuing Entity and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by JPMCB, loanDepot, SMS and United Shore is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator and Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. As of the Cut-Off Date, no borrower within the pool has entered into a Coronavirus Disease (COVID-19)-related forbearance plan with a servicer. In the event a borrower requests or enters into a coronavirus-related forbearance plan after the Cut-Off Date but prior to the Closing Date, the Mortgage Loan Seller will remove such loan from the mortgage pool and remit the related Closing Date substitution amount. Loans that enter a coronavirus-related forbearance plan after the Closing Date will remain in the pool. Coronavirus Pandemic Impact The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to raise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020), for the prime asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas (MSAs) may experience additional stress from extended lockdown periods and the slowdown of the economy. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2020-LTV2: Moody's Gives (P)B3 Rating on 2 Tranches ------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2020-LTV2. The ratings range from (P)Aaa (sf) to (P)B3 (sf). The certificates are backed by 587 fully-amortizing fixed-rate mortgage loans with a total balance of $406,244,792 as of the August 31, 2020 cut-off date. The loans have original terms to maturity of 30 years. Similar to prior JPMMT transactions, JPMMT 2020-LTV2 includes agency-eligible mortgage loans (approximately 7.32% by loan balance) underwritten to the government sponsored enterprises (GSE) guidelines, in addition to prime jumbo non-agency eligible mortgages purchased by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC), the sponsor and mortgage loan seller, from various originators and aggregators. The characteristics of the mortgage loans underlying the pool are generally comparable to those of other JPMMT transactions backed by prime mortgage loans that Moody's has rated. As of the cut-off date, no borrower under any mortgage loan has entered into a COVID-19 related forbearance plan with the servicer. United Shore Financial Services, LLC dba United Wholesale Mortgage and Shore Mortgage (United Shore) originated approximately 73.28% of the mortgage loans (by balance) in the pool. All other originators accounted for less than 10% of the pool by balance. With respect to the mortgage loans, each originator made a representation and warranty (R&W) that the mortgage loan constitutes a qualified mortgage (QM) under the QM rule. United Shore will service about 72.2% (subserviced by Cenlar, FSB) and loanDepot.com, LLC (loanDepot) will service about 0.7% (subserviced by Cenlar, FSB). JPMorgan Chase Bank, N.A. (JPMCB) will service 7.4%. NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service about 19.7% of the mortgage loans on behalf of JPMorgan Chase Bank, N.A. (JPMCB). Shellpoint will act as interim servicer for the JPMCB mortgage loans from the closing date until the servicing transfer date, which is expected to occur on or about November 1, 2020 (but which may occur after such date). After the servicing transfer date, these mortgage loans will be serviced by JPMCB. The servicing fee for loans serviced by JPMCB (and Shellpoint, until the servicing transfer date), loanDepot and United Shore will be based on a step-up incentive fee structure and additional fees for servicing delinquent and defaulted loans. Nationstar Mortgage LLC (Nationstar) will be the master servicer and Citibank, N.A. (Citibank) will be the securities administrator and Delaware trustee. Pentalpha Surveillance LLC will be the R&W breach reviewer. Three third-party review (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. Distributions of principal and interest (P&I) and loss allocations are based on a typical shifting interest structure that benefits from senior and subordination floors. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In coding the cash flow, Moody's took into account the step-up incentive servicing fee structure. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2020-LTV2 Cl. A-1, Rating Assigned (P)Aaa (sf) Cl. A-2, Rating Assigned (P)Aaa (sf) Cl. A-3, Rating Assigned (P)Aaa (sf) Cl. A-3-A, Rating Assigned (P)Aaa (sf) Cl. A-3-X*, Rating Assigned (P)Aaa (sf) Cl. A-4, Rating Assigned (P)Aaa (sf) Cl. A-4-A, Rating Assigned (P)Aaa (sf) Cl. A-4-X*, Rating Assigned (P)Aaa (sf) Cl. A-5, Rating Assigned (P)Aaa (sf) Cl. A-5-A, Rating Assigned (P)Aaa (sf) Cl. A-5-B, Rating Assigned (P)Aaa (sf) Cl. A-5-X-1*, Rating Assigned (P)Aaa (sf) Cl. A-5-X-2*, Rating Assigned (P)Aaa (sf) Cl. A-6, Rating Assigned (P)Aaa (sf) Cl. A-6-A, Rating Assigned (P)Aaa (sf) Cl. A-6-X*, Rating Assigned (P)Aaa (sf) Cl. A-7, Rating Assigned (P)Aaa (sf) Cl. A-7-A, Rating Assigned (P)Aaa (sf) Cl. A-7-X*, Rating Assigned (P)Aaa (sf) Cl. A-8, Rating Assigned (P)Aaa (sf) Cl. A-8-A, Rating Assigned (P)Aaa (sf) Cl. A-8-X*, Rating Assigned (P)Aaa (sf) Cl. A-9, Rating Assigned (P)Aaa (sf) Cl. A-9-A, Rating Assigned (P)Aaa (sf) Cl. A-9-B, Rating Assigned (P)Aaa (sf) Cl. A-9-X-1*, Rating Assigned (P)Aaa (sf) Cl. A-9-X-2*, Rating Assigned (P)Aaa (sf) Cl. A-10, Rating Assigned (P)Aaa (sf) Cl. A-10-A, Rating Assigned (P)Aaa (sf) Cl. A-10-B, Rating Assigned (P)Aaa (sf) Cl. A-10-X-1*, Rating Assigned (P)Aaa (sf) Cl. A-10-X-2*, Rating Assigned (P)Aaa (sf) Cl. A-11, Rating Assigned (P)Aaa (sf) Cl. A-11-X*, Rating Assigned (P)Aaa (sf) Cl. A-11-A, Rating Assigned (P)Aaa (sf) Cl. A-11-AI*, Rating Assigned (P)Aaa (sf) Cl. A-11-B, Rating Assigned (P)Aaa (sf) Cl. A-11-BI*, Rating Assigned (P)Aaa (sf) Cl. A-12, Rating Assigned (P)Aaa (sf) Cl. A-13, Rating Assigned (P)Aaa (sf) Cl. A-14, Rating Assigned (P)Aa1 (sf) Cl. A-15, Rating Assigned (P)Aa1 (sf) Cl. A-16, Rating Assigned (P)Aaa (sf) Cl. A-17, Rating Assigned (P)Aaa (sf) Cl. A-X-1*, Rating Assigned (P)Aa1 (sf) Cl. A-X-2*, Rating Assigned (P)Aa1 (sf) Cl. A-X-3*, Rating Assigned (P)Aaa (sf) Cl. A-X-4*, Rating Assigned (P)Aa1 (sf) Cl. B-1, Rating Assigned (P)Aa3 (sf) Cl. B-1-A, Rating Assigned (P)Aa3 (sf) Cl. B-1-X*, Rating Assigned (P)Aa3 (sf) Cl. B-2, Rating Assigned (P)A2 (sf) Cl. B-2-A, Rating Assigned (P)A2 (sf) Cl. B-2-X*, Rating Assigned (P)A2 (sf) Cl. B-3, Rating Assigned (P)Baa3 (sf) Cl. B-3-A, Rating Assigned (P)Baa3 (sf) Cl. B-3-X*, Rating Assigned (P)Baa3 (sf) Cl. B-4, Rating Assigned (P)Ba3 (sf) Cl. B-5, Rating Assigned (P)B3 (sf) Cl. B-5-Y, Rating Assigned (P)B3 (sf) Cl. B-X*, Rating Assigned (P)Baa1 (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 1.96%, in a baseline scenario-median is 1.42%, and reaches 16.04% 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% (11.97% 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 coronavirus 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 TPR and the R&W framework of the transaction. Collateral Description JPMMT 2020-LTV2 is a securitization of a pool of 587 fully-amortizing fixed-rate mortgage loans with a total balance of $406,244,792 as of the cut-off date, with a weighted average (WA) remaining term to maturity of 354 months, and a WA seasoning of 6 months. The WA current FICO score is 751 and the WA original combined loan-to-value ratio (CLTV) is 87.8%. About 85.8% of the mortgage loans (by balance) were originated through correspondent (20.2%) and broker (65.6%) channels. The borrowers have high monthly income (about $21,201 on WA. average), and significant liquid cash reserve (about $112,688 on average), all of which have been verified as part of the underwriting process and reviewed by the third-party review firms. The GSE-eligible loans have an average balance of $725,782 compared to the average GSE balance of approximately $230,000. The higher conforming loan balance is attributable to the greater amount of properties located in high-cost areas, such as the metro areas of Los Angeles, San Francisco and New York City. The GSE-eligible loans, which make up about 7.3% of the JPMMT 2020-LTV2 pool by loan balance, were underwritten pursuant to GSE guidelines and were approved by DU/LP. All the loans are subject to the QM and Ability-to-Repay (ATR) rules. Overall, the characteristics of the loans underlying the pool are generally comparable to those of other JPMMT transactions backed by prime mortgage loans that Moody's has rated. Aggregation/Origination Quality Moody's considers JPMMAC's aggregation platform to be adequate and Moody's did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing JPMMAC as an aggregator, Moody's has also reviewed the originator(s) contributing a significant percentage of the collateral pool (above 10%). Additionally, Moody's did not make an adjustment for GSE-eligible loans, since those loans were underwritten in accordance with GSE guidelines. Moody's increased its base case and Aaa loss expectations for certain originators of non-conforming loans where Moody's does not have clear insight into the underwriting practices, quality control and credit risk management. In addition, Moody's reviewed the loan performance for some of these originators. Moody's viewed the loan performance as comparable to the GSE loans due to consistently low delinquencies, early payment defaults and repurchase requests. United Shore (originator): Loans originated by United Shore have been included in several prime jumbo securitizations that Moody's has rated. United Shore originated approximately 73.28% of the mortgage loans by pool balance (69.31% for non-conforming loans and 3.97% for conforming loans). The majority of these loans were originated under United Shore's High Balance Nationwide program which are processed using the Desktop Underwriter (DU) automated underwriting system, and are therefore underwritten to Fannie Mae guidelines. The loans receive a DU Approve Ineligible feedback due to the loan amount only. Moody's made a negative origination adjustment (i.e. Moody's increased its loss expectations) for United Shore's loans due mostly to 1) the lack of statistically significant program specific loan performance data and 2) the fact that United Shore's High Balance Nationwide program is unique and fairly new and no performance history has been provided to Moody's on these loans. Under this program, the origination criteria rely on the use of GSE tools (DU/LP) for prime-jumbo non-conforming loans, subject to Qualified Mortgage (QM) overlays. More time is needed to assess United Shore's ability to consistently produce high-quality prime jumbo residential mortgage loans under this program. Servicing Arrangement Moody's considers the overall servicing arrangement for this pool to be adequate given the strong servicing arrangement of the servicers, as well as the presence of a strong master servicer to oversee the servicers. The servicers are contractually obligated to the issuing entity to service the related mortgage loans. However, the servicers may perform their servicing obligations through sub-servicers. In this transaction, Nationstar Mortgage LLC (Nationstar Mortgage Holdings Inc. corporate family rating B2) will act as the master servicer. The servicers are required to advance P&I on the mortgage loans. To the extent that the servicers are unable to do so, the master servicer will be obligated to make such advances. In the event that the master servicer, Nationstar, is unable to make such advances, the securities administrator, Citibank (rated Aa3) will be obligated to do so to the extent such advance is determined by the securities administrator to be recoverable. 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. JPMMAC will be removing any mortgage loan with respect to which the related borrower requests or enters into a COVID-19 related forbearance plan after the cut-off date but on or prior to the closing date, which would be a closing date substitution amount treated like a prepayment at month one. 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. Typically, the borrower must contact the servicer and attest they have been impacted by a COVID-19 hardship and that they require payment assistance. The servicer will offer an initial forbearance period to the borrower, which can be extended if the borrower attests that they require additional payment assistance. At the end of the forbearance period, if the borrower is unable to make the forborne payments on such mortgage loan as a lump sum payment or does not enter into a repayment plan, the servicer may defer the missed payments, which could be added as a non-interest-bearing payment due at the end of the loan term. If the borrower can no longer afford to make payments in line with the original loan terms, the servicer would typically work with the borrower to modify the loan (although the servicer may utilize any other loss mitigation option permitted under the pooling and servicing agreement with respect to such mortgage loan at such time or any time thereafter). However, it should be noted that servicing practices, including tracking COVID-19-related loss mitigation activities, may vary among servicers in this particular transaction. These inconsistencies could impact reported collateral performance and affect the timing of any breach of performance triggers, servicer advance recoupment, the extent of servicer fees, and additional expenses for R&W breach reviews when loans become seriously delinquent. Servicing Fee Framework The servicing fee for all loans will be based on a step-up incentive fee structure with a monthly base fee of $40 per loan and additional fees for delinquent or defaulted loans. By establishing a base servicing fee for performing loans that increases when loans become delinquent, the fee-for-service structure aligns monetary incentives to the servicer with the costs of servicing. The servicer receives higher fees for labor-intensive activities that are associated with servicing delinquent loans, including loss mitigation, than they receive for servicing a performing loan, which is less costly and labor-intensive. The fee-for-service compensation is reasonable and adequate for this transaction because it better aligns the servicer's costs with the deal's performance. Furthermore, higher fees for the more labor-intensive tasks make the transfer of these loans to another servicer easier, should that become necessary. The incentive structure includes an initial monthly base servicing fee of $40 for all performing loans and increases according to a pre-determined delinquent and incentive servicing fee schedule. The delinquent and incentive servicing fees will be deducted from the available distribution amount and Class B-6 net WAC. The transaction does not have a servicing fee cap, so, in the event of a servicer replacement, any increase in the base servicing fee beyond the current fee will be paid out of the available distribution amount. Third-Party Review Three TPR firms, AMC Diligence, LLC (AMC), Clayton Services LLC (Clayton) and Opus Capital Markets Consultants, LLC (Opus) (collectively, TPR firms) reviewed 100% of the loans in this transaction for credit, regulatory compliance, property valuation, and data accuracy. Each mortgage loan was reviewed by only one of the TPR firms and each TPR firm produced one or more reports detailing its review procedures and the related results. The TPR results indicated compliance with the originators' underwriting guidelines for majority of loans, no material compliance issues and no material appraisal defects. Overall, the loans that had exceptions to the originators' underwriting guidelines had strong documented compensating factors such as low DTIs, low LTVs, high reserves, high FICOs, or clean payment histories. 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. While the transaction benefits from strong TPR results for credit and compliance, the overall property valuation review for this transaction is weaker than in most prime jumbo 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, most of the non-conforming loans originated under United Shore's High Balance Nationwide program had a property valuation review only consisting of Fannie Mae Collateral Underwriter (CU) risk scores (in some instances, combined with an automated valuation model (AVM)) and no other third-party valuation product such as a collateral desk appraisal (CDA) and field review. Moody's considers the use of CU risk scores for non-conforming loans to be credit negative due to (1) the lack of human intervention which increases the likelihood of missing emerging risk trends, (2) the limited track record of the software and limited transparency into the model and (3) GSE focus on non-jumbo loans which may lower reliability on jumbo loan appraisals. Moody's applied an adjustment to the loss for such loans since the statistically significant sample size and valuation results of the loans that were reviewed using a third-party valuation product such as a CDA and field review were insufficient. R&W Framework JPMMT 2020-LTV2's R&W framework is in line with that of other 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 considers the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. 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. An investment grade rated R&W provider lends substantial strength to its R&Ws. Moody's analyzes the impact of less creditworthy R&W providers case by case, in conjunction with other aspects of the transaction. Moody's made no adjustments to the loans for which JPMorgan Chase Bank, N.A. (rated Aa2) provided R&Ws since it is a high-rated and financially stable entity. Furthermore, the R&W provider, Quicken Loans, LLC (rated Ba1) has a strong credit profile and is a financially stable entity. However, Moody's applied an adjustment to its expected losses to account for the risk that Quicken Loans may be unable to repurchase defective loans in a stressed economic environment in which a substantial portion of the loans breach the R&Ws, given that it is a non-bank entity with a monoline business (mortgage origination and servicing) that is highly correlated with the economy. Moody's tempered this adjustment by taking into account Quicken Loans' relative financial strength relative to other originators in this pool. Moody's applied an adjustment to all other R&W providers that are unrated and/or financially weaker entities. For loans that JPMMAC acquired via the MaxEx (MaxEx Clearing LLC) platform, MaxEx under the assignment, assumption and recognition agreement with JPMMAC, will make the R&Ws. The R&Ws provided by MaxEx to JPMMAC and assigned to the trust are in line with the R&Ws found in other JPMMT transactions. No other party will backstop or be responsible for backstopping any R&W providers who may become financially incapable of repurchasing mortgage loans. With respect to the mortgage loan R&Ws made by such originators or the aggregator, as applicable, as of a date prior to the closing date, JPMMAC will make a "gap" representation covering the period from the date as of which such R&W is made by such originator or the aggregator, as applicable, to the cut-off date or closing date, as applicable. Additionally, no party will be required to repurchase or substitute any mortgage loan until such loan has gone through the review process. Trustee and Master Servicer The transaction Delaware trustee is Citibank. The custodian's functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Citibank. Nationstar, as master servicer, is responsible for servicer oversight, servicer termination and for the appointment of any successor servicer. In addition, Nationstar is committed to act as successor if no other successor servicer can be found. The master servicer is required to advance P&I if the servicer fails to do so. If the master servicer fails to make the required advance, the securities administrator is obligated to make such advance. Tail Risk & Subordination Floor This deal has a standard shifting interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 1.20% of the original pool balance, the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. The subordinate bonds benefit from a floor as well. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than 1.00% of the original pool balance, those tranches that are junior to it do not receive principal distributions. The principal those tranches would have received is directed to pay more senior subordinate bonds pro-rata. In addition, until the aggregate class principal amount of the senior certificates (other than the interest only certificates) is reduced to zero, if on any distribution date, the aggregate subordinate percentage for such distribution date drops below 15.00% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. Moody's calculates the credit neutral floors for a given target rating as shown in its principal methodology. The senior subordination floor is equal to an amount which is the sum of the balance of the six largest loans at closing multiplied by the higher of their corresponding MILAN Aaa severity or a 35% severity. The credit neutral floor for Aaa rating is $4,296,594. The senior subordination floor of 1.20% and subordinate floor of 1.00% are consistent with the credit neutral floors for the assigned ratings. 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. In addition, the pass-through rate on the bonds (other than the Class A-R Certificates) 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. The Class A-11, Class A-11-A, Class A-11-B Certificates will have a pass-through rate that will vary directly with the rate of one-month LIBOR and the Class A-11-X Certificates will have a pass-through rate that will vary inversely with the rate of one-month LIBOR. If the securities administrator notifies the depositor that it cannot determine one-month LIBOR in accordance with the methods prescribed in the sale and servicing agreement and a benchmark transition event has not yet occurred, one-month LIBOR for such accrual period will be one-month LIBOR as calculated for the immediately preceding accrual period. Following the occurrence of a benchmark transition event, a benchmark other than one-month LIBOR will be selected for purposes of calculating the pass-through rate on the Class A-11, Class A-11-A, Class A-11-B certificates. 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. KKR CLO 30: S&P Assigns BB- (sf) Rating to $15.75MM Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- he diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED 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 XIV: Moody's Lowers Rating on Class F-R Notes to B3 ------------------------------------------------------- Moody's Investors Service downgraded the rating on the following note issued by LCM XIV Limited Partnership: US$8,000,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class F-R Notes"), Downgraded to B3 (sf); previously on June 3, 2020 B2 (sf) Placed Under Review for Possible Downgrade The Class F-R Notes is referred to herein as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$23,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$19,250,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes and Class E-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on June 3, 2020 on the Class D-R Notes, Class E-R Notes, and Class F-R Notes issued by the CLO. The CLO, originally issued in July 2013 and refinanced in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on July 2023. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined, and expected losses (ELs) on certain notes have increased. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3167, compared to 2948 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 15.68%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $389.0 million, or $11.0 million less than the deal's ramp-up target par balance. Nevertheless, Moody's noted that the OC tests for the Class D-R Notes, Class E-R Notes, and Class F-R Notes were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $388,950,439 Defaulted Securities: $6,676,611 Diversity Score: 83 Weighted Average Rating Factor (WARF): 3169 Weighted Average Life (WAL): 5.5 years Weighted Average Spread (WAS): 3.30% 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. LCM XV: Moody's Lowers Rating on Class E-R Notes to B1 ------------------------------------------------------ Moody's Investors Service downgraded the ratings on the following notes issued by LCM XV Limited Partnership: US$33,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class D-R Notes"), Downgraded to Ba1 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$27,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes and the Class E-R Notes are referred to herein, collectively, as the "Downgraded Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R Notes and Class E-R Notes issued by the CLO. The CLO, originally issued in February 2014 and refinanced in May 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on July 2022. RATINGS RATIONALE The downgrades on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, 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 3043, compared to 2834 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2846 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 13.58%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $580.2 million, or $19.8 million less than the deal's ramp-up target par balance. Moody's noted that the OC tests for 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. 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: $578,059,664 Defaulted Securities: $8,599,336 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3046 Weighted Average Life (WAL): 5.58 years Weighted Average Spread (WAS): 3.15% Weighted Average Recovery Rate (WARR): 48.1% 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. MARBLE POINT X: Moody's Lowers Rating on Class E Notes to B1 ------------------------------------------------------------ Moody's Investors Service downgraded the rating on the following notes issued by Marble Point CLO X Ltd.: US$25,000,000 Class E Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class E Notes are referred to herein, as the "Downgraded Notes." Moody's also confirmed the rating on the following notes: US$30,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade The Class D Notes are referred to herein as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D and Class E Notes issued by the CLO. The CLO issued in September 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on October 2022. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, 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 3135, compared to 2955 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2872 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 13.55%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $484.7 million, or $15.3 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 Class E Notes, as well as the interest diversion test were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $481,612,976 Defaulted Securities: $7,777,030 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3146 Weighted Average Life (WAL): 5.7 years Weighted Average Spread (WAS): 3.53% Weighted Average Recovery Rate (WARR): 47.1% Par haircut in OC tests and interest diversion test: 0.20% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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. MCAP CMBS 2014-1: DBRS Keeps B on Class G Certs Under Review ------------------------------------------------------------ DBRS Limited maintained the Under Review with Negative Implications status on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-1 issued by MCAP CMBS Issuer Corporation, Series 2014-1: -- Class E at BBB (low) (sf), Under Review with Negative Implications -- Class F at BB (sf), Under Review with Negative Implications -- Class G at B (sf), Under Review with Negative Implications These ratings do not carry trends. These rating actions reflect ongoing concerns surrounding the resolution for the specially serviced loan, 1121 Centre Street NW (Prospectus ID#7, 35.6% of the pool), which is secured by an office property in Calgary. In December 2019, the loan sponsor, Strategic Group LLC, submitted an application filing under Canada's Companies' Creditors Arrangement Act (CCAA), which affected the subject property and 49 others within the sponsor's 171-property portfolio. The subject property, which also secures a subordinate B note in the amount of $1.0 million, held outside of the trust, has shown cash flow declines since YE2015, with the most recently reported debt service coverage ratio for YE2018 at 1.16 times (x) for the whole loan and 1.15x for the A note. The occupancy declines driven by soft market conditions in recent years were the source of cash flow declines since issuance for both the subject and several other properties owned by the sponsor and backing commercial mortgage-backed security (CMBS) and other loans included in the CCAA filing. The subject's relatively high occupancy rate and above breakeven cash flow do suggest prospects for resolution could be rosier than others; however, the servicer has expressed cautious optimism regarding the potential sale of the property since the loan's transfer to special servicing in January 2020. Control of the property was transferred from the court appointed receiver to an independent appointed receiver and the new receiver and the servicer are working to market the property for sale. For further information on this loan, please see the DBRS Viewpoint platform, for which information has been provided below. As information (e.g., updated property-level financials, rent rolls, new valuations for specially serviced loans, and workout and/or modification specifics) becomes available, DBRS Morningstar will address the Under Review with Negative Implication rating actions over the near to moderate term. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period, but the circumstances surrounding these rating actions may result in a prolonged resolution period. Notes: All figures are in Canadian dollars unless otherwise noted. MONROE CAPITAL 2014-1: Moody's Cuts Rating on Class E Notes to Ba3 ------------------------------------------------------------------ Moody's Investors Service downgraded the rating on the following notes issued by Monroe Capital CLO 2014-1, Ltd.: US$20,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class E Notes"), Downgraded to Ba3 (sf); previously on June 24, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade The Class E 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 September 2014 and refinanced in October 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 ended in October 2018. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined, and expected losses (ELs) on certain notes have increased. According to the July 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 4755, compared to 4378 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 3459 reported in the July 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 48.13% as of July 2020. 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: Par amount and principal proceeds balance: $186,242,033 Defaulted Securites: $24,624,111 Diversity Score: 33 Weighted Average Rating Factor (WARF): 4807 Weighted Average Life (WAL): 3.27 years Weighted Average Spread (WAS): 5.0% Weighted Average Recovery Rate (WARR): 46.1% Par haircut in OC tests and interest diversion test: 3.5% Finally, Moody's notes that it also considered the information in the August 2020 trustee report [5] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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. MORGAN STANLEY 2016-C32: Fitch Affirms B-sf Rating on Cl. F Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 (MSBAM 2016-C32) as follows: RATING ACTIONS MSBAM 2016-C32 Class A-1 61691GAN0; LT AAAsf Affirmed; previously at AAAsf Class A-2 61691GAP5; LT AAAsf Affirmed; previously at AAAsf Class A-3 61691GAR1; LT AAAsf Affirmed; previously at AAAsf Class A-4 61691GAS9; LT AAAsf Affirmed; previously at AAAsf Class A-S 61691GAV2; LT AAAsf Affirmed; previously at AAAsf Class A-SB 61691GAQ3; LT AAAsf Affirmed; previously at AAAsf Class B 61691GAW0; LT AA-sf Affirmed; previously at AA-sf Class C 61691GAX8; LT A-sf Affirmed; previously at A-sf Class D 61691GAC4; LT BBB-sf Affirmed; previously at BBB-sf Class E 61691GAE0; LT BB-sf Affirmed; previously at BB-sf Class F 61691GAG5; LT B-sf Affirmed; previously at B-sf Class X-A 61691GAT7; LT AAAsf Affirmed; previously at AAAsf Class X-B 61691GAU4; LT AA-sf Affirmed; previously at AA-sf Class X-D 61691GAA8; LT BBB-sf Affirmed; previously at 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 four Fitch Loans of Concern (FLOCs; 9.7% of the pool), including one specially serviced loan (5.8%), as well as concerns over the overall impact of the coronavirus pandemic on the pool. Fitch has designated four loans (9.7%) as FLOCs. The largest FLOC is the Wolfchase Galleria loan (5.8%), which is secured by a 391,862-sf regional mall located in Memphis, TN. The subject is anchored by Macy's (non-collateral), Dillard's (non-collateral), J.C. Penney (non-collateral) and Malco Theatres. The loan transferred to special servicing in June 2020 due to a monetary default, as a result of the coronavirus pandemic. Per the June 2020 rent roll, collateral occupancy was 81%. Leases representing 6.7% of the NRA roll in 2020, followed by 5.4% in 2021, 8.2% in 2022 and 1.7% in 2023. The servicer reported NOI DSCR was 1.29x at YE 2019, slightly down from 1.35x at YE 2018. While the subject is the dominant mall in its trade area, it is also located in a secondary market with fewer demand drivers. Fitch requested a recent sales report from the servicer, but has not received one to date. Fitch will continue to monitor the status of the loan. The second largest FLOC is the Parkview Plaza loan (2.4%), which is secured by 192,775-sf community shopping center located in Lancaster, PA. The loan has been designated as a FLOC due to a significant decline in occupancy since issuance. The second largest tenant at issuance, Bon Ton Furniture (16.7% of NRA) went dark in 2018 after the bankruptcy of its parent company. As of YE 2019, occupancy was reported at 72%, down from 82% at YE 2018 and 97% at YE 2017. The servicer reported NOI DSCR was 1.31x at YE 2019, down from 1.48x at YE 2018. The largest tenants at the property include Ollies Bargain Outlet (19% NRA) and TJ Maxx (13% NRA). The next largest FLOC is the James Creek and Foxfire Student Housing loan (1.1%), which is secured by two student housing properties located in Stillwater, OK near Oklahoma State University. As of August 2020, the loan is 30 days delinquent. The servicer reported NOI DSCR was 1.21x at YE 2019 with an occupancy of 97%. The last FLOC comprises only 0.3% of the pool and is secured by a portfolio of two Rite Aids located in Spring Lake and Coloma, Michigan. The loan has been designated a FLOC due to a 0.82x NOI DSCR as of YE 2019. Minimal Change to Credit Enhancement (CE): As of the August 2020 distribution date, the pool's aggregate principal balance was reduced by 2.7% to $907 million from $882.3 billion at issuance. There have been no realized losses to date and interest shortfalls are currently affecting the non-rated class G. Eight loans (14.5%) are full-term IO, and five loans (8.8%) remain in their partial IO periods. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario that assumed a potential outsized loss of 50% on the current balance of the specially serviced Wolfchase Galleria loan. This scenario contributes to the Negative Rating Outlook on class D and X-D. Coronavirus: Fitch expects significant economic impacts for certain hotels, retail and multifamily properties, due to the coronavirus pandemic and the resulting reductions in travel and tourism, temporary property closures, and lack of clarity at this time on the potential duration of these impacts. Loans collateralized by retail properties and mixed-use properties with a retail component account for 21 loans (40.7% of pool). Loans secured by hotel properties account for one loan (2.6%), while 12 loans (11%) are secured by a multifamily property. Fitch's base case analysis applied additional stresses to nine retail loans, one hotel loan and one multifamily loan due to their vulnerability to the coronavirus pandemic; this analysis contributed to the Negative Outlooks on classes D, E, F, and X-D. RATING SENSITIVITIES The Stable Outlooks on the senior classes 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 D, E and F reflect concerns over the FLOCs, and the Wolfchase Galleria loan in particular, 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, and F 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-1 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 'BBB-sf', 'BB-sf', or 'B-sf' would occur if the performance of the FLOCs continue 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 2018-L1: Fitch Affirms B- Rating on Class H-RR Debt ------------------------------------------------------------------ Fitch Ratings has affirmed 16 classes and revised the Outlooks of two classes of Morgan Stanley Capital I Trust commercial mortgage pass-through certificates, series 2018-L1. RATING ACTIONS MSC 2018-L1 Class A-1 61691QAA6; LT AAAsf Affirmed; previously at AAAsf Class A-2 61691QAB4; LT AAAsf Affirmed; previously at AAAsf Class A-3 61691QAD0; LT AAAsf Affirmed; previously at AAAsf Class A-4 61691QAE8; LT AAAsf Affirmed; previously at AAAsf Class A-S 61691QAH1; LT AAAsf Affirmed; previously at AAAsf Class A-SB 61691QAC2; LT AAAsf Affirmed; previously at AAAsf Class B 61691QAJ7; LT AA-sf Affirmed; previously at AA-sf Class C 61691QAK4; LT A-sf Affirmed; previously at A-sf Class D 61691QAN8; LT BBBsf Affirmed; previously at BBBsf Class E 61691QAQ1; LT BBB-sf Affirmed; previously at BBB-sf Class F-RR 61691QAS7; LT BB+sf Affirmed; previously at BB+sf Class G-RR 61691QAU2; LT BB-sf Affirmed; previously at BB-sf Class H-RR 61691QAW8; LT B-sf Affirmed; previously at B-sf Class X-A 61691QAF5; LT AAAsf Affirmed; previously at AAAsf Class X-B 61691QAG3; LT AA-sf Affirmed; previously at AA-sf Class X-D 61691QAL2; LT BBB-sf Affirmed; previously at BBB-sf KEY RATING DRIVERS Increased Loss Expectations/Specially Serviced Loan: 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 seven loans (12.7%) as FLOCs, including one, Shoppes at Chino Hills (1.4%), that has recently transferred to special servicing due to delinquency. The loan is secured by a 378,500-sf lifestyle center located in Chino Hills, CA. As of the March 2020 rent roll, the property was 93% occupied, down from 96% at YE 2019. The servicer reported NOI debt service coverage ratio (DSCR) was 1.62x as of YE 2019. Approximately 27% of the NRA has leases scheduled to expire in 2021, including two of the four largest tenants; Jacuzzi Brands (9% NRA) and Old Navy (4% NRA). Of the remaining FLOCs, two (8.6%) are in the top 15. As of the September 2020 distribution period, there are 14 loans (40.6%) on the servicer's watchlist for delinquency, low DSCR and delinquent taxes. Fitch Loans of Concern: The largest FLOC in the pool; Navika Six Portfolio (4.9% of the pool), is secured by six hotels totaling 803 keys located in California, Texas, Florida and New Jersey. The portfolio includes two full-service, three limited service and one select service hotel. Per the master servicer commentary, the borrower has been granted COVID-19 relief. Relief terms include three months of deferred FF&E reserves, and ability to utilize existing FF&E reserves to cover three months of debt service payments. As of YE 2019, the portfolio had a weighted average RevPar penetration rate of 110.7% compared with 112.8% at issuance and NOI DSCR of 1.89x as of YE 2019 from 2.10x at YE 2018. However, the loan fails to meet the property specific coronavirus NOI DSCR tolerance threshold and therefore, received additional stresses to address expected declines in performance. As of the September 2020 distribution period, the loan has been 30 days delinquent. Embassy Suites Atlanta Airport (3.6%) is a full-service hotel located in Atlanta, GA. This loan has been flagged as a FLOC given the potential for significant decline in property performance as a result of the coronavirus pandemic. Per the master servicer commentary, the borrower was seeking forbearance, but upon further discussion withdrew the request. The loan remains current. As of YE 2019, subject occupancy and NOI DSCR were 84% and 1.91x, respectively. The remaining five FLOCs (4.1%) are all outside of the top 15. All the loans were flagged due to coronavirus-related performance concerns. Exposure to Coronavirus Pandemic: Five loans (13.4%) are secured by hotel properties. The weighted average NOI DSCR for all the hotel loans is 2.00x. These hotel loans could sustain a weighted average decline in NOI of 49.2% before DSCR falls below 1.00x. Twenty-one loans (37.6%) are secured by retail properties. The weighted average NOI DSCR for all performing retail loans is 2.05x. These retail loans could sustain a weighted average decline in NOI of 49.8% before DSCR falls below 1.00x. Fitch's base case analysis applied additional stresses to all five-hotel loans and ten retail loans (7.6%) given the significant declines in property-level cash flow in the short term as a result of the decrease in travel and tourism and property closures from the coronavirus pandemic. These additional stresses contributed to the Outlook revision on class F-RR, G-RR and H-RR. Minimal Change in Credit Enhancement: Credit Enhancement (CE) has had minimal change since issuance due to limited amortization, no loan payoffs and no defeasance. As of the August 2020 distribution period, the pool's aggregate balance has been paid down by 0.52% to $895.87 million from $900.59 million at issuance. Twenty-one loans (51.8% of the pool) are full-term interest-only, 13loans (29.2% of the pool) are partial interest-only and one loan (2.9% of the pool) is interest-only plus an ARD structure. The pool is scheduled to amortize just 6.3% of the initial pool balance by maturity, which is below than the YTD 2018 and 2017 averages of 7.3% and 7.9%, respectively. RATING SENSITIVITIES The Stable Outlooks on classes A-1 through E reflect the generally stable performance of the majority of the pool and expected continued amortization. The Negative Outlooks on class F-RR, G-RR and H-RR reflect performance concerns with hotel and retail properties due to the slowdown in economic activity related to the coronavirus pandemic as well as the underperformance of the pool's FLOCs. Downgrades of these three classes of one category or more are possible if FLOCs default or performance recovery is not considered likely. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to classes B, C and X-B would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations and further underperformance of the FLOC or loans expected to be negatively impacted by the coronavirus pandemic could cause this trend to reverse. Upgrades to classes D, E and X-D would also take into account these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. An upgrade to classes F-RR, G-RR and H-RR 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 class. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'Asf', 'AAsf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur at the 'AAsf' and 'AAAsf' categories should interest shortfalls occur. Downgrades to classes D, E and X-D would occur should overall pool losses increase and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to classes, F-RR, G-RR and H-RR 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 that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. 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). MOUNTAIN VIEW 2017-2: Moody's Confirms B3 Rating on Class F Notes ----------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Mountain View CLO 2017-2 Ltd.: US$25,500,000 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$17,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade US$7,400,000 Class F Junior 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 D Notes, Class E Notes, and Class F Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Class D, Class E, and Class F Notes issued by the CLO. The CLO, issued in January 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on January 2023. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3036, compared to 2645 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2862 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 14.6%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $393.6 million, or $6.4 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: $388,881,646 Defaulted Securities: $8,353,048 Diversity Score: 81 Weighted Average Rating Factor (WARF): 3007 Weighted Average Life (WAL): 5.90 years Weighted Average Spread (WAS): 3.49% Weighted Average Recovery Rate (WARR): 47.9% 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. MOUNTAIN VIEW XIV: Moody's Lowers Rating on Class F Notes to Caa1 ----------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Mountain View CLO XIV Ltd.: US$3,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2029 (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$22,400,000 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$20,000,000 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, Class E, and Class F 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 on April 2021. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased 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 3056, compared to 2629 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2870 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 14.1%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $395.9 million, or $4.1 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: $394,554,174 Defaulted Securities: $2,346,960 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3058 Weighted Average Life (WAL): 4.97 years Weighted Average Spread (WAS): 3.54% Weighted Average Recovery Rate (WARR): 48.0% 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. NATIONSTAR HECM 2020-1: DBRS Gives Prov. BB Rating on 2 Tranches ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Asset-Backed Notes, Series 2020-1 to be issued by Nationstar HECM Loan Trust 2020-1: -- $408.1 million Class A at AAA (sf) -- $34.9 million Class M1 at AA (sf) -- $33.8 million Class M2 at A (sf) -- $23.9 million Class M3 at BBB (sf) -- $15.6 million Class M4 at BB (sf) -- $2.6 million Class M5 at BB (sf) The AAA (sf) rating reflects 21.34% of credit enhancement. The AA (sf), A (sf), BBB (sf), BB (sf), and BB (sf) ratings reflect 21.34%, 14.62%, 8.10%, 3.50%, 0.50%, and 0.00% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowners association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (August 31, 2020), the collateral has approximately $518.8 million in unpaid principal balance (UPB) from 1,860 nonperforming home equity conversion mortgage (HECM) reverse mortgage loans secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. The loans were originated between October 2006 and October 2014. Of the total loans, 1,378 are fixed (76.2% of balance) with a 5.2% weighted-average coupon (WAC). The remaining 482 loans are floating-rate (23.8% of balance) with a 2.5% current coupon bringing the entire collateral pool to a 4.6% WAC. As of the Cut-Off Date, all the loans in this transaction are nonperforming (i.e., inactive) loans. There are 630 loans that are referred for foreclosure (37.6% of balance), 368 are in bankruptcy status (19.9%), 390 are called due (19.8%), 142 are real estate owned (7.2%), 15 are deed in lieu (0.8%), and the remaining 315 (14.7%) are in default. However, all of these loans are insured by the United States Department of Housing and Urban Development (HUD), and this insurance acts to mitigate losses vis-à-vis uninsured loans. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 60.0% for these loans. The WA LTV is calculated by dividing the UPB by the maximum claim amount and the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available funds caps. The Class M Notes have principal lockout terms insofar as they are not entitled to principal payments until they are in their applicable target amortization period, in which they are entitled to receive fixed scheduled payments and must be paid in full at the end of such target amortization period. Available cash will be trapped until these dates at which stage the class of notes in its target amortization period will start to receive principal payments in their scheduled amounts. Specifically, the Class M1, M2, M3, M4, and M5 Notes are locked out until June 2023, September 2023, December 2023, February 2024, and March 2024, respectively. Note that the DBRS Morningstar cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence at the time of issuance, these rules are not expected to affect the natural cash flow waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. NORTHWOODS CAPITAL XII-B: Moody's Confirms B2 on Class F Notes -------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Northwoods Capital XII-B, Limited: US$31,350,000 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$37,350,000 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$26,900,000 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 US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Confirmed at B2 (sf); previously on April 17, 2020 B2 (sf) Placed Under Review for Possible Downgrade The Class C Notes, Class D Notes, the Class E Notes, and the Class F Notes are referred to herein, collectively, as the Confirmed Notes. This action concludes the review for downgrades initiated on June 3, 2020 on the Class C Notes and on April 17, 2020 on the Class D Notes, the Class E Notes, and the Class F Notes issued by the CLO. The CLO, originally issued in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in June 2023. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (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 3327, compared to 2806 reported in the March 2020 trustee report [2]. Moody's calculation also showed 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 24.2%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $583.8 million. Moody's noted that the interest diversion test was recently reported [4] as failing, which could result in a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failures continue. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Par amount and principal proceeds balance: $578,967,142 Defaulted Securities: $7,955,428 Diversity Score: 67 Weighted Average Rating Factor (WARF): 3324 Weighted Average Life (WAL): 5.71 years Weighted Average Spread (WAS): 3.91% Weighted Average Recovery Rate (WARR): 46.28% Par haircut in OC tests: 2.3% Finally, Moody's notes that it also considered the information in the September 2020 trustee report [5] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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. NORTHWOODS CAPITAL XVI: Moody's Confirms Ba3 Rating on Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service confirmed the ratings on the following notes issued by Northwoods Capital XVI, Limited: US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$27,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$25,000,000 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 C Notes, 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 June 3, 2020 on the Class C Notes and on April 17, 2020 on the Class D Notes and the Class E 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 November 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 3444, compared to 2826 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2953 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 24.1%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $487.6 million, or $12.4 million less than the deal's ramp-up target par balance. Moody's noted that the OC tests for the Class E Notes, as well as the interest diversion test were recently reported [4] as failing, which could result in continued repayment of senior notes or a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failures continue. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Par amount and principal proceeds balance: $480,873,844 Defaulted Securities: $10,015,434 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3397 Weighted Average Life (WAL): 5.53 years Weighted Average Spread (WAS): 3.85% Weighted Average Recovery Rate (WARR): 46.56% Par haircut in OC tests: 2.5% 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. NORTHWOODS CAPITAL XVIII: Moody's Confirms Ba3 on Class E Notes --------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Northwoods Capital XVIII, Limited: US$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Confirmed at A2 (sf); previously on June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade US$27,000,000 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$26,000,000 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 C Notes, 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 June 3, 2020 on the Class C Notes and on April 17, 2020 on the Class D Notes and the Class E Notes issued by the CLO. The CLO, originally issued in May 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in May 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 3185, compared to 2703 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 2974 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 21.2%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $447 million, or $3 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 [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: $443,413,137 Defaulted Securities: $5,314,112 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3214 Weighted Average Life (WAL): 5.67 years Weighted Average Spread (WAS): 3.75% Weighted Average Recovery Rate (WARR): 46.79% Par haircut in OC tests: 1.18% 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. OBX TRUST 2020-EXP3: DBRS Gives Prov. B Rating on Class B6-1 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2020-EXP3 (the Notes) to be issued by OBX 2020-EXP3 Trust (the Trust): -- $180.4 million Class 1-A-1 at AAA (sf) -- $45.1 million Class 1-A-2 at AAA (sf) -- $225.5 million Class 1-A-3 at AAA (sf) -- $9.9 million Class 1-A-4 at AAA (sf) -- $235.4 million Class 1-A-5 at AAA (sf) -- $180.4 million Class 1-A-IO1 at AAA (sf) -- $45.1 million Class 1-A-IO2 at AAA (sf) -- $225.5 million Class 1-A-IO3 at AAA (sf) -- $9.9 million Class 1-A-IO4 at AAA (sf) -- $235.4 million Class 1-A-IO5 at AAA (sf) -- $235.4 million Class 1-A-IO6 at AAA (sf) -- $180.4 million Class 1-A-6 at AAA (sf) -- $45.1 million Class 1-A-7 at AAA (sf) -- $225.5 million Class 1-A-8 at AAA (sf) -- $9.9 million Class 1-A-9 at AAA (sf) -- $235.4 million Class 1-A-10 at AAA (sf) -- $108.2 million Class 1-A-11 at AAA (sf) -- $108.2 million Class 1-A-11X at AAA (sf) -- $108.2 million Class 1-A-12 at AAA (sf) -- $225.5 million Class 1-A-IO71 at AAA (sf) -- $225.5 million Class 1-A-IO72 at AAA (sf) -- $9.9 million Class 1-A-IO81 at AAA (sf) -- $9.9 million Class 1-A-IO82 at AAA (sf) -- $235.4 million Class 1-A-IO781 at AAA (sf) -- $235.4 million Class 1-A-IO782 at AAA (sf) -- $148.9 million Class 2-A-1A at AAA (sf) -- $37.2 million Class 2-A-1B at AAA (sf) -- $186.2 million Class 2-A-1 at AAA (sf) -- $8.1 million Class 2-A-2 at AAA (sf) -- $194.3 million Class 2-A-3 at AAA (sf) -- $194.3 million Class 2-A-IO at AAA (sf) -- $10.3 million Class B-1 at A (high) (sf) -- $10.3 million Class B1-IO1 at A (high) (sf) -- $10.3 million Class B1-IO2 at A (high) (sf) -- $10.3 million Class B1-A at A (high) (sf) -- $10.3 million Class B1-B at A (high) (sf) -- $23.7 million Class B2-1 at A (sf) -- $23.7 million Class B2-1-IO1 at A (sf) -- $23.7 million Class B2-1-IO2 at A (sf) -- $23.7 million Class B2-1-A at A (sf) -- $23.7 million Class B2-1-B at A (sf) -- $6.2 million Class B2-2 at A (low) (sf) -- $6.2 million Class B2-2-IO1 at A (low) (sf) -- $6.2 million Class B2-2-IO2 at A (low) (sf) -- $6.2 million Class B2-2-A at A (low) (sf) -- $6.2 million Class B2-2-B at A (low) (sf) -- $14.2 million Class B-3 at BBB (sf) -- $7.7 million Class B-4 at BB (high) (sf) -- $4.9 million Class B-5 at BB (low) (sf) -- $4.9 million Class B6-1 at B (sf) Classes 1-A-IO1, 1-A-IO2, 1-A-IO3, 1-A-IO4, 1-A-IO5, 1-A-IO6, 1-A-11X, 1-A-IO71, 1-A-IO72, 1-A-IO81, 1-A-IO82, 1-A-IO781, 1-A-IO782, 2-A-IO, B1-IO1, B1-IO2, B2-1-IO1, B2-1-IO2, B2-2-IO1, and B2-2-IO2 are interest-only (IO) notes. The balances represent notional amounts. Classes 1-A-3, 1-A-5, 1-A-6, 1-A-7, 1-A-8, 1-A-9, 1-A-10, 1-A-11, 1-A-12, 1-A-IO3, 1-A-IO5, 1-A-IO6, 1-A-11X, 2-A-1, 2-A-3, 1-A-IO781, 1-A-IO782, B1-A, B1-B, B2-1-A, B2-1-B, B2-2-A, and B2-2-B Notes are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes 1-A-1, 1-A-2, 1-A-3, 1-A-6, 1-A-7, 1-A-8, 1-A-11, 1-A-12, 2-A-1A, 2-A-1B, and 2-A-1 are super senior notes. These classes benefit from additional protection from the senior support notes (Classes 1-A-4, Class 1-A-9, and Class 2-A-2) with respect to loss allocation. The AAA (sf) ratings on the Notes reflect 16.50% of credit enhancement provided by subordinated notes in the pool. The A (high) (sf), A (sf), A (low) (sf), BBB (sf), BB (high) (sf), BB (low) (sf) and B (sf) ratings reflect 14.50%, 9.90%, 8.70%, 5.95%, 4.45%, 3.50%, and 2.55% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of newly originated and seasoned, first-lien, fixed- and adjustable-rate expanded prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,050 loans with a total principal balance of $514,609,134 as of the Cut-Off Date (September 1, 2020). The loans were originated by Oaktree Funding Corporation (Oaktree; 15.7%), loanDepot.com, LLC (11.4%), and various other lenders, each comprising no more than 10% of the pool. The Seller, Onslow Bay Financial LLC (Onslow Bay), acquired the loans prior to the Closing Date either (1) from the originators directly or (2) from a third-party aggregator. The Seller either applied (1) its own acquisition criteria or (2) the underlying lenders' underwriting guidelines, if such guides generally fell within the Seller's required parameters. On the Closing Date, Onslow Bay, through an affiliate, Onslow Bay Funding LLC (the Depositor), will contribute the loans to the Trust. Since 2018, Onslow Bay has issued six expanded prime transactions. The loans will be serviced by Select Portfolio Servicing, Inc. (60.7%), NewRez LLC doing business as Shellpoint Mortgage Servicing (33.9%), and Specialized Loan Servicing LLC (5.4%). Onslow Bay will act as the Principal and Interest (P&I) Advancing Party. Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Negative trend by DBRS Morningstar) will act as the Paying Agent, Master Servicer, Note Registrar, and Custodian. Wilmington Savings Fund Society, FSB will serve as Indenture and Owner Trustee. 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 Qualified Mortgage (QM)/ATR rules, 7.2% of the loans are designated as QM Safe Harbor, 0.7% is designated as QM Rebuttable Presumption, and 41.4% are designated as non-QM. Approximately 45.6% of the loans are exempt from the QM/ATR rules because they were either (1) made to investors for business purposes (including 24.2% agency eligible investor loans) or (2) originated prior to implementation of the rules. Additionally, one lender, designated by the U.S. Department of the Treasury as a Community Development Financial Institution (CDFI), originated 5.1% of the loans. While loans originated by a CDFI are not required to comply with the ATR rules, the CDFI loans included in this pool were made to mostly creditworthy borrowers with a weighted-average (WA) debt-to-income (DTI) ratio of 34.3% and a WA credit score of 759. The P&I Advancing Party will generally fund advances of delinquent P&I on a mortgage until such loan become 120 days delinquent, if such advances are deemed to be recoverable. 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 mortgage loan that becomes 90 or more days delinquent under the Mortgage Bankers Association (MBA) method at the optional repurchase price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For loans subject to Coronavirus Disease (COVID-19) forbearance plans, delinquencies are counted once the forbearance period ends. Because of the CDFI loans included in the securitization, OBX 2020-EXP3 is subject to an adjusted required credit risk. Under U.S. Risk Retention rules, the percentage retained by the securitizer is eligible to be reduced by the ratio of the CDFI loan balances to the aggregate pool balance. As such, the Seller, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal residual interest consisting of at least 4.75% of the Notes to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. Group 1 and Group 2 senior notes will be backed by collateral from each respective pool. The subordinate notes will be cross-collateralized between the two pools. This is generally known as a Y-Structure. 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 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 IO or higher DTI ratio mortgages, to near-prime debtors who have had certain derogatory pay histories but were cured more than two years ago, to nonprime borrowers whose credit events were only recently cleared, among others. In addition, some originators offer alternative documentation or bank statement underwriting to self-employed borrowers in lieu of verifying income with 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: September Update, published on September 10, 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 (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, 19.6% of the borrowers had been granted, or requested, forbearance plans because the borrowers reported financial hardship related to coronavirus. 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. Beginning in month four, the borrower can repay the entire missed mortgage payments at once, extend the forbearance, or opt to go on a repayment plan to catch up on missed payments for a maximum generally of six months. During the repayment period, the borrower is required to make regular payments as well as additional amounts to catch up on the missed payments. Prior to the expiration of the forbearance period, the related Servicer would attempt to contact the borrower and evaluate their capacity to repay the missed amounts. As a result, the related Servicer 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: -- Increasing delinquencies for the AAA (sf) rating levels for the first 12 months, -- Increasing delinquencies for the A (high) (sf) and below rating levels for the first nine months, -- Applying no voluntary prepayments for the AAA (sf) rating levels for the first 12 months, and -- Delaying the receipt of liquidation proceeds for the AAA (sf) rating levels for the first 12 months. For more information regarding rating methodologies and the coronavirus, please see the following DBRS Morningstar press releases and commentary: "DBRS Morningstar Provides Update on Rating Methodologies in Light of Measures to Contain Coronavirus Disease (COVID-19)," dated March 12, 2020; "DBRS Morningstar Global Structured Finance Rating Methodologies and Coronavirus Disease (COVID-19)," dated March 20, 2020; and "Global Macroeconomic Scenarios: September Update," dated September 10, 2020. Notes: All figures are in U.S. dollars unless otherwise noted. OBX TRUST 2020-EXP3: Fitch Finalizes Bsf Rating on Class B-5 Debt ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to OBX 2020-EXP3 Trust (OBX 2020-EXP3). RATING ACTIONS OBX 2020-EXP3 Class 1-A-1; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-2; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-3; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-4; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-5; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO1; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO2; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO3; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO4; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO5; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO6; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-6; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-7; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-8; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-9; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-10; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-11; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-11X; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-12; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO71; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO72; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO781; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO782; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO81; LT AAAsf New Rating; previously at AAA(EXP)sf Class 1-A-IO82; LT AAAsf New Rating; previously at AAA(EXP)sf Class 2-A-1A; LT AAAsf New Rating; previously at AAA(EXP)sf Class 2-A-1; LT AAAsf New Rating; previously at AAA(EXP)sf Class 2-A-1B; LT AAAsf New Rating; previously at AAA(EXP)sf Class 2-A-2; LT AAAsf New Rating; previously at AAA(EXP)sf Class 2-A-3; LT AAAsf New Rating; previously at AAA(EXP)sf Class 2-A-IO; LT AAAsf New Rating; previously at AAA(EXP)sf Class B-1; LT A+sf New Rating; previously at A+(EXP)sf Class B1-IO1; LT A+sf New Rating; previously at A+(EXP)sf Class B1-IO2; LT A+sf New Rating; previously at A+(EXP)sf Class B1-B; LT A+sf New Rating; previously at A+(EXP)sf Class B1-A; LT A+sf New Rating; previously at A+(EXP)sf Class B2-1; LT A+sf New Rating; previously at A+(EXP)sf Class B2-1-IO1; LT A+sf New Rating; previously at A+(EXP)sf Class B2-1-IO2; LT A+sf New Rating; previously at A+(EXP)sf Class B2-1-A; LT A+sf New Rating; previously at A+(EXP)sf Class B2-1-B; LT A+sf New Rating; previously at A+(EXP)sf Class B2-2; LT Asf New Rating; previously at A(EXP)sf Class B2-2-IO1; LT Asf New Rating; previously at A(EXP)sf Class B2-2-IO2; LT Asf New Rating; previously at A(EXP)sf Class B2-2-A; LT Asf New Rating; previously at A(EXP)sf Class B2-2-B; LT Asf New Rating; previously at A(EXP)sf Class B-3; LT BBBsf New Rating; previously at BBB(EXP)sf Class B-4; LT BBsf New Rating; previously at BB(EXP)sf Class B-5; LT Bsf New Rating; previously at B(EXP)sf Class B6-1; LT NRsf New Rating; previously at NR(EXP)sf Class B6-2; LT NRsf New Rating; previously at NR(EXP)sf Class FB; LT NRsf New Rating; previously at NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes issued by OBX 2020-EXP3 Trust. 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 FICOES; $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 rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in 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. 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 adjustments 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. 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). OCEAN TRAILS X: S&P Assigns Prelim BB- (sf) Rating to Class E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ocean Trails CLO X's fixed- and floating-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by Five Arrows Managers North America LLC. The preliminary ratings are based on information as of Sept. 18, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Ocean Trails CLO X/Ocean Trails CLO X LLC Class Rating Amount (mil. $) A-1 AAA (sf) 160.00 A-2 AAA (sf) 20.00 B-1 AA (sf) 22.50 B-2 AA (sf) 22.50 C (deferrable) A (sf) 19.50 D (deferrable) BBB- (sf) 15.00 E (deferrable) BB- (sf) 10.50 Subordinated notes NR 32.20 NR--Not rated. OCTAGON INVESTMENT 48: S&P Assigns Prelim 'BB-' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Octagon Investment Partners 48 Ltd./Octagon Investment Partners 48 LLC's floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Sept. 22, 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 Octagon Investment Partners 48 Ltd./Octagon Investment Partners 48 LLC Class Rating Amount (mil. $) A AAA (sf) 310.00 B AA (sf) 70.00 C (deferrable) A (sf) 30.00 D (deferrable) BBB- (sf) 25.00 E (deferrable) BB- (sf) 17.50 Subordinated notes NR 42.55 Not rated--Not rated. OZLM LTD XII: Moody's Lowers Rating on Class E Notes to Caa3 ------------------------------------------------------------ Moody's Investors Service downgraded the ratings on the following notes issued by OZLM XII, Ltd.: US$25,075,000 Class D Secured Deferrable Floating Rate Notes due 2027 (the "Class D Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade US$11,000,000 Class E Secured Deferrable Floating Rate Notes due 2027 (the "Class E Notes"), 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$35,525,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class C-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade The Class C-R Notes are referred to herein as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class C-R Notes, the Class D Notes, and the Class E Notes issued by the CLO. The CLO, originally issued in May 2015 and partially refinanced in September 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2020. RATINGS RATIONALE The downgrades on the Downgraded Notes reflect the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined, and expected losses (ELs) on certain notes have increased. Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features, deleveraging of the senior notes 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 3385, compared to 2918 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2805 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 23.5%. Nevertheless, Moody's noted that the OC test for the Class C Notes was recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $495,507,717 Defaulted Securities: $18,068,562 Diversity Score: 67 Weighted Average Rating Factor (WARF): 3408 Weighted Average Life (WAL): 4.0 years Weighted Average Spread (WAS): 3.28% Weighted Average Recovery Rate (WARR): 47.4% 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. OZLM LTD XIII: Moody's Lowers Rating on Class E Notes to Caa1 ------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by OZLM XIII, Ltd.: US$8,900,000 Class E Secured Deferrable Floating Rate Notes due 2027 (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$29,400,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class C-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$25,700,000 Class D Secured Deferrable Floating Rate Notes due 2027 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class C-R 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-R Notes, the Class D Notes, and the Class E Notes issued by the CLO. The CLO, originally issued in August 2015 and partially refinanced in September 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2020. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined, and expected losses (ELs) on certain notes have increased. 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 3269, compared to 2945 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2820 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 21.0%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $483.2 million, or $16.8 million less than the deal's ramp-up target par balance. Moody's noted that the interest diversion test was recently reported as failing, which diverted $703,641 of the excess interest proceeds for either repayment of the senior notes or reinvestment into additional collateral. Additional excess interest proceeds will be diverted for repayment of senior notes at the next payment date should the failure continues. The OC tests for the Class C Notes and the Class D Notes were recently reported as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $475,574,464 Defaulted Securities: $17,087,745 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3293 Weighted Average Life (WAL): 4.1 years Weighted Average Spread (WAS): 3.33% Weighted Average Recovery Rate (WARR): 47.3% Par haircut in OC tests and interest diversion test: 1.9% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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. PAWNEE EQUIPMENT 2020-1: DBRS Gives Prov. BB Rating on Cl. E Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of notes (the Notes) to be issued by Pawnee Equipment Receivables (Series 2020-1) LLC (the Issuer): -- $154,220,000 Class A Notes at AAA (sf) -- $7,930,000 Class B Notes at AA (sf) -- $6,950,000 Class C Notes at A (sf) -- $8,220,000 Class D Notes at BBB (sf) -- $6,165,000 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 sufficiency of available credit enhancement, which includes overcollateralization, subordination, and amounts held in the reserve account to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stressed cash flow scenarios. -- The respective coverage multiples of the expected CNL, adjusted for the effect of the Coronavirus Disease (COVID-19), which are afforded to each class of Notes by the available credit enhancement. Under various stressed cash flow scenarios, credit enhancement can withstand the expected loss using DBRS Morningstar multiples of 5.55 times (x) with respect to the Class A Notes and 4.55x, 3.65x, 2.60x, and 1.90x with respect to the Class B, C, D, and E Notes, respectively. DBRS Morningstar assumes an expected base-case CNL of 3.95% for this transaction. -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the coronavirus outbreak, available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which were last updated on September 10, 2020, and are reflected in DBRS Morningstar's rating analysis. -- DBRS Morningstar adjusted its expected CNL assumption for the transaction in consideration of its moderate 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. This moderate scenario primarily considers two economic measures: declining GDP growth and increased unemployment levels for the year. For commercial asset classes, the GDP growth rate is intended to provide the basis for a measurement of performance expectations. -- The capabilities of Pawnee Leasing Corporation (Pawnee or the Company) with regard to originations, underwriting, and servicing. DBRS Morningstar performed an operational review of Pawnee and considers the entity to be an acceptable originator and servicer of equipment-backed lease and loan contracts. In addition, Vervent will be the Backup Servicer for this transaction. DBRS Morningstar reviewed Vervent and believes that the entity is an acceptable backup servicer. -- The expected Asset Pool does not contain any significant concentrations of obligors, brokers, or geographies and consists of a diversified mix of the equipment types similar to those included in other small-ticket lease and loan securitizations rated by DBRS Morningstar. -- The transaction will not have a prefunding period. -- The Company focuses on small-ticket financing ($250,000 cap for prime credits and lower for nearprime and nonprime credits). No nonprime credits will be included in the collateral for the Notes; however, 19.47% of the collateral consists of B+ credits (i.e., weighted-average nonzero guarantor Beacon Score of 699 as of the Statistical Calculation Date compared with a score of 740 for A credits as of the same date). Payment by automated clearing house is in place for 91.61% of B+ credit contracts compared with about 81.31% for A credit contracts. In addition, as of the Statistical Calculation Date, personal guarantees supported close to 100% of B+ collateral in the Statistical Asset Pool compared with approximately 83.45% of A credits. -- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer; the nonconsolidation of the special-purpose vehicle with Pawnee; and that the Indenture Trustee, Deutsche Bank Trust Company Americas, has a valid first-priority security interest in the assets. DBRS Morningstar also reviews the transaction terms for consistency with its "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. PRESTIGE AUTO 2019-1: DBRS Confirms BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. confirmed, upgraded, or discontinued its ratings on the following classes of securities included in five Prestige Auto Receivables Trust transactions: Prestige Auto Receivables Trust, Series 2016-1 Notes Class C, discontinued due to repayment Class D, upgraded to AAA (sf) Class E, upgraded to A (high) (sf) Prestige Auto Receivables Trust, Series 2016-2 Notes Class B, discontinued due to repayment Class C, confirmed at AAA (sf) Class D, confirmed at AA (low) (sf) Class E, confirmed at BBB (low) (sf) Prestige Auto Receivables Trust, Series 2017-1 Class A-3, discontinued due to repayment Class B, discontinued due to repayment Class C, upgraded to AAA (sf) Class D, upgraded to A (sf) Class E, confirmed at BB (high) (sf) Prestige Auto Receivables Trust, Series 2018-1 Notes Class A-2 Notes, discontinued due to repayment Class A-3 Notes, confirmed at AAA (sf) Class B Notes, upgraded to AAA (sf) Class C Notes, upgraded to AA (high) (sf) Class D Notes, upgraded to BBB (high) (sf) Class E Notes, confirmed at BB (sf) Prestige Auto Receivables Trust, Series 2019-1 Notes Class A-1 Notes, discontinued due to repayment Class A-2 Notes, confirmed at AAA (sf) Class A-3 Notes, confirmed at AAA (sf) Class B Notes, upgraded to AA (high) (sf) Class C Notes, upgraded to AA (sf) Class D Notes, confirmed at BBB (sf) Class E Notes, confirmed at BB (sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have 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. Observed performance during the 2008–09 financial crisis and the possible impact from the stimulus package from the CARES Act were also incorporated into the analysis. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve funds has grown as the transactions have amortized because of their sequential-pay nature. As a result, hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss (CNL) (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the ratings above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. PRESTIGE AUTO 2019-1: S&P Affirms BB (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings affirmed its ratings on six classes of notes from Prestige Auto Receivables Trust 2019-1. At the same time, S&P removed class E from CreditWatch negative, where it was placed on May 12, 2020. S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The consensus among health experts is that the pandemic may now be at, or near, its peak in some regions but will remain a threat until a vaccine or effective treatment is widely available, which may not occur until the second half of 2021. S&P 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. "The rating actions reflect the transaction's collateral performance to date and our expectations regarding future collateral performance, including an upward adjustment in remaining expected cumulative net losses to account for the COVID-19-induced recession. The actions also account for our view of the transaction's structure and the respective credit enhancement levels," S&P said. "Additionally, we incorporated other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all these factors, we believe the notes' creditworthiness is consistent with the affirmed ratings," the rating agency said. Series 2019-1 is performing worse than S&P initially expected, though this is offset by the growth in credit enhancement, which is expected to increase as a percentage of the current pool as the pool amortizes. The worse-than-expected performance may be attributed, in part, to Prestige Financial's implementation of a new underwriting scoring model at the time. Additionally, the monthly extension rate for the transaction spiked to 5.78% in April due to the increase in disaster-related extensions that the company provided to its customers; however, this has stabilized and is at 2.35% as of the September 2020 distribution date. Based on the above factors, S&P has raised its loss expectation for series 2019-1 to 18.75%-19.75% from its initial expectation of 13.25%-14.00% because of higher-than-expected losses and its view of future collateral performance. S&P's upward revision also incorporates an upward adjustment to remaining losses that could result from elevated unemployment levels associated with the current COVID-19-induced recession. Table 1 Collateral Performance (%) As of the September 2020 distribution date Pool Current 60-plus days Monthly Mo. factor CNL delinquent extension rate 14 68.16 4.23 1.56 2.35 Mo.--Month. CNL--Cumulative net loss. Table 2 Cumulative Net Loss Expectations (%) Original Revised lifetime lifetime CNL exp. CNL exp.(i) 13.25-14.00 18.75-19.75 (i)As of September 2020. CNL exp.--Cumulative net loss expectations. The transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all of the classes except the lowest-rated subordinate class. The transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization, and excess spread. As of the September 2020 distribution date, the overcollateralization for series 2019-1 was at its target of 15.60% of current receivables. The reserve account is at its floor of 1.00% of initial receivables, which increases as a percentage of the pool as the pool amortizes. S&P believes the total credit support as a percentage of the outstanding pool's balance, compared with the rating agency's current loss expectations, is adequate for the affirmed ratings. Table 3 Hard Credit Support (%)(i) As of the September 2020 distribution date Total hard Current total hard credit support credit support Class at issuance (% of current) A-2 42.70 68.35 A-3 42.70 68.35 B 32.25 53.01 C 20.25 35.41 D 10.40 20.96 E 7.75 17.07 (i)Consists of overcollateralization and a reserve account, as well as subordination for the higher tranches, and excludes excess spread, which can also provide additional enhancement. "We incorporated an analysis of the current hard credit enhancement compared to the expected remaining expected CNL for those classes for which hard credit enhancement alone without credit to the expected excess spread was sufficient in our opinion to affirm the notes at 'AAA (sf)'," S&P said. For the other classes, S&P incorporated a cash flow analysis to assess the loss coverage level, giving credit to 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. Aside from its break-even cash flow analysis, S&P also conducted a sensitivity analysis for the series 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. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at affirmed rating levels. We will continue to monitor the transactions' performance to ensure that the credit enhancement remains sufficient to cover our CNL expectations under our stress scenarios for each of the rated classes," S&P said. RATINGS AFFIRMED Prestige Auto Receivables Trust 2019-1 Class Rating A-2 AAA (sf) A-3 AAA (sf) B AA (sf) C A (sf) D BBB (sf) RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE Prestige Auto Receivables Trust 2019-1 Class Rating E BB (sf) RADNOR RE 2020-2: Fitcn Gives (P)B3 Rating on Class B-1 Notes ------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to five classes of mortgage insurance credit risk transfer notes issued by Radnor Re 2020-2 Ltd. Radnor Re 2020-2 Ltd. is the fifth transaction issued under the Radnor Re program, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Essent Guaranty (Essent, the ceding insurer) on a portfolio of residential mortgage loans. The notes are exposed to the risk of claims payments on the MI policies, and depending on the notes' priority, may incur principal and interest losses when the ceding insurer makes claims payments on the MI policies. On the closing date, Radnor Re 2020-2 Ltd. (the issuer) and the ceding insurer will enter into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes will be deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account will also be available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account will be used to purchase eligible investments and will be subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee will liquidate assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the Class B-2H and Class B-3H coverage levels are written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. The complete rating actions are as follows: Issuer: Radnor Re 2020-2 Ltd. Cl. M-1A, Assigned to (P)Ba1 (sf); Cl. M-1B, Assigned to (P)Ba2 (sf); Cl. M-1C, Assigned to (P)Ba3 (sf); Cl. M-2, Assigned to (P)B2 (sf); Cl. B-1, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expects this insured pool's aggregate exposed principal balance to incur 2.96% losses in a base case scenario, and 19.80% losses under a Aaa stress scenario. The aggregate exposed principal balance is the product, for all the mortgage loans covered by MI policies, of (i) the unpaid principal balance of each mortgage loan, (ii) the MI coverage percentage, and (iii) the reinsurance coverage percentage. Reinsurance coverage percentage is 100% minus existing quota share reinsurance through unaffiliated insurer, if any. The existing quota share reinsurance applies to nearly 100% of unpaid principal balance of the reference pool, in which approximately 10.1% have 40% quota share existing reinsurance, and 89.9% have 20% quota share existing reinsurance. The ceding insurer has purchased quota share reinsurance from unaffiliated third parties, which provides proportional reinsurance protection to the ceding insurer for certain losses. 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 increased its model-derived median expected losses by 15% (mean expected losses by 13.43%) and its Aaa losses by 5% to reflect the likely performance deterioration resulting from of a slowdown in US economic activity in 2020 due to the COVID-19 outbreak. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description Each mortgage loan has an insurance coverage effective date on or after September 1, 2019, but on or before July 31, 2020. The reference pool consists of 243,890 primes, fixed- and adjustable-rate, one- to four-unit, first-lien fully-amortizing, predominantly conforming mortgage loans with a total insured loan balance of approximately $68 billion. All loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80%, with a weighted average of 91.4%. The borrowers in the pool have a weighted average FICO score of 748, a weighted average debt-to-income ratio of 35.9% and a weighted average mortgage rate of 3.6%. The weighted average risk in force (MI coverage percentage net of existing reinsurance coverage) is approximately 19.4% of the reference pool unpaid principal balance. The aggregate exposed principal balance is the portion of the pool's risk in force that is not covered by existing quota share reinsurance through unaffiliated parties. The weighted average LTV of 91.4% is far higher than those of recent private label prime jumbo deals, which typically have LTVs in the high 60's range, however, it is in line with those of recent STACR high LTV CRT transactions. All these insured loans in the reference pool were originated with LTV ratios greater than 80%. 100% of insured loans were covered by mortgage insurance at origination with 96.6% covered by BPMI and 3.4% covered by LPMI based on risk in force. Underwriting Quality Moody's took into account the quality of Essent's insurance underwriting, risk management and claims payment process in its analysis. Essent's underwriting requirements address credit, capacity (income), capital (asset/equity) and collateral. It has a licensed in-house appraiser to review appraisals. Lenders submit mortgage loans to Essent for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without Essent re-underwriting the loan file. Essent issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Lenders eligible under this program must be pre-approved by Essent's risk management group and are subject to targeted internal quality assurance reviews. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. As of June 2020, approximately 62.3% of the loans in Essent's overall portfolio are insured through delegated underwriting and 37.8% through non-delegated underwriting. Essent broadly follows the GSE underwriting guidelines via DU/LP, subject to certain additional limitations and requirements. Servicers provide Essent monthly reports of insured loans that are 60-day delinquent prior to any submission of claims. Claims are typically submitted when servicers have taken possession of the title to the properties. Essent's claims review process include loan files, payment history, quality review results, and property value. Essent sends first document request letter to Servicer within 20 days of receipt of claim, and may take additional 10-day period after receipt of response to first document request to make additional requests. Claims are paid within 60 days after all required documents are submitted. Essent performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans. Essent selects a random and targeted sample of loans for review, and assesses each loan file for data accuracy, underwriting quality and process integrity. Third party vendors are utilized in the quality assurance reviews as well as re-verifications and investigations. Vendors must meet stringent approval requirements. 10% of all third party reviewed loans are evaluated by Essent's staff to ensure accuracy of findings. Third-Party Review Essent engaged Consolidated Analytics, Inc. to perform a data analysis and diligence review of a sampling of mortgage loans files submitted for mortgage insurance. This review included validation of credit qualifications, verification of the presence of material documentation as applicable to the mortgage insurance application, updated valuation analysis and comparison, and a tape-to-file data integrity validation to identify possible data discrepancies. The scope does not include a compliance review. The scope of the third-party review is weaker than other MI CRT transactions Moody's rated because the sample size was small (only 321 of the total loans in the initial reference pool as of May 2020, or 0.13% by loan count). Once the sample size was determined, the files were selected randomly to meet the final sample count of 321 files out of a total of 243,890 loan files. In spite of the small sample size and a limited TPR scope for Radnor Re 2020-2, Moody's did not make an additional adjustment to the loss levels because, (1) approximately 35% of the loans in the reference pool were submitted through non-delegated underwriting, which have gone through full re-underwriting by the ceding insurer, (2) the underwriting quality of the insured loans is monitored under the GSEs' stringent quality control system, and (3) MI policies will not cover any costs related to compliance violations. In addition, the TPR available sample does not cover a subset of pool that have MI coverage effective date on and after June 2020, representing 36.2% of the pool by loan count. Moody's did not make any adjustment because Moody's found no material difference in credit characteristics between the post-June 2020 subset and the pre-June 2020 subset, including the percentage of loans with MI policies underwritten through non-delegated underwriting program, which ceding insurer requires full loan file and performs independent re-underwriting and quality assurance. Moody's took this into consideration in its TPR review. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider also reviewed property valuation on 321 loans in the sample pool. The third-party review concluded a property grade of A for 315 loans. For those loans with property grade A, an AVM was first ordered on all loans, in which 6 AVMs returned no results due to insufficient property information. The AVM variance is calculated as difference between AVM value and the lesser of original appraisal or sales price. If the resulting negative variance of the AVM was greater than 10%, or if no results were returned, a BPO was ordered on the property. If the resulting value of the BPO was less than 90% of the value reflected on the original appraisal a field review was ordered on the property. Within these grade A loans, all the appraisal values are supported by BPO within a 10% variance. Loans qualified with a property inspection waiver were excluded from a BPO or a field review. In addition, there were 6 loans not assigned a property grade. For these loans, the vendor ordered 1 broker price opinion (BPO) and 5 field review appraisals for the related properties, however, the results were not obtained in time for this offering. Moody's did not make additional adjustment to these loans given Moody's used the lower of appraisal and purchase price as property value in its analysis. Credit: The third-party diligence provider reviewed credit on 321 loans in the sample pool. The third-party diligence provider reviewed each mortgage loan file to determine the adherence to stated underwriting or credit extension guidelines, standards, criteria or other requirements provided by Essent. For GSE eligible mortgage loan files, the review of the Automated Underwriting System (AUS) output was also performed. Per the TPR report, 314 loans have credit grade A, 1 loan has grade B and 6 loans have grade C. These grade C exceptions were due to insufficient document provided to due diligence provider from the lender or servicer, given the time frame of this offering. Moody's did not make adjustment to its losses for these exceptions because these were all GSE eligible loans underwritten to full documentation. Such exceptions will likely to be cured after transaction closing. Data integrity: The third-party review firm was provided a data file with loan level data, which was audited against origination documents to determine the accuracy of data found within the data tape. The following 16 data fields were reviewed against the loan files to confirm the integrity of data tape information. As the TPR report suggests, there are 29 discrepancy findings under DTI column, in which only 6 loans have higher DTI per TPR provider's calculation. Reps & Warranties Framework The ceding insurer does not make any representations and warranties to the noteholders in this transaction. Since the insured mortgages are predominantly GSE loans, the individual sellers would provide exhaustive representations and warranties to the GSEs that are negotiated and actively monitored. In addition, the ceding insurer may rescind the MI policy for certain material misrepresentation and fraud in the origination of a loan, which would benefit the MI CRT noteholders. Transaction Structure The transaction structure is very similar to GSE CRT transactions that Moody's has rated. The ceding insurer will retain the senior coverage level A-H, coverage level B-2H and the coverage level B-3H at closing. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 10-year bullet maturity and a sequential pay structure for the non-senior tranches, resulting in a shorter expected weighted average life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The rated Class M-1A, Class M-1B, Class M-1C, Class M-2 and Class B-1 offered notes have credit enhancement levels of 5.90%, 5.20%, 4.50%, 3.75% and 3.50%, respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. MI losses are allocated in a reverse sequential order starting with the coverage level B-3H. Investment deficiency amount losses are allocated in a reverse sequential order starting with the class B-1 notes. So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to senior reference tranches when trigger event occurs. A trigger event with respect to any payment date will be in effect if the coverage level amount of coverage level A for such payment date has not been reduced to zero and either (i) the preceding three month average of the sixty-plus delinquency amount for that payment date equals or exceeds 75.00% of Class A subordination amount or (ii) the subordinate percentage (or with respect to the first payment date, the original subordinate percentage) for that payment date is less than the target CE percentage (minimum C/E test: 7.50%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders, when combined with the income earned on the eligible investments, of approximately 70 days while the reinsurance trust account and eligible investments are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered (1) with respect to any class of notes, if the rating of that class of notes exceeds the insurance financial strength (IFS) rating of the ceding insurer or (2) with respect to all classes of notes, if the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into and maintain in the premium deposit account the required PDA amount (see next paragraph) only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it will be obligated to deposit the required PDA amount for all classes of notes. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i) the coupon rate of the note multiplied by (a) the applicable funded percentage, (b) the coverage level amount for the coverage level corresponding to such class of notes and (c) a fraction equal to 70/360, over (ii) two times the investment income collected (but not yet distributed) on the eligible investments. Moody's believes the requirement that the PDA be funded only upon a rating trigger event does not establish a linkage between the ratings of the notes and the IFS rating of the ceding insurer because, 1) the required PDA amount is small relative to the entire deal, 2) the risk of PDA not being funded could theoretically occur only if the ceding insurer suddenly defaults, causing a rating downgrade from investment grade to default in a very short period, which is a highly unlikely scenario, and 3) even if the insurer becomes insolvent, there would be a strong incentive for the insurer's insolvency regulator to continue to make the interest payments to avoid losing reinsurance protection provided by the deal. Claims Consultant To mitigate risks associated with the ceding insurer's control of the trust account and discretion to unilaterally determine the MI claims amounts (i.e. ultimate net losses), the ceding insurer will engage Consolidated Analytics, Inc., as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-3H and the coverage level B-2H have been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claim's consultant to the trustee, the issuer and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third-party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. As noted, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believes the claims consultant in this transaction will provide the oversight to mitigate such risks. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. REGIONAL MANAGEMENT 2020-1: S&P Rates Class D Notes 'BB+ (sf)' -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Regional Management Issuance Trust 2020-1's personal consumer loan-backed notes. The final pricing for this transaction is lower than the pricing it assumed in assigning its preliminary ratings, which led to a slightly higher total available credit enhancement. Initial hard credit enhancement percentages are unchanged. There were no other changes to the transaction structure. The higher final rating on the class C notes reflects the revised cash flows with the final pricing. The note issuance is an ABS securitization backed by personal consumer loan receivables. The ratings reflect: -- The availability of approximately 55.55%, 46.27%, 37.80%, and 31.67% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the ratings on the notes based on S&P's stressed cash flow scenarios. -- The fact that S&P's worst-case weighted average base-case loss assumption for this transaction is 11.71%. This base case is a function of the transaction-specific reinvestment criteria, actual Regional Management Corp. (Regional) loan performance to date, and a moderate adjustment in response to the COVID-19 pandemic-related macroeconomic environment. S&P's base case further reflects year-over-year performance volatility observed in annual loan vintages across time. -- That in addition to running stressed cash flows, which in each instance showed timely interest and principal payments made by the legal final maturity date, S&P conducted liquidity analyses to assess the impact of a temporary disruption in loan principal and interest payments over the next 12 months as a result of the COVID-19 pandemic. These included elevated deferment levels and a reduction of voluntary prepayments to 0%. Based on S&P's analyses, the note interest payments and transaction expenses are a small component of the total collections from the pool of receivables, and, accordingly, the rating agency believes the transaction could withstand temporary, material declines in collections and still make full and timely liability payments. -- That to date, Regional's central facilities and local branches remain open and operational. Regional has the capacity to shift branch employees to other branches as needed, and in May began rolling out the option to close loans remotely, as opposed to within branches, if needed. -- That in response to the COVID-19 pandemic, Regional tightened underwriting and enhanced servicing procedures for its portfolio. Regional selectively eliminated loans to lower-credit-grade borrowers, reduced advances to lower-credit-grade existing borrowers, and lowered lending limits to new borrowers across all risk levels. That Regional has introduced new payment deferral options to borrowers negatively impacted by the COVID-19 pandemic. While deferment levels rose and peaked in April 2020, they decreased through July 2020 to historic trend levels. Transaction documents dictate that a reinvestment criteria event will occur if loans subject to deferment during the previous collection period exceed 10.0% of the aggregate principal balance. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions" published Aug. 7, 2020. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- The operational risks associated with Regional's decentralized business model. -- The transaction's payment and legal structures. RATINGS ASSIGNED Regional Management Issuance Trust 2020-1 Class Rating Interest rate (%) Amount (mil. $) A A (sf) 2.34 134.060 B A- (sf) 3.23 18.090 C BBB+ (sf) 3.80 16.130 D BB+ (sf) 6.77 11.720 ROCKFORD TOWER 2017-3: Moody's Confirms Ba3 Rating on Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Rockford Tower CLO 2017-3, Ltd. (the "CLO" or "Issuer"): US$32,500,000 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$27,500,000 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 the Class E Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Class D and Class E Notes issued by the CLO. The CLO, issued in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on January 2023. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3213, compared to 2825 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 3054 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 17.6% as of August 2020. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $501.0 million, or $1.0 million more than the deal's ramp-up target par balance. 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: $496,937,552 Defaulted Securities: $6,135,453 Diversity Score: 74 Weighted Average Rating Factor (WARF): 3224 Weighted Average Life (WAL): 5.96 years Weighted Average Spread (WAS): 3.50% Weighted Average Recovery Rate (WARR): 47.5% Par haircut in OC tests and interest diversion test: 0.9% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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. ROMARK WM-R: S&P Affirms CCC+ (sf) Rating on Class F Notes ---------------------------------------------------------- S&P Global Ratings assigned its rating to the class B-2-R replacement notes from Romark WM-R Ltd., a CLO issued in 2018 that is managed by Romark CLO Advisors LLC. S&P withdrew its rating on the original class B-2 notes following payment in full on the Sept. 24, 2020, refinancing date. At the same time, S&P affirmed its ratings on the class A-1, B-1, C, D, E, and F notes. On the Sept. 24, 2020, refinancing date, the proceeds from the class B-2-R replacement note issuance was used to redeem the original class B-2 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 it is assigning a rating to the replacement notes. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches," S&P said. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary," the rating agency said. RATING ASSIGNED Romark WM-R Ltd. Replacement class Rating Amount (mil $) B-2-R AA (sf) 23.00 RATINGS AFFIRMED Romark WM-R Ltd. Class Rating A-1 AAA (sf) B-1 AA (sf) C A (sf) D BB+ (sf) E B+ (sf) F CCC+ (sf) RATING WITHDRAWN Romark WM-R Ltd. Rating Original class To From B-2 NR AA (sf) NR--Not rated. SDART 2020-3: Moody's Rates $152MM Class E Notes 'B2' ----------------------------------------------------- Moody's Investors Service (Moody's) has assigned definitive ratings to the notes issued by Santander Drive Auto Receivables Trust 2020-3 (SDART 2020-3). This is the third SDART auto loan transaction of the year for Santander Consumer USA Inc. (SC; unrated). The notes will be backed by a pool of retail automobile loan contracts originated by SC, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: Santander Drive Auto Receivables Trust 2020-3 $215,000,000, 0.28161%, Class A-1 Notes, Definitive Rating Assigned P-1 (sf) $573,500,000, 0.46%, Class A-2 Notes, Definitive Rating Assigned Aaa (sf) $273,440,000, 0.52%, Class A-3 Notes, Definitive Rating Assigned Aaa (sf) $210,210,000, 0.69%, Class B Notes, Definitive Rating Assigned Aa1 (sf) $318,040,000, 1.12%, Class C Notes, Definitive Rating Assigned Aa2 (sf) $266,850,000, 1.64%, Class D Notes, Definitive Rating Assigned Baa2 (sf) $152,480,000, 2.99%, Class E Notes, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of SC as the servicer. Moody's median cumulative net loss expectation for SDART 2020-3 is 18.0% and loss at a Aaa stress is 47.0%, unchanged from SDART 2020-2, the last transaction Moody's rated. Moody's based its cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of SC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D notes and Class E notes will benefit from 53.25%, 43.60%, 29.00%, 16.75% and 9.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination. 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 subordinate notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies, high usage of borrower relief programs or a servicer disruption that impacts obligor's payments. SLM STUDENT 2010-1: Fitch Affirms Bsf Rating on 2 Tranches ---------------------------------------------------------- Fitch Ratings has affirmed the ratings of all outstanding classes of SLM Student Loan Trust 2010-1, 2012-2 and 2012-6. The Rating Outlooks for all classes remain Stable. RATING ACTIONS SLM Student Loan Trust 2010-1 Class A 78445XAA4; LT Bsf Affirmed; previously at Bsf Class B 78445XAB2; LT Bsf Affirmed; previously at Bsf SLM Student Loan Trust 2012-2 Class A 78446YAA1; LT Bsf Affirmed; previously at Bsf Class B 78446YAB9; LT Bsf Affirmed; previously at Bsf SLM Student Loan Trust 2012-6 Class A-3 78447GAC5; LT Bsf Affirmed; previously at Bsf Class B 78447GAD3; LT Bsf Affirmed; previously at Bsf The outstanding class A notes of each trust and the class B notes of SLM 2010-1 do not pass Fitch's base case stresses. All notes for the transactions are rated 'Bsf', supported by qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreement established by Navient, which allows the servicer to purchase loans from the trusts. Because Navient has the option but not the obligation to lend to the trust, Fitch does not give quantitative credit to these agreements. However, these agreements provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. Navient Corporation is currently rated 'BB-' with a Negative Rating Outlook by Fitch. All the notes' ratings are one category higher than their model-implied ratings of 'CCCsf'. Although the class B notes of SLM 2012-2 and SLM 2012-6 have legal final maturity dates beyond 2035, in an event of default (EOD) caused by a senior class that is not paid in full by maturity, the subordinate classes will not receive principal or interest payments. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Negative. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 41.00%, 28.75% and 27.00% under the base case scenario and a default rate of 100.00%, 86.25% and 81.00% under the 'AAA' credit stress scenario for SLM 2010-1, 2012-2 and 2012-6, respectively. Fitch is revising its sustainable constant default rate (sCDR) from 5.8% to 6.0% for SLM 2010-1, from 3.9% to 4.0% for SLM 2012-2 and from 3.8% to 4.0% for SLM 2012-6 in cash flow modeling. Fitch is also revising its sustainable constant prepayment rate (sCPR; voluntary and involuntary) from 12.0% to 9.0% for SLM 2010-1, from 12.0% to 10.5% for SLM 2012-2 and from 13.0% to 11.5% for SLM 2012-6. Fitch applies the standard default timing curve in its credit stress cash flow analysis. For all the transactions, the claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment are 8.20%, 7.30% and 7.29%, for SLM 2010-1, 2012-2 and 2012-6, respectively. The TTM levels of forbearance are 19.16%, 21.06% and 18.75% for SLM 2010-1, 2012-2 and 2012-6, respectively. The TTM levels of income-based repayment (IBR; prior to adjustment) are 31.09%, 27.46% and 29.67% for SLM 2010-1, 2012-2 and 2012-6, respectively. These levels are used as the starting points in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefits are 0.04%, 0.04% and 0.08% for SLM 2010-1, 2012-2 and 2012-6, respectively, based on information provided by the sponsor. Approximately 10.53%, 0.08% and 0.19% of the pool are rehab loans for SLM 2010-1, SLM 2012-2 and 2012-6, respectively. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of July 2020, approximately 79.95%, 100.00% and 99.62% of the student loans in SLM 2010-1, 2012-2 and 2012-6, respectively, are indexed to LIBOR, and the balance of the loans is indexed to the 91-day T-Bill rate. All the notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by over-collateralization (OC), excess spread and for the class A notes, subordination. As of the August 2020 distribution date, the total parity ratios (including the reserve account) are 101.92% (1.88% CE), 101.30% (1.28% CE) and 101.09% (1.07% CE) for SLM 2010-1, 2012-2 and 2012-6, respectively. The senior parity ratios (including the reserve account) are 123.25% (18.86% CE), 111.47% (10.29% CE) and 112.05% (10.75% CE) for SLM 2010-1, 2012-2 and 2012-6, respectively. Liquidity support is provided by a reserve account sized at 0.25% of the outstanding pool balance. For SLM 2010-1, 2012-2 and 2012-6, the reserve accounts are currently sized at their floors of $1,211,252, $821,986 and $1,247,589, respectively. The transactions may release cash as long as the target OC amounts are maintained. The transactions did not release cash on the Aug. 25, 2020 distribution date. Operational Capabilities: Navient Solutions, LLC is the master servicer for all the transactions and also performs the day-to-day servicing for SLM 2012-2 and SLM 2012-6. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. Day-to-day servicing for SLM 2010-1 is performed by Nelnet, Inc. in its role as sub-servicer. Fitch believes Nelnet to be an acceptable servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch also confirmed with both Navient and Nelnet the availability of a business continuity plan to minimize disruptions in the collection process during the coronavirus pandemic. Coronavirus Impact: Fitch's baseline (rating) scenario assumes an initial activity bounce in 3Q20 followed by a slower recovery trajectory from 4Q20 onward amid high unemployment and further pullback in private-sector investment. To assess the sustainable assumptions, Fitch assumed a decline in payment rates and an increase in defaults to previous recessionary levels for two years and then a return to recent performance for the remainder of the life of the transactions. Fitch revised the sCDR and sCPR assumptions for all three transactions in cash flow modeling to reflect this analysis. The risk of negative rating actions will increase under Fitch's coronavirus downside scenario, which contemplates a more severe and prolonged period of stress with a halting recovery beginning in 2Q21. As a downside sensitivity reflecting this scenario, Fitch increases the default rate, IBR and remaining term assumptions by 50%. The results are provided in Rating Sensitivities. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. SLM Student Loan Trust 2010-1 Current Model-Implied Ratings: class A 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Factors that could, individually or collectively, lead to a positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term decrease 25%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to a negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Fitch's downside coronavirus sensitivity scenario was not run for SLM 2010-1, since the ratings of all outstanding classes are at 'Bsf'. SLM Student Loan Trust 2012-2 Current Model-Implied Ratings: class A 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Factors that could, individually or collectively, lead to a positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term decrease 25%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to a negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Fitch's downside coronavirus sensitivity scenario was not run for SLM 2012-2, since the ratings of all outstanding classes are at 'Bsf'. SLM Student Loan Trust 2012-6 Current Model-Implied Ratings: class A 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Factors that could, individually or collectively, lead to a positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term decrease 25%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to a negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Fitch's downside coronavirus sensitivity scenario was not run for SLM 2012-6, since the ratings of all outstanding classes are at 'Bsf'. 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). SOUND POINT V-R: Moody's Confirms B3 Rating on Class F Notes ------------------------------------------------------------ Moody's Investors Service confirmed the ratings on the following notes issued by Sound Point CLO V-R, Ltd.: US$40,000,000 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$26,000,000 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 US$12,000,000 Class F Junior 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 D Notes, Class E Notes, and Class F Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D Notes, Class E Notes, and Class F Notes issued by the CLO. The CLO, originally issued in July 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2023. RATINGS RATIONALE 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 31, 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3037 compared to 2589 reported in the March 2, 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2862 reported in the July 31, 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 16.37%. Moody's noted that the interest diversion test was recently reported as failing, which could result in a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failures continue. Nevertheless, Moody's noted that 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: $575,370,731 Defaulted Securities: $8,013,959 Diversity Score: 77 Weighted Average Rating Factor (WARF): 3070 Weighted Average Life (WAL): 5.94 years Weighted Average Spread (WAS): 3.57% Weighted Average Recovery Rate (WARR): 47.5% Par haircut in OC tests and interest diversion test: 0.30% Finally, Moody's notes that it also considered the information in the September 1, 2020 trustee report [5] which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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 X: Moody's Confirms Ba2 Rating on Class E-R Notes ------------------------------------------------------------- Moody's Investors Service upgraded the ratings on the following notes issued by Sound Point CLO X, Ltd.: US$49,500,000 Class B-R Senior Secured Floating Rate Notes due 2028 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on June 19, 2018 Assigned Aa1 (sf) US$27,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on June 19, 2018 Assigned A1 (sf) The Class B-R Notes and Class C-R Notes are referred to herein, collectively, as the "Upgraded Notes." Additionally, Moody's confirmed the ratings on the following notes: US$22,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2028, Confirmed at Baa2 (sf); previously on April 17, 2020 Baa2 (sf) Placed Under Review for Possible Downgrade US$22,500,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2028, Confirmed at Ba2 (sf); previously on April 17, 2020 Ba2 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes and Class E-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R Notes and Class E-R Notes issued by the CLO. The CLO, originally issued in December 2015 and refinanced in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2020. RATINGS RATIONALE The upgrade actions are primarily a result of actual and expected deleveraging of the notes, and an increase in the transaction's over-collateralization (OC) ratios. Since the end of the reinvestment period in January 2020, the Class A-R Notes have been paid down by approximately 55% or $161.7 million. Based on the August 2020 trustee report [1], the OC ratios for the Class A/B Par Coverage Test and the Class C Par Coverage Test have increased to 148.52% and 129.18%, respectively, versus 127.96% and 118.59%, respectively, reported [2] in January 2020. 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 OC levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [3], the weighted average rating factor (WARF) was reported at 3244 compared to 2681 reported in the March 2020 trustee report [4]. Moody's also noted that the WARF was failing the test level of 2548 reported in the August 2020 trustee report [5]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 20.30%. Nevertheless, Moody's noted that all the OC tests were recently reported [6] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $270,616,843 Defaulted Securities: $2,354,250 Diversity Score: 53 Weighted Average Rating Factor (WARF): 3311 Weighted Average Life (WAL): 3.78 years Weighted Average Spread (WAS): 3.80% Weighted Average Recovery Rate (WARR): 47.32% Par haircut in OC tests: 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. SOUND POINT XI: Moody's Lowers Rating on Class E-R Notes to Ba3 --------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Sound Point CLO XI, Ltd.: US$25,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2028 (the "Class E-R Notes"), Downgraded to Ba3 (sf); previously on April 17, 2020, Ba2 (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$25,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Confirmed at Baa2 (sf); previously on April 17, 2020, Baa2 (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 May 2016 and refinanced 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 ended in July 2020. RATINGS RATIONALE The downgrade on the Downgraded Notes reflects the risks posed by credit deterioration and loss of collateral coverage observed in the underlying CLO portfolio, which have been primarily prompted by economic shocks stemming from the coronavirus pandemic. Since the outbreak widened in March 2020, the decline in corporate credit has resulted in a significant number of downgrades, other negative rating actions, or defaults on the assets collateralizing the CLO. Consequently, the default risk of the CLO portfolio has increased, the credit enhancement available to the CLO notes has declined, and expected losses (ELs) on certain notes have increased. 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 2,844, compared to 2,477 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2,527 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 13.45%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $489.7 million, or $10.3 million less than the deal's ramp-up target par balance. Nevertheless, Moody's noted that all the OC tests as well as the interest diversion test were recently reported [4] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $486,779,173 Defaulted Securities: $5,502,417 Diversity Score: 79 Weighted Average Rating Factor (WARF): 2927 Weighted Average Life (WAL): 4.46 years Weighted Average Spread (WAS): 3.47% Weighted Average Recovery Rate (WARR): 47.25% 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. SOUND POINT XV: Moody's Confirms Ba3 Rating on Class E Notes ------------------------------------------------------------ Moody's Investors Service confirmed the ratings on the following notes issued by Sound Point CLO XV, Ltd.: US$36,562,500 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$32,500,000 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 and Class E Notes are referred to herein as the "Confirmed Notes." These actions conclude the review for downgrade initiated on April 17, 2020 on the Class D and Class E Notes issued by the CLO. The CLO, originally issued in March 2017 and partially refinanced in September 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end 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 August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 2976, compared to 2654 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2790 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 14.23%. Moody's noted that all OC and interest diversion 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: $626,648,630 Defaulted Securities: $6,206,149 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3034 Weighted Average Life (WAL): 4.75 years Weighted Average Spread (WAS): 3.53% Weighted Average Recovery Rate (WARR): 47.5% In consideration of the current high uncertainties around the global economy and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from its base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; additional OC par haircuts to account for potential future downgrades and defaults resulting in an increased likelihood of cash flow diversion to senior notes; and some improvement in WARF as the US economy gradually recovers in the second half of the year and corporate credit conditions generally stabilize. The 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 XVI: Moody's Confirms Ba3 Rating on Class E Notes ------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Sound Point CLO XVI, Ltd.: US$40,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$40,000,000 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 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 Note and the Class E Notes issued by the CLO. The CLO, originally issued in June 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 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 3012 compared to 2673 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2822 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%. Moody's noted that the interest diversion test was recently reported [4] as failing, which could result in a portion of excess interest collections being diverted towards reinvestment in collateral at the next payment date should the failures continue. Nevertheless, Moody's noted that the OC tests for the Class D and the Class E Notes were recently reported [5] as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $763,865,237 Defaulted Securities: $12,123,474 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3074 Weighted Average Spread (WAS): 3.60% Weighted Average Life (WAL): 5.8 years Weighted Average Recovery Rate (WARR): 47.37% Par haircut in OC tests and interest diversion test: 0.1887% 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 XXVII: S&P Assigns BB- (sf) Rating to Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sound Point CLO XXVII Ltd./Sound Point CLO XXVII LLC's floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Sound Point CLO XXVII Ltd./Sound Point CLO XXVII LLC Class Rating Amount (mil. $) X AAA (sf) 5.00 A-1 AAA (sf) 300.00 A-2 NR 15.00 B-1 AA (sf) 50.00 B-2 AA (sf) 15.00 C (deferrable) A (sf) 30.00 D (deferrable) BBB- (sf) 25.00 E (deferrable) BB- (sf) 17.50 Subordinated notes NR 45.70 NR--Not rated. SYMPHONY CLO XVI: Moody's Lowers Rating on Class F-R Notes to Caa2 ------------------------------------------------------------------ Moody's Investors Service downgraded the rating on the following notes issued by Symphony CLO XVI, Ltd.: US$8,000,000 Class F-R Deferrable Junior Floating Rate Notes due 2031 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class F-R Notes are referred to herein as the "Downgraded Notes." Moody's also confirmed the ratings on the following notes: US$24,800,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$22,800,000 Class E-R Deferrable Junior Floating Rate Notes due 2031 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class D-R Notes and the Class E-R Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D-R, Class E-R, and Class F-R Notes issued by the CLO. The CLO, originally issued in July 2015 and refinanced in September 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end 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 3391, compared to 2866 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 3160 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 20.6%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $394.1 million, or $5.9 million less than the deal's ramp-up target par balance. Nevertheless, Moody's noted that all the OC tests, as well as the interest diversion test, were recently reported 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: $389,655,527 Defaulted Securities: $10,806,209 Diversity Score: 71 Weighted Average Rating Factor (WARF): 3406 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.42% Weighted Average Recovery Rate (WARR): 48.13% 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. TCI-SYMPHONY 2017-1: Moody's Confirms Ba3 Rating on Class E Notes ----------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by TCI-Symphony CLO 2017-1 Ltd.: US$43,900,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$27,600,000 Class E Senior 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 downgrade initiated on April 17, 2020 on the Class D and Class E Notes issued by the CLO. The CLO, issued in August 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on July 2022. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3253, compared to 2774 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 3031 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 16.6%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $642.9 million, or $7.1 million less than the deal's ramp-up target par balance. 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: $637,791,443 Defaulted Securities: $13,039,432 Diversity Score: 78 Weighted Average Rating Factor (WARF): 3261 Weighted Average Life (WAL): 5.8 years Weighted Average Spread (WAS): 3.32% Weighted Average Recovery Rate (WARR): 47.7% 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. UBS COMMERCIAL 2017-C5: Fitch Affirms B- Rating on Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of UBS Commercial Mortgage Trust 2017-C5 (UBSCM 2017-C5) commercial mortgage pass-through certificates. In addition, Fitch has revised the Rating Outlook on one class to Negative from Stable. RATING ACTIONS UBS 2017-C5 Class A-1 90276TAA2; LT AAAsf Affirmed; previously at AAAsf Class A-2 90276TAB0; LT AAAsf Affirmed; previously at AAAsf Class A-3 90276TAE4; LT AAAsf Affirmed; previously at AAAsf Class A-4 90276TAF1; LT AAAsf Affirmed; previously at AAAsf Class A-5 90276TAG9; LT AAAsf Affirmed; previously at AAAsf Class A-S 90276TAK0; LT AAAsf Affirmed; previously at AAAsf Class A-SB 90276TAC8; LT AAAsf Affirmed; previously at AAAsf Class B 90276TAL8; LT AA-sf Affirmed; previously at AA-sf Class C 90276TAM6; LT A-sf Affirmed; previously at A-sf Class D 90276TAN4; LT BBB+sf Affirmed; previously at BBB+sf Class D-RR 90276TAQ7; LT BBBsf Affirmed; previously at BBBsf Class E-RR 90276TAS3; LT BBB-sf Affirmed; previously at BBB-sf Class F-RR 90276TAU8; LT BB-sf Affirmed; previously at BB-sf Class G-RR 90276TAW4; LT B-sf Affirmed; previously at B-sf Class X-A 90276TAH7; LT AAAsf Affirmed; previously at AAAsf Class X-B 90276TAJ3; LT AA-sf Affirmed; previously at 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 two loans (5.88%) as Fitch Loans of Concern (FLOCs), including one specially serviced loan (3.15% of the pool). Both FLOCs are in the top 15. Coronavirus Pandemic's Impact: Loans secured by retail properties comprise 22.94% of the pool, including two in the top 15 (7.73%). The pool's retail component has a weighted average debt-service coverage ratio (DSCR) of 2.27x. Loans secured by hotel properties comprise 19.21% of the pool, including four in the top 15 (11.84%), one of which is in special servicing. The pool's hotel component has a weighted average DSCR of 2.57x. The majority of the pool exhibited stable performance prior to the pandemic. Additional pandemic-related stresses were applied to six hotel loans (11.2%) and six retail loans (6.1%); these additional stresses contributed to the Negative Outlooks on classes F-RR and G-RR. Fitch Loans of Concern: DoubleTree Wilmington (3.15% of the pool) is the 11th largest loan in the pool and the largest FLOC. The subject is a 244-room, seven-story full-service hotel built in 1973 and renovated in 2015 located in Wilmington, DE. The loan transferred to special servicing in July 2020 due to payment default and is currently more than 90 days delinquent. As of June 2020, the subject occupancy declined to 30% with an NOI DSCR of 0.14x compared with 1.66x at year-end 2019 (YE 2019). The asset's performance decline is likely attributable to the coronavirus pandemic. According to the special servicer, discussions are ongoing regarding the borrower's request for debt service payment relief. The second largest FLOC is AHIP Northeast Portfolio III (2.73% of the pool), the 15th largest loan in the pool. The loan is secured by a portfolio of four full-service hotels containing 491 rooms located in Maryland (2), New York (1) and New Jersey (1). The hotels within the portfolio include the 127-room Hampton Inn Baltimore White Marsh, the 116-room Fairfield Inn and Suites White Marsh, the 128-room SpringHill Suites Long Island Brookhaven, and the 120-room Homewood Suites Egg Harbor Township. Although the YE 2019 NOI DSCR and occupancy were stable at 2.21x and 80%, respectively, the portfolio occupancy declined to 61% by March 2020 and the June 2020 Smith Travel Research (STR) reports indicate substantial declines for the properties and their respective submarkets, likely attributable to the coronavirus pandemic. The borrower's request for debt service payment relief has been granted, according to servicer commentary; however, terms of the forbearance have not been provided. Minimal Changes to Credit Enhancement: As of the September 2020 distribution date, the pool's aggregate principal balance has been paid down by 1.40%, to $733 million from $743.4 million at issuance. No loans have paid off or defeased since issuance. There have been no realized losses to date. Cumulative interest shortfalls totaling $9,893 are affecting the nonrated class NR-RR due to one delinquent loan. Fifteen loans representing 45.4% of the pool balance are interest-only for the full term. An additional 16 loans representing 26.8% of the pool were structured with partial interest-only periods, ten of which (18.77% of the pool) have not yet begun amortizing. Four loans representing 13.6% of the pool are scheduled to mature in 2022, one loan representing 5.5% of the pool is scheduled to mature in 2024, 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 Outlook on class F-RR has been revised to Negative from Stable and the outlook on class G-RR remains Negative. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: Factors that lead to upgrades would include significantly improved performance coupled with paydown and/or defeasance. An upgrade to classes B and C could occur with stabilization of the FLOCs, but would be limited as concentrations increase. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. Upgrades of classes D, 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: Factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to position in the capital structure, but may occur at 'AAAsf' or '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 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 COMMERCIAL 2018-C13: Moody's Affirms B- on Cl. G-RR Certs ------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of UBS Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2018-C13. In addition, Fitch has revised the Rating Outlooks for three classes to Negative from Stable. RATING ACTIONS UBS 2018-C13 Class A-2 90353KAV1; LT AAAsf Affirmed; previously at AAAsf Class A-3 90353KAX7; LT AAAsf Affirmed; previously at AAAsf Class A-4 90353KAY5; LT AAAsf Affirmed; previously at AAAsf Class A-S 90353KBB4; LT AAAsf Affirmed; previously at AAAsf Class A-SB 90353KAW9; LT AAAsf Affirmed; previously at AAAsf Class B 90353KBC2; LT AA-sf Affirmed; previously at AA-sf Class C 90353KBD0; LT A-sf Affirmed; previously at A-sf Class D 90353KAC3; LT BBBsf Affirmed; previously at BBBsf Class D-RR 90353KAE9; LT BBB-sf Affirmed; previously at BBB-sf Class E-RR 90353KAG4; LT BB+sf Affirmed; previously at BB+sf Class F-RR 90353KAJ8; LT BB-sf Affirmed; previously at BB-sf Class G-RR 90353KAL3; LT B-sf Affirmed; previously at B-sf Class X-A 90353KAZ2; LT AAAsf Affirmed; previously at AAAsf Class X-B 90353KBA6; LT A-sf Affirmed; previously at A-sf Class X-D 90353KAA7; LT BBBsf Affirmed; previously at BBBsf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased due to an increase in the number of Fitch Loans of Concern (FLOC), most of which have been impacted by the slowdown in economic activity related to the coronavirus pandemic. Fitch identified eight FLOC (23.2% of pool), including four loans (13.5%) in special servicing. As of the August 2020 distribution period, there were 18 loans (34.7%) on the servicer's watchlist for various reasons including low DSCR, requesting COVID relief, high vacancy and tenant bankruptcy. Minimal Change in Credit Enhancement: There has been minimal change in credit enhancement since issuance. As of the August 2020 distribution period, the pool's aggregate principal balance was reduced 3.0% to $693.3 million from $714.9 million at issuance with 52 loans remaining. Of the remaining pool balance, 31.0% of the pool is classified as full interest-only through the term of the loan. The pool is scheduled to pay down 9.0%, which is higher than the 2017 average of 7.9%. Since Fitch's prior rating action in 2019, 121 East Maryland Street Parking Garage prepaid for $16.8 million. Exposure to Coronavirus: Thirteen loans (14.6% of pool), which have a weighted average NOI DSCR of 2.13x, are secured by hotel properties. Sixteen loans (30.6%), which have a weighted average NOI DSCR of 1.91x, are secured by retail properties. Four loans (15.4%), which have a weighted average NOI DSCR of 2.18x, are secured by multifamily properties. Fitch's base case analysis applied additional stresses to ten hotel loans, five retail loans and one multifamily loan given the significant declines in property-level cash flow expected in the short term as a result the coronavirus pandemic. The additional stresses contributed to the Negative Rating Outlooks. Fitch Loans of Concern: The Buckingham (6.5%) is a student housing property located in downtown Chicago which at issuance had 221 beds (48.9% of total) for the fall semester and 205 beds (45.2% of total) for the spring semester master leased to the School of the Art Institute of Chicago (SAIC). The loan transferred to special servicing in July 2020 for payment default. According to servicer commentary, the delinquency is due to the coronavirus pandemic. The watchlist states that the sponsor is looking for a short-term deferral modification, and the special servicer is currently reviewing the request. The loan is 90+ days delinquent. Pier 1 Imports Headquarters (4.0%) is a 19-story office tower located in the central business district of Fort Worth, TX. The loan transferred to special servicing in March 2020 following Pier 1's announcement that it would file for Chapter 11 Bankruptcy. In May 2020, Pier 1 filed a notice of rejection of its lease. As of the August 2020 distribution period, the loan was classified as 60-days delinquent. Watchlist commentary states the special servicer is pursuing a dual path resolution strategy with a primary strategy of foreclosure/receivership and a secondary strategy of negotiating a loan modification/ forbearance. Barrywoods Crossing (3.0%) is a power center located in Kansas CIty, MO. According to watchlist commentary, the subject's anchor, AMC Theatres (NRA 36%), will be closing temporarily due to the coronavirus pandemic. A re-opening date has not been provided. Lockbox activation is in process. As of the June 2020 rent roll, AMC paid $18.50 psf in annual base rent; AMC accounted for approximately 50% of underwritten rent revenue at issuance. Wendland Plaza (2.6%) is a community shopping center located in Killeen, TX. According to watchlist commentary, Altitude Trampoline Park (NRA 22%), vacated ahead of lease expiration in November 2027 following the company's announcement that it would file for bankruptcy. At issuance, Altitude paid $9.50 psf in annual base rent and accounted for approximately 19% of underwritten rent revenue. Occupancy has fallen to 75% as of YE 2019 from 97% at YE 2018. According to the borrower, there are multiple serious prospects for the vacant Altitude space. The Fort Wayne Hotel Portfolio (2.3%) loan transferred to special servicing in April 2020 due to imminent default as a result of the coronavirus pandemic. A forbearance agreement was executed in June 2020. The borrower will have access to reserve funds (approximately $10.7 million) and reserve payments will be deferred for 90 days. The loan is current and is expected to be transferred back to the master servicer. Riverwalk (2.3%) is secured by an office property located in Lawrence, MA, built in 1901 and renovated in 2007. Leases for 41% of space rolls between 2020 and 2021, including three of the top five tenants. The property's occupancy as of YE 2019 remained stable at 91.1% from 91.5% at YE 2018, and NOI DSCR improved to 1.64x from 1.42x at YE 2018. Aspect RHG Hotel Portfolio (1.8%), is secured by a portfolio of four full-service hotels with a total of 461 rooms operating under Aloft Hotel Broomfield, Hampton Inn Nashville Smyrna, Hilton Garden Inn Nashville Smyrna, and Hyatt Place Phoenix North flags, located in Broomfield, CO, Smyrna, TN and Phoenix, AZ, respectively. The most recent YE 2019 servicer reported NOI is down 39% compared to issuance due to 14% decline in revenues. RATING SENSITIVITIES The Stable Rating Outlooks on classes A-2 through D reflect the overall stable performance of the performing non-FLOCs and expected continued amortization. The Negative Rating Outlooks on classes D-RR through G-RR reflect the potential for downgrades due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs. In addition, the Negative Outlooks also reflect the small size of the classes and the potential for multiple classes to be impacted by losses. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in CE and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. Upgrade of the 'BBBsf' and 'BBB-sf' classes are also considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. An upgrade to the 'BB+sf', 'BB-sf' and 'B-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-2 through A-S and the interest-only classes X-A are not likely due to the position in the capital structure and sufficient credit enhancement, but may occur should interest shortfalls occur. Downgrades to classes B, C, D, X-B and X-D are possible should performance of the FLOCs continue to decline, should loans susceptible to the coronavirus pandemic not stabilize and/or should further loans transfer to special servicing. The Rating Outlooks on these classes may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize. Classes D-RR, E-RR, F-RR and G-RR could be downgraded should losses become more certain or be realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, classes with Negative Rating Outlooks will be downgraded one or more categories. 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). UNITED AUTO 2019-1: DBRS Confirms B Rating on Class F Notes ----------------------------------------------------------- DBRS, Inc. confirmed, upgraded, or discontinued its ratings on the following classes of securities included in three United Auto Credit Securitization Trust transactions: United Auto Credit Securitization Trust 2018-1 Class B Notes, discontinued due to repayment Class C Notes, discontinued due to repayment Class D Notes, upgraded to AAA (sf) Class E Notes, upgraded to AAA (sf) Class F Notes, confirmed at BBB (sf) United Auto Credit Securitization Trust 2018-2 Class A Notes, discontinued due to repayment Class B Notes, discontinued due to repayment Class C Notes, discontinued due to repayment Class D Notes, upgraded to AAA (sf) Class E Notes, upgraded to BBB (high) (sf) Class F Notes, confirmed at BB (sf) United Auto Credit Securitization Trust 2019-1 Class A Notes, discontinued due to repayment Class B Notes, upgraded to AAA (sf) Class C Notes, upgraded to AA (sf) Class D Notes, upgraded to A (low) (sf) Class E Notes, confirmed at BB (sf) Class F Notes, confirmed at B (sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have 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. Observed performance during the 2008–09 financial crisis and the possible impact from the stimulus package from the CARES Act were also incorporated into the analysis. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve funds has grown as the transactions have amortized because of their sequential-pay nature. As a result, hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss (CNL) (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the ratings above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. VOYA CLO 2016-4: Moody's Lowers Rating on Class E-2 Notes to B1 --------------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by Voya CLO 2016-4, Ltd.: US$49,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Downgraded to A3 (sf); previously on December 21, 2016 Assigned A2 (sf) US$35,000,000 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$14,000,000 Class E-1 Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E-1 Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade US$14,000,000 Class E-2 Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E-2 Notes"), Downgraded to B1 (sf); previously on April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade The Class C Notes, Class D Notes, Class E-1 Notes, and the Class E-2 Notes are referred to herein, collectively, as the "Downgraded Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D Notes, Class E-1 Notes, and Class E-2 Notes issued by the CLO. The CLO, originally issued in December 2016 and partially refinanced in June 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 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 3425, compared to 2891 reported in the February 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2539 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 19.9%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $684.6 million, or $15.4 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: $679,216,315 Defaulted Securities: $13,128,666 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3386 Weighted Average Life (WAL): 4.74 years Weighted Average Spread (WAS): 3.28% Weighted Average Recovery Rate (WARR): 48.13% Par haircut in OC tests and interest diversion test: 0.00% 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. WELLFLEET CLO 2016-2: Moody's Confirms Ba3 Rating on Cl. D-R Notes ------------------------------------------------------------------ Moody's Investors Service confirmed the ratings on the following notes issued by Wellfleet CLO 2016-2, Ltd.: US$26,000,000 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$19,200,000 Class D-R Junior 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. This action concludes the review for downgrades initiated on April 17, 2020 on the Class C-R Notes and the Class D-R Notes issued by the CLO. The CLO, originally issued in November 2016, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2020. RATINGS RATIONALE Despite the credit quality deterioration stemming from the coronavirus outbreak, Moody's concluded that the expected losses on the Confirmed Notes continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralization (OC) levels. Consequently, Moody's has confirmed the ratings on the Confirmed Notes. According to the August 2020 trustee report [1], the weighted average rating factor (WARF) was reported at 3390, compared to 3007 reported in the March 2020 trustee report [2]. Moody's calculation also showed the WARF was failing the test level of 3095 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 20.1%. Furthermore, Moody's calculated the total collateral par balance, including recoveries from defaulted securities, at $389 million, or $11 million less than the deal's ramp-up target par balance. Moody's noted that the OC test for the Class D notes as well as the interest diversion test were recently reported [4] as failing, which could result in the continued repayment of senior notes at the next payment date should the failures continue. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Par amount and principal proceeds balance: $385,424,054 Defaulted Securities: $10,344,451 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3422 Weighted Average Life (WAL): 4.7 years Weighted Average Spread (WAS): 3.64% Weighted Average Recovery Rate (WARR): 47.09% Par haircut in OC tests: 2.27% 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; 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 2015-C31: Fitch Lowers Rating on Class F Certs to CCCsf ------------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 11 classes of Wells Fargo Commercial Mortgage Trust, Series 2015-C31 pass-through certificates. In addition, Fitch has revised the Rating Outlooks on eight classes to Negative from Stable. RATING ACTIONS WFCM 2015-C31 Class A-2 94989WAQ0; LT PIFsf Paid In Full; previously at AAAsf Class A-3 94989WAR8; LT AAAsf Affirmed; previously at AAAsf Class A-4 94989WAS6; LT AAAsf Affirmed; previously at AAAsf Class A-S 94989WAU1; LT AAAsf Affirmed; previously at AAAsf Class A-SB 94989WAT4; LT AAAsf Affirmed; previously at AAAsf Class B 94989WAY3; LT AA-sf Affirmed; previously at AA-sf Class C 94989WAZ0; LT A-sf Affirmed; previously at A-sf Class D 94989WBB2; LT BBB-sf Affirmed; previously at BBB-sf Class E 94989WAD9; LT B-sf Downgrade; previously at BB-sf Class F 94989WAF4; LT CCCsf Downgrade; previously at B-sf Class PEX 94989WBA4; LT A-sf Affirmed; previously at A-sf Class X-A 94989WAV9; LT AAAsf Affirmed; previously at AAAsf Class X-B 94989WAW7; LT AA-sf Affirmed; previously at AA-sf Class X-D 94989WAX5; LT BBB-sf Affirmed; previously at BBB-sf Classes A-1 and A-2 are paid in full. Fitch does not rate class G. KEY RATING DRIVERS Increased Loss Expectations on Specially Serviced/FLOCs: Since Fitch's last rating action, loss expectations have increased due to the specially serviced loans, increased number of Fitch Loans of Concern (FLOCs), and additional stresses applied to retail and hotel FLOCs as a result of the coronavirus pandemic. There have been no realized losses to date. Eighteen loans (17.3% of the pool) are currently on the master servicer's watchlist of which 13 (14.1%) are considered FLOCs, mostly for occupancy declines due to tenant vacancies or upcoming rollover and coronavirus relief requests. In total, 15 loans (16.0% of the pool), including two specially serviced loans (1.9%), are considered FLOCs. The largest specially serviced loan, Holiday Inn Lafayette (1.1% of the pool) is secured by a 147-key hotel located in Lafayette, IN. The property is located in downtown Lafayette and just over a mile from Purdue University's campus. The loan transferred to the special servicer for delinquency. A forbearance/reinstatement closed; however, the borrower has since requested relief due to the pandemic. The borrower's forbearance/modification proposal is being reviewed while the special servicer dual tracks a foreclosure. As of YE 2019, the reported DSCR was 1.13x compared to 1.21x as of TTM September 2018 and 1.94x as of YE 2017 and 2.21x at issuance. Per the December 2019 Smith Travel Research (STR) report, occupancy, average daily rate (ADR), and revenue per available room (RevPAR) were 54.5%, $125, $68 compared to 76.8%, $132, $102 for its competitive set. Fitch is also monitoring the performance of the largest loan in the pool, 745 Atlantic Avenue (7.5%), a 174,231-sf office property located in Boston, MA. The largest tenant is WeWork, which occupies 74% of the property's net rentable area (NRA). At issuance, the loan was structured with a WeWork Reserve that will be capped at the NRA that is unoccupied or otherwise dark, multiplied by $25.00 assuming the company has not filed for bankruptcy. A trigger event would occur in the event WeWork ceases to lease and pay rent with respect to 50.0% of the tenant's NRA, or WeWork files for bankruptcy. Per Reis, as of 2Q20, the South Station/Ft. Point Channel submarket vacancy rate is 8.3% with average asking rent $49.32 per square foot (psf). As of June 2020, the property's occupancy and rent is above market at 99.2% and $53.72 psf, respectively. Fitch's analysis included an additional stress to the reported net operating income (NOI) to reflect the above market rents and troubled major tenant. Fitch also assumed an outsized loss of 25% in the sensitivity test to reflect concerns with refinancing in 2025. The largest FLOC, Patrick Henry Mall (2.6%) is secured by a 716,558-sf (432,401 sf collateral) regional mall built in 1988 and renovated in 2005, located in Newport News, VA in the Hampton Roads metro. The largest tenant is JCPenney (19.7% NRA expiration October 2020) and per a borrower-reported comment in March 2020, the tenant was expected to renew for five years. There are currently five renewal options remaining, as the tenant exercised first option in 2015. Other major tenants include Dick's Sporting Goods (11.6% NRA; expiration January 2022), Forever 21 (4.9% NRA; expiration October 2022; not on recent closing list). Macy's and Dillard's are non-collateral anchors with lease expirations in 2063. The mall is 93.6% as of June 2020. In-line tenant sales (under 10,000 sf) were $426 psf as of YE 2019 and are up from $405 psf at issuance. Fitch's base case analysis included an additional stress to the reported NOI to reflect performance concerns related to the impact of the coronavirus pandemic. Fitch also assumed an outsized loss of 25% in the sensitivity test to reflect concerns with refinancing in 2025. The second largest FLOC, Palouse Mall (2.4%) is secured by a 391,856-sf regional mall located in Moscow, ID. Anchor tenants Macy's (10.67% NRA, 41,000 sf) and Hastings (5.23% NRA, 21,000 sf) both went dark unexpectedly during 2016, which resulted in a drop in the DSCR and triggered cash management. Per the borrower, a major international retailer has received approval to take over the former Macy's space and will occupy 60,000 sf (15.3% NRA). Per master servicer commentary as of June 2020, the borrower and tenant were working through the Lease Agreement, then in the third draft of comments. The aim is to finalize and sign the agreement within the next 30 days. The former Hastings space has been re-leased to Marshalls with a lease expiration date of October 2027; however, all anchor tenant spaces must be re-leased to cure the cash management trigger. Occupancy is at 83% as of 1Q20 from 96% at YE 2018. There is upcoming rollover of 3.5% 2020; 20.8% 2021; 4.9% 2022; 11.8% 2023; 5.3% 2024; 3.6% 2025; 3.4% 2026; 8.2% 2037; 4.5% 2028. The most recent reported debt-service coverage ratio (DSCR) as of 1Q20 is 1.05x as compared to 1.91x at UW. Borrower budget for 2019 projected a DSCR of 1.92x, while the 2020 budget projects a DSCR of 1.42x. On March 26, 2020, the borrower requested six-months loan payment deferral. The master servicer is awaiting a decision from the Special Servicer in this respect. Fitch's base case analysis included an additional stress to the reported NOI to reflect performance concerns related to the impact of the coronavirus pandemic. The third largest FLOC, Barclay Square (1.4%) is secured by a 99,054-sf/25-unit retail property located in Largo, FL. The loan is on the master servicer's watchlist due to multiple tenants vacating; the borrower's occupancy has suffered, resulting in the lower DSCR. The year-to-date (YTD) June 30,2020 net cash flow NCF DSCR was 1.30x and occupancy was 88.54%. Fitch's base case analysis included an additional stress to the reported NOI to reflect performance concerns related to the impact of the coronavirus pandemic. The fourth largest FLOC, Windsor Square (1.3%) is secured by a 299,329-sf anchored retail shopping center located in Knoxville, TN. The loan is on the watchlist and is due for the May, June, and July 2020 payments. The borrower has notified the master servicer of pandemic-related hardship request; relief is being provided in the form of reduced payments for months of May, June, and July. The fifth largest FLOC, Hilton Garden Inn Oshkosh (1.2%) is secured by a 126-key hotel located in Oshkosh, WI. The loan is on the watchlist due to a decrease in room revenue and food and beverage as a result of occupancy decline. As of TTM 2Q20, the DSCR is 1.31x compared to 2.73x at YE 2019. Occupancy declined from 75.17% as of YE 2019 to 58.31% as of June30,2020 and Rev Par has decreased by $22.09. The sixth largest loan, Bossier Corners (1.1%) is secured by a 140,863-sf retail property located in Bossier City, LA. The loan is on the master servicer's watchlist due to second largest tenant, Beall's, which occupied 20,942-sf (NRA 14.87%) through January 2024, and declared Chapter 11 bankruptcy in May 2020 and vacated. They contributed $136,122 in annual rent. In absence of the occupancy and rent from Beall's YTD DSCR would decline to 1.92x with occupancy of 80.88%. The remaining FLOCs are all less than 1%, and are on the watchlist due to declines in occupancy as a result of tenants vacating, declining occupancy, ADR or RevPAR, and/or requests for pandemic relief. Improved Credit Enhancement: The pool has paid down approximately 6.8% since issuance, which has resulted in a slight increase in credit enhancement. Five loans, totaling approximately 3.4% of pool balance, are defeased. Three loans (0.9%) in the pool mature in 2020; two of which are not expected to pay off at maturity and will be transferred to special servicing, and the remaining loan is expected to payoff. Approximately 22.0% of the pool is full-term, interest only and 47.0% of the pool is partial interest-only. Alternative Loss Considerations: Fitch ran an additional sensitivity scenario, which assumes defeased loans pay in full, and assumed outsized losses on 745 Atlantic Avenue and the Patrick Henry Mall loans. The 745 Atlantic Avenue loan has significant exposure to WeWork (74%), and the Patrick Henry Mall is located in secondary/tertiary market with exposure to anchor tenants that have recently faced secular headwinds. This sensitivity scenario contributed to the Negative Outlooks. Coronavirus Exposure: Thirteen non-defeased loans (20.3%) are secured by hotel properties, including three loans (12.6%) in the top 15. The weighted average (WA) NOI DSCR for the non-defeased hotel loans is 2.07x; these hotel loans could sustain a decline in NOI of 51.6% before NOI DSCR falls below 1.0x. Thirty-one loans (27.3%) are secured by retail properties, including five loans (10.9%) in the top 15. The WA NOI DSCR for the non-defeased retail loans is 1.70x; these retail loans could sustain a decline in NOI of 41.2% before DSCR falls below 1.0x. Ten loans (11.1%) are secured by multifamily properties. The WA NOI DSCR for the non-defeased multifamily loans is 2.15x; these multifamily loans could sustain a decline in NOI of 53.4% before DSCR falls below 1.0x. Fitch applied additional stresses to eleven hotel loans and twenty-one retail loans to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to downgrades of classes E and F and revision of the Outlooks to Negative from Stable on classes A-S thru D and X-A, X-B , X-D and PEX. Additional Considerations Property Type Concentration: Fifteen loans (20.8%) are collateralized by hotel properties, including three (12.6%) within the top 15. Thirty-two loans (28%) are collateralized by retail properties, including five (10.9%) within the top 15. Maturity Schedule: Three loans (0.9%) of the pool mature in 2020; ninety loans (98%) mature in 2025 and one (0.4%) matures in 2026. RATING SENSITIVITIES The downgrades of classes E and F reflects increased loss expectations associated with the specially serviced loans, FLOCs and additional stresses applied to retail and hotel loans as a result of the coronavirus pandemic. The Negative Rating Outlooks on classes AS thru D and X-A, X-B, X-D and PEX reflect the potential for further downgrades due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs and specially serviced loans. The Stable Rating Outlooks on classes A-3 through A-SB reflect the increasing credit enhancement, continued amortization and defeasance. Factors that Could, Individually or Collectively, Lead to a Positive Rating Action/Upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories would likely occur with significant improvement in credit enhancement and/or defeasance; however, further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. An upgrade to the 'BBB-sf' category is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to the 'CCCsf' and 'B-sf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the classes. Factors that Could, Individually or Collectively, Lead to a Negative Rating Action/Downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades of the super-senior A-3, A-4, A-SB classes, rated 'AAAsf', are not considered likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades of classes A-S, thru D and X-A, X-B, X-D and PEX may occur if the larger FLOCs realize outsized losses. Downgrades to the 'B-sf' and 'BBB-sf' categories, both of which currently have Negative Outlooks, would occur should loss expectations increase significantly, the FLOCs experience outsized losses and/or the loans vulnerable to the coronavirus pandemic not stabilize. A downgrade to the distressed 'CCCsf'-rated class would occur with increased certainty of losses or as losses are realized. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects further negative rating actions, including downgrades or additional Negative Rating Outlook revisions. 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. 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 WFCM 2015-C31 transaction has an ESG Relevance Score of '4' for Exposure to Social Impacts due to the Patrick Henry Mall and Palouse Mall loans, which are 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 on Classes E and F and Negative Rating Outlook Revisions of classes A-S, B, C, D, and X-A, X-B, X-D and PEX. 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). WESTLAKE AUTOMOBILE 2019-3: DBRS Confirms B Rating on Cl. F Notes ----------------------------------------------------------------- DBRS, Inc. confirmed, upgraded, or discontinued its ratings on the following classes of securities included in four Westlake Automobile Receivables Trust transactions: Westlake Automobile Receivables Trust 2017-2 Class C, discontinued due to repayment Class D, upgraded to AAA (sf) Class E, upgraded to A (high) (sf) Westlake Automobile Receivables Trust 2018-2 Class A-2-A, discontinued due to repayment Class A-2-B, discontinued due to repayment Class B, discontinued due to repayment Class C, upgraded to AAA (sf) Class D, upgraded to AA (high) (sf) Class E, upgraded to A (high) (sf) Class F, upgraded to BB (high) (sf) Westlake Automobile Receivables Trust 2019-1 Class A-2-A Notes, confirmed at AAA (sf) Class A-2-B Notes, confirmed at AAA (sf) Class B Notes, confirmed at AAA (sf) Class C Notes, upgraded to AAA (sf) Class D Notes, upgraded to AA (high) (sf) Class E Notes, confirmed at BB (high) (sf) Class F Notes, confirmed at B (sf) Westlake Automobile Receivables Trust 2019-3 Class A-1 Notes, discontinued due to repayment Class A-2 Notes, confirmed at AAA (sf) Class B Notes, upgraded to AA (high) (sf) Class C Notes, upgraded to A (high) (sf) Class D Notes, confirmed at BBB (sf) Class E Notes, confirmed at BB (sf) Class F Notes, confirmed at B (sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have 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. Observed performance during the 2008–09 financial crisis and the possible impact from the stimulus package from the CARES Act were also incorporated into the analysis. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve funds has grown as the transactions have amortized because of their sequential-pay nature. As a result, hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss (CNL) (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the ratings above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. WHITEBOX CLO II: S&P Assigns BB- (sf) Rating to Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Whitebox CLO II Ltd./Whitebox CLO II 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; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Whitebox CLO II Ltd./Whitebox CLO II LLC Class Rating Amount (mil. $) A-1 AAA (sf) 240.00 A-2 NR 10.00 B AA (sf) 54.00 C (deferrable) A (sf) 24.00 D (deferrable) BBB- (sf) 20.00 E (deferrable) BB- (sf) 14.00 Subordinated notes NR 42.40 NR--Not rated. WIND RIVER 2017-2: Moody's Confirms B3 Rating on Class F Notes -------------------------------------------------------------- Moody's Investors Service confirmed the ratings on the following notes issued by Wind River 2017-2 CLO Ltd.: US$35,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on April 17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade US$20,000,000 Class E 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 US$7,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class F Notes"), Confirmed at B3 (sf); previously on April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade The Class D Notes, the Class E Notes, and the Class F Notes are referred to herein, collectively, as the "Confirmed Notes." These actions conclude the reviews for downgrade initiated on April 17, 2020 on the Class D Notes, the Class E Notes, and the Class F Notes issued by the CLO. The CLO, issued in June 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in 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 3324, compared to 2879 reported in the March 2020 trustee report [2]. Moody's also noted that the WARF was failing the test level of 2865 reported in the August 2020 trustee report [3]. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for negative outlook or watchlist for downgrade) was approximately 17.0%. Nevertheless, according to the August 2020 trustee report [4], the OC tests for the Class A/B, Class C, Class D, and Class E notes, as well as the interest diversion test were recently reported as passing. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $487,045,354 Defaulted Securities: $7,431,648 Diversity Score: 71 Weighted Average Rating Factor (WARF): 3291 Weighted Average Life (WAL): 5.7 years Weighted Average Spread (WAS): 3.72% Weighted Average Recovery Rate (WARR): 46.8% 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. ZAIS CLO 16: S&P Assigns BB- (sf) Rating to $8.25MM Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Zais CLO 16 Ltd./Zais CLO 16 LLC's floating-rate notes. The note issuance is a CLO securitization backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured loans, cash, and eligible investments. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The consensus among health experts is that the pandemic may now be at, or near, its peak in some regions but will remain a threat until a vaccine or effective treatment is widely available, which may not occur until the second half of 2021. "We are using this assumption in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly," S&P said. RATINGS ASSIGNED Zais CLO 16 Ltd./Zais CLO 16 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 90.000 A-2 AAA (sf) 50.000 A-F AAA (sf) 40.000 A-J AAA (sf) 7.500 B AA (sf) 37.500 C A (sf) 18.000 D-1 BBB (sf) 14.250 D-2 BBB- (sf) 6.000 E BB- (sf) 8.250 Subordinated notes NR 25.739 NR--Not rated. [*] S&P Takes Various Actions on 72 Classes From Nine US RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 72 classes from nine U.S. RMBS transactions issued between 2003 and 2007. The review yielded nine downgrades, 31 affirmations, and 32 withdrawals. ANALYTICAL CONSIDERATIONS S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The consensus among health experts is that the pandemic may now be at, or near, its peak in some regions but will remain a threat until a vaccine or effective treatment is widely available, which may not occur until the second half of 2021. S&P 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; -- Collateral performance/delinquency trends; -- Small loan count; -- Payment priority; -- Available subordination and/or overcollateralization; -- Principal writedowns; -- Principal-only criteria; -- Interest-only criteria; and -- Increases in/erosion of credit support. RATING ACTIONS The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or the application of specific criteria applicable to these classes. "The affirmations reflect our view that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections," S&P said. "The downgrades on eight classes from two transactions reflect our view that the payment allocation triggers are passing, which allow principal payments to be made to more subordinate classes and erode projected credit support for the affected classes," the rating agency said. Additionally, S&P has seen higher reported delinquencies when compared to those reported during the previous review dates. As a result, the increased delinquencies have had an adverse impact on the performance of the mortgage loans and increased S&P's projected losses. "We withdrew our ratings on 32 classes from seven transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, their future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level," S&P said. A list of Affected Ratings can be reached through: https://bit.ly/33Pajhm ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2020. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***