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

              Sunday, October 4, 2020, Vol. 24, No. 277

                            Headlines

ACCESS GROUP 2004-2: Fitch Affirms CCCsf Ratings on 4 Tranches
ACCESS GROUP 2007-1: Moody's Confirms 'Ba2' on 2007-A-4 Debt
ACE SECURITIES 2005-HE4: Fitch Affirms Dsf Rating on Cl. M-7 Debt
AMMC CLO XIV: Moody's Confirms Ba3 Rating on 2 Tranches
APRES STATIC 1: Fitch Affirms B+sf Rating on Class E Notes

ASHFORD HOSPITALITY 2018-ASHF: DBRS Gives BB Rating on Cl. E Certs
BANK 2018-BNK14: Fitch Affirms 'B-sf' Rating on 2 Tranches
BANK 2020-BNK28: Fitch Gives BB-sf Rating on 2 Tranches
BBCMS MORTGAGE 2020-BID: S&P Assigns Prelim. BB- Rating on E Certs
BBCMS MORTGAGE 2020-C6: DBRS Confirms B(low) Rating on F5T-D Certs

BBCMS TRUST 2018-BXH: DBRS Gives BB(low) Rating on Class F Certs
BBCMS TRUST 2018-CBM: DBRS Gives BB(low) Rating on Class E Certs
BDS LTD 2020-FL6: DBRS Gives Prov. B (low) Rating on Class G Notes
BENCHMARK 2020-B19: Fitch Gives BB-sf Rating on 2 Tranches
CARLYLE GLOBAL 2015-2: Moody's Lowers Class E-R Notes to B3

CCRESG COMMERCIAL 2016-HEAT: DBRS Gives BB(low) Rating on E Certs
CD 2016-CD2: Fitch Lowers Rating on 4 Tranches to CCC
CFMT LLC 2020-AB1: DBRS Finalizes BB(low) Rating on Class M4 Notes
CHC COMMERCIAL 2019-CHC: DBRS Cuts Rating on Class HRR Debt to CCC
CIFC FUNDING 2015-IV: Moody's Cuts Class E-R Notes to Caa2

CIG AUTO 2020-1: DBRS Finalizes BB Rating on Class E Notes
CIM TRUST 2019-R2: Moody's Confirms B3 Rating on Class B2 Debt
CITIGROUP COMMERCIAL 2018-C6: Fitch Affirms B- Rating on J-RR Certs
CITIGROUP MORTGAGE 2015-A: Moody's Confirms 'Ba1' on Cl. B-4 Debt
CITIGROUP MORTGAGE 2020-RP1: DBRS Gives B(high) Rating on B-2 Notes

CITIGROUP MORTGAGE 2020-RP1: Fitch Rates Class B-2 Debt 'Bsf'
CLNY TRUST 2019-IKPR: DBRS Assigns B Rating on Class F Certs
COMM TRUST 2020-CBM: DBRS Gives BB(low) Rating on Class F Certs
CONN'S RECEIVABLES 2018-A: Fitch Affirms B Rating on Class C Debt
COREVEST AMERICAN 2020-3: DBRS Finalizes B Rating on Class G Certs

CSMC TRUST 2017-FHA1: Moody's Confirms B3 Rating on Class B-3 Debt
CSMC TRUST 2020-NQM1: Fitch Gives 'Bsf' Rating on Class B-2 Debt
CSMC TRUST 2020-RPL4: Fitch to Rate Class B-2 Debt 'B(EXP)sf'
DBGS 2018-C1: Fitch Affirms BB-sf Rating on 2 Tranches
DBUBS 2017-BRBK: S&P Affirms B- Rating on Class HRR Certs

EXANTAS CAPITAL 2020-RSO9: DBRS Finalizes B(low) Rating on F Notes
FIRST EAGLE: Moody's Confirms Ba3 Rating on Class E Notes
FREDDIE MAC 2016-1: Moody's Confirms Ba3 Rating on Cl. M-2 Debt
GCAT TRUST 2019-RPL1: Moody's Confirms B3 Rating on B-2 Debt
GS MORTGAGE 2010-C2: Moody's Cuts Class X-B Debt to 'Caa2'

GS MORTGAGE 2014-GC18: Moody's Lowers Rating o Class C Debt to Ba2
GS MORTGAGE 2018-LUAU: DBRS Gives B(low) Rating on Cl. F Certs
GS MORTGAGE 2019-BOCA: DBRS Gives B(high) Rating on 2 Tranches
GS MORTGAGE 2020-GC45: DBRS Confirms B(low) Rating on SW-D Certs
GS MORTGAGE-BACKED 2020-PJ4: Moody's Rates Class B-5 Debt 'B2'

HALCYON LOAN 2017-1: Moody's Confirms Ba3 Rating on Class D Notes
HAWAII HOTEL 2019-MAUI: DBRS Rates Class HRR Certificates 'CCC'
HILTON USA 2016-HHV: DBRS Assigns B(low) Rating on Class F Debt
HILTON USA 2016-SFP: DBRS Gives BB(low) Rating on Class X-E Certs
ICON BRAND 2012-1: S&P Lowers Rating on Class A-1 Certs to 'B-'

IMSCI 2016-7: Fitch Affirms Bsf Rating on Class G Certs
JP MORGAN 2016-WIKI: DBRS Gives B(low) Rating on Class F Certs
JP MORGAN 2017-FL10: DBRS Assigns BB Rating on Class E Certs
JP MORGAN 2020-7: S&P Assigns B Rating on Class B-5-Y Certs
JP MORGAN 2020-LTV2: DBRS Assigns B Rating on 2 Tranches

JP MORGAN 2020-LTV2: Moody's Gives B3 Rating on 2 Tranches
KKR FINANCIAL 2013-1: Moody's Confirms Ba3 Rating on Cl. D-R Notes
MBRT 2019-MBR: DBRS Assigns B Rating on Class G Certs
MILL CITY 2019-GS1: Moody's Lowers Rating on Class B2A Debt to B3
MORGAN STANLEY 2013-C11: Moody's Cuts Rating on Class E Certs to C

MORGAN STANLEY 2016-BNK2: Fitch Affirms B-sf Rating on 2 Tranches
MORGAN STANLEY 2016-UBS12: Fitch Cuts Class X-F Debt to CCCsf
MORGAN STANLEY 2017-ASHF: DBRS Gives BB Rating on Class E Certs
MORGAN STANLEY 2018-SUN: DBRS Gives B Rating on Class G Certs
NATIONSTAR HECM 2020-1: DBRS Finalizes BB Rating on Class M5 Notes

NATIXIS COMMERCIAL 2018-RIVA: DBRS Gives BB(low) on 6 Tranches
NEW RESIDENTIAL 2016-1: Moody's Lowers Rating on B-5 Debt to B1
OBX TRUST 2020-EXP3: DBRS Finalizes B Rating on Class B6-1 Notes
OCTAGON INVESTMENT 48: S&P Assigns BB- Rating on Cl. E Notes
OZLM LTD XV: Moody's Lowers Rating on Class D-R Notes to B1

PROGRESS RESIDENTIAL 2020-SFR3: DBRS Gives (P)B(low) on G Certs
REGIONAL MANAGEMENT 2020-1: DBRS Finalizes BB Rating on D Notes
SCOF-2 LTD: Moody's Confirms Ba3 Rating on Class E-R Notes
SOUND POINT XVII: Moody's Confirms Ba3 Rating on Class D Notes
SOUND POINT XXII: Moody's Confirms Ba3 Rating on Class E Notes

STACR REMIC 2020-HQA4: Moody's Gives Ba2 Rating on 10 Tranches
STACR REMIC 2020-HQA4: S&P Assigns B- Rating on B-1B Notes
SYMPHONY CLO XIV: Moody's Lowers Rating on Class F Notes to Caa3
SYMPHONY CLO XVII: Moody's Confirms Ba3 Rating on Class E-R Notes
TOWD POINT 2020: Fitch Affirms 'CCsf' Rating on Class XA Debt

TOWD POINT: Moody's Confirms Ratings on 34 Classes on Some Trusts
UBSCM 2018-NYCH: DBRS Gives B(low) Rating on Class G Certs
VENTURE 33 CLO: Moody's Lowers Rating on Class F Notes to Caa1
VENTURE 34: Moody's Confirms Ba3 Rating on Class E Notes
WELLS FARGO 2020-RR1: Fitch Gives Bsf Rating on Class B-5 Debt

WELLS FARGO 2020-RR1: Moody's Gives B1 Rating on Class B-5 Debt
WESTLAKE AUTOMOBILE 2020-3: S&P Gives Prelim. B+ Rating on F Notes
[*] DBRS Places 5 US RMBS Securities Under Review Negative
[*] Fitch Puts 19 Tranches From 3 US CMBS Deals on Watch Negative
[*] S&P Takes Actions on 58 Classes From 15 U.S. RMBS Deals


                            *********

ACCESS GROUP 2004-2: Fitch Affirms CCCsf Ratings on 4 Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed the ratings for Access Group 2004-2,
2006-1 and Access Funding LLC 2015-1 as follows:

RATING ACTIONS

Access Group, Inc. - Federal Student Loan Notes, Series 2004-2

Class A-3 00432CBW0; LT CCCsf Affirmed; previously CCCsf

Class A-4 00432CBX8; LT CCCsf Affirmed; previously CCCsf

Class A-5 00432CBY6; LT CCCsf Affirmed; previously CCCsf

Class B 00432CBZ3; LT CCCsf Affirmed; previously CCCsf

Access Group, Inc. - Federal Student Loan Notes, Series 2006-1

Class A-3 00432CDC2; LT AAAsf Affirmed; previously AAAsf

Class B 00432CDE8; LT AAsf Affirmed; previously AAsf

Access Funding 2015-1 LLC

Class A 00435TAA9; LT AAAsf Affirmed; previously AAAsf

Class B 00435TAB7; LT AAsf Affirmed; previously AAsf

TRANSACTION SUMMARY

The transactions are performing as expected and pass Fitch's cash
flow model stresses for the respective ratings. In Fitch's modeling
of the 2006-1 transaction, the class B notes pass all 'AAAsf'
credit and maturity stresses; however, due to the weak macro
economy and continued high unemployment, and as Fitch calculated
parity does not meet the 102.5% threshold required for 'AAAsf',
Fitch will affirm the current rating.

The Rating Outlook for all senior notes of 2006-1 and 2015-1 is
Negative due to the U.S. sovereign rating. In addition, 2015-1 is
sensitive to changes in CPR from a credit perspective; therefore,
the Outlook for class B has been revised to Negative.

KEY RATING DRIVERS

U.S. Sovereign Risk: The trust collateral comprises Federal Family
Education Loan Program (FFELP) loans, with guaranties provided by
eligible guarantors and reinsurance provided by the U.S. Department
of Education (ED) for at least 97% of principal and accrued
interest. The U.S. sovereign rating is currently 'AAA'/Negative.

Collateral Performance: Based on transaction specific performance
to date, Fitch assumed a sustainable constant default rate
assumption (sCDR) of 2.0% for 2004-2, 1.7% for 2006-1 and 2.5% for
2015-1 and a sustainable constant prepayment rate (sCPR) of 5.5%,
8.0% and 16% for 2004-2, 2006-1 and 2015-1 respectively. The TTM
levels of deferment and forbearance are 1.3% and 5.4% for 2004-2,
approximately 2.0% and 6.1% for 2006-1 and 2.3% and 9.8% for 2015-1
for deferment and forbearance respectively.

Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. As of the end of the most
recent collection period, all trust student loans are indexed to
either 91-day T-bill or one-month LIBOR and all notes are indexed
to either three month or one-month LIBOR.

Payment Structure: Credit enhancement (CE) is provided by excess
spread, and the class A notes benefit from subordination provided
by the class B notes. Reported senior and total parity is 110.8%
and 101% respectively for 2004-2, and 108.3% and 101% respectively
for 2006-1. All transactions are releasing excess cash as the
parity of 101% is maintained for 2004-2 and 2006-1 and the
specified overcollateralization amount of the greater of 2.25% of
the pool balance and $1,070,000 is maintained. Liquidity support is
provided by a reserve accounts sized at $1.1 million, $1.5 million
and $303,814 for 2004-2, 2006-1 and 2015-1, respectively.

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

Coronavirus Impact: Fitch'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 sCPR for 2006-1 and 2015-1 and maintained the
sCDR for all transactions in cash flow modeling to reflect this
analysis. The sCPR for 2004-2 and the sCDRs for all transactions
reflect healthy cushions from current performance in cash flow
modeling.

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 transactions face when one assumption is modified, while
holding others equal. Fitch conducts credit and maturity stress
sensitivity analysis by increasing or decreasing key assumptions by
25% and 50% over the base case. The credit stress sensitivity is
viewed by stressing both the base case default rate and the basis
spread. The maturity stress sensitivity is viewed by stressing
remaining term, IBR usage and prepayments. The results should only
be considered as one potential outcome, as the transaction is
exposed to multiple dynamic risk factors and should not be used as
an indicator of possible future performance.

Access Group, Inc. - Federal Student Loan Notes, Series 2004-2

Cashflow modeling was not conducted reflecting performance since
the last review. In general, ratings for FFELP student loan
transactions are sensitive to defaults, basis risk and loan
extension risk.

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

The current ratings are most sensitive to Fitch's maturity risk
scenario. Key factors that may lead to positive rating action are
sustained increases in payment rate and a material reduction in
weighted average remaining loan term. A material increases of
credit enhancement from lower defaults and positive excess spread,
given favorable basis spread conditions, is a secondary factor that
may lead positive rating action.

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

The current ratings reflect the risk the notes miss their legal
final maturity date under Fitch's base case maturity scenario. If
the margin by which these classes miss their legal final maturity
date increases, or does not improve as the maturity date nears, the
ratings may be downgraded further. Additional defaults, increased
basis spreads beyond Fitch's published stresses,
lower-than-expected payment speed or loan term extension are
factors that could lead to future rating downgrade.

Access Group, Inc. - Federal Student Loan Notes, Series 2006-1

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

Class A is rated 'AAAsf' and is at its highest attainable rating.
Results shown is for class B

Credit Stress Rating Sensitivity

  -- Default decrease 25%: class B 'AAAsf'

  -- Basis Spread decrease 0.25%: class B 'AAAsf'

Maturity Stress Rating Sensitivity

  -- CPR increase 25%: class B 'AAAsf'

  -- IBR Usage decrease 25%: class B 'AAAsf'

  -- Remaining Term decrease 25%: class B 'AAAsf'

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

Credit Stress Rating Sensitivity

  -- Default increase 25%: class A 'AAAsf'; class B 'AAsf'

  -- Default increase 50%: class A 'AAAsf'; class B 'Asf'

  -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'Asf'

  -- Basis Spread increase 0.5%: class A 'AAsf'; class B 'BBBsf'

Maturity Stress Rating Sensitivity

  -- CPR decrease 25%: class A 'AAAsf'; class B 'AAsf'

  -- CPR decrease 50%: class A 'AAAsf'; class B 'AAsf'

  -- IBR Usage increase 25%: class A 'AAAsf'; class B 'AAsf'

  -- IBR Usage increase 50%: class A 'AAAsf'; class B 'AAsf'

  -- Remaining Term increase 25%: class A 'Asf'; class B 'BBBsf'

  -- Remaining Term increase 50%: class A 'CCCsf'. class B 'CCCsf'

For the downside coronavirus sensitivity scenario, Fitch assumed a
50% increase in defaults, IBR and remaining term for the credit and
maturity stress, respectively. Under this scenario, ratings changed
by 1 to 3 categories.

Access Funding 2015-1 LLC

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

Class A is rated 'AAAsf' and is at its highest attainable rating.
Results shown is for class B

Credit Stress Rating Sensitivity

  -- Default decrease 25%: class B 'AAAsf'

  -- Basis Spread decrease 0.25%: class B 'AAAsf'

Maturity Stress Rating Sensitivity

  -- CPR increase 25%: class B 'AAAsf'

  -- IBR Usage decrease 25%: class B 'AAAsf'

  -- Remaining Term decrease 25%: class B 'AAAsf'

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

Credit Stress Rating Sensitivity

  -- Default increase 25%: class A 'Asf'; class B 'Asf'

  -- Default increase 50%: class A 'BBBsf'; class B 'BBBsf'

  -- Basis Spread increase 0.25%: class A 'Asf'; class B 'Asf'

  -- Basis Spread increase 0.5%: class A 'Asf'; class B 'Asf'

Maturity Stress Rating Sensitivity

  -- CPR decrease 25%: class A 'AAAsf'; class B 'AAsf'

  -- CPR decrease 50%: class A 'AAAsf'; class B 'AAsf'

  -- IBR Usage increase 25%: class A 'AAAsf'; class B 'AAsf'

  -- IBR Usage increase 50%: class A 'AAAsf'; class B 'AAsf'

  -- Remaining Term increase 25%: class A 'AAAsf'; class B 'AAsf'

  -- Remaining Term increase 50%: class A 'AAAsf'. class B 'AAsf'

For the downside coronavirus sensitivity scenario, Fitch assumed a
50% increase in defaults, IBR and remaining term for the credit and
maturity stress, respectively. Under this scenario, ratings changed
by 1 to 3 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).


ACCESS GROUP 2007-1: Moody's Confirms 'Ba2' on 2007-A-4 Debt
------------------------------------------------------------
Moody's Investors Service downgraded six securities and confirmed
two securities issued by eight FFELP student loan securitizations.
The securitizations are backed by student loans originated under
the Federal Family Education Loan Program (FFELP) that are
guaranteed by the US government for a minimum of 97% of defaulted
principal and accrued interest.

The complete rating actions are as follows:

Issuer: Academic Loan Funding Trust 2012-1

2012-1 Class A-2, Downgraded to Aa1 (sf); previously on Jun 3, 2020
Aaa (sf) Placed Under Review for Possible Downgrade

Issuer: Access Group, Inc. Series 2007-1

2007-A-4, Confirmed at Ba2; previously on Jun 3, 2020 Ba2 Placed
Under Review for Possible Downgrade

Issuer: Navient Student Loan Trust 2014-1

Floating Rate Class A-3 Notes, Downgraded to A3 (sf); previously on
Jun 3, 2020 Downgraded to A2 (sf) and Placed Under Review for
Possible Downgrade

Issuer: Navient Student Loan Trust 2015-1

Floating Rate Class A-2 Notes, Downgraded to Aa1 (sf); previously
on Feb 26, 2015 Definitive Rating Assigned Aaa (sf)

Issuer: Nelnet Student Loan Trust 2007-1

Cl. A-4, Downgraded to A3 (sf); previously on Jun 3, 2020 A1 (sf)
Placed Under Review for Possible Downgrade

Issuer: SLC Student Loan Trust 2007-2

Cl. A-3, Confirmed at A1 (sf); previously on Jun 3, 2020 Downgraded
to A1 (sf) and Placed Under Review for Possible Downgrade

Issuer: SLM Student Loan Trust 2005-4

Cl. A-4, Downgraded to Aa1 (sf); previously on May 5, 2014 Affirmed
Aaa (sf)

Issuer: SLM Student Loan Trust 2010-2

Class A Notes, Downgraded to A2 (sf); previously on Jun 3, 2020
Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade

RATINGS RATIONALE

The rating actions reflect its revised expectations on the
performance of the underlying FFELP loans driven by increased
forbearance as a result of a slowdown in economic activity and an
increase in unemployment due to the coronavirus outbreak.

In its analysis, Moody's considered the elevated
transaction-specific forbearance levels declining over a period up
to 24 months. Due to significant increases in forbearance, certain
transactions are subject to slower collateral pool amortization and
subsequently bond payoff risk by their legal final maturity dates.
The peak forbearance level in these pools ranged between 18% and
34% in the second quarter of 2020, and the forbearance level of
some pools has subsequently reduced to between 11% and 21% during
the third quarter.

The actions reflect the updated performance of the transactions and
updated expected loss on the tranches across Moody's cash flow
scenarios. Moody's quantitative analysis derives the expected loss
for a tranche using 28 cash flow scenarios with weights accorded to
each scenario.

The rating actions also reflect the granularity of the collateral
data Moody's receives. Generally, more granularity allows for a
better understanding of the collateral characteristics important in
evaluating performance and the likelihood of repayment by the
bonds' final maturity dates. Given the low likelihood of its
modeled assumptions persisting for an extended period, certain
Navient notes with final maturity dates of more than five years are
rated higher than indicated by the model output. The downgrade
actions of Class A-4 notes of SLM Student Loan Trust 2005-4 and
Class A-2 notes of Navient Student Loan Trust 2015-1 reflect
considerations of the collateral data granularity in relation to
the remaining time to the bonds' respective maturities.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
consumer assets from the current weak U.S. economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

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

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating Securities Backed by FFELP Student Loans"
published in May 2020.

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

Up

Moody's could upgrade the ratings if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the ratings
owing to a build-up in credit enhancement.

Down

Moody's could downgrade the ratings if the paydown speed of the
loan pool declines as a result of lower than expected voluntary
prepayments, and higher than expected deferment, forbearance and
IBR rates, which would threaten full repayment of the class by its
final maturity date. In addition, because the US Department of
Education guarantees at least 97% of principal and accrued interest
on defaulted loans, Moody's could downgrade the rating of the notes
if it were to downgrade the rating on the United States government.


ACE SECURITIES 2005-HE4: Fitch Affirms Dsf Rating on Cl. M-7 Debt
-----------------------------------------------------------------
Fitch Ratings has taken various rating actions on 151 classes in 30
U.S. RMBS transactions. The transactions reviewed consisted of
three Prime and 27 Subprime U.S. RMBS securities.

Rating Action Summary:

  -- 2 classes Upgraded;

  -- 121 classes Affirmed;

  -- 26 classes Downgraded;

  -- 6 classes Withdrawn;

  -- 2 classes Paid-In-Full.

A total of 39 classes were previously on Rating Watch Negative
(RWN). Out of the 39 classes, 18 were downgraded and 19 were
affirmed at their current rating. In addition, Fitch also reviewed
other classes in transactions where classes were on RWN. In
aggregate following the review, seven classes have a Positive
Rating Outlook, 38 classes have a Stable Outlook and 25 classes
have a Negative Outlook.

RATING ACTIONS

Ace Securities Corp. Home Equity Loan Trust 2005-HE4

Class M-3 004421PS6; LT PIFsf Paid In Full; previously BBsf

Class M-4 004421PT4; LT BBsf Affirmed; previously BBsf

Class M-5 004421PU1; LT Csf Affirmed; previously Csf

Class M-6 004421PV9; LT Csf Affirmed; previously Csf

Class M-7 004421PW7; LT Dsf Affirmed; previously Dsf

J.P. Morgan Acceptance Corporation I 2005-WMC1

Class M2 46626LBJ8; LT BBsf Downgrade; previously Asf

Class M3 46626LBK5; LT CCCsf Downgrade; previously Bsf

Class M4 46626LBL3; LT Csf Affirmed; previously Csf

Class M5 46626LBM1; LT Dsf Affirmed; previously Dsf

Morgan Stanley ABS Capital I 2004-WMC3

Class M-2 61746RJL6; LT Bsf Affirmed; previously Bsf

Class M-3 61746RJM4; LT Csf Affirmed; previously Csf

Class M-4 61746RJN2; LT Csf Affirmed; previously Csf

Class M-5 61746RJP7; LT Csf Affirmed; previously Csf

Class M-6 61746RJQ5; LT Dsf Affirmed; previously Dsf

Citigroup Mortgage Loan Trust Inc. 2005-OPT4

Class M-4 17307GUU0; LT Asf Affirmed; previously Asf

Class M-5 17307GUV8; LT BBsf Downgrade; previously Asf

Class M-6 17307GUW6; LT BBsf Affirmed; previously BBsf

Class M-7 17307GUX4; LT Csf Affirmed; previously Csf

Class M-8 17307GUY2; LT Dsf Affirmed; previously Dsf

Park Place Securities, Inc. 2004-WCW2

Class M-2 70069FAY3; LT BBsf Affirmed; previously BBsf

Class M-3 70069FAZ0; LT BBsf Affirmed; previously BBsf

Class M-4 70069FBA4; LT Csf Affirmed; previously Csf

Class M-5 70069FBB2; LT Csf Affirmed; previously Csf

Class M-6 70069FBC0; LT Csf Affirmed; previously Csf

Class M-7 70069FBD8; LT Dsf Affirmed; previously Dsf

New Century Home Equity Loan Trust 2005-3

Class M-3 64352VLL3; LT AAsf Affirmed; previously AAsf

Class M-4 64352VLM1; LT BBsf Affirmed; previously BBsf

Class M-5 64352VLN9; LT Bsf Affirmed; previously Bsf

Class M-6 64352VLP4; LT Csf Affirmed; previously Csf

Class M-7 64352VLQ2; LT Dsf Affirmed; previously Dsf

Park Place Securities, Inc. 2005-WCW1

Class M-2 70069FKF3; LT BBsf Affirmed; previously BBsf

Class M-3 70069FKG1; LT Csf Affirmed; previously Csf

Class M-4 70069FKH9; LT Csf Affirmed; previously Csf

Class M-5 70069FKJ5; LT Dsf Affirmed; previously Dsf

New Century Home Equity Loan Trust 2005-1

Class M-1 64352VKA8; LT BBsf Affirmed; previously BBsf

Class M-2 64352VKB6; LT BBsf Affirmed; previously BBsf

Class M-3 64352VKC4; LT Bsf Affirmed; previously Bsf

Class M-4 64352VKD2; LT Csf Affirmed; previously Csf

Class M-5 64352VKE0; LT Csf Affirmed; previously Csf

Class M-6 64352VKF7; LT Csf Affirmed; previously Csf

Class M-7 64352VKG5; LT Dsf Affirmed; previously Dsf

Park Place Securities, Inc. 2004-WWF1

Class M-4 70069FDM6; LT CCCsf Downgrade; previously Bsf

Class M-5 70069FDN4; LT Csf Affirmed; previously Csf

Class M-6 70069FDP9; LT Csf Affirmed; previously Csf

Class M-7 70069FDQ7; LT Dsf Affirmed; previously Dsf

Park Place Securities, Inc. 2004-MCW1

Class M-2 70069FCH8; LT CCCsf Downgrade; previously Bsf

Class M-3 70069FCJ4; LT Csf Affirmed; previously Csf

Class M-4 70069FCK1; LT Dsf Affirmed; previously Dsf

First Franklin Mortgage Loan Trust 2006-FFH1

Class A4 32027NZL8; LT AAAsf Affirmed; previously AAAsf

Class M1 32027NZM6; LT BBsf Affirmed; previously BBsf

Class M2 32027NZN4; LT Dsf Affirmed; previously Dsf

Residential Asset Mortgage Products, Inc. 2006-SP4

Class M-1 74919VAG1; LT AAsf Affirmed; previously AAsf

Class M-2 74919VAH9; LT Asf Affirmed; previously Asf

Class M-3 74919VAJ5; LT Dsf Affirmed; previously Dsf

Morgan Stanley ABS Capital I 2005-HE4

Class M-2 61744CTL0; LT CCCsf Downgrade; previously Bsf

Class M-3 61744CTM8; LT Csf Affirmed; previously Csf

Class M-4 61744CTN6; LT Dsf Affirmed; previously Dsf

Soundview Home Equity Loan Trust 2005-1

Class M-3 83611MCP1; LT BBsf Affirmed; previously BBsf

Class M-4 83611MCQ9; LT BBsf Downgrade; previously BBBsf

Class M-5 83611MCR7; LT BBsf Affirmed; previously BBsf

Class M-6 83611MCS5; LT Dsf Affirmed; previously Dsf

Washington Mutual Mortgage Securities Corp. 2003-AR5

Class A-6 929227R57; LT Asf Affirmed; previously Asf

Class A-7 929227R65; LT Asf Affirmed; previously Asf

Class B-1 929227S23; LT BBsf Downgrade; previously BBBsf

Class B-2 929227S31; LT CCCsf Downgrade; previously Bsf

Class B-3 929227S49; LT Dsf Affirmed; previously Dsf

Carrington Mortgage Loan Trust 2005-NC3

Class M-2 144531CZ1; LT PIFsf Paid In Full; previously BBsf

Class M-3 144531DA5; LT BBsf Affirmed; previously BBsf

Class M-4 144531DB3; LT Csf Affirmed; previously Csf

Class M-5 144531DC1; LT Csf Affirmed; previously Csf

Class M-6 144531DD9; LT Dsf Affirmed; previously Dsf

Credit Suisse First Boston Mortgage Securities Corp. 2003-7

Class A-2 437084AB2; LT AAAsf Affirmed; previously AAAsf

Class B-1 437084AH9; LT BBsf Affirmed; previously BBsf

Class B-2 437084AJ5; LT Dsf Affirmed; previously Dsf

Class M-1 437084AE6; LT BBBsf Affirmed; previously BBBsf

Class M-2 437084AF3; LT BBBsf Affirmed; previously BBBsf

Class M-3 437084AG1; LT BBsf Affirmed; previously BBsf

Wells Fargo Home Equity Asset-Backed Securities 2005-2

Class M-10 94981PAN0; LT Csf Affirmed; previously Csf

Class M-11 94981PAP5; LT Csf Affirmed; previously Csf

Class M-12 94981PAQ3; LT Dsf Affirmed; previously Dsf

Class M-6 94981PAJ9; LT AAsf Affirmed; previously AAsf

Class M-7 94981PAK6; LT Asf Affirmed; previously Asf

Class M-8 94981PAL4; LT BBsf Affirmed; previously BBsf

Class M-9 94981PAM2; LT BBsf Affirmed; previously BBsf

Morgan Stanley ABS Capital I 2002-HE3

Class A-2 61746RAA9; LT Asf Affirmed; previously Asf

Class B-1 61746RAD3; LT Dsf Affirmed; previously Dsf

Class M-1 61746RAB7; LT Bsf Affirmed; previously Bsf

Class M-2 61746RAC5; LT Csf Affirmed; previously Csf

Mortgage Asset Securitization Transactions, Inc. (MASTR) MSSTR
2004-1

Class 2-A-1 55265WAW3; LT BBBsf Downgrade; previously Asf

Class 2-A-2 55265WAX1; LT BBBsf Downgrade; previously Asf

Class 2-A-3 55265WAY9; LT BBBsf Downgrade; previously Asf

Class 2-A-4 55265WAZ6; LT BBBsf Downgrade; previously Asf

Class 2-A-6 55265WBB8; LT BBsf Downgrade; previously BBBsf

Class PO 55265WBZ5; LT BBBsf Downgrade; previously Asf

Cendant Mortgage Corp. 2003-8

Class I-A-10 15132EEZ7; LT BBsf Downgrade; previously BBBsf

Class I-A-10 15132EEZ7; LT WDsf Withdrawn; previously BBBsf

Class I-A-11 15132EFA1; LT BBsf Downgrade; previously BBBsf

Class I-A-11 15132EFA1; LT WDsf Withdrawn; previously BBBsf

Class I-B-1 15132EFL7; LT CCsf Affirmed; previously CCsf

Class I-B-1 15132EFL7; LT WDsf Withdrawn; previously CCsf

Class I-B-2 15132EFM5; LT Dsf Affirmed; previously Dsf

Class I-B-2 15132EFM5; LT WDsf Withdrawn; previously Dsf

Class I-P 15132EFF0; LT BBsf Downgrade; previously BBBsf

Class I-P 15132EFF0; LT WDsf Withdrawn; previously BBBsf

Option One Mortgage Loan Trust 2004-1

Class M-1 68389FES9; LT CCCsf Downgrade; previously Bsf

Class M-2 68389FET7; LT Csf Affirmed; previously Csf

Class M-3 68389FEU4; LT Csf Affirmed; previously Csf

Class M-4 68389FEV2; LT Csf Affirmed; previously Csf

Class M-5 68389FEW0; LT Csf Affirmed; previously Csf

Class M-6 68389FEX8; LT Dsf Affirmed; previously Dsf

Stanwich Asset Acceptance Company, L.L.C. 2005-NC4 Trust

Class M-2 78514RAE5; LT BBsf Affirmed; previously BBsf

Class M-3 78514RAF2; LT Csf Affirmed; previously Csf

Class M-4 78514RAG0; LT Dsf Affirmed; previously Dsf

Credit Suisse First Boston Mortgage Securities Corp. 2004-4

Class A-1 437084CS3; LT AAAsf Affirmed; previously AAAsf

Class B-1 437084DF0; LT Bsf Affirmed; previously Bsf

Class B-2 437084DG8; LT Dsf Affirmed; previously Dsf

Class M-1 437084CZ7; LT Asf Upgrade; previously BBBsf

Class M-2 437084DA1; LT Asf Affirmed; previously Asf

Class M-3 437084DB9; LT Asf Affirmed; previously Asf

Class M-5 437084DD5; LT BBsf Affirmed; previously BBsf

Class M-6 437084DE3; LT BBsf Affirmed; previously BBsf

CWABS, Inc. 2004-8

Class M-2 126673EW8; LT BBBsf Affirmed; previously BBBsf

Class M-3 126673EX6; LT Bsf Affirmed; previously Bsf

Class M-4 126673EY4; LT Bsf Affirmed; previously Bsf

Class M-5 126673EZ1; LT Csf Affirmed; previously Csf

Class M-6 126673FA5; LT Dsf Affirmed; previously Dsf

First Franklin Mortgage Loan Trust 2004-FF11

Class M-2 32027NMY4; LT Asf Downgrade; previously AAsf

Class M-2 32027NMY4; LT WDsf Withdrawn; previously AAsf

Class M-3 32027NMZ1; LT Asf Affirmed; previously Asf

Class M-4 32027NNA5; LT Bsf Affirmed; previously Bsf

Class M-5 32027NNB3; LT Csf Affirmed; previously Csf

Class M-6 32027NNC1; LT Dsf Affirmed; previously Dsf

Mortgage Asset Securitization Transactions, Inc. (MASTR) 2004-HE1

Class M-10 57643LET9; LT Csf Affirmed; previously Csf

Class M-11 57643LEU6; LT Dsf Affirmed; previously Dsf

Class M-4 57643LEM4; LT BBsf Downgrade; previously Asf

Class M-5 57643LEN2; LT BBsf Downgrade; previously Asf

Class M-6 57643LEP7; LT BBsf Downgrade; previously Asf

Class M-7 57643LEQ5; LT CCCsf Downgrade; previously Bsf

Class M-8 57643LER3; LT Csf Affirmed; previously Csf

Class M-9 57643LES1; LT Csf Affirmed; previously Csf

Soundview Home Equity Loan Trust 2005-2

Class M-5 83611MEU8; LT BBsf Affirmed; previously BBsf

Class M-6 83611MEV6; LT Bsf Affirmed; previously Bsf

Class M-7 83611MEW4; LT Csf Affirmed; previously Csf

Class M-8 83611MEX2; LT Dsf Affirmed; previously Dsf

IndyMac ABS, Inc. SPMD 2004-C

Class A-II-3 456606FT4; LT AAAsf Affirmed; previously AAAsf

Class M-1 456606FU1; LT BBsf Downgrade; previously BBBsf

Class M-2 456606FV9; LT BBsf Affirmed; previously BBsf

Class M-3 456606FW7; LT Bsf Affirmed; previously Bsf

Class M-4 456606FX5; LT Csf Affirmed; previously Csf

Class M-5 456606FY3; LT Csf Affirmed; previously Csf

Class M-6 456606FZ0; LT Csf Affirmed; previously Csf

Class M-7 456606GA4; LT Csf Affirmed; previously Csf

Class M-8 456606GB2; LT Csf Affirmed; previously Csf

Class M-9 456606GC0; LT Csf Affirmed; previously Csf

Mortgage Asset Securitization Transactions, Inc. (MASTR) 2006-NC1

Class A-4 57643LNF9; LT AAAsf Upgrade; previously AAsf

Class M-1 57643LNG7; LT CCCsf Downgrade; previously Bsf

Class M-2 57643LNH5; LT Dsf Affirmed; previously Dsf

Additionally, immediately following these rating actions, six
classes were withdrawn due to insufficient information provided.

KEY RATING DRIVERS

This review was prompted to resolve rating watch actions per "U.S.
RMBS Rating Actions for April 24, 2020." 39 legacy classes within
this review were placed on RWN in April of 2020.

Pool Loss Analysis:

Expected losses in Fitch's base case have increased for most
cohorts reviewed. While 30-day and 60-day delinquencies (dq) have
seen a decline since the last review (for the March 2020
remittance), 90-day dqs are generally up, particularly within the
subprime sector. The observed increase in dqs resulted in higher
loss expectations.

Additionally, 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
would see an even larger decline in output in 2020 and a weaker
recovery in 2021. To account for declining macroeconomic conditions
resulting from the coronavirus, 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.

Cash Flow Analysis

Fitch's cash flow analysis was driven by an increased delinquency
curve resulting from higher observed dqs for the underlying
collateral. Fitch's higher loss expectations also translated into
higher default rate assumptions in Fitch's cash flow analysis.

Full interest repayment is expected and is consistent with ratings.
Fitch expects 100% repayment of both principal and interest when
assigning RMBS ratings under their respective stress scenarios. For
legacy subprime classes, there are structural deficiencies to
payback interest shortfalls, so the primary driver of downgrades
was the result of these potentially unrecoverable interest
shortfalls.

Rating Cap Analysis

Interest Shortfalls: A number of the downgrades are related to
existing interest shortfalls that are not expected to be paid back.
These interest shortfalls have become increasingly harder to pay
back as they become a higher percentage of the class balance. A
number of classes would be eligible for upgrades from a principal
recovery perspective but are being held back due to existing
interest shortfalls that are unlikely to be repaid.

Low Pool WAN: Low pool Weighted Average Number (WAN) affected
expected losses as well as rating caps. Pools with lower WAN's are
treated with higher PD penalties. Additionally, based on Fitch's
RMBS Surveillance Criteria, ratings are capped based on the
underlying WAN. Rating caps for current or future WAN counts drove
downgrades and limited upgrades.

RATING SENSITIVITIES

Fitch's analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are increasingly
more stressful and less likely to occur. Given the current economic
environment, Fitch applied adjustments to its ERF variable in its
loss model as well as minimum delinquency assumptions. These
adjustments are the main rating drivers in the context of this
review.

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 a worsening economic environment above
what Fitch is currently assuming. A higher ERF value above the
current floor would result in additional downgrades to the
non-investment grade ratings as well as potential downgrades to
'BBBsf' rated classes if the floor was raised to 2.5 and potential
downgrades to 'Asf' rated classes if the floor was raised to 3.0.
Further, a higher percentage of forbearance would lead to more
downgrades of 'AAAsf' and 'AAsf' rated classes due to a higher risk
of temporary interest shortfalls.

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 a more benign economic environment than
what is currently assumed. If the ERF floor was lowered to 1.5, the
'BBsf' classes currently impacted would likely be unaffected and if
the floor was lowered to 1.0 the 'Bsf' floors would likely be
unaffected as well. A decline in the percentage of borrowers with
principal forbearance would result in less negative pressure among
'AAAsf' and 'AAsf' rated classes as the chance of temporary
disruptions would be reduced.

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.

CRITERIA VARIATION

The first variation from Fitch criteria was to address existing
interest shortfalls that are unlikely to be repaid. If the existing
interest shortfall was less than 50bps at the time of last
occurrence, then the rating was capped at 'BBsf'. If the existing
interest shortfall was larger than 50bps at the time of last
occurrence, than the rating was capped at 'CCCsf'. Fitch's rating
definitions expects full repayment of interest due on the bonds.
Full recovery of existing interest shortfalls is unlikely for the
classes downgraded. The second variation relates to Fitch's
coronavirus-related assumption criteria. Rather than using the
minimum forbearance stress as outlined in the criteria, Fitch used
the standard delinquency curve as outlined in Fitch's Cash Flow
Analysis Criteria. As delinquencies begin to return to pre-pandemic
levels, especially for legacy non-agency collateral contained in
this review, Fitch determined it would be appropriate to resolve
Rating Watches under the standard pre-pandemic criteria. The
minimum forbearance stress was meant to project out potential
delinquencies across the portfolio on average; however, given the
length of time since the onset of the pandemic, using the standard
delinquency curve based on pool specific performance more
accurately stresses the credit risk.

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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


AMMC CLO XIV: Moody's Confirms Ba3 Rating on 2 Tranches
-------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by AMMC CLO XIV, Limited:

US$23,000,000 Class B1L-R Senior Secured Deferrable Floating Rate
Notes due 2029 (the "Class B1L-R Notes), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$11,500,000 Class B2L1-R Senior Secured Deferrable Floating Rate
Notes due 2029 (the "Class B2L1-R Notes"), Confirmed at Ba3 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

US$10,500,000 Class B2L2-R Senior Secured Deferrable Floating Rate
Notes due 2029 (the "Class B2L2-R Notes"), Confirmed at Ba3 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class B1L-R, Class B2L1-R, and Class B2L2-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 B1L-R, Class B2L1-R, and Class B2L2-R Notes
issued by the CLO. The CLO, originally issued in July 2014
refinanced in July 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in October 2021.

RATINGS RATIONALE

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

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3027, compared to 2734
reported in the February 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. 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
15.3%. Nevertheless, Moody's noted that all OC tests were recently
reported [3] as passing.

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

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

Performing par and principal proceeds balance: $383,901,162

Defaulted Securities: $5,687,089

Diversity Score: 93

Weighted Average Rating Factor (WARF): 3026

Weighted Average Life (WAL): 5.5 years

Weighted Average Spread (WAS): 3.33%

Weighted Average Recovery Rate (WARR): 47.77%

Par haircut in OC tests and interest diversion test: 0.4%

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

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

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

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

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

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


APRES STATIC 1: Fitch Affirms B+sf Rating on Class E Notes
----------------------------------------------------------
Fitch Ratings has affirmed the class A-1, A-2, B, C, D, and E notes
from Apres Static CLO 1, Ltd. (Apres Static CLO 1). In addition,
Fitch has removed the class C and D notes from Rating Watch
Negative (RWN) and assigned them a Negative Outlook. The class C
and D notes were previously placed on RWN in April.

RATING ACTIONS

Apres Static CLO 1, Ltd.

Class A-1 03835JAA1; LT AAAsf Affirmed; previously AAAsf

Class A-2 03835JAC7; LT AA+sf Affirmed; previously AA+sf

Class B 03835JAE3; LT Asf Affirmed; previously Asf

Class C 03835JAG8; LT BBBsf Affirmed; previously BBBsf

Class D 03835KAA8; LT BBsf Affirmed; previously BBsf

Class E 03835KAC4; LT B+sf Affirmed; previously B+sf

TRANSACTION SUMMARY

Apres Static CLO 1 is an arbitrage CLO that is serviced by
ArrowMark Colorado Holdings, LLC. The CLO was issued in March 2019
and is securitized by a static pool of primarily first lien, senior
secured leveraged loans.

KEY RATING DRIVERS

The rating actions are supported by the overall results of Fitch's
Cash Flow Model (CFM) analysis that was based on the actual
portfolio provided in the September 2020 trustee report.
Approximately 16.2% of the portfolio was downgraded since the last
review in April, while credit enhancement (CE) has increased on all
notes due to amortization of the class A-1 notes. The class A-1
notes have paid down approximately 38.7% of their original balance
since closing.

Average portfolio exposure to assets considered 'CCC' and below
(excluding defaults) decreased to 8.8% from 9.0% at last review of
the transaction. The Fitch weighted average rating factor (WARF)
increased to 35.7 from 35.0 under standard assumptions at last
review in April 2020.

Coronavirus Impact Analysis

Fitch conducted a coronavirus baseline sensitivity scenario which
applies a one notch downgrade for issuers with a Negative Outlook
(floor at CCC-), regardless of sector. Assets with a Fitch-derived
rating with a Negative Outlook totaled 41.9%. As a result, Fitch
WARF increased to 40.8 under the coronavirus baseline sensitivity
scenario. The results of this sensitivity analysis were considered
in determining Rating Outlooks on the CLO notes.

Fitch removed the class C and D notes from RWN and assigned them
Negative Outlooks as a result of this sensitivity analysis. The
class C and D notes reflect a higher risk of credit deterioration
over the longer term, as the impact of coronavirus continues to
unfold and the recovery path remains uncertain. Fitch also
maintained Negative Outlook on the class E notes due to the
subordinate position of the notes relative to the class C and D
notes. The Stable Outlooks maintained for all other rated classes
of notes demonstrate the notes' resilience with positive breakeven
cushions under the coronavirus baseline scenario under stable
interest rate assumptions.

Cash Flow Analysis

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

When conducting its cash flow analysis, Fitch's model first
projects the portfolio scheduled amortization proceeds and any
prepayments for each reporting period of the transaction life
assuming no defaults (and no voluntary terminations, when
applicable). In each rating stress scenario, such scheduled
amortization proceeds and prepayments are then reduced by a scale
factor equivalent to the overall percentage of loans that are not
assumed to default (or to be voluntary terminated, when
applicable). This adjustment avoids running out of performing
collateral due to amortization and ensures all of the defaults
projected to occur in each rating stress are realized in a manner
consistent with Fitch's published default timing curve.

The results of the cash flow analysis under standard assumptions
show that the model-implied ratings (MIR) of the class A-1, A-2, D,
and E notes are at their current rating levels and the MIRs of the
class B and C notes were one notch higher than their current rating
levels. However, Fitch did not upgrade the class B and C notes in
light of the ongoing economic disruption caused by the coronavirus
pandemic and their performance under the coronavirus baseline
sensitivity scenario.

RATING SENSITIVITIES

Fitch conducted rating sensitivity analysis on the closing date of
each CLO, incorporating increased levels of defaults and reduced
levels of recovery rates, among other sensitivities, as defined in
its CLOs and Corporate CDOs Rating Criteria.

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

A 25% reduction of the mean default rate across all ratings, and a
25% increase of the recovery rate at all rating levels, would lead
to an upgrade of one notch for the class A-2 notes, two notches for
the class B notes, and four notches for the class C, class D, and
class E notes. An upgrade scenario would not be applicable to the
class A-1 notes since they are already rated at the highest rating
level (AAAsf).

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

Downgrades may occur if realized and projected losses in the
respective portfolios are higher than those assumed at closing in
the Fitch Stressed Portfolio and that are not offset by the
increase in CLO notes' CE levels.

A 25% increase of the mean default rate across all ratings and a
25% decrease of the recovery rate at all rating levels would lead
to a downgrade of up to three notches for the class A-2 notes, five
notches for the class B notes, three notches for the class C notes,
at least two rating categories for the class D notes, and at least
one rating category for the class E notes.

Coronavirus Downside Scenario Impact:

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before halting recovery begins
in 2Q21. The downside sensitivity incorporates the following
stresses: applying a one-notch downgrade to all Fitch-derived
ratings in the 'B' rating category; applying a 70% recovery rate
multiplier to all assets from issuers in the eight industries
identified as being most exposed to negative performance resulting
from business disruptions from the coronavirus (Group 1 countries
only); and applying a 85% recovery rate multiplier to all other
assets. This sensitivity is not used to derive its rating actions.
In such a scenario, the model-implied ratings for Apres Static 1
are the same as the current ratings for the class A-1 notes, up to
five notches below the current ratings for the class A-2 notes and
class B notes, four notches below the current ratings for the class
C notes, at least two rating categories below current ratings for
the class D notes, and at least one rating category below current
ratings for the class E notes.

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.


ASHFORD HOSPITALITY 2018-ASHF: DBRS Gives BB Rating on Cl. E Certs
------------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2018-ASHF issued by Ashford
Hospitality Trust 2018-ASHF as follows:

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

The trends for Classes A, B, and C are Negative because the
underlying collateral continues to face performance challenges
associated with the Coronavirus Disease (COVID-19) global
pandemic.

DBRS Morningstar has also placed Classes D, E, F, and X-EXT Under
Review with Negative Implications, given the negative impact of the
coronavirus on the underlying collateral.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The original collateral for Ashford Hospitality Trust 2018-ASHF was
a $782.7 million first mortgage, floating-rate loan originated to
refinance existing debt of $977.0 million on a portfolio of one
luxury hotel and 22 full-service, select-service, and
limited-service extended-stay hotels located in 12 states and the
District of Columbia. The largest state concentration was Texas
with four properties, 1,296 rooms, and 22.4% of the allocated loan
amount (ALA). A total of 5,785 rooms comprised the hotels which
were a mix of 17 fee-simple properties representing 67.8% of the
ALA, four combined fee and leasehold properties representing 27.0%
of the ALA, and one ground-leased property representing 5.3% of the
ALA. The sponsor for this loan is Ashford Hospitality Trust, Inc.
(Ashford), a publicly traded real estate investment trust which
focuses on investing in upper-upscale, full-service hotels in the
top 25 metropolitan statistical areas. Per Ashford's Q2 2020
earnings release, Ashford reported a decline of 88.3% to $16.60 in
comparable revenue per available room for all hotels during the
quarter given the ongoing effects of the pandemic. Additionally,
the average daily rate across their portfolio of 116 hotels
decreased 36.4% while occupancy decreased 81.6%.

The loan, originated in April 2018, had an initial two-year term
followed by five successive one-year extension options. Additional
senior and junior mezzanine financing totaling $202.3 million is
held outside the trust and is coterminus with the trust financing.
The refinancing required additional borrower's equity investment of
$33.3 million. A $24.7 million capital expenditure reserve was
established at closing for future capital requirements at various
hotels, including $14.7 million for property improvement plans at
three hotels that had not recently been renovated. The sponsor had
previously invested $227.5 million ($39,328 per room) in the
portfolio hotels since acquisition in 2013.

The original 22 hotel portfolio comprised hotels operating under
nine different franchise flags representing three major brands:
Marriott for 11 hotels and 52.9% of 2017 net cash flow (NCF),
Hilton for six hotels and 21.9% of 2017 NCF, and Hyatt with two
hotels and 12.8% of 2017 NCF. Three hotels with 12.5% of the 2017
NCF operated as independent, boutique hotels in select major
cities. Most of the hotel properties are in primary markets. Supply
additions in the Boston and Savannah, Georgia, markets provided
increased competition at those locations.

In 2019, three hotels were sold and released from the security
portfolio. The Residence Inn in Tampa, Courtyard in Savannah, and
the Marriott Plaza in San Antonio were released with a 115% paydown
of the ALA for each hotel bringing the outstanding balance of the
pooled trust mortgage down to $720.7 million. DBRS Morningstar made
adjustments to the respective NCFs and valuations to account for
the released properties in the analysis used to assign these
ratings.

Because of the coronavirus pandemic, the lodging sector has
experienced a unprecedented decline in demand across multiple
revenue segments. The loan was transferred to special servicing on
April 8, 2020. The borrower presented a workout strategy to the
master servicer requesting a forbearance of up to 18 months.
Payment on the loan ceased with the April 9 payment. The special
servicer entered into negotiations with the borrower and mezzanine
lender regarding potential payment terms including permission to
exercise the April 2020 one-year extension option. On July 16,
2020, a standstill agreement was executed providing for an initial
three-month term with an option to extend for an additional three
months. Deferred payments are to be repaid in installments over a
12-month period. The hotels are open and taking reservations.
Customers are required to follow government guidance regarding
social distancing and facial coverings. Some hotel facilities may
not be available at this time.

DBRS Morningstar reanalyzed the NCF derived at issuance for the
subject rating action to confirm its consistency with the "DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria." The resulting NCF figure was $83.3 million and DBRS
Morningstar applied a cap rate of 9.25%, which resulted in a DBRS
Morningstar Value of $900.4 million, a variance of -18.7% from the
appraised value of $1,107.5 million at issuance. The DBRS
Morningstar Value implies a current trust LTV of 80.1% compared
with the implied trust LTV of 65.1% on the appraised value.

The cap rate DBRS Morningstar applied is in the middle of the range
of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the geographic diversity of the portfolio including the
location of five properties within urban locations.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 4.00%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt through
Class F exceeded the scenario value and DBRS Morningstar presumed
that the coronavirus had affected the class.

The DBRS Morningstar ratings assigned to Classes D, E, and F vary
by three of more notches from the results implied by the LTV sizing
benchmarks when MVDs are assumed under the Coronavirus Impact
Analysis. These classes are Under Review with Negative Implications
as DBRS Morningstar continues to monitor the evolving economic
impact of the coronavirus-induced stress on the transaction.

Class X-EXT is an interest-only (IO) certificate that references a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall. This class
is also placed Under Review with Negative Implications.

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


BANK 2018-BNK14: Fitch Affirms 'B-sf' Rating on 2 Tranches
----------------------------------------------------------
Fitch Ratings has affirmed 17 classes of BANK 2018-BNK14 commercial
mortgage pass-through certificates. Fitch has also revised the
Rating Outlooks on classes E and F (and interest only (IO) classes
X-D and X-F) to Negative from Stable. The Outlook for class F (and
IO class X-F) is revised to Negative to correct an error made
during the affirmation of the transaction on Aug. 17, 2020.

At the prior affirmation, the net operating income (NOI) was
incorrectly calculated for several pari-passu loans resulting in
understated losses. The correction reflects an increase in expected
losses due to this analytical error. Additionally, several loans
reported updated financials. The Outlook for class F (and
interest-only class X-F) has been revised to Negative to reflect
the updated analysis and the potential for a downgrade if
performance of the Fitch Loans of Concern (FLOC) continues to
decline. The Outlook for class E (and interest-only class X-D) has
also been revised to Negative due to the updated information and
subsequent increase in expected losses for several loans.

RATING ACTIONS

BANK 2018-BNK14

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

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

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

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

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

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

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

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

Class D 06035RAX4; LT BBBsf Affirmed; previously BBBsf

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

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

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

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

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

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

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

Class X-G 06035RAE6; LT B-sf Affirmed; previously 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 the three specially
serviced loans/FLOC (6.87%). Additionally, property-level cash flow
concerns, particularly of hotel (17.2%) and retail (38.2%) loans,
as a result of the economic slowdown stemming from the coronavirus
pandemic, have also caused loss expectations to increase.

Specially Serviced Assets/FLOC: The largest FLOC is the 12th
largest loan in the pool, Doubletree Grand Naniloa Hotel (3.58%),
which is secured by a 388-key hotel property located in Hilo, HI.
The loan is currently 90 days delinquent. In June 2020, the loan
transferred to the special servicer for imminent monetary default
at the borrower's request as a result of the coronavirus pandemic.
As of the TTM ending March 31, 2020, the Debt Service Coverage
Ratio (DSCR) was 0.80x and the occupancy was 72%. According to
servicer commentary, the borrower has signed a pre-negotiation
letter and is working to provide requested information to assess
proposed debt relief terms with the servicer.

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

Hyatt Place Raleigh Midtown (0.71%), is secured by a 127-key
limited service hotel property located in Raleigh, NC. The loan is
currently 60 days delinquent. The loan transferred to the special
servicer in July 2020 due to imminent monetary default. As of the
TTM ending March 31, 2020, the DSCR was 1.47x and the occupancy was
65%.

Minimal Improvements in Credit Enhancement: There have been limited
improvements in credit enhancement since issuance. The pool has
paid down approximately 1.4%, to $1.360 billion from $1.379 billion
at issuance. The pool is projected to pay down by 7.8% at maturity.
There are 22 loans (59.6%) that are full term interest only and an
additional 14 loans (16.5%) that are structured with partial
interest only periods. 25 loans (22.4%) are amortizing balloons and
one loan (1.5%) is fully amortizing. No loans have defeased, and
there have been no realized losses to date.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E, F and G (and IO Classes
X-D, X-F and X-G) are primarily due to increased loss expectations
as a result of various performance concerns and the three specially
serviced loans. Downgrades of one category or more are possible
should performance deteriorate further a. The Stable Rating
Outlooks on classes A-1 through D (and IO classes X-A and X-B)
reflect increasing credit enhancement, continued amortization and
stable performance for a majority of the loans in the pool.

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

Sensitivity Factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Upgrades to classes B, C and D would likely occur with significant
improvement in credit enhancement and/or defeasance. However,
adverse selection, increased concentrations or the underperformance
of particular loan(s) may limit the potential for future upgrades.
Upgrades to classes E, F and G are considered unlikely unless there
is significant improvement or paydown and not unless the loans
susceptible to the pandemic stabilize. Classes would not be
upgraded above 'Asf' if there were a likelihood for interest
shortfalls.

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

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

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).


BANK 2020-BNK28: Fitch Gives BB-sf Rating on 2 Tranches
-------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
BANK 2020-BNK28, commercial mortgage pass-through certificates,
Series 2020-BNK28.

RATING ACTIONS

BANK 2020-BNK28

Fitch has assigned the following ratings and Rating Outlooks:

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

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

  -- $210,000,000d Class A-3 'AAAsf'; Outlook Stable

  -- $0d Class A-3-1 'AAAsf'; Outlook Stable

  -- $0d Class A-3-2 'AAAsf'; Outlook Stable

  -- $0ad Class A-3-X1 'AAAsf'; Outlook Stable

  -- $0ad Class A-3-X2 'AAAsf'; Outlook Stable

  -- $235,068,000d Class A-4 'AAAsf'; Outlook Stable

  -- $0d Class A-4-1 'AAAsf'; Outlook Stable

  -- $0d Class A-4-2 'AAAsf'; Outlook Stable

  -- $0ad Class A-4-X1 'AAAsf'; Outlook Stable

  -- $0ad Class A-4-X2 'AAAsf'; Outlook Stable

  -- $478,915,000a Class X-A 'AAAsf'; Outlook Stable

  -- $119,728,000a Class X-B 'A-sf'; Outlook Stable

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

  -- $0d Class A-S-1 'AAAsf'; Outlook Stable

  -- $0d Class A-S-2 'AAAsf'; Outlook Stable

  -- $0ad Class A-S-X1 'AAAsf'; Outlook Stable

  -- $0ad Class A-S-X2 'AAAsf'; Outlook Stable

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

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

  -- $34,208,000ab Class X-D 'BBB-sf'; Outlook Stable

  -- $18,815,000ab Class X-FG 'BB-sf'; Outlook Stable

  -- $17,104,000b Class D 'BBBsf'; Outlook Stable

  -- $17,104,000b Class E 'BBB-sf'; Outlook Stable

  -- $7,697,000b Class F 'BB+sf'; Outlook Stable

  -- $11,118,000b Class G 'BB-sf'; Outlook Stable

The following classes are not rated by Fitch:

  -- $9,407,000ab Class X-H;

  -- $23,091,305ab Class X-J;

  -- $9,407,000b Class H;

  -- $23,091,305b Class J

  -- $36,008,648bc RR Interest.

(a) Notional amount and interest only.

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

(c) Non-offered vertical credit risk retention interest

(d) Exchangeable Certificates. The Class A-3, Class A-4 and Class
A-S are exchangeable certificates. Each class of exchangeable
certificates may be exchanged for the corresponding classes of
exchangeable certificates, and vice versa. The dollar denomination
of each of the received classes of certificates must be equal to
the dollar denomination of each of the surrendered classes of
certificates. The Class A-3 may be surrendered (or received) for
the received (or surrendered) Classes A-3-1, A-3-2, A-3-X1 and
A-3-X2. The Class A-4 may be surrendered (or received) for the
received (or surrendered) Class A-4-1, A-4-2, A-4-X1 and A-4-X2.
The Class A-S may be surrendered (or received) for the received (or
surrendered) Class A-S-1, A-S-2, A-S-X1 and A-S-X2. The ratings of
the exchangeable classes would reference the ratings on the
associated referenced or original classes.

The ratings are based on information provided by the issuer as of
Sept. 30 2020.

Since Fitch published its presale on Sept. 16, 2020, the class
balances for class A-3 and A-4 have been finalized. At the time
that the expected ratings were published, the initial certificate
balances of classes A-3 and A-4 were unknown and expected to be
approximately $445,068,000 in the aggregate, subject to a 5%
variance. The final class balances for classes A-3 and A-4 are
$210,000,000 and $235,068,000, respectively.

TRANSACTION SUMMARY

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

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 35.0% of the properties
by balance, cash flow analyses of 91.3% of the pool, and asset
summary reviews on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus pandemic may have an adverse impact on near-term
revenue (i.e. bad debt expense, rent relief) and operating expenses
(i.e. sanitation costs) for some properties in the pool.
Delinquencies may occur in the coming months as forbearance
programs are put in place, although the ultimate impact on credit
losses will depend heavily on the severity and duration of the
negative economic impact of the coronavirus pandemic, and to what
degree fiscal interventions by the U.S. federal government can
mitigate the impact on consumers. Per the offering documents, all
of the loans are current and are not subject to any forbearance
requests.

KEY RATING DRIVERS

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

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

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

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

ESG CONSIDERATIONS

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


BBCMS MORTGAGE 2020-BID: S&P Assigns Prelim. BB- Rating on E Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BBCMS
2020-BID Mortgage Trust's commercial mortgage pass-through
certificates series 2020-BID.

The note issuance is a CMBS transaction backed by a two-year,
floating-rate, interest-only commercial mortgage loan totaling
$423.5 million, with three, one-year extension options. The loan is
secured by, among other things, a first lien mortgage on the fee
simple interest in 1334 York Avenue, 10-story, 506,074-sq.-ft.
property comprising of office, gallery, and retail space, located
in New York City.

The preliminary ratings are based on information as of Sept. 30,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect the collateral's historic and
projected performance, the sponsor's and the manager's experience,
the trustee-provided liquidity, the loan terms, and the
transaction's structure. S&P determined that the mortgage loan has
a beginning and ending loan-to-value ratio of 84.6%, based on S&P
Global Ratings' value.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The current consensus
among health experts is that COVID-19 will remain a threat until a
vaccine or effective treatment becomes widely available, which
could be around mid-2021. S&P said, "We are using this assumption
in assessing the economic and credit implications associated with
the pandemic. As the situation evolves, we will update our
assumptions and estimates accordingly."

  PRELIMINARY RATINGS ASSIGNED

  BBCMS 2020-BID Mortgage Trust

  Class       Rating(i)            Amount ($)
  A           AAA (sf)            212,700,000
  X-CP        AAA (sf)            212,700,000(ii)
  X-EXT       BBB- (sf)           212,700,000(ii)
  B           AA- (sf)             48,700,000
  C           A- (sf)              38,900,000
  D           BBB- (sf)            46,100,000
  E           BB- (sf)             55,800,000
  HRR(iii)    B+ (sf)              21,300,000

  (i) The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.

(ii) Notional balance. The notional amount of the class X-CP and
X-EXT certificates will be equal to the class A certificate
balance. In addition to receiving the interest accrued on the
notional amount of the class X-EXT certificates, the class will be
entitled to receive the positive difference between the LIBOR floor
and the actual LIBOR that accrued on each of the class A, B, C, and
D certificates.

(iii) Horizontal risk retention certificates, which will be
purchased by PCSD PR CAP II Risk Private Ltd., as third-party
purchaser.


BBCMS MORTGAGE 2020-C6: DBRS Confirms B(low) Rating on F5T-D Certs
------------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following nonpooled rake
bonds of the Commercial Mortgage Pass-Through Certificates, Series
2020-C6 issued by BBCMS Mortgage Trust 2020-C6, which are backed by
the $112.6 million subordinate B note of the Class F5T
Certificates:

-- Class F5T-A at A (low) (sf)
-- Class F5T-B at BBB (low) (sf)
-- Class F5T-C at BB (low) (sf)
-- Class F5T-D at B (low) (sf)

All trends are Stable. The ratings have been removed from Under
Review with Developing Implications, where they were placed on
February 19, 2020.

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

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

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

The rake bonds are directly tied to the F5 Tower loan, which is
secured by a 515,518-square-foot (sf) office property in downtown
Seattle. The $185.0 million A note, combined with a $112.6 million
subordinate B note, a $48.5 million mezzanine loan, and $117.8
million of borrower equity financed the $458.0 million purchase
price and covered $5.2 million in closing costs. The loan is a
13-year fixed-rate interest-only loan with an anticipated repayment
date at the end of year 10.

The collateral resides in a 48-story mixed-use high-rise building
that was constructed in 2019. The 43-story building contains a
259-space subterranean parking garage, a 189-key luxury
full-service hotel, and 515,518 sf of office space. The collateral
for the loan is the office portion of the mixed-use, high-rise
building, which is 100.0% leased by F5
Networks, Inc. (F5 Networks). F5 Networks is a leading global
technology company that focuses on delivery, security, performance,
and availability of web applications. The subject is deemed mission
critical because it serves as F5 Networks' headquarters and the
tenant is investing an additional $100 per sf (psf) of its own
capital to build out its space.

F5 Networks has a termination option for the leased space on the
two highest floors, totaling 33,548 sf, between September 30, 2025,
and September 30, 2026, subject to a delivery of notice no later
than 12 months prior to the contraction date and a termination fee.
Additionally, the tenant has a termination option for the entire
leased space on October 1, 2030, subject to a delivery of notice no
later than March 1, 2029, and a termination fee. F5 Networks' lease
commenced on April 1, 2019, with an initial lease term of 14.5
years with three five-year extension options, one partial
termination option, and one termination option. F5 Networks' lease
is structured with 2.5% annual rental rate increases and a $100 psf
tenant improvement allowance. DBRS Morningstar conducted an
internal assessment of F5 Networks and concluded that the tenant
was investment grade.

The DBRS Morningstar net cash flow (NCF) derived at issuance was
reanalyzed for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $20.1
million and DBRS Morningstar applied a cap rate of 6.50%, resulting
in a DBRS Morningstar Value of $309.0 million, a variance of -34.3%
from the appraised value of $470.0 million at issuance. The DBRS
Morningstar Value implies an LTV of 96.3% based on the $185.0
million A note and $112.6 million B note compared with the LTV of
63.3% on the appraised value at issuance. The NCF figure applied as
part of the analysis represents a -13.1% variance from the Issuer's
NCF, primarily driven by differences in rent steps and leasing
costs. As of the trailing 12-month period ended March 31, 2020, the
servicer reported a NCF figure of $23.2 million, a 13.5% variance
from the DBRS Morningstar NCF figure, primarily driven by lower
in-place vacancy and lower leasing costs assumed in the servicer's
analysis.

The cap rate DBRS Morningstar applied is at the lower end of the
range of DBRS Morningstar Cap Rate Ranges for office properties,
reflecting the property's superior quality, favorable location, and
occupancy to a private credit-rated tenant on a long-term lease. In
addition, the 6.50% cap rate DBRS Morningstar applied is above the
implied cap rate of 4.92% based on the Issuer's underwritten NCF
and appraised value.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 6.0%
to account for cash flow volatility, property quality, and market
fundamentals.

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


BBCMS TRUST 2018-BXH: DBRS Gives BB(low) Rating on Class F Certs
----------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2018-BXH issued by BBCMS Trust
2018-BXH as follows:

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

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. For more information on
these scenarios, please refer to the Coronavirus Impact Analysis
section of this document. The global macroeconomic scenarios
include a moderate decline of 15% for all commercial real estate
(CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

This loan is secured by a portfolio of 17 hotels, 16 fee-simple
interests and one leasehold interest in seven states with a total
of 2,189 keys. The portfolio is a compilation of full-service (five
hotels representing 40.6% of the allocated loan amount (ALA)),
select-service (five hotels representing 23.5% of ALA),
limited-service (five hotels and 22.0% of ALA), and extended-stay
hotels (two hotels and 13.6% of ALA). They operate under nine
different midrange and upscale flags associated with Marriott
International, Inc.; Hyatt Hotels Corporation; or Hilton Worldwide
Holdings Inc. Each of the 17 properties can be released from the
mortgage and loan collateral with a release price of 105% of the
allocated loan balance for the first 25% of the original principal
balance of the loan and at 110% release price for releases
thereafter. Allocated principal balances for each hotel range from
$21.0 million to $96.4 million. The franchise agreements extend
through approximately 10 to 17 years from 2020 and well beyond the
fully extended loan maturity. Most of the older hotels had been
renovated by prior ownership between 2012 and 2017 with $13.9
million capital improvements. The sponsor planned to invest
approximately $14.4 million, or $6,584 per key, in capital
expenditures from acquisition through 2023. The loan has an initial
term of two years with five one-year extension options.

Trust loan proceeds were used to recapitalize the portfolio, which
was unencumbered by mortgage debt, and resulted in the sponsor
retaining more than $176.0 million of cash equity in the portfolio.
The loan was structured with an initial term of two years, with an
initial maturity date of October 9, 2020, and five one-year
extension options subject to no event of default and the purchase
of a new interest rate cap. The loan is sponsored by an affiliate
of Blackstone Real Estate Income Trust, Inc. The subject hotels
were acquired by the sponsor during the 12 months prior to the loan
securitization.

Because of the coronavirus pandemic, the lodging sector has
experienced a unprecedented decline in demand across multiple
revenue segments. To date, the sponsor has requested no relief or
assistance on debt payments because of the pandemic. As the loan's
initial maturity date is in October 2020 and no event of default
has occurred, DBRS Morningstar expects the sponsor to exercise the
first extension option.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the “DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria.” The resulting NCF figure was $29.8
million and DBRS Morningstar applied a cap rate of 9.55%, which
resulted in a DBRS Morningstar Value of $311.9 million, a variance
of 28.3% from the appraised value of $434.9 million at issuance.
The DBRS Morningstar Value indicates a DBRS Morningstar LTV of
77.3% compared with the LTV of 59.1% on the appraised value at
issuance.

The cap rate DBRS Morningstar applied is in the middle of the range
of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the geographic diversity of the portfolio that is spread
across seven states and 11 metropolitan statistical areas,
relatively strong historical revenue per available room penetration
rate of the portfolio, and newer vintage of the properties.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 2.50%
to account for cash flow volatility, property quality, and market
fundamentals.

Coronavirus Impact Analysis

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 35% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

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


BBCMS TRUST 2018-CBM: DBRS Gives BB(low) Rating on Class E Certs
----------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2018-CBM (the Certificates)
issued by BBCMS Trust 2018-CBM as follows:

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

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic.

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

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The Certificates are backed by a $415.0 million first-mortgage,
interest-only, floating-rate loan secured by a portfolio of 30
select-service hotels—29 fee-simple interests, and one leasehold
interest—across 15 states with a total of 4,379 keys. California
has the largest concentration with six hotels comprising 29.8% of
total allocated loan amount (ALA). All of the hotels were built
between 1984 and 1989 with an average age of 34 years. The loan was
structured with an initial term of two years with five one-year
extension options. Presently, the loan is past the initial July
2020 maturity and the servicer is contemplating a one-year loan
extension. The initial interest rate was set at a 2.17% spread over
one-month Libor with a Libor cap of 4.5%. The spread will increase
by 25 basis points when the sponsor exercises the fourth extension
option. The total debt package included two mezzanine loans
totaling $135.0 million, which are not included in the trust.
Courtyard Marriott Corporation manages all properties under an
agreement which expires in December 2035. An existing Marriott
International, Inc.-controlled reserve account of $15.1 million was
recognized at loan closing as a furniture, fixtures, and equipment
(FF&E) reserve. In addition, $30.1 million of other reserves were
established at closing for renovation and remediation needs. The
financing facilitated a return of cash equity of $76.1 million to
the sponsor.

Each of the 30 properties can be released from the mortgage and
loan collateral, either at a release price equal to (1) 105% of the
ALA for the first 10% of the loan's original principal balance, (2)
110% for up to 20% of the original principal balance, and (3) 115%
with respect to further releases. Other conditions, such as a
minimum debt yield, also apply.

The sponsor for the financing is Colony Capital, Inc. (Colony
Capital). The mortgage loan is full recourse to the borrower, which
is a single-purpose entity with no other assets; however, the
guarantor for the recourse carveout provisions is Colony Capital
Operating Company LLC, an affiliate of Colony Capital. The recourse
provisions cap the guarantor's obligations at 15% of the loan's
outstanding principal balance.

The consolidated portfolio reported weighted-average (WA) occupancy
of 72.0% as of the trailing 12-month period ended April 30, 2018,
with a wide range from 47.1% to 88.0%. The average was relatively
stable for the past five years leading up to securitization. The WA
daily rate of $130.10 per room for the portfolio showed very slight
improvement for the same time period. Property average daily rates
ranged from $102.00 to $191.00 per room per night. The hotels
performed well versus their competitive set with all portfolio
hotels reporting a revenue per available room penetration index
exceeding 100.0% and one hotel reaching 188.9%. DBRS Morningstar
has not received updated performance information since issuance.

However, 2020 has been challenging for the portfolio because of the
economic slowdown and restricted travel for commercial and leisure
markets. The coronavirus pandemic has severely affected individual
hotel and aggregate portfolio performance. The loan transferred to
special servicing in April 2020 for a nonperforming matured balloon
balance and the sponsor failed to make debt service payments from
April 2020 to June 2020. The borrower has requested deferral of
debt service payments for 90 days and the suspension of all FF&E
deposits and insurance reserve deposits. The borrower has also
requested that the existing FF&E and capital expenditure reserves
be available for cash shortfalls; the special servicer is currently
evaluating the request.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $47.6
million and DBRS Morningstar applied a cap rate of 9.06%, which
resulted in a DBRS Morningstar Value of $524.9 million, a variance
of 22.2% from the appraised value of $675.0 million at issuance.
The DBRS Morningstar Value implies an LTV of 79.0% compared with
the LTV of 61.5% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is in the middle of the range
of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting location, asset quality, and type of lodging asset.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 4.0%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 25% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

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


BDS LTD 2020-FL6: DBRS Gives Prov. B (low) Rating on Class G Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by BDS 2020-FL6 Ltd. (the Issuer):

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

All trends are Stable.

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 mortgage loan cut-off date
balance of $489.4 million consists of the cut-off date balance of
$440.9 million and the companion participation cut-off date balance
of $48.4 million. The holder of the future funding companion
participation has full responsibility to fund the future funding
companion participations. The collateral pool for the transaction
is static with no ramp-up period or reinvestment period; however,
the Issuer has the right to acquire fully funded future funding
participations subject to stated criteria during the replenishment
period, which ends on or about September 15, 2022 (subject to a
60-day extension for binding commitments entered during the
replenishment period).

The transaction will have a sequential-pay structure. Interest can
be deferred for Classes C, D, E, F, and G, and interest deferral
will not result in an event of default. The collateral consists of
19 mortgage assets (including one whole loan and 18 funded pari
passu participations of whole loans) secured by 25 properties. Of
the 25 properties, 24 are multifamily assets (97.6% of the mortgage
asset cut-off date balance) and one property is a manufactured
housing community (2.4% of the mortgage asset cut-off date
balance). Two loans (totaling 13.4% of the mortgage asset cut-off
balance) are secured by a portfolio of multiple properties that are
cross-collateralized and cross-defaulted. The loans are mostly
secured by cash flowing assets, most of which are in a period of
transition with plans to stabilize and improve the asset value.

All the loans in the pool have floating interest rates initial
indexed to Libor and are interest-only through their initial terms.
As such, DBRS Morningstar used the one-month Libor index, which was
the lower of DBRS Morningstar's stressed rates that corresponded to
the remaining fully extended term of the loans and the strike price
of the interest rate cap with the respective contractual loan
spread added, to determine a stressed interest rate over the loan
term.

When measuring the cut-off date balances against the DBRS
Morningstar As-Is Net Cash Flow, 15 loans, representing 77.2% of
the mortgage loan cut-off date balance, had a DBRS Morningstar
As-Is Debt Service Coverage Ratio (DSCR) below 1.00x, a threshold
indicative of default risk. Additionally, in the DBRS Morningstar
Stabilized DSCR analysis, no loans were below 1.00x, which
indicates elevated refinance risk. The properties are often
transitioning with potential upside in cash flow; however, DBRS
Morningstar does not give full credit to the stabilization if there
are no holdbacks or if the other loan structural features are
insufficient to support such treatment. Furthermore, even if the
structure is acceptable, DBRS Morningstar generally does not assume
the assets will stabilize above market levels.

In some cases, loans included in the pool are several years
seasoned, and the original business plans have not materialized as
expected, significantly increasing the loans' risk profile. Given
the nature of the assets, DBRS Morningstar sampled a large portion
of the pool at 82.6% of the cut-off date balance. This sample size
is higher than the typical sample for traditional conduit
commercial mortgage-backed securities (CMBS) transactions. DBRS
Morningstar also performed physical site inspections, including
management meetings, for 16 of the 25 properties in the pool (72.6%
of the pool by allocated loan balance). The weighted average
remaining fully extended term is 57 months.

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 Disease
(COVID-19) 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.

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

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


BENCHMARK 2020-B19: Fitch Gives BB-sf Rating on 2 Tranches
----------------------------------------------------------
Fitch Ratings has assigned the following final ratings and Rating
Outlooks to Benchmark 2020-B19 Mortgage Trust commercial mortgage
pass-through certificates series 2020-B19.

RATING ACTIONS

BMARK 2020-B19

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

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

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

  -- $ 115,000,000 class A-4 'AAAsf'; Outlook Stable;

  -- $ 354,142,000 class A-5 'AAAsf'; Outlook Stable;

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

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

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

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

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

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

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

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

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

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

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

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

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

The following classes are not rated by Fitch:

  -- $ 34,291,884b class H;

  -- $ 34,291,884ab class X-H;

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

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

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

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

Since Fitch published its expected ratings on Sept. 16, 2020, the
balances for classes A-4 and A-5 were finalized. At the time the
expected ratings were published, the initial certificate balances
of classes A-4 and A-5 were expected to be approximately
$469,144,000, subject to a variance of plus or minus 5%. The final
class balances for classes A-4 and A-5 are $115,000,000 and
$354,142,000, respectively. The classes above reflect the final
ratings and deal structure.

TRANSACTION SUMMARY

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

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

KEY RATING DRIVERS

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

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

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

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on Ernst & Young LLP. 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'.
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).


CARLYLE GLOBAL 2015-2: Moody's Lowers Class E-R Notes to B3
-----------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Carlyle Global Market Strategies CLO 2015-2, Ltd.:

US$3,700,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2027 (the "Class E-R Notes"), Downgraded to B3 (sf);
previously on June 3, 2020 B1 (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$34,100,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class C-R Notes"), Confirmed at Baa2 (sf);
previously on June 3, 2020 Baa2 (sf) Placed Under Review for
Possible Downgrade

US$36,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class D-R Notes"), Confirmed at Ba3 (sf);
previously on June 3, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

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

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class C-R Notes, the Class D-R Notes, and the Class
E-R Notes issued by the CLO. The CLO, originally issued in May 2015
and partially 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

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
and expected losses (ELs) on certain notes have increased.

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 considering the CLO's latest portfolio, its
relevant structural features, deleveraging of the senior notes and
its actual over-collateralization (OC) levels. Consequently,
Moody's has confirmed the ratings on the Confirmed Notes.

According to the September 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3430, compared to 3036
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3086 reported in the
September 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%.
Nevertheless, Moody's noted that the OC tests for the Class C-R
Notes and the 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: $480,734,476

Defaulted Securities: $13,310,170

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3413

Weighted Average Life (WAL): 4.1 years

Weighted Average Spread (WAS): 3.28%

Weighted Average Recovery Rate (WARR): 48.45%

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

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted several 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.


CCRESG COMMERCIAL 2016-HEAT: DBRS Gives BB(low) Rating on E Certs
-----------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2016-HEAT (the Certificates)
issued by CCRESG Commercial Mortgage Trust 2016-HEAT as follows:

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

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic.

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

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. For further information on
the NA SASB Methodology, please see the press release dated March
1, 2020, at www.dbrsmorningstar.com. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The Certificates are collateralized by a $160.0 million fixed-rate,
first-mortgage loan with interest-only (IO) payments for a term of
five years. Additional financing is provided by a $50.0 million
co-terminus mezzanine loan that is not included in the trust. The
loan matures in less than one year on April 6, 2021.

The loan is secured by the leasehold interest in a condominium unit
represented by The Ritz-Carlton, South Beach in Miami Beach,
Florida. The complex consists of 375 guest rooms, including a
presidential suite, four food and beverage (F&B) establishments,
15,201 square feet (sf) of indoor banquet facilities, a
Ritz-Carlton Spa, an outdoor luxury pool, and two poolside lanai
wings. The collateral includes three commercial units. Additional
attached retail spaces, including a 19,966-sf Walgreens, are not
part of the hotel condominium unit collateral. The luxury hotel
complex is in a restored Art Deco building within Miami Beach's Art
Deco Historic District, which was designated a National Register of
Historic Places District in 1979. The district has become known for
upscale restaurants, art galleries, boutique retailers, and luxury
hotel accommodations. The property is managed by the Ritz-Carlton
Hotel Company, LLC, which is part of the luxury business segment of
hotel giant, Marriott International, Inc.

For nearly 50 years, the hotel has operated under affiliated
ownership. The sponsor, Di Lido Beach Resort Parent LLC, indirectly
owns and controls the borrower. Flag Luxury Group and Lionstone
Development own the sponsor through a joint venture (JV). The
founder and chairmen of the respective JV partners are the
guaranteeing sponsors of the financing for customary-loss recourse
carveouts and certain full-recourse carveouts. An affiliate of
Lionstone Development acquired the property in 1971 operating under
its historic name, DiLido Hotel.

The hotel condominium unit is subject to a ground lease, which
commenced in September 1999 and ends in September 2128 (129 years).
The ground lease is between Di Lido Beach Resort Ltd. and Di Lido
Beach Hotel Corporation, both affiliates of the sponsors.

In September 2017, Hurricane Irma caused extensive water damage to
the walls, mechanical and electrical systems, and roof failure at
the hotel. The problems resulted in the hotel going offline for
what was then estimated to be two to three months. The sponsors
used the downtime as a stimulus to initiate an extensive renovation
of the entire hotel facility. After nearly three years using the
insurance proceeds and a $90.0 million sponsor investment, the
hotel reopened in January 2020 following the renovation of all the
375 guest rooms and upgrades to the lobby, pool and spa, ballroom
facilities, and F&B establishments. During the renovation period,
the loan remained current.

However, shortly after reopening, the 2020 coronavirus pandemic
caused the hotel to close for several months starting in March
2020. The hotel reopened on June 1, 2020. The borrower has
requested relief because of the economic damage caused by the
pandemic shutdown and loss of guest revenues. The special servicer
rejected the forbearance request; however, the loan remains current
on payments, primarily because of the sponsors' extensive
experience and financial strength as well as the asset's inherent
value.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $14.9
million and DBRS Morningstar applied a cap rate of 8.13%, which
resulted in a DBRS Morningstar Value of $183.3 million, a variance
of 45.8% from the appraised value of $337.9 million at issuance in
2016. DBRS Morningstar has not obtained a new valuation
post-hurricane renovation. The DBRS Morningstar Value implies an
LTV of 87.3% compared with the LTV of 47.4% on the appraised value
at issuance.

The cap rate DBRS Morningstar applied is at the lower to middle of
the range of DBRS Morningstar Cap Rate Ranges for lodging
properties, reflecting the destination vacation/tourist market, the
oceanfront location in a historic district, strong performance
versus competition, as well as the extensive renovations of guest
rooms, systems, amenities, and common areas.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 5.50%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45.0% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

Class X is an IO certificate that references a single rated tranche
or multiple rated tranches. The IO rating mirrors the lowest-rated
applicable reference obligation tranche adjusted upward by one
notch if senior in the waterfall.

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


CD 2016-CD2: Fitch Lowers Rating on 4 Tranches to CCC
-----------------------------------------------------
Fitch Ratings has downgraded seven and affirmed 13 classes of
German American Capital Corp.'s CD 2016-CD2 Mortgage Trust,
commercial mortgage pass-through certificates, series 2016-CD2. In
addition, Fitch has revised the Rating Outlook on 11 classes to
Negative from Stable.

RATING ACTIONS

CD 2016-CD2

Class A-1 12515ABA7; LT AAAsf Affirmed; previously at AAAsf

Class A-2 12515ABB5; LT AAAsf Affirmed; previously at AAAsf

Class A-3 12515ABD1; LT AAAsf Affirmed; previously at AAAsf

Class A-4 12515ABE9; LT AAAsf Affirmed; previously at AAAsf

Class A-M 12515ABG4; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 12515ABC3; LT AAAsf Affirmed; previously at AAAsf

Class B 12515ABH2; LT AA-sf Affirmed; previously at AA-sf

Class C 12515ABJ8; LT A-sf Affirmed; previously at A-sf

Class D 12515AAN0; LT B-sf Downgrade; previously at BBB-sf

Class E 12515AAQ3; LT CCCsf Downgrade; previously at BB-sf

Class F 12515AAS9; LT CCCsf Downgrade; previously at B-sf

Class V1-A 12515ABK5; LT AAAsf Affirmed; previously at AAAsf

Class V1-B 12515ABL3; LT AA-sf Affirmed; previously at AA-sf

Class V1-C 12515ABW9; LT A-sf Affirmed; previously at A-sf

Class V1-D 12515ABQ2; LT B-sf Downgrade; previously at BBB-sf

Class X-A 12515ABF6; LT AAAsf Affirmed; previously at AAAsf

Class X-B 12515AAA8; LT AA-sf Affirmed; previously at AA-sf

Class X-D 12515AAE0; LT B-sf Downgrade; previously at BBB-sf

Class X-E 12515AAG5; LT CCCsf Downgrade; previously at BB-sf

Class X-F 12515AAJ9; LT CCCsf Downgrade; previously at B-sf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades and Negative Outlook
revisions reflect increased loss expectations for the pool,
primarily attributed to the 229 West 43rd Street Retail Condo loan
(7.8%), which was 90+ days delinquent as of September 2020. While
this had been previously identified as a Fitch Loan of Concern loss
expectations have increased significantly; a recent valuation of
the property indicates it is significantly below the outstanding
debt amount. The loan, which is secured by a 245,132-sf retail
condominium located in Manhattan's Time Square district, was
transferred to special servicing in December 2019 for imminent
monetary default. Multiple lease sweep periods have occurred
related to most of the tenants, including National Geographic,
Gulliver's Gate and OHM tenants, which have triggered a cash flow
sweep since December 2017. Two of these tenants, National
Geographic, and Gulliver's Gate (combined, 43% of NRA), are in the
process of vacating the property; occupancy is expected to drop to
52%. The property had been benefiting from an Industrial Commercial
Incentive Program (ICIP) tax abatement, which began to burn off in
the 2017-2018 tax year by 20% per year. The property been impacted
by the coronavirus pandemic as it caters to entertainment and
tourism.

Including this specially serviced loan there are six FLOCs (32%).
The largest FLOC and the largest loan in the pool is 8 Times Square
& 1460 Broadway (10.4%), which is secured an approximately 214,000
sf office property with a retail component near Manhattan's Times
Square. The property is fully leased to WeWork (83% of NRA; lease
expiry in 2034) and Footlocker (17%; 2032). Fitch is concerned
about the coworking nature of the majority tenant. The 60 Madison
Avenue loan (5.7%), which is secured by an approximately 218,000 sf
office building in the Midtown South submarket of NYC, was also
flagged for concerns over the coworking tenancy. A new lease for
17.1% of the NRA was recently executed to Knotel through January
2031; the tenant had not begun paying rent as of the July 2020 rent
roll provided to Fitch.

The Birch Run Premium Outlets (4.7%) is an open-air outlet center
in Birch Run, MI. YE 2018 inline sales were $355 psf. No updated
sales were provided; Major tenants include Pottery Barn (4.4% NRA;
Jan. 2023), V.F. Factory Outlet (3.5%; Dec. 2021), Old Navy (2.9%;
July 2022), and Nike Factory Store (1.8%; Jan. 2025). YE 2019 NOI
debt service coverage ratio (DSCR) was 3.11x. The loan is sponsored
by Simon.

There are two additional specially serviced loans in the pool, Sam
Moon Center (2.4%) and 1025 Arc Street Philadelphia (0.1%); both
loans were 90+ days delinquent as of Sept. 2020. Major tenants at
the Sam Moon Center in Fort Worth, TX include Ashley Furniture and
Texas Family Fitness. The borrower has requested coronavirus
relief. The 1025 Arch Street Philadelphia property is in the
Chinatown District of Philadelphia. The collateral includes 39
multifamily units and approximately 31,000 sf of commercial space
occupied by a karaoke bar.

Minimal Change in Credit Enhancement (CE): The pool's aggregate
principal balance has been paid down by 1.7% to $959.1 million from
$975.4 million at issuance. Since Fitch's last rating action, one
previously specially serviced loan, Shopko West Valley City, was
paid off with no loss. The pool is scheduled to amortize by 5.5% of
the initial pool balance prior to maturity. Of the current pool,
approximately 63% is full term, IO, 26% of the pool is partial IO
and 11% of the pool consists of amortizing balloon loans.

Coronavirus Exposure: Three loans (2.5%) are secured by hotel
properties and six loans (23.0%) are secured by retail properties.
The hotel loans have a weighted average (WA) DSCR of 1.87x and can
sustain an average NOI decline of 43% before the DSCR would fall
below 1.0x. The non-specially serviced retail loans have a WA DSCR
of 2.39x and can sustain an average NOI decline of 49.7% before the
DSCR would fall below 1.0x. Fitch applied additional
coronavirus-related stresses to all three hotel loans, three retail
loans and one mixed use property (that is predominately retail) to
account for potential cash flow disruptions due to the coronavirus
pandemic; these additional stresses contributed to the Negative
Outlooks revisions on classes A-M through D.

Alternative Loss Consideration: Fitch applied an additional
sensitivity on the Birch Run Premium Outlets loan which factored in
a potential outsized loss of 15% to the maturity balance to reflect
refinance concerns, the outlet nature of the property in a
secondary market and potential negative impact from the
coronavirus; this was factored into the Negative Outlooks revisions
on classes A-M through D.

Pool Concentrations and Pari Passu Loans: The largest loan
represents 10.4% of the pool and the top 10 loans represent 67.8%
of the pool. Nine loans (36.0%) are comprised of office properties.
Twelve loans (67.3%) are pari passu loan participations.

RATING SENSITIVITIES

Classes A-1 through A-SB have Stable Outlooks due to sufficient CE
relative to expected losses, the seniority of these classes and
expected continued amortization. The Negative Outlooks on classes
A-M through D reflect the potential for downgrades due to declining
performance of the specially serviced loans and larger FLOCs, and
the negative impact stemming from reduced economic activity as a
result of the coronavirus pandemic.

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, particularly on the FLOCs, coupled with
additional paydown and/or defeasance. Upgrades to class B would
likely occur with significant improvement in CE and/or defeasance;
however, are not likely unless the FLOCs stabilize. Upgrades to the
class C are also not likely until FLOCs stabilize but would be
limited based on sensitivity to loan concentrations. Classes would
not be upgraded above 'Asf' if interest shortfalls are likely. An
upgrade to class D is not likely until the later years in the
transaction and only if the performance of the remaining pool is
stable and/or properties vulnerable to the coronavirus return to
pre-pandemic levels, and there is sufficient CE. Classes E and F
are unlikely to be upgraded absent significant performance
improvement on the FLOCs and substantially higher recoveries than
expected on the specially serviced loans/assets.

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

Sensitivity factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced
loans/assets. Downgrades to the super senior classes A-1 through
A-SB are not likely due to the position in the capital structure,
but may occur should interest shortfalls affect these classes. A
downgrade of one category to class A-S is possible should expected
losses for the pool increase significantly and/or should all the
loans susceptible to the coronavirus pandemic suffer losses.
Downgrades to classes B, C and D are possible should performance of
the FLOCs continue to decline, should additionally loans transfer
to special servicing and/or should loans susceptible to the
coronavirus pandemic not stabilize. Downgrades to classes E and F
would occur as losses are realized.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
additional negative rating actions, including downgrades of a
category or more and Negative Outlook revisions.

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


CFMT LLC 2020-AB1: DBRS Finalizes BB(low) Rating on Class M4 Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes, Series 2020-1 issued by CFMT 2020-AB1, LLC (the
Issuer):

-- $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-à-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 (1) the occurrence
of a sufficient proceeds auction, (2) an acceleration event, and
(3) 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.


CHC COMMERCIAL 2019-CHC: DBRS Cuts Rating on Class HRR Debt to CCC
------------------------------------------------------------------
DBRS, Inc. confirmed and downgraded the ratings on the following
classes of the Commercial Mortgage Pass-Through Certificates issued
by CHC Commercial Mortgage Trust 2019-CHC:

Confirmed:

-- Class A at AAA (sf)

Downgraded:

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

The trends on Classes A, B, C, and D are Stable, and the trends on
Classes E and F are Negative. DBRS Morningstar removed the ratings
from Under Review with Developing Implications, where they were
placed on November 14, 2019.

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

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

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and certain
qualitative adjustments attributable to the ongoing Coronavirus
Disease (COVID-19) pandemic on the ratings.

Because of the coronavirus' significant impact on skilled
nursing/healthcare property performance, DBRS Morningstar first
considered the application of the updated NA SASB Methodology in
conjunction with the "North American CMBS Surveillance Methodology"
to arrive at a baseline result, which incorporated qualitative
assumptions, capitalization rates, and loan-to-value (LTV) ratio
sizing benchmark quality/volatility adjustments and excluded any
potential changes in current or future expected asset performance
resulting from the coronavirus. Following the conclusion of the
baseline review, DBRS Morningstar may make adjustments to ratings
based on a review of the coronavirus impact on a particular
transaction.

The loan is secured by the borrower's fee and leasehold interests
in 156 properties across 28 states. The geographically diverse
portfolio consists of a variety of medical and
senior-housing-related property types, including medical office
buildings (MOB), independent living facilities (ILF), assisted
living facilities (ALF), skilled nursing facilities (SNF), and
hospital-related properties. The properties fall under three
operating segments: (1) MOB, (2) Triple Net (NNN) Leased, and (3)
Real Estate Investment Trust (REIT) Investment Diversification and
Empowerment Act (RIDEA) Facilities.

The MOB segment comprises approximately 3.0 million sf across 88
buildings in 18 states. Based on the May 1, 2019, rent rolls, the
MOB properties have a total occupancy of 80.1%, which is in line
with historical levels of 80.0% in 2017 and 78.1% in 2018. The MOB
properties benefit from 80 of the 88 buildings being on or near a
healthcare campus or anchored by a healthcare system, which has
translated into an especially high renewal rate of 87.0%. Overall,
the performance of the MOB portfolio has been stable for the past
several years.

The NNN Leased segment includes 57 properties that skews toward
more operationally intensive uses. The properties are composed of
37 SNF facilities, nine hospital/long-term acute-care hospitals,
and 11 ALF properties. These 57 properties are leased across 19
individual leases, composed of either multiproperty master leases
or individual leases with a total base rent of $64.8 million. At
issuance, based on the operators' trailing 12 months (T-12) ended
March 2019 property financials, the look-through cash flows
(EBITDAR) covered the base rent at 1.22 times (x), which is similar
to the 1.20x coverage in 2018 and below the 1.35x coverage in 2017.
The sponsor had to reset rents to levels that the properties can
support because of higher expenses in the SNF properties. In 2019,
two leases were restructured lower by a total of nearly $5.0
million. DBRS Morningstar based the net cash flows (NCFs) for the
NNN Leased portfolio on the underlying properties' look-through
cash flows rather than the NNN rent.

The RIDEA portfolio consists of 11 properties that provide for a
third-party management agreement and allow the landlord (borrower)
to retain the income from the underlying operation without a lease
in place. The 11 properties contain predominately ILF and ALF beds,
which together comprise approximately 86.3% of the beds in the
RIDEA facilities. ILF and ALF properties are generally private pay,
limiting the portfolio's exposure to changes in Medicare and
Medicaid reimbursements. At issuance, SNF revenue accounted for
approximately 16.3% of the total RIDEA revenue according to the
T-12 ended March 2019 financials. The RIDEA properties experienced
a considerable decline in SNF Medicare reimbursements and SNF
private-pay revenue in 2017 from the prior year, and only a small
portion of this decline was made up through higher Medicaid
reimbursements. The declining trend continued in 2018 and 2019,
albeit at a lower rate. Memory-care revenue has historically been a
minor contributor to the RIDEA portfolio. However, the Lincolnwood
property underwent a $8.1 million renovation in 2018 and early 2019
and will contribute more than $2.0 million of additional revenue to
the portfolio. The RIDEA properties benefit from a higher portion
of private-pay sources.

DBRS Morningstar based its NCF assumption on the actual level at
issuance in July 2019. The resulting NCF figure was $132.17
million, and DBRS Morningstar applied a blended capitalization
(cap) rate of 11.71%, which resulted in a DBRS Morningstar Value of
$1.128 billion for the portfolio—a variance of -37.1% from the
appraised value of $1.794 billion at issuance. The DBRS Morningstar
Value implies an LTV of 90.75%, compared with the LTV of 57.09%
based on the appraised value at issuance.

The cap rate DBRS Morningstar applied is at the upper end of the
published DBRS Morningstar Cap Rate Range for healthcare
properties, reflecting the DBRS Morningstar Market Rank of the
assets. However, the cap rate applied to the SNF component is
consistent with other transactions with a concentration in the
skilled nursing asset subtype.

The primary drivers of the downgrades to Classes B, C, D, E, F, X,
and HRR were changes to the baseline LTV Sizing Benchmarks provided
in DBRS Morningstar's updated NA SASB Methodology released on March
1, 2020, as compared with the legacy LTV Sizing Benchmarks utilized
at issuance in July 2019.

DBRS Morningstar also reduced the final LTV sizing benchmarks by
4.0% to account for cash flow volatility and market fundamentals in
response to ongoing concerns on the asset class regarding the
coronavirus.

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


CIFC FUNDING 2015-IV: Moody's Cuts Class E-R Notes to Caa2
----------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by CIFC Funding 2015-IV, Ltd.:

US$23,000,000 Class D-R Junior Secured Deferrable Floating Rate
Notes due 2027 (the "Class D-R Notes"), Downgraded to B1 (sf);
previously on June 3, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

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

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

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

US$31,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class C-R Notes"), Confirmed at Baa3 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

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

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

US$20,000,000 Combination Securities due 2027 (current rated
balance of $194,336), Upgraded to Ba1 (sf); previously on January
23, 2019 Downgraded to B3 (sf)

The Combination Securities are referred to herein as the "Upgraded
Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class C-R Notes, D-R Notes, and E-R Notes issued by
the CLO. The CLO, originally issued in September 2015 and
refinanced in January 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 October 2020.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the Downgraded 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.

The upgrade on the Combination Securities is primarily due to
paydowns of the rated balance. The Combination Securities have
amortized approximately 73% since October 2019. The action also
reflects the correction of an error. In the previous action, the
Combination Securities were incorrectly modeled with a coupon.

According to the September 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3218 compared to 2885
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3013 reported in the
September 2020 trustee report [3]. Based on Moody's calculation,
the proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
15.6%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $494.3
million, or $5.7 million less than the deal's ramp-up target par
balance. Nevertheless, Moody's noted that all OC tests as well as
the interest diversion test were recently reported [4] as passing.

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

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

Performing par and principal proceeds balance: $490,724,148

Defaulted Securities: $6,904,958

Diversity Score: 80

Weighted Average Rating Factor (WARF): 3199

Weighted Average Life (WAL): 4.74 years

Weighted Average Spread (WAS): 3.39%

Weighted Average Recovery Rate (WARR): 47.5%

Moody's rating of the Combination Securities addresses only the
ultimate receipt of the Combination Securities Rated Balance by the
holders of the Combination Securities. Moody's rating of the
Combination Securities does not address any other payments or
additional amounts that a holder of the Combination Securities may
receive pursuant to the underlying documents.

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.


CIG AUTO 2020-1: DBRS Finalizes BB Rating on Class E Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes (the Notes) issued by CIG Auto Receivables Trust
2020-1 (the Issuer):

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

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

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

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

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

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

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

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

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

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

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

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

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

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


CIM TRUST 2019-R2: Moody's Confirms B3 Rating on Class B2 Debt
--------------------------------------------------------------
Moody's Investors Service confirmed the ratings of six classes of
bonds from two transactions issued by CIM Trust in 2019.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL). The collateral has
multiple servicers.

The complete rating actions are as follows:

Issuer: CIM Trust 2019-R2

Cl. B1, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B2, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. M3, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Issuer: CIM Trust 2019-R5

Cl. B1, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B2, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. M3, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating action reflects our revised loss expectations for the
underlying mortgage loans driven by performance deterioration
resulting from a slowdown in economic activity and increased
unemployment due to the coronavirus outbreak. Specifically, we
observed an increase in delinquencies, payment forbearance and
payment deferrals since the start of the pandemic, which could
result in higher realized losses. The elevated levels of borrowers
enrolled in payment relief programs may cause temporary interest
shortfalls on the bonds, which we expect to be reimbursed.

In our analysis, we considered an increase in the baseline loss
projections, relative to our pre-pandemic loss projections, of up
to 20% to evaluate the resiliency of the ratings amid the
uncertainty surrounding the pools' performance caused by the
coronavirus outbreak, which negatively affects the macroeconomic
conditions that influence consumer credit performance.

Our analysis considers the current proportion of loans granted
payment relief in individual pools. We identified these loans based
on a review of loan level cashflows over the last few months. Based
on our analysis, the proportion of borrowers in RPL pools that are
currently enrolled in payment relief plans varied greatly, ranging
between approximately 7% and 27%. In our sensitivity analysis, we
assume these loans to experience lifetime default rates that are
50% higher than default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Our analysis considered
loss sensitivity to the assumption that six months of scheduled
principal on the loans enrolled in payment relief programs will be
passed to the trust as a loss.

There are currently no outstanding interest shortfalls on any rated
tranche in these transactions. However, given the lack of servicer
advancing, an elevated percentage of non-cash flowing loans related
to borrowers enrolled in payment deferral programs can result in
interest shortfalls, especially on the junior bonds. Based on
transaction documents, reimbursement of missed interest on the more
senior notes has a higher priority than even scheduled interest
payments on the more subordinate notes. As such, we expect any
future shortfalls to be reimbursed as the proportion of borrowers
enrolled in payment deferrals declines. In addition, documents also
allow for interest shortfalls to be reimbursed from principal
collections. Given that we expect any future interest shortfalls to
be temporary and fully reimbursed within a short period of time,
the risk of potential interest shortfalls did not impact the
ratings adversely.

Our rating actions also take into consideration the seasoned
profile of the underlying mortgage loans, equity built up in the
properties and the notes' payment priorities. The sequential pay
structures in these transactions have helped with significant
buildup in credit enhancement, especially in an environment of
elevated prepayment rates. The increase in credit enhancement has
helped offset some of the increase in expected losses spurred by
the pandemic. On average, notes that were confirmed as part of
today's actions experienced a 1% to 2% increase in credit
enhancement over the past 12 months.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our 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 our forecasts is unusually high.

We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

Principal Methodologies

The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in July 2020.

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

Up

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

Down

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

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


CITIGROUP COMMERCIAL 2018-C6: Fitch Affirms B- Rating on J-RR Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Citigroup Commercial
Mortgage Trust 2018-C6 Commercial Mortgage Pass-Through
Certificates series 2018-C6 (CGCMT 2018-C6).

RATING ACTIONS

CGCMT 2018-C6

Class A-1 17327GAV6; LT AAAsf Affirmed; previously AAAsf

Class A-2 17327GAW4; LT AAAsf Affirmed; previously AAAsf

Class A-3 17327GAX2; LT AAAsf Affirmed; previously AAAsf

Class A-4 17327GAY0; LT AAAsf Affirmed; previously AAAsf

Class A-AB 17327GAZ7; LT AAAsf Affirmed; previously AAAsf

Class A-S 17327GBA1; LT AAAsf Affirmed; previously AAAsf

Class B 17327GBB9; LT AA-sf Affirmed; previously AA-sf

Class C 17327GBC7; LT A-sf Affirmed; previously A-sf

Class D 17327GAA2; LT BBB-sf Affirmed; previously BBB-sf

Class E-RR 17327GAC8; LT BBB-sf Affirmed; previously BBB-sf

Class F-RR 17327GAE4; LT BBsf Affirmed; previously BBsf

Class G-RR 17327GAG9; LT BB-sf Affirmed; previously BB-sf

Class J-RR 17327GAJ3; LT B-sf Affirmed; previously B-sf

Class X-A 17327GAU8; LT AAAsf Affirmed; previously AAAsf

Class X-B 17327GAQ7; LT AA-sf Affirmed; previously AA-sf

KEY RATING DRIVERS

Increasing Loss Expectations: While the majority of the pool has
exhibited stable performance since issuance, loss expectations have
increased primarily due to the increasing number of Fitch Loans of
Concern (FLOCs) including the specially serviced loan. The Holiday
Inn FiDi (3.7% of the pool) transferred to the special servicer in
May 2020 due to hardships caused by the ongoing coronavirus
pandemic. The loan is secured by a 492-key full-service hotel
located in Manhattan's Financial District and is the tallest
Holiday Inn in the world. Per the special servicer, the borrower
has requested a loan modification which includes six months of
forbearance. The request is currently under review. The loan is
currently 90+ days delinquent.

Outside of the specially serviced loan, seven loans (15.0% of the
pool) are considered FLOCs. The largest non-specially serviced
FLOC, Woodlands Square (5.8% of the pool), is secured by a
308,712-sf retail center located in Oldsmar, FL. The property is
anchored by a Bealls and AMC Theater. As of June 2020, occupancy
declined to 85.7% from 95% at YE 2019 after the former top tenant,
Earth Fare (previously 7% of the net rentable area [NRA]), vacated
ahead of lease expiration in 2037. The tenant announced they would
be closing all locations in February 2020. The space remains
vacant. While the loan meets Fitch's coronavirus NOI debt service
coverage ratio (DSCR) tolerance thresholds, Fitch applied
additional stresses on the property to address expected declines in
performance.

The second largest FLOC, Kimpton Cardinal Winston-Salem (3.3% of
the pool), is secured by a 172-key full-service hotel located in
Winston-Salem, NC. Per the master servicer commentary, the borrower
and master servicer have agreed to a loan modification in which the
borrower is authorized to use reserve funds for three months to
cover debt service. Additionally, while the loan remains current,
the borrower has failed to provide the master servicer with updated
financials beyond June 2019. An updated STR report was provided as
of August 2020; however, comp set data was not available. As of
June 2019, the loan failed to meet Fitch's coronavirus NOI DSCR
tolerance thresholds. As a result, Fitch applied additional
stresses to the loan due to lack of updated information and failure
to meet the coronavirus NOI DSCR tolerance thresholds.

The third largest FLOC, Victory on 30th (1.8% of the pool), is
secured by a 232-unit, 96-bed student housing property located in
Los Angeles, CA. The property was built in 2017 and is located
three blocks from University of Southern California (USC). While
occupancy as of June 2020 remained relatively stable at 95%, NOI
DSCR has declined to 1.16x from 1.12x at YE 2019 and 1.28x at
issuance. Per the University's website, effective September 14, all
courses are to be held online only for the remainder of the fall
2020 semester; updates for the spring 2021 semester are not yet
available. The declines in NOI DSCR were primarily related to
increased operating expenses, namely payroll and benefits and
general and administrative costs. The loan continues to remain
current but failed to meet Fitch's coronavirus NOI DSCR tolerance
threshold. Therefore, Fitch applied additional stresses to address
the potential for further declines in performance.

The fourth largest FLOC, the TownePlace Suites Houston - Galleria
(1.6% of the pool), is secured by a 120-unit extended stay hotel
located in Houston, TX. Per the master servicer commentary, the
borrower has requested payment relief due to coronavirus pandemic
hardships. The master servicer and borrower have agreed to a
modification that allows the borrower to make debt service payments
from reserve funds for three months commencing in May 2020. Since
the modification, the loan has remained current, but payments have
been late. The loan also failed to meet Fitch's coronavirus NOI
DSCR tolerance threshold; therefore, additional stresses were
applied to address the expected declines in performance.

The fifth largest FLOC, Terrace Plaza (1.0% of the pool), is
secured by a 61,039-sf retail property located in Islip, NY. The
property suffered declining performance due to top tenant, Emporium
Fresh Market (previously 40% of the NRA), vacating in December 2019
ahead of its 2035 lease expiration. Per the master servicer, the
tenant vacated after the owner experienced difficulty with various
loans that had been extended to them. Per the master servicer, the
borrower is in negotiations with other existing supermarket chains
and is confident they will fill the space in the near future.
However, as of June 2020 occupancy remained at 52% from 72% at
issuance. Per the most recent rent roll, the largest tenant is
currently listed as Results Gym (14.6% of the NRA; 4/2028). Fitch
applied additional haircuts to the YE 2019 NOI due to expected
further declines in performance.

The remaining loans each represent less than 1% of the pool and are
on the master servicer's watchlist for declining performance. Fitch
applied additional stresses to the loans to address the potential
for further declines in performance and will continue to monitor
the loans for further updates.

Minimal Changes to Credit Enhancement (CE): As of the September
2020 remittance, the pool's aggregate principal balance has been
reduced by 0.6% to $732 million from $736.4 million at issuance. No
loans are defeased. Fourteen loans (52.8% of the pool) are IO for
the full loan term, including nine loans (45.6% of the pool) in the
top 15. Ten loans (24.2% of the pool) have partial IO payments, two
of which (2.6% of the pool) are now amortizing. While the pool has
not experienced any realized losses, interest shortfalls totaling
$60,750 are currently impacting the non-rated NR-RR class.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail and multifamily properties is expected from the
coronavirus pandemic, due to the recent and sudden reductions in
travel and tourism, temporary property closures and lack of clarity
on the potential length of the impact. The pandemic has prompted
the closure of several hotel properties in gateway cities as well
as malls, entertainment venues and individual stores.

Six loans (18.9% of the pool) are secured by hotel loans and six
loans (14.5% of the pool) are secured by retail properties. The
hotel loans have a weighted average (WA) DSCR of 2.42x and can
sustain an average decline of 56.4% before the NOI DSCR would fall
below 1.0x.

On average, the retail loans have a WADSCR of 2.17x and would
sustain a 53.0% decline in NOI before the DSCR would fall below
1.0x. Fitch applied additional stresses to hotel, retail and
multifamily loans to account for potential cash flow disruptions
due to the coronavirus pandemic.

Investment Grade Credit Opinion Loans: Two loans (13.0% of the
pool) received investment-grade credit opinions at issuance. Dumbo
Heights (9.6% of the pool) and Moffett Towers - Buildings E, F and
G (3.4% of the pool) each received stand-alone investment grade
opinions of 'BBB-sf*' at issuance.

RATING SENSITIVITIES

The Stable Outlooks on classes A-1 through J-RR reflect the
relatively stable performance of the pool and expected continued
amortization.

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

Factors that could lead to upgrades would include stable to
improved asset performance, coupled with additional paydown and/or
defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are
not expected, but would likely occur with significant improvement
in CE and/or defeasance and/or the stabilization to the properties
impacted from the coronavirus pandemic.

Upgrades of the 'BBB-sf' and below-rated classes are considered
unlikely and would be limited based on the sensitivity to
concentrations or the potential for future concentrations. Classes
would not be upgraded above 'Asf' if there is a likelihood of
interest shortfalls. An upgrade to the '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 a
negative rating action/downgrade:

Downgrades to the senior classes, rated 'A-sf' through 'AAAsf', are
not likely due to high CE and continued stable performance of the
pool. Downgrades to the classes rated 'BBB-sf' and below would
occur if the performance of the FLOCs and/or specially serviced
loan continues to decline or fails to stabilize.

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


CITIGROUP MORTGAGE 2015-A: Moody's Confirms 'Ba1' on Cl. B-4 Debt
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings of nine classes of
bonds from four transactions issued by Citigroup Mortgage Trust
between 2015 and 2019.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL). The collateral is
serviced by Fay Servicing LLC.

The complete rating actions are as follows:

Issuer: Citigroup Mortgage Loan Trust 2015-A

Cl. B-4, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Issuer: Citigroup Mortgage Loan Trust 2018-RP2

Cl. B-1, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-2, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Issuer: Citigroup Mortgage Loan Trust 2018-RP3

Cl. B-1, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-2, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. M-3, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Issuer: Citigroup Mortgage Loan Trust 2019-RP1

Class B-1, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Class B-2, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Class M-3, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating action reflects our revised loss expectations for the
underlying mortgage loan pools driven by performance deterioration
resulting from a slowdown in economic activity and increased
unemployment due to the coronavirus outbreak. Specifically, we
observed an increase in delinquencies, payment forbearance and
payment deferrals since the start of the pandemic, which could
result in higher realized losses. For certain transactions, the
elevated levels of borrowers enrolled in payment relief programs
may cause temporary interest shortfalls on the bonds, which we
expect to be reimbursed.

In our analysis, we considered an increase in the baseline loss
projections, relative to our pre-pandemic loss projections, of up
to 20% to evaluate the resiliency of the ratings amid the
uncertainty surrounding the pools' performance caused by the
coronavirus outbreak, which negatively affects the macroeconomic
conditions that influence consumer credit performance.

Our analysis considers the current proportion of loans granted
payment relief in individual pools. We identified these loans based
on a review of loan level cashflows over the last few months. Based
on our analysis of RPL transactions that we rate, the proportion of
borrowers that are currently enrolled in payment relief plans
varied greatly, ranging between approximately 7% and 27%. In our
sensitivity analysis, we assume these loans to experience lifetime
default rates that are 50% higher than default rates on the
performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Our analysis considered
loss sensitivity to the assumption that six months of scheduled
principal on the loans enrolled in payment relief programs will be
passed to the trust as a loss. Transaction documents for Citigroup
Mortgage Loan Trust 2015-A state that any deferred amount will be
allocated as a realized loss to the trust, which will cause a
write-down on the junior notes. The magnitude of the write-down
will depend on the proportion of the borrowers in the pool subject
to principal deferral and the number of months of such deferral.
The treatment of deferred principal as a loss is credit negative
for the junior bonds, which would incur write-downs when missed
payments are deferred.

Seven tranches from three transactions currently have outstanding
interest shortfalls. Given the lack of servicer advancing, an
elevated percentage of non-cash flowing loans related to borrowers
enrolled in payment deferral programs can result in interest
shortfalls, especially on the junior bonds. Based on transaction
documents, reimbursement of missed interest on the more senior
notes has a higher priority than even scheduled interest payments
on the more subordinate notes. As such, we expect the outstanding
shortfalls to be reimbursed as the proportion of borrowers enrolled
in payment deferrals declines. In addition, documents also allow
for interest shortfalls to be reimbursed from principal
collections. Given that we expect the interest shortfalls to be
temporary and fully reimbursed within a short period of time, these
shortfalls did not impact the ratings adversely.

Our rating actions also take into consideration the seasoned
profile of the underlying mortgage loans, equity built up in the
properties and the notes' payment priorities. The sequential pay
structures in Citigroup Mortgage Loan Trust 2018-RP2, Citigroup
Mortgage Loan Trust 2018-RP3, and Citigroup Mortgage Loan Trust
2019-RP1 have also helped with significant buildup in credit
enhancement, especially in an environment of elevated prepayment
rates. The increase in credit enhancement has helped offset some of
the increase in expected losses spurred by the pandemic. On
average, notes that were confirmed as part of today's actions
experienced a 2% to 12% increase in credit enhancement over the
past 12 months.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our 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 our forecasts is unusually high.

We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

Principal Methodologies

The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in July 2020.

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

Up

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

Down

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

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


CITIGROUP MORTGAGE 2020-RP1: DBRS Gives B(high) Rating on B-2 Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage-Backed
Notes, Series 2020-RP1 (the Notes) to be issued by Citigroup
Mortgage Loan Trust 2020-RP1 (the Trust) as follows:

-- $410.6 million Class A-1 at AAA (sf)
-- $410.6 million Class A-1-IO at AAA (sf)
-- $439.4 million Class A-2 at AA (high) (sf)
-- $439.4 million Class A-2-IO at AA (high) (sf)
-- $463.6 million Class A-3 at A (sf)
-- $463.6 million Class A-3-IO at A (sf)
-- $484.0 million Class A-4 at BBB (sf)
-- $484.0 million Class A-4-IO at BBB (sf)
-- $410.6 million Class A-5 at AAA (sf)
-- $439.4 million Class A-6 at AA (high) (sf)
-- $463.6 million Class A-7 at A (sf)
-- $484.0 million Class A-8 at BBB (sf)
-- $28.8 million Class M-1 at AA (high) (sf)
-- $28.8 million Class M-1-IO at AA (high) (sf)
-- $24.2 million Class M-2 at A (sf)
-- $24.2 million Class M-2-IO at A (sf)
-- $20.4 million Class M-3 at BBB (sf)
-- $20.4 million Class M-3-IO at BBB (sf)
-- $28.8 million Class M-4 at AA (high) (sf)
-- $24.2 million Class M-5 at A (sf)
-- $20.4 million Class M-6 at BBB (sf)
-- $11.3 million Class B-1 at BB (high) (sf)
-- $10.5 million Class B-2 at B (high) (sf)

Classes A-1-IO, A-2-IO, A-3-IO, A-4-IO, M-1-IO, M-2-IO, and M-3-IO
are interest-only notes. The class balances represent notional
amounts.

Classes A-2, A-3, A-4, A-5, M-4, M-5, M-6, A-6, A-7, A-8, A-2-IO,
A-3-IO, and A-4-IO are exchangeable notes. These classes can be
exchanged for combinations of initial exchangeable notes as
specified in the offering documents.

The AAA (sf) ratings on the Notes reflect 23.65% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), A (sf), BBB (sf), BB (high) (sf), and B (high) (sf) ratings
reflect 18.30%, 13.80%, 10.00%, 7.90%, and 5.95% of credit
enhancement, respectively.

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

The Trust is a securitization of a portfolio of seasoned performing
and reperforming first-lien residential mortgages funded by the
issuance of the Notes. The Notes are backed by 2,388 loans with a
total principal balance of $537,797,652 as of the Cut-Off Date
(August 31, 2020).

The loans are approximately 158 months seasoned. As of the Cut-Off
Date, 98.4% of the loans are current, including 0.8%
bankruptcy-performing loans. Approximately 82.8% and 97.6% of the
mortgage loans have been zero times 30 days delinquent for the past
24 months and 12 months, respectively, under the Mortgage Bankers
Association (MBA) delinquency method.

The portfolio contains 97.6% modified loans. The modifications
happened more than two years ago for 96.0% of the modified loans.
Within the pool, 1,403 mortgages have aggregate
non-interest-bearing deferred amounts of $72,597,352, which
comprise approximately 13.5% of the total principal balance.

There are seven loans (0.2% by balance) that are subject to the
Consumer Financial Protection Bureau Ability-to-Repay and Qualified
Mortgage rules. These loans are designated as Temporary Safe
Harbor. The remainder of the pool is exempt due to seasoning.

The Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired
the mortgage loans from Fannie Mae following the award of a bid in
connection with a competitive auction for the initial pool. The
Seller will then contribute the loans to the Trust through an
affiliate, Citigroup Mortgage Loan Trust Inc. (the Depositor). As
the Sponsor, CGMRC or one of its majority-owned affiliates will
acquire and retain a 5% eligible vertical interest in each class of
Notes (other than the Class R Notes) to satisfy the credit risk
retention requirements. The loans were originated and previously
serviced by various entities.

As of the Cut-Off Date, the loans are serviced by an interim
servicer. Such servicing will be transferred to Select Portfolio
Servicing, Inc. (SPS) on October 16, 2020. There will not be any
advancing of delinquent principal or interest on any mortgages by
the Servicer or any other party to the transaction; however, the
Servicer is obligated to make advances in respect of homeowner
association fees in super lien states and in certain cases, taxes
and insurance as well as reasonable costs and expenses incurred in
the course of servicing and disposing of properties.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class M-2 and more subordinate
principal and interest (P&I) bonds will not be paid from principal
proceeds until the more senior classes are retired.

The ratings reflect transactional strengths that include underlying
assets that demonstrate improving performance in the recent past,
lengthy seasoning, and a strong representations and warranties
(R&W) provider (CGMRC). Additionally, a comprehensive third-party
due diligence review was performed on the portfolio with respect to
regulatory compliance, servicing comments, data integrity, payment
histories, and title and tax review. Updated broker price opinions
were provided for 100% of the pool; however, reconciliations were
not performed on the updated values.

The lack of P&I advances on delinquent mortgages may increase the
possibility of periodic interest shortfalls to the Noteholders;
however, principal proceeds can be used to pay interest to the
Notes sequentially, and subordination levels are greater than
expected losses for the rated Notes, which may provide for timely
payment of interest to the rated Notes.

The transaction employs an R&W framework that includes certain
weaknesses such as knowledge qualifiers, a fraud representation
that is limited to the time period when the Seller owned the loans,
and carveouts for loans with known findings or unavailable
information. Mitigating factors include (1) a financially strong
R&W provider (CGMRC), (2) a comprehensive due diligence review, (3)
automatic or designated breach review triggers dependent on certain
conditions, and (4) significant loan seasoning and relatively clean
performance history in recent years.

CORONAVIRUS IMPACT – REPERFORMING LOANS (RPL)

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an economic contraction, leading to
sharp increases in unemployment rates and income reductions for
many consumers. DBRS Morningstar anticipates that delinquencies may
continue to raise in the coming months for many residential
mortgage-backed security (RMBS) asset classes, some meaningfully.

RPL is a traditional RMBS asset class that consists of
securitizations backed by pools of seasoned performing and
reperforming residential home loans. Although borrowers in these
pools may have experienced delinquencies in the past, the loans
have been largely performing for the past six to 24 months since
issuance. Generally, these pools are highly seasoned and contain
sizable concentrations of previously modified loans.

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 RPL asset class, DBRS
Morningstar applies more severe market value decline (MVD)
assumptions across all rating categories than it previously used.
DBRS Morningstar derives such MVD assumptions through a fundamental
home price approach based on the forecasted unemployment rates and
GDP growth outlined in the moderate scenario. In addition, for
pools with loans on forbearance plans, DBRS Morningstar may assume
higher loss expectations above and beyond the coronavirus
assumptions. Such assumptions translate to higher expected losses
on the collateral pool and correspondingly higher credit
enhancement.

In the RPL asset class, while the full effect of the coronavirus
may not occur until a few performance cycles later, DBRS
Morningstar generally believes that loans which were previously
delinquent, recently modified, or have higher updated loan-to-value
ratios (LTVs) may be more sensitive to economic hardships resulting
from higher unemployment rates and lower incomes. Borrowers with
previous delinquencies or recent modifications have exhibited
difficulty in fulfilling payment obligations in the past and may
revert to spotty payment patterns in the near term. Higher LTV
borrowers with lower equity in their properties generally have
fewer refinance opportunities and, therefore, slower prepayments.

In addition, for this transaction, as permitted by the Coronavirus
Aid, Relief, and Economic Security (CARES) Act, signed into law on
March 27, 2020, 1.1% of the borrowers are on forbearance plans
because the borrowers reported financial hardship related to the
coronavirus. These forbearance plans allow temporary payment
holidays, followed by repayment once the forbearance period ends.
The interim servicer generally offered borrowers a three-month
payment forbearance plan. Beginning in month four, the borrower can
repay all of the missed mortgage payments at once 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. The interim servicer or the Servicer, as
applicable, 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, the interim
servicer or Servicer may offer a repayment plan or other forms of
payment relief, such as deferrals of the unpaid P&I amounts,
forbearance extensions, or a loan modification, in addition to
pursuing other loss mitigation options.

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

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

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

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

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

The DBRS Morningstar ratings of AAA (sf) and AA (high) (sf) address
the timely payment of interest and full payment of principal by the
legal final maturity date in accordance with the terms and
conditions of the related notes. The DBRS Morningstar ratings of A
(sf), BBB (sf), BB (high) (sf), and B (high) (sf) address the
ultimate payment of interest and full payment of principal by the
legal final maturity date in accordance with the terms and
conditions of the related notes.

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


CITIGROUP MORTGAGE 2020-RP1: Fitch Rates Class B-2 Debt 'Bsf'
-------------------------------------------------------------
Fitch Ratings has assigned ratings to Citigroup Mortgage Loan Trust
2020-RP1 (CMLTI 2020-RP1).

RATING ACTIONS

CMLTI 2020-RP1

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

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

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

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

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

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

Class A-4: LT BBBsf New Rating; previously BBB(EXP)sf

Class A-4-IO: LT BBBsf New Rating; previously BBB(EXP)sf

Class A-5: LT AAAsf New Rating; previously AAA(EXP)sf

Class A-6: LT AAsf New Rating; previously AA(EXP)sf

Class A-7: LT Asf New Rating; previously A(EXP)sf

Class A-8: LT BBBsf New Rating; previously BBB(EXP)sf

Class M-1: LT AAsf New Rating; previously AA(EXP)sf

Class M-1-IO: LT AAsf New Rating; previously AA(EXP)sf

Class M-2: LT Asf New Rating; previously A(EXP)sf

Class M-2-IO: LT Asf New Rating; previously A(EXP)sf

Class M-3: LT BBBsf New Rating; previously BBB(EXP)sf

Class M-3-IO: LT BBBsf New Rating; previously BBB(EXP)sf

Class M-4: LT AAsf New Rating; previously AA(EXP)sf

Class M-5: LT Asf New Rating; previously A(EXP)sf

Class M-6: LT BBBsf New Rating; previously BBB(EXP)sf

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

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

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

Class B-4: LT NRsf New Rating; previously NR(EXP)sf

Class B-5: LT NRsf New Rating; previously NR(EXP)sf

Class PT-1: LT NRsf New Rating; previously NR(EXP)sf

Class PT-2: LT NRsf New Rating; previously NR(EXP)sf

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

Class PT-4: LT NRsf New Rating; previously NR(EXP)sf

Class PT-5: LT NRsf New Rating; previously NR(EXP)sf

Class PT-6: LT NRsf New Rating; previously NR(EXP)sf

Class PT-7: LT NRsf New Rating; previously NR(EXP)sf

Class PT-8: LT NRsf New Rating; previously NR(EXP)sf

Class PT-9: LT NRsf New Rating; previously NR(EXP)sf

Class PT-10: LT NRsf New Rating; previously NR(EXP)sf

Class PT-11: LT NRsf New Rating; previously NR(EXP)sf

Class PT-12: LT NRsf New Rating; previously NR(EXP)sf

Class PT-13: LT NRsf New Rating; previously NR(EXP)sf

Class PT-14: LT NRsf New Rating; previously NR(EXP)sf

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

Class A-IO-S: LT NRsf New Rating; previously NR(EXP)sf

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

TRANSACTION SUMMARY

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, 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 above, 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.


CLNY TRUST 2019-IKPR: DBRS Assigns B Rating on Class F Certs
------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2019-IKPR issued by CLNY Trust
2019-IKPR as follows:

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

The trend for Class A is Negative. DBRS Morningstar has placed
Classes B, C, D, E, and F Under Review with Negative Implications,
given the negative impact of the Coronavirus Disease (COVID-19) on
the underlying collateral. DBRS Morningstar also designated Class G
as having Interest in Arrears.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. For more information on
these scenarios, please refer to the Coronavirus Impact Analysis
section of this document. The global macroeconomic scenarios
include a moderate decline of 15% for all commercial real estate
(CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

This transaction is secured by a portfolio of 46 extended-stay,
limited-service, and full-service hotels in 16 states across the
U.S. with a total of 5,948 guest rooms. The properties are
conjoined by cross-defaulted and cross-collateralized mortgages,
deeds of trust, indenture deeds of trust or similar instruments
applicable in each jurisdiction, plus liens on the furniture,
fixtures, equipment, and leases used in the operations of the
hotels. The portfolio is diversified in terms of location and hotel
type: three full-service hotels represent 6.5% of total rooms,
seven select-service hotels represent 15.2% of total rooms, and 36
extended-stay hotels represent 78.3% of total rooms. No single
hotel represents more than 3.8% of total rooms. Four states contain
properties with total allocated loan amounts (ALA) in excess of 10%
of the mortgage loan balance (California: 22.1%, New Jersey: 14.5%,
Washington: 11.1%, and Florida: 10.1%).

Loan proceeds were used to refinance existing debt of $830.9
million, pay closing costs, and fund a property improvement plan
reserve of $26.0 million. The loan is structured with an initial
term of two years with five one-year extension options. The sponsor
invested $20.8 million of cash equity at closing. There is
additional financing in the form of $45.0 million of senior
mezzanine debt and $55.0 million of junior mezzanine debt, neither
of which is included as part of this transaction.

The sponsors for this loan are Colony Capital and affiliates of
Chatham Lodging, L.P. The nonrecourse carveout guarantor is Chatham
Lodging, L.P. The sponsors acquired the properties in mid-2014 and
have invested approximately $110.0 million, or $18,500 per room, in
capital improvements to upgrade the common areas, guest rooms, and
hotel amenities. At origination, the sponsors had planned to invest
another $113.7 million, or $19,116 per room, over the next five
years.

Property releases for individual hotels are permitted subject to a
debt yield test and, in most cases, the payment of a release
premium. For the first 20% of the loan balance, the release premium
is 105% of the ALA. After reaching that point, property releases
are subject to 110% paydown for the next 15% of the initial loan
balance. Thereafter, a 115% release price is required. Five
specific hotels are permitted to release upon payment of the par
balance, or ALA, with those releases not counting towards the
aforementioned thresholds. No releases from the portfolio have been
reported.

According to the most recent reporting from March 2020, the
trailing 12-month net cash flow (NCF) was down 10.2% from issuance.
Further, the servicer reported that the loan is paid through June
2020 but is delinquent as of the August 2020 payment date. Servicer
reporting suggests that the borrower is seeking to use reserve
funds to bring the loan current, but no agreement to that effect
has been concluded. Prior to the effects of the pandemic, the
portfolio reported an occupancy rate of 73.3% that was slightly
below the issuance occupancy rate of 76.7%. However, because of the
effects of the coronavirus pandemic on business and leisure travel,
the lodging sector has experienced an unprecedented decline in
demand across multiple revenue segments and the portfolio is likely
to continue to experience severe occupancy stress in the short
term.

DBRS Morningstar reanalyzed the NCF derived at issuance for the
subject rating action to confirm its consistency with the "DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria." The resulting NCF figure was $73.1 million and DBRS
Morningstar applied a cap rate of 9.00%, which resulted in a DBRS
Morningstar Value of $812.1 million, a variance of -24.9% from the
appraised value of $1,081.9 million at issuance. The DBRS
Morningstar Value implies a trust LTV of 93.0% compared with the
trust LTV of 69.8% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is in the middle of the range
of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the portfolio's strong historical performance in terms
of occupancy and revenue per available room and the geographic
diversity as the portfolio of assets are spread across 16 states.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 4.00%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt through
Class F exceeded the scenario value and DBRS Morningstar presumed
that the coronavirus had affected the class.

The DBRS Morningstar ratings assigned to Classes B, C, D, E, and F
vary by three or more notches from the results implied by the LTV
Sizing Benchmarks when MVDs are assumed under the Coronavirus
Impact Analysis. These classes are Under Review with Negative
Implications as DBRS Morningstar continues to monitor the evolving
economic impact of the coronavirus-induced stress on the
transaction

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


COMM TRUST 2020-CBM: DBRS Gives BB(low) Rating on Class F Certs
---------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2020-CBM issued (the
Certificates) by COMM Trust 2020-CBM Mortgage Trust as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class X-CP at AA (low) (sf)
-- Class B at AA (sf)
-- Class X-NCP at AAA (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)

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The Certificates are backed by a $684.0 million five-year,
interest-only (IO), fixed-rate mortgage loan secured by a
first-priority mortgage on fee and leasehold interests on 52
limited-service hotel properties with 7,677 rooms. The whole loan
is split into several components, including 10 pari passu notes of
different balances totaling $398.0 million as well as one junior
promissory note of $286.0 million, which is the junior trust note.
The trust loan consists of four senior pari passu notes and the
junior trust note for a total trust note balance of $484.0 million.
The six nontrust companion notes total $200.0 million for a
whole-loan balance of $684.0 million maturing in February 2025.

The sponsor used loan proceeds and $0.56 million of borrower equity
to refinance existing debt of $576.3 million, pay closing costs,
and fund an upfront renovation reserve of $99.0 million.

The sponsor for the transaction is CBM Joint Venture Limited
Partnership (CBM JV), a joint venture between affiliates of Clarion
Partners, LLC (Clarion) and the Michigan Office of Retirement
Services (the majority equity interest holder). The nonrecourse
carveout guarantor is CBM JV. The property manager is Courtyard
Management Corporation, a third-party hotel management company and
a wholly owned subsidiary of Marriott International, Inc. The
management agreement has an initial term ending on December 31,
2025, and will be automatically renewed for all mortgaged
properties for two successive 10-year option periods. Clarion
acquired the portfolio and other interests between 2005 and 2012,
and has invested more than $370.4 million ($48,253 per key) since
acquisition in 2005 with plans to invest another $175.3 million
over the next four years to counter the lagging performance of its
older properties.

The portfolio primarily includes older hotels with 47 properties,
representing 90.4% of the rooms, built in 1989 or earlier. In
addition, 44 of the properties were last renovated before 2013. The
properties are in 25 states with concentrations in California,
Florida, Illinois, and Colorado representing 25.2%, 7.6%, 7.1%, and
6.6% of allocated loan amount (ALA), respectively. Seven hotels in
various states, representing 11.0% of the allocated loan amount,
are subject to ground leases from third-party fee owners. In
addition, 39 hotel properties are subject to ground leases between
CBM Two Hotels LP. Borrower, as lessee, and C2 Land, L.P. Borrower,
as lessor, both related entities. Six hotels are fee simple owned.
Two hotels with ground leases terminating in less than 10 years
were assigned no ALA with release prices equal to 62.5% of the
related appraised value at origination.

On an aggregate basis, the portfolio has outperformed its
competitive sets with occupancy, average daily rates (ADR), and
revenue per available room penetration rates that have been higher
than 100% since 2016. Some minor slippage in occupancy and ADR
penetration occurred in 2018, likely because of ongoing
renovations, as the loan was structured with a $99.0 million
upfront renovation reserve. In addition to the upfront renovation
reserve, the loan was structured with $78.0 million that will be
reserved over the first four years of the loans for a total reserve
of about $177 million. The increased capital investment will help
the portfolio maintain its competitive position and improve overall
financial performance.

The portfolio suffered performance issues because of the
coronavirus pandemic and mandated economic slowdown, which led to
the near-total cessation of commercial and leisure travel. The loan
transferred to special servicing in April 2020 with a request for
coronavirus-related relief. The parties had reached an agreement on
modifications and forbearance, but the sponsor decided not to
proceed with the modification. The loan returned to master
servicing in May 2020 and the borrower agreed to fund any future
operating expense, debt service, or reserve shortfalls. As of the
June 2020 remittance report, the loan was performing and had
returned to the master servicer. The loan is current as of the
September 2020 remittance report.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $80.1
million and DBRS Morningstar applied a cap rate of 9.0%, which
resulted in a DBRS Morningstar Value of $888.4 million, a variance
of 25.0% from the appraised value of $1.2 billion at issuance. The
DBRS Morningstar Value implies an LTV of 77.0% compared with the
LTV of 57.7% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is at the middle end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting location, asset quality, and type of lodging asset.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 4.0%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 25% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

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


CONN'S RECEIVABLES 2018-A: Fitch Affirms B Rating on Class C Debt
-----------------------------------------------------------------
Fitch Ratings maintains the Rating Watch Negative on the class B
and C notes of Conn's Receivables Funding 2018-A and on all
outstanding ratings of Conn's Receivables Funding 2019-A and 2019-B
due to the impacts of delinquency increases early in 2020 and the
continued potential negative collateral performance caused by
economic disruptions resulting from the coronavirus pandemic. Fitch
removes from Rating Watch Negative, affirms, and assigns a Stable
Outlook to the ratings assigned to class A of Conn's Receivables
Funding 2018-A and the class C of 2017-B. The affirmations reflect
increased credit enhancement (CE) to the degree that additional
performance impacts are not expected to impact timely interest or
ultimate principal repayment under Fitch's stressed assumptions at
current ratings.

RATING ACTIONS

Conn's Receivables Funding 2017-B

Class C 20825AAC2; LT BBsf Affirmed; previously BBsf

Conn's Receivables Funding 2018-A

Class A 20826JAA6; LT BBBsf Affirmed; previously BBBsf

Class B 20826JAB4; LT BBsf Rating Watch Maintained; previously BBsf


Class C 20826JAC2; LT Bsf Rating Watch Maintained; previously Bsf

Conn's Receivables Funding 2019-A

Class A 20827DAA8; LT BBBsf Rating Watch Maintained; previously
BBBsf

Class B 20827DAB6; LT BBsf Rating Watch Maintained; previously BBsf


Class C 20827DAC4; LT Bsf Rating Watch Maintained; previously Bsf

Conn's Receivables Funding 2019-B

Class A 20824LAA3; LT BBBsf Rating Watch Maintained; previously
BBBsf

Class B 20824LAB1; LT BBsf Rating Watch Maintained; previously BBsf


Class C 20824LAC9; LT Bsf Rating Watch Maintained; previously Bsf

TRANSACTION SUMMARY

In the months leading up to the pandemic, delinquencies had risen
in all rated portfolios above expected levels. Delinquencies since
the last review in April declined through servicing efforts and
short-term pandemic stimulus, however the level of increase in
delinquencies in early 2020 resulted in increased defaults. These
trends were especially impactful to the more recent, less seasoned
transactions, where Fitch's loss projections increased to nearly
30%, from the 25% original base case default rate.

To this point in the pandemic, collateral performance remained
relatively stable as obligors took advantage of re-age and deferral
programs offered by Conn's as well as the federal $600 weekly
unemployment subsidy and stimulus payments. The rates of 60+ day
delinquencies declined to below pre-pandemic levels for all trusts
and as of August 2020 were 25.5%, 16.1%, 13.4% and 12.3% for Conn's
2017-B, 2018-A, 2019-A and 2019-B, respectively. While deferral and
re-age programs aided trust performance over the past several
months, there still remains the risk that they delayed eventual
charge-offs. In addition, after coming off of recent highs in the
first half of the year, early stage delinquencies started to rise
again as of the August payment date, attributed by the company to a
change in loan re-aging policies. With the early pandemic support
ended while unemployment remains high, there remains uncertainty at
this time about full impact of the pandemic to performance.

The Rating Watch Negatives on the classes of Conn's 2018-A, 2019-A,
and 2019-B transactions consider these factors. Fitch will monitor
performance developments over the next months and will resolve the
Rating Watch Negative assignments when there is further clarity as
to the direction of the collateral performance.

KEY RATING DRIVERS

Coronavirus Impact: The baseline (rating) scenario assumes an
initial activity bounce in 3Q20 followed by a slower recovery
trajectory from 4Q20 onward amid high unemployment rates and
further pullback in private-sector investment. The U.S. is expected
to suffer a hit to GDP growth through 2025, with higher initial
shock to U.S. jobless rates, but return to a more robust growth
rate given flexible employment dynamics. Under this scenario, Fitch
reviewed recessionary and recent Conn's managed and securitization
performance information in determining the base case loss
assumptions that were updated as discussed.

Subprime Collateral Quality: The Conn's receivables pools each had
a weighted average (WA) FICO of just over 600 at closing, with
approximately 10% of the loans having scores below 550 or no score
at closing. Fitch revised the base case for all deals at the
initial Rating Watch committee in April 2020 to 30.00% from 25.00%
or 25.25% mainly due to expected performance impacts resulting from
the coronavirus containment measures and increased delinquencies
and cumulative defaults. Delinquencies have declined off of highs
with Conn's 2017-B, 2018-A, 2019-A and 2019-B reporting 60+ day
delinquencies as of August, 2020 of 25.5%, 16.1%, 13.4% and 12.3%
down from 31.2%, 22.8%, 18.0% and 14.6% as of March, 2020,
respectively. However, earlier stage delinquencies have moved
higher more recently. Fitch applied a 2.2x stress at the 'BBBsf'
level during the prior review, reflecting the high absolute value
of the historical defaults, the variability of default performance
in recent years and high geographical concentration.

Rating Cap at 'BBBsf': Due to the subprime credit-risk profile of
the customer base, higher loan defaults in recent years, the high
concentration of receivables from Texas, management changes at
Conn's, and servicing continuity risk due to in-store payments,
Fitch placed a rating cap of 'BBBsf' on these transactions at
issuance.

Adequate Servicing Capabilities: Conn Appliances, Inc. has a long
track record as an originator, underwriter and servicer. The credit
risk profile of the entity is mitigated by the backup servicing
provided by Systems & Services Technologies, Inc. (SST), which has
committed to a servicing transition period of 30 days. Fitch
considers all parties to be adequate servicers for this pool at the
expected rating levels, based on prior experience and
capabilities.

RATING SENSITIVITIES

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 above should only be considered as one
potential outcome, as the transactions are exposed to multiple
dynamic risk factors. These results should not be used as an
indicator of possible future performance.

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

Unanticipated increases in the frequency of defaults or write-offs
on customer accounts could produce loss levels higher than the base
case and would likely result in declines of CE and remaining loss
coverage levels available to the investments. Decreased CE will
increase the potential for negative rating actions, depending on
the extent of the decline in coverage. While no modeling was
conducted as part of this review, the below sensitivities were
disclosed for each deal as of their last review.

Conn's Receivables Funding 2017-B (November 2019 review):

Rating sensitivity to increased charge-off rate:

  -- Class C current ratings (remaining defaults as a percent of
current: 25.81%): 'BBsf';

  -- Increase base case by 10%: 'BBsf';

  -- Increase base case by 25%: 'B+sf',

  -- Increase base case by 50%: less than 'CCCsf'.

Conn's Receivables Funding 2018-A (July 2019 review):

Rating sensitivity to increased charge-off rate:

  -- Class A, B, and C current ratings (remaining defaults as a
percent of current: 27.66%): 'BBBsf', 'BBsf', 'Bsf';

  -- Increase base case by 10% for class A, B, and C: 'BBBsf',
'BBsf', 'Bsf';

  -- Increase base case by 25% for class A, B, and C: 'BBB-sf',
'BBsf', 'Bsf';

  -- Increase base case by 50% for class A, B, and C: 'BB+sf',
'B+sf', less than 'CCCsf'.

Conn's Receivables Funding 2019-A (April 2019 new rating
analysis):

  -- Class A, B, and C current ratings (Remaining Defaults as a
percent of current: 25.00%): 'BBBsf', 'BBsf', 'Bsf';

  -- Default increase 10%: class A 'BBB-sf'; class B 'BBsf'; class
C below 'CCCsf';

  -- Default increase 25%: class A 'BB+sf'; class B 'B+sf'; class C
below 'CCCsf';

  -- Default increase 50%: class A 'BBsf'; class B below 'CCCsf';
class C below 'CCCsf';

  -- Recoveries decrease to 0%: class A 'BBB-sf'; class B 'BBsf';
class C 'B-sf'.

Conn's Receivables Funding 2019-B (November 2019 new rating
analysis):

  -- Class A, B, and C current ratings (Remaining Defaults as a
percent of current: 25.00%): 'BBBsf', 'BBsf', 'Bsf';

  -- Default increase 10%: class A 'BBB-sf'; class B 'BBsf'; class
C below 'CCCsf';

  -- Default increase 25%: class A 'BB+sf'; class B 'B+sf'; class C
below 'CCCsf';

  -- Default increase 50%: class A 'BBsf'; class B below 'CCCsf';
class C below 'CCCsf';

  -- Recoveries decrease to 0%: class A 'BBBsf'; class B 'BBsf';
class C 'Bsf'.

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

Decreases in the frequency of defaults or write-offs on customer
accounts could produce loss levels lower than the base case and
would likely result in increasing CE and the potential for positive
rating actions, but only on the subordinated classes, because
ratings on the senior classes are at the rating cap of 'BBBsf'.

For the ratings currently on Rating Watch Negative, Fitch does not
currently anticipate developments in the short term that will lead
to an upgrade. The main constraint to the ratings is the expected
negative collateral performance caused by economic disruptions
resulting from the coronavirus containment measures. Should
economic disruptions caused by the coronavirus subside and the
trust structures continue to deleverage, upgrades could be
considered.

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

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


COREVEST AMERICAN 2020-3: DBRS Finalizes B Rating on Class G Certs
------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates (the Certificates) issued by
CoreVest American Finance 2020-3 Trust (the Issuer or the Trust):

-- $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 22.50%, 14.75%, 8.88%, 7.50%, 4.13%, and
3.50% 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 they 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 in the rating report for a summary
of the DBRS Morningstar Single-Family Rental Subordination Model.
Please see the Cash Flow Analysis section in the rating report 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
rating 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 in the rating report 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
rating 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 differs from the rating implied by
the quantitative model. DBRS Morningstar considers this difference
to be a material deviation, but in this case, the rating 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.


CSMC TRUST 2017-FHA1: Moody's Confirms B3 Rating on Class B-3 Debt
------------------------------------------------------------------
Moody's Investors Service confirmed the ratings of three classes of
bonds from CSMC 2017-FHA1 Trust.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL). The collateral is
serviced by Select Portfolio Servicing, Inc (SPS).

The complete rating actions are as follows:

Issuer: CSMC 2017-FHA1 Trust

Cl. B-1, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-2, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-3, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating action reflects our revised loss expectation for the
underlying mortgage loan pool driven by performance deterioration
resulting from a slowdown in economic activity and increased
unemployment due to the coronavirus outbreak. Specifically, we
observed an increase in delinquencies, payment forbearance, and
payment deferrals since the start of the pandemic, which could
result in higher realized losses. The elevated levels of borrowers
enrolled in payment relief programs may cause temporary interest
shortfalls on the bonds, which we expect to be reimbursed.

In our analysis, we considered an increase in the baseline loss
projection, relative to our pre-pandemic loss projection, of up to
20% to evaluate the resiliency of the ratings amid the uncertainty
surrounding the pool's performance caused by the coronavirus
outbreak, which negatively affects the macroeconomic conditions
that influence consumer credit performance.

Our analysis considers the current proportion of loans granted
payment relief. We identified these loans based on a review of loan
level cashflows over the last few months. Based on our analysis,
the proportion of borrowers in RPL pools that are currently
enrolled in payment relief plans varied greatly, ranging between
approximately 7% and 27%. In our sensitivity analysis, we assume
these loans to experience lifetime default rates that are 50%
higher than default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Our analysis considered
loss sensitivity to the assumption that six months of scheduled
principal on the loans enrolled in payment relief programs will be
passed to the trust as a loss.

Currently, there are no outstanding interest shortfalls on any
rated tranche in this transaction. However, given the lack of
servicer advancing, an elevated percentage of non-cash flowing
loans related to borrowers enrolled in payment deferral programs
can result in interest shortfalls, especially on the junior bonds.
Based on transaction documents, reimbursement of missed interest on
the more senior notes has a higher priority than even scheduled
interest payments on the more subordinate notes. As such, we expect
any future shortfalls to be reimbursed as the proportion of
borrowers enrolled in payment deferrals declines. In addition,
documents also allow for interest shortfalls to be reimbursed from
principal collections. Given that we expect any future interest
shortfalls to be temporary and fully reimbursed within a short
period of time, the risk of potential interest shortfalls did not
impact the ratings adversely.

Our rating actions also take into consideration the seasoned
profile of the underlying mortgage loans, equity built up in the
properties and the notes' payment priorities. The sequential pay
structure in this transaction has helped with buildup in credit
enhancement, which has offset some of the increase in expected
losses spurred by the pandemic. On average, notes that were
confirmed as part of today's actions experienced a 0.20%to 0.90%
increase in credit enhancement over the past 12 months.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our 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 our forecasts is unusually high.

We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

Principal Methodologies

The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in July 2020.

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

Up

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

Down

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

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


CSMC TRUST 2020-NQM1: Fitch Gives 'Bsf' Rating on Class B-2 Debt
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to CSMC 2020-NQM1 Trust.

RATING ACTIONS

CSMC 2020-NQM1

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

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

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

Class A-IO-S; LT NRsf New Rating; previously at NR(EXP)sf

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

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

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

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

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

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

TRANSACTION SUMMARY

Fitch rates CSMC 2020-NQM1 mortgage-backed notes, series 2020-NQM1
(CSMC 2020-NQM1 Trust) as indicated. The notes are supported by 501
loans with a balance of $312.14 million as of the cutoff date. This
will be the first Fitch-rated transaction consisting of nonprime
loans solely aggregated by Credit Suisse in 2020.

The certificates are secured mainly by nonqualified mortgages
(Non-QM) as defined by the Ability to Repay (ATR) Rule. Of the
pool, 80.2% comprises loans designated as Non-QM, 19.2% are
investment properties not subject to the ATR Rule, and the
remaining are a mix of Safe Harbor Qualified Mortgages and Higher
Priced Qualified Mortgages (0.6%).

Credit Suisse (CS) aggregated the loans in the pool from various
originators. Approximately 64% of the pool was aggregated or
originated by SG Capital Partners, and the remaining 36% of loans
were originated by various other third-party originators that each
contributed less than 15% to the pool. Select Portfolio Servicing,
Inc. (SPS) will be the servicer for 91.2% of the loans, AmWest is
the servicer for 8.2% of the loans and East West will service 0.55%
of the loans. Nationstar Mortgage, LLC will be the master
servicer.

KEY RATING DRIVERS

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

Liquidity Stress for Payment Forbearance (Negative): The outbreak
of the coronavirus pandemic and widespread containment efforts in
the U.S. will result in increased unemployment and cash flow
disruptions. To account for the cash flow disruptions, Fitch
assumed deferred payments on a minimum of 40% of the pool for the
first six months of the transaction at all rating categories with a
reversion to its standard delinquency and liquidation timing curve
by month 10. This assumption is based on observations of legacy
Alt-A delinquencies and past-due payments following Hurricane Maria
in Puerto Rico.

The cash flows on the notes will not be disrupted for the first six
months due to principal and interest (P&I) advancing on delinquent
loans by the servicers; however, after month six, the lowest ranked
classes may be vulnerable to temporary interest shortfalls to the
extent there is not enough funds available once the more senior
bonds are paid.

Stop Advance Structure (Mixed): The transaction has a stop advance
feature where the servicers will advance delinquent (DQ) P&I up to
180 days. While the limited advancing of DQ P&I benefits the pool's
projected loss severity (LS), it reduces liquidity. To account for
the reduced liquidity of a limited advancing structure, principal
collections are available to pay timely interest to the 'AAAsf',
'AAsf' and 'Asf' rated bonds. Fitch expects 'AAAsf' and 'AAsf'
rated bonds to receive timely payments of interest and all other
bonds to receive ultimate interest. Additionally, as of the closing
date, the deal benefits from approximately 365bps of excess spread,
which will be available to cover shortfalls prior to any
writedowns.

The servicers, SPS, AmWest and East West, will provide P&I
advancing on DQ loans (even the loans on a coronavirus forbearance
plan). If the servicers are not able to advance, the master
servicer (Nationstar Mortgage Servicing) will advance P&I on the
notes. If the master servicer is not able to advance, the paying
agent (Citibank) will advance.

Payment Forbearance (Mixed): Of the borrowers in the pool, 20.4%
were put on a COVID-19 relief plan. Of this amount, 17.5% (81
loans) have reached the expiration date of their deferral plan;
15.7% (71 loans) made their post-deferral period mortgage payment
and are current, and 1.7% (10 loans) are one-month DQ.

Of the pool, 0.2% (one loan) is on an active forbearance plan and
is two months DQ. An additional 2.5% (15 loans) are currently on
inactive forbearance plans. Of these, 1.6% (10 loans) are current
and the remaining 0.9% (five loans) are 30 days DQ.

0.4% (one loan) is on a five-month deferral plan but made its
August payment and was treated as current.

Fitch considered borrowers on a coronavirus relief plan that are
cash flowing as current, while the borrowers not cash flowing were
treated as DQ.

The servicers will continue to advance during the forbearance
period. Recoveries of advances will be repaid either from
reinstated or repaid amounts from loans where borrowers are on a
repayment plan. For loans with deferrals of missed payments, the
servicers can recover advances from the principal portion of
collections, which may result in a mismatch between the loan
balance and certificate balance. While this may increase realized
losses, the 365bps of excess spread as of the closing date should
be available to absorb these amounts and reduce the potential for
writedowns.

If the borrower does not resume making payments, the loan will
likely become modified and the advancing party will be reimbursed
from available funds at the time of modification. Fitch increased
its loss expectations by adding 0.07% to the model output loss in
all rating categories to address the potential for writedowns due
to reimbursements of servicer advances. In addition, there is 3.65%
excess spread as of the closing date that will be available to
cover any writedowns due to reimbursements of servicer advances.

Expanded Prime Credit Quality (Mixed): The collateral consists of a
mix of 15-year, 30-year and 40-year fixed-rate and adjustable-rate
loans (46.8% of loans are adjustable rate); 17.7% of the loans are
interest-only (IO) loans, and the remaining 53.2% of the loans are
fully amortizing loans. The pool is seasoned approximately 11
months in aggregate, as determined by Fitch. The borrowers in this
pool have strong credit profiles with a 715 weighted average (WA)
FICO score, as determined by Fitch, and moderate leverage (73.4%
sLTV). In addition, the pool contains 85 loans over $1 million, and
the largest is $4.0 million. Self-employed borrowers make up about
73.7% of the pool, 17.1% of the pool are salaried employees, and
4.9% of the pool comprises investor cash flow loans.

Fitch considered 5.5% of borrowers as having a prior credit event
in the past seven years, and Fitch considered that 8.5% of the
loans in the pool were made to nonpermanent residents. The pool
characteristics resemble recent nonprime collateral, and therefore,
the pool was analyzed using Fitch's nonprime model.

Bank Statement Loans Included (Negative): Fitch determined that
52.6% (253 loans) were made to self-employed borrowers underwritten
to a bank statement program (25.3% to a 24-month bank statement
program and 27.2% to a 12-month bank statement program) for
verifying income, which is not consistent with Appendix Q standards
or Fitch's view of a full documentation program. To reflect the
additional risk, Fitch increases the probability of default (PD) by
1.5x on the bank statement loans.

High Investor Property Concentration (Negative): Of the pool, 21.3%
comprises investment properties. Specifically, 16.4% of loans were
underwritten using the borrower's credit profile, while the
remaining 4.9% were originated through the originators' investor
cash flow program that targets real estate investors qualified on a
debt service coverage ratio (DSCR) basis. Borrowers of the non-DSCR
investor properties in the pool have strong credit profiles, with a
WA FICO of 713 (as calculated by Fitch) and an original CLTV of
66.2%. DSCR loans have a WA FICO of 666 (as calculated by Fitch)
and an original CLTV of 63.2%. Fitch increased the PD by
approximately 2.0x for the cash flow ratio loans (relative to a
traditional income documentation investor loan) to account for the
increased risk.

Nonpermanent Residence Concentration (Negative) 8.5% (62 loans) in
the 100% diligence sample was made to either nonpermanent resident
aliens or nonresident aliens. Fitch treats foreign nationals as
investor occupied with no liquid reserves because the liquid
reserves may not be verified. Fitch also assumed a FICO of 650 for
foreign nationals (foreign nationals typically do not have a FICO
score, as a result, the FICO score was defaulted to a credit score
consistent with nonprime borrowers). Most of these non-permanent
residents took out investor cash flow loans (DSCR loans). As a
result, the debt to income ratio (DTI) was converted based on the
rent to PITIA ratio, which is typically higher than a DTI on a
non-DSCR loan and received more conservative treatment in the
model. Due to the conservative assumptions made on the loans to
non-permanent residents, Fitch was comfortable with the percentage
of these borrowers being higher than 5%.

Geographic Concentration (Negative): Approximately 60% of the pool
is concentrated in California with relatively high MSA
concentration. The largest MSA concentration is in the Los Angeles
MSA (37.1%), followed by the Miami/Fort Lauderdale MSA (9.2%) and
the San Francisco MSA (7.0%). The top three MSAs account for 43.5%
of the pool. Due to the large California concentration, Fitch
increased the 'AAA' expected loss by 1.58% to account for
geographic concentration.

High ARM Concentration (Negative): The pool consists of 46.8%
adjustable-rate mortgages. As a result, a 1.2x PD penalty was
applied.

Missing Paystrings /12-Mo. Paystrings (Negative): Credit Suisse was
not able to provide full 12-month paystrings on four loans due to
servicing transfers. While the current servicer was able to provide
the most recent paystrings, it was not able to provide the initial
one to three paystrings for four loans. The originator (IMPAC) will
make a rep that the loans were not more than 30 days DQ at time of
purchase. Fitch treated the missing paystrings as being DQ, since
the DQ status could not be verified.

Hurricane Impact (Neutral): Hurricane Laura made landfall over
parts of Texas and Louisiana on Aug. 27, 2020, and Hurricane Sally
made landfall over parts of Alabama on Sept. 11, 2020. SPS
performed property inspections on homes located in the areas
affected by Hurricane Laura and confirmed there was no damage.
Furthermore, SPS did not receive any calls from borrowers stating
that they were affected by the hurricane. AmWest and East West did
not have loans located in the region hit by Hurricane Laura. No
loans are in a FEMA-designated individual assistance area for
Hurricane Sally.

Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
after considering any unpaid interest shortfalls while shutting out
the mezzanine and subordinate bonds from principal until the class
A notes have been reduced to zero. To the extent that either the
cumulative loss trigger event or the DQ trigger event occurs in
each period, principal will be distributed sequentially to the
class A-1, A-2 and A-3 bonds until they are reduced to zero.

Low Operational Risk (Positive): Operational risk is well
controlled for this transaction. Fitch has reviewed the Credit
Suisse mortgage aggregation platform. Credit Suisse has
industry-standard risk controls and is assessed by Fitch as an
'Above Average' aggregator. SPS, rated by Fitch at 'RPS1-', is the
named servicer for 91% of the transaction pool. AmWest and East
West Bank will be the servicer for the loans they originate.
Nationstar Mortgage will be the master servicer (RMS2+/Negative).
Fitch decreased its loss expectations at the 'AAAsf' rating stress
by 195bps to reflect the counterparties involved in the
transaction. The issuer is also retaining at least 5% of each class
of bonds to ensure an alignment of interest between the issuer and
investors.

R&W Framework (Negative): Credit Suisse and several originators are
providing loan-level representations and warranties (R&Ws) with
respect to the loans in the trust. The R&W framework for this
transaction is consistent with a Tier 2 as it contains small
variations to Fitch's loan-level R&Ws and does not have an
automatic breach review trigger outside of a realized loss due
specifically to the ATR Rule. In addition to the framework, the
originators are non-investment-grade counterparties that may
increase the risk of each R&W provider not being able to satisfy
future repurchase obligations during financial stress. Fitch
increased its loss expectations 150bps at the 'AAAsf' rating
category to reflect the Tier 2 framework and non-investment-grade
counterparty strength.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction pool. The reviews
were conducted by five different third-party review (TPR) firms,
all of which are reviewed and approved by Fitch. The results of the
review confirm sound origination practices with minimal incidence
of material exceptions. Loans that received a final grade of 'B'
had immaterial exceptions and either had strong compensating
factors or were accounted for in Fitch's loan loss model. Fitch
applied a credit for the high percentage of loan-level due
diligence, which reduced the 'AAAsf' loss expectation by 38bps.

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 positive
rating action/upgrade:

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 4.9% at the base case. 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 negative
rating action/downgrade:

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 the rated classes. Specifically, a 10% gain in home prices
would result in a full category upgrade for the rated class
excluding those being assigned ratings of 'AAAsf'.

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

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC (AMC), Clayton, Inglet Blair, Covius Real
Estate Services, LLC (CRES), and Opus Capital Market Consultants.
The third-party due diligence described in Form 15E focused on
three areas: compliance review, credit review and valuation review.
Fitch considered this information in its analysis and, as a result,
Fitch did not make any adjustment(s) to its analysis. Based on the
results of the 100% due diligence performed on the pool, the
overall expected loss was reduced by 0.38%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC,
Clayton, Inglet Blair, CRES, and Opus were engaged to perform the
review. Loans reviewed under this engagement were given compliance,
credit, and valuation grades, and assigned initial grades for each
subcategory. Minimal exceptions and waivers were noted in the due
diligence reports.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are comprehensive. The ASF
data tape layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors, and others to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the ASF layout data tape were reviewed by the
due diligence companies, and no material discrepancies were noted.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

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

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

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


CSMC TRUST 2020-RPL4: Fitch to Rate Class B-2 Debt 'B(EXP)sf'
-------------------------------------------------------------
Fitch Ratings expects to rate CSMC Trust 2020-RPL4 .

RATING ACTIONS

CSMC 2020-RPL4

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

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

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

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

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

Class M-3; LT BBB(EXP)sf Expected Rating; previously  

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

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

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

Class B-4; LT NR(EXP)sf Expected Rating; previously  

Class B-5; LT NR(EXP)sf Expected Rating; previously  

Class PT; LT NR(EXP)sf Expected Rating; previously  

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

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

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed notes to be
issued by CSMC 2020-RPL4 Trust (CSMC 2020-RPL4) as indicated above.
The transaction is expected to close on Oct. 2, 2020. The notes are
supported by one collateral group that consists of 2,654 seasoned
performing loans (SPLs) and re-performing loans (RPLs) with a total
balance of approximately $463.4 million, which includes $21.9
million, or 4.7%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the cutoff
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 servicers will not be advancing delinquent monthly
payments of P&I.

KEY RATING DRIVERS

Revised GDP Due to Coronavirus (Negative): The outbreak of the
coronavirus and the resulting containment efforts have resulted in
revisions to Fitch's GDP estimates for 2020. As of September, its
baseline global economic outlook for U.S. GDP is currently a 4.6%
decline for 2020, down from a 1.7% increase for 2019. Fitch's
downside scenario would see an even larger decline in output in
2020 and a weaker recovery in 2021. To account for declining
macroeconomic conditions resulting from the coronavirus, 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.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage, seasoned performing and RPLs.
All of the loans in the pool are current as of the cutoff date.
While most borrowers on a coronavirus-related relief plan have
completed the plan and resumed making payments, a small portion of
borrowers remain on an active forbearance plan but have remained
current. Of the pool, 31.3% of loans are current but have had
recent delinquencies or incomplete pay strings within the past two
years. Of the loans, 69% are seasoned over 24 months and have been
paying on time for the past 24 months, while 57% have been paying
on time for the past 36 months. Roughly 87% have been modified.

Expected Payment Forbearance and Deferrals Related to Coronavirus
(Negative): The outbreak of coronavirus and widespread containment
efforts in the U.S. has resulted in increased unemployment and cash
flow disruptions. Mortgage payment forbearance or deferrals will
provide immediate relief to affected borrowers and Fitch expects
servicers to broadly adopt this practice. The missed payments will
result in interest shortfalls that will likely be recovered, the
timing of which will depend on repayment terms; if interest is
added to the underlying balance as a non-interest-bearing amount,
repayment will occur at refinancing, property liquidation, or loan
maturity.

To account for the potential for cash flow disruptions, Fitch
assumed deferred payments on a minimum of 40% of the pool for the
first six months of the transaction at all rating categories with a
reversion to its standard delinquency and liquidation timing curve
by month 10. The 40% 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 (Neutral): Operational risk is well controlled
for in this transaction. Credit Suisse is assessed by Fitch as an
'Average' aggregator specifically for acquiring seasoned and
distressed loans. Select Portfolio Servicing, Inc. (SPS) is the
named servicer for the transaction and is rated 'RPS1-' with a
Negative Rating Outlook by Fitch. Fitch decreased its adjustments
to the 'AAAsf' rating category by 135bps 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 the issuer and investor.

Adequate Servicing Fee (Neutral): Fitch assumed a stressed
servicing fee of 40bps in its analysis while analyzing the
structure. The 40bps was assumed as the required amount to attract
a successor servicer in a high delinquency environment. The higher
fee lowered the amount of excess interest available to protect
against realized losses resulting in higher initial credit
enhancement.

Due Diligence Review Results (Negative): A third-party due
diligence review was performed on approximately 100% of the loans
in the transaction pool. The review scope included a compliance
review that tested for adherence to applicable federal, state and
local high-cost loan and/or anti-predatory laws. Due diligence was
performed by SitusAMC which is an approved third-party review (TPR)
firm and is assessed by Fitch as an 'Acceptable - Tier 1' and
Residential Real Estate Review.

The due diligence 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 adjusted its loss expectation at the
'AAAsf' rating category by


DBGS 2018-C1: Fitch Affirms BB-sf Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has affirmed 15 classes of DBGS 2018-C1 Mortgage
Trust, commercial mortgage pass-through certificates, series
2018-C1.

RATING ACTIONS

DBGS 2018-C1

Class A-1 23307DAW3; LT AAAsf Affirmed; previously AAAsf

Class A-2 23307DAX1; LT AAAsf Affirmed; previously AAAsf

Class A-3 23307DAZ6; LT AAAsf Affirmed; previously AAAsf

Class A-4 23307DBA0; LT AAAsf Affirmed; previously AAAsf

Class A-M 23307DBC6; LT AAAsf Affirmed; previously AAAsf

Class A-SB 23307DAY9; LT AAAsf Affirmed; previously AAAsf

Class B 23307DBD4; LT AA-sf Affirmed; previously AA-sf

Class C 23307DBE2; LT A-sf Affirmed; previously A-sf

Class D 23307DAG8; LT BBBsf Affirmed; previously BBBsf

Class E 23307DAJ2; LT BBB-sf Affirmed; previously BBB-sf

Class F 23307DAL7; LT BB-sf Affirmed; previously BB-sf

Class G-RR 23307DAN3; LT B-sf Affirmed; previously B-sf

Class X-A 23307DBB8; LT AAAsf Affirmed; previously AAAsf

Class X-D 23307DAC7; LT BBB-sf Affirmed; previously BBB-sf

Class X-F 23307DAE3; LT BB-sf Affirmed; previously BB-sf

KEY RATING DRIVERS

Overall Stable Performance: The affirmations reflect the overall
stable performance and loss expectations on the majority of the
pool since issuance. Fitch designated six loans (15.9% of pool) as
Fitch Loans of Concern (FLOCs), including two loans (10.6%) in the
top 15 and one specially serviced loan (1.9%).

Minimal Change to Credit Enhancement: As of the September 2020
distribution date, the pool's aggregate balance has been paid down
by 0.4% to $1.062 billion from $1.066 billion at issuance. Eighteen
loans (62% of pool) are full-term interest-only, 11 loans (22.6%)
remain in their partial interest-only period and the remaining nine
loans (15.4%) are amortizing. Scheduled loan maturities include six
loans (11.4%) in 2023, one loan (0.5%) in 2027 and 31 loans (88.1%)
in 2028. Interest shortfalls are currently impacting the non-rated
HRR class.

Fitch Loans of Concern: The largest FLOC, TripAdvisor HQ (7% of
pool), is secured by a 280,892-sf single-tenant suburban office
property located in Needham, MA. The property was built-to-suit as
the headquarters for TripAdvisor on an absolute NNN lease through
December 2030, 28 months after the loan's anticipated repayment
date in August 2028. In April 2020, TripAdvisor announced layoffs
of approximately 25% of its workforce and permanently closed its
downtown Boston and San Francisco offices. Subsequently in June
2020, TripAdvisor placed 100,000-sf at the subject property (35.6%
of NRA) on the subleasing market.

The next largest FLOC, Outlet Shoppes at El Paso (3.6%), is secured
by a 433,849-sf outlet center located in Canutillo, TX, Fitch is
concerned about the near-term lease rollover and weak sponsorship.
The property also draws traffic from cross-border travel, which has
been negatively impacted by the coronavirus pandemic. The loan is
sponsored by a joint venture between CBL Properties and Horizon
Group Properties. As of the May 2020 rent roll, 1.8% of the NRA is
on month-to-month leases (across three tenants), 7.1% of the NRA is
scheduled to expire in 2020 (10 tenants), 18.9% in 2021 (22
tenants), 19.6% in 2022 (17 tenants) and 24.1% in 2023 (18
tenants).

The specially serviced loan, 9039 Sunset (1.9%), which is secured
by a 11,735-sf single-tenant retail property located in West
Hollywood, CA, transferred in July 2020 following the borrower
requesting COVID-19 relief due to the temporary closure of the
tenant's operations. The property is leased to the 1OAK nightclub
through September 2023. The collateral also includes billboard
revenue from Rooftop Billboards and Electronic Billboards. The
servicer-reported NOI debt service coverage ratio (DSCR) declined
to 0.28x as of the YTD June 2020, compared to 1.89x underwritten at
issuance.

The MSR Holdings Portfolio loan (1.6%), which is secured by a
portfolio of eight medical/suburban office properties and two
retail properties located across eight different submarkets in
Florida, experienced an occupancy decline to 87% as of June 2020
from 94% at YE 2019 and is 30 days delinquent as of September 2020.
The LA Arts District Creative Office loan (1.3%), which is secured
by a 43,964-sf creative office property located in Los Angeles, CA,
experienced a significant occupancy decline to 67% as of March 2020
due to the loss of its second largest tenant, Arrivo Corporation
(33% of NRA), in December 2018 and is 30 days delinquent as of
September 2020. The borrower previously had a letter of intent with
WeWork; however, elected to not pursue them as a tenant and the
space is currently being marketed for lease. The College Park Plaza
loan (0.5%), which is secured by a 28,113-sf retail property
located in Indianapolis, IN, experienced an occupancy decline to
90% as of June 2020 from 100% at issuance due to Payless Shoes
vacating the property upon their November 2019 lease expiration.

Alternative Loss Considerations: Fitch applied an additional
sensitivity analysis that considered a 25% loss to the current
balance of the TripAdvisors HQ loan due to concerns with the single
tenant's business model given the negative impact on the travel
industry as a result of the coronavirus pandemic. The single tenant
has already placed a portion of its space on the subleasing market.
Fitch has concerns with the recent increase in available subleasing
space in the general office market sector as a result of businesses
resizing their space needs due to economic uncertainty and the
ability for employees to work from home. The Rating Outlook
revisions to Negative from Stable on classes F and G-RR reflect
this additional sensitivity analysis.

Coronavirus Exposure: There are no hotel loans in the pool.
Fourteen loans (28.9% of pool) are secured by retail properties.
Excluding the specially serviced loan, these retail loans have a
weighted average (WA) NOI DSCR of 2.30x and can sustain a 53.5%
decline in NOI before the WA NOI DSCR falls below 1.0x. In addition
to the specially serviced retail loan, Fitch applied additional
coronavirus-related stresses to one non-specially serviced retail
loan (0.5%) to reflect potential cash flow disruptions due to the
coronavirus pandemic; this analysis was factored into the Rating
Outlook revisions to Negative from Stable on classes F and G-RR.

Credit Opinion Loans: Seven loans, representing 28.5% of the pool,
had investment-grade credit opinions on a stand- alone basis at
issuance: Moffett Towers - Buildings E,F, G (7.3% of pool; BBB-sf),
Christiana Mall (4.8%; AA-sf), Aventura Mall (4.3%; Asf), 90-100
John Street (3.8%; BBB-sf), The Gateway (3.4%; BBBsf), West Coast
Albertsons Portfolio (2.6%; BBB+sf) and Moffett Towers II -
Building (2.3%; BBB-sf).

RATING SENSITIVITIES

The Stable Rating Outlooks on classes A-1 through E reflect the
overall stable pool performance and expected continued paydowns
from continued scheduled amortization. The Rating Outlook revisions
to Negative from Stable on classes F and G-RR reflect the
additional sensitivity analysis performed on the TripAdvisors HQ
loan and the potential for downgrades due to concerns surrounding
the ultimate impact of the coronavirus pandemic.

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

Sensitivity factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Upgrades of the 'Asf' and 'AAsf' categories would likely occur with
significant improvement in credit enhancement (CE) and/or
defeasance; however, adverse selection, increased concentrations
and further underperformance of the FLOCs and/or loans considered
to be negatively impacted by the coronavirus pandemic could cause
this trend to reverse. An upgrade to the 'BBBsf' category is
considered unlikely and would be limited based on sensitivity to
concentrations or the potential for future concentration. Classes
would not be upgraded above 'Asf' if there is likelihood for
interest shortfalls. Upgrades to the 'Bsf' and 'BBsf' categories
are not likely until the later years in a transaction and only if
the performance of the remaining pool is stable and/or properties
vulnerable to the coronavirus return to pre-pandemic levels, and
there is sufficient CE to the classes.

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

Sensitivity factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades of the 'Asf', 'AAsf' and 'AAAsf' categories are not
considered likely due to the position in the capital structure and
the stable performance of the pool, but may occur at 'AAsf' and
'AAAsf' should interest shortfalls affect these classes. Downgrades
of the 'BBBsf' category would likely occur if expected losses
increase significantly or the performance of the FLOCs continue to
decline further and/or fail to stabilize. Downgrades to the 'Bsf'
and 'BBsf' categories would occur should the TripAdvisors HQ
experience an outsized loss, performance of the other FLOCs
deteriorate further and/or the loans vulnerable to the coronavirus
pandemic fail to 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
further negative rating actions, including downgrades and/or
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 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).


DBUBS 2017-BRBK: S&P Affirms B- Rating on Class HRR Certs
---------------------------------------------------------
S&P Global Ratings affirmed its ratings on eight classes of
commercial mortgage pass-through certificates from DBUBS 2017-BRBK
Mortgage Trust, a U.S. CMBS transaction.

S&P said, "We affirmed our ratings on the principal- and
interest-paying classes because the current rating levels were
generally in line with the model-indicated ratings. However, we are
aware that leases comprising 70.4% of the net rentable area (NRA)
(71.8% of the in-place gross rent as calculated by S&P Global
Ratings) are scheduled to expire through the loan's maturity in
2024--a risk we accounted for in our cash flow analysis. However,
23.6% of the NRA (24.5% of the in-place gross rent) that rolls in
2021 is from the largest tenant, Disney, and the master servicer,
Wells Fargo Bank N.A. (Wells Fargo), recently confirmed it will
renew approximately 422,000 sq. ft. We will continue to monitor
this transaction and the property's leasing status, and we will
revise our valuation and take rating actions as we deem necessary.


"In addition, we considered that, according to Wells Fargo, the
borrowers have not requested COVID-19 relief and have not indicated
any tenant issues from the pandemic. While rent collection
information was not provided by the borrowers, Wells Fargo
indicated that tenants have not returned to the office due to
statewide and/or county stay-at-home orders and hence, the
buildings are operating at approximately 3.0% occupancy.      

"We affirmed our rating on the class X interest-only (IO)
certificates based on our criteria for rating IO securities, in
which the rating on the IO securities would not be higher than that
of the lowest rated reference class."

Class X's notional amount references class A.
       
TRANSACTION SUMMARY

This is a stand-alone (single borrower) transaction backed by a
portion of a seven-year, fixed-rate IO mortgage whole loan secured
by a first-mortgage lien on the borrowers' fee simple interests in
the Burbank Media Portfolio, which comprises four distinct office
properties (Media Studios, The Pointe, 3800 Alameda, and Central
Park) in Burbank, Calif., totaling approximately 2.1 million sq.
ft. Most of the properties are within close proximity to their
primary demand drivers, which are three major television and movie
studios: Disney/ABC, Warner Bros., and Comcast's NBCUniversal and
the independent Burbank Studios.

According to the Sept. 11, 2020, trustee remittance report, the IO
mortgage loan has a trust balance of $530.0 million and a whole
loan balance of $660.0 million, the same as at issuance. The whole
loan consists of four senior A notes totaling $249.0 million in the
trust, five senior pari passu A notes totaling $130.0 million held
outside the trust, and two junior B notes totaling $281.0 million
in the trust. The $379.0 million senior A notes are pari passu and
senior to the $281.0 million junior B notes. The IO whole loan pays
interest at a per annum fixed rate of 3.541% and matures on Oct. 6,
2024. Wells Fargo confirmed that the borrowers cannot incur
subordinate debt. To date, the trust has not incurred any principal
losses.

CREDIT CONSIDERATIONS

S&P's property-level analysis included a re-evaluation of the
Burbank Media portfolio that secures the mortgage whole loan, and
considered the borrowers- and servicer-reported net operating
income (NOI) and occupancy for the past four years (2016 through
2019): $44.8 million and 88.5%, respectively, in 2016; $54.0
million and 87.2%, respectively, for the trailing-12-months (TTM)
ended June 30, 2017; $68.1 million and 92.5%, respectively, in
2018; and $62.4 million and 93.4%, respectively, in 2019. According
to Wells Fargo, the decline in servicer-reported 2019 NOI is
primarily attributable to the difference in reporting in 2019
(audited financials) vs. 2018 (borrowers' actual operating
statements).

According to CoStar, the Burbank 4&5 star office submarket, where
the properties are located, had an availability rate and asking
base rent of 7.2% and $47.96 per sq. ft., respectively, as of
second-quarter 2020. In addition, the CoStar historical five-year
and 10-year occupancy, as calculated by S&P Global Ratings, for the
submarket were 11.0% and 12.2%, respectively, and the CoStar
historical five-year and 10-year asking base rent, as calculated by
S&P Global Ratings, were $36.16 per sq. ft. and $32.64 per sq. ft.,
respectively. According to the June 30, 2020, rent roll, the
portfolio had an overall vacancy rate and in-place base rent of
5.5% and $45.53 per sq. ft. as calculated by S&P Global Ratings,
respectively.

The five largest tenants (based on in place gross rent as
calculated by S&P Global Ratings), comprised 54.5% and 58.7% of the
NRA and in-place gross rent, respectively, and included: Disney
(27.4% of NRA; 28.2% of in-place gross rent; 2021 through 2023
expiries; according to servicer, Disney renewed approximately
422,000 sq. ft., details below), Warner Bros. Entertainment (9.1%;
10.4%; 2021 through 2023, and 2025 expiries), Kaiser Foundation
Health Plan (9.4%, 9.5%; 2024 expiry), Legend Pictures(5.1%; 6.4%;
2024 and 2025 expiries), and Fremantle Media North America (3.5%;
4.2%; 2026 expiry). The tenant rollover schedule consists of
in-place gross rent (as calculated by S&P Global Ratings) of 0.7%
expiring in 2020, 32.3% in 2021, 5.6% in 2022, 14.3% in 2023, 18.9%
in 2024 (loan maturity year), 10.3% in 2025, 7.7% in 2026, and 9.3%
in 2027.

As indicated above, the tenant rollover risk at the property is a
risk we considered in our analysis. Disney and its subsidiaries
lease 564,635 sq. ft. across two office properties in the
portfolio: 3800 Alameda (417,731 sq. ft.; 20.3% of NRA; 21.1% of
the in-place gross rent as calculated by S&P Global Ratings; 2021
and 2023 expiries) and Media Studios (146,904 sq. ft.; 7.1% of NRA;
7.1% of in place gross rent; 2021 and 2022 expiries). According to
Wells Fargo, Disney recently executed a 10-year renewal lease for
approximately 422,000 sq. ft. at a weighted-average rent of $50.28
per sq. ft. with a concession package including approximately $45
to $75 per sq. ft. in tenant improvement allowance and nine months
of free rent. While it is unclear if the newly executed 10-year
lease is only for the Disney space that expires in May 2021
(aggregating 486,056 sq. ft.; 23.6% of NRA; 24.5% of gross rent),
it nevertheless partly mitigates a large portion of the 32.3% of in
place gross rent expected to expire in 2021. Furthermore, according
to CoStar and media news outlets, Warner Bros., the second-largest
tenant (based on gross rent), recently broke ground in Burbank,
Calif. on an approximately 800,000 sq.-ft. office development,
which is expected to be completed in 2023. Warner Bros. has the
option to terminate 99,853 sq. ft. (4.9% of NRA; 5.9% of gross
rent) at The Pointe property (474,783 sq. ft.) on Dec. 31, 2022,
upon giving 12-months' notice and paying a termination fee. Lastly,
the master servicer informed us that a few of the smaller tenants
at the Central Park property (254,577 sq. ft.) indicated that they
will not renew and/or are looking to sublease their spaces. To
account for these risks that could impact the loan's refinancing
prospects in the uncertain environment, as well as the historically
high submarket availability rate, S&P used a 12.8% vacancy rate
(the same as at issuance).

S&P said, "We derived an S&P Global Ratings' NCF of $52.2 million
(the same as at issuance) and divided it by a 7.43% S&P Global
Ratings' weighted-average capitalization rate (unchanged from
issuance) and deducted a net $8.4 million for proposition 13,
present value of investment grade rated tenants' rent steps, and
reserve shortfalls value adjustments to determine our expected-case
value, which was $694.3 million or $337 sq. ft., the same as at
issuance. This yielded an S&P Global Ratings' loan-to-value ratio
and debt service coverage (DSC) of 95.1% and 2.20x, respectively,
on the whole loan. Wells Fargo reported a DSC of 2.41x on the whole
loan balance for year-end 2019."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The current consensus
among health experts is that COVID-19 will remain a threat until a
vaccine or effective treatment becomes widely available, which
could be around mid-2021. S&P said, "We are using this assumption
in assessing the economic and credit implications associated with
the pandemic. As the situation evolves, we will update our
assumptions and estimates accordingly."

  RATINGS AFFIRMED      

  DBUBS 2017-BRBK Mortgage Trust
  Commercial mortgage pass-through certificates     

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


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

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

All trends are Stable. Classes E and F have been privately placed.

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

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

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

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

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

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

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

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

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

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

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


FIRST EAGLE: Moody's Confirms Ba3 Rating on Class E Notes
---------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by First Eagle Clarendon Fund CLO LLC:

US$42,700,000 Class B-R Senior Secured Floating Rate Notes due 2027
(the "Class B-R Notes"), Upgraded to Aaa (sf); previously on July
25, 2019 Assigned Aa1 (sf)

US$25,500,000 Class C-R Secured Deferrable Floating Rate Notes due
2027 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on
July 25, 2019 Assigned A1 (sf)

The Class B-R and C-R Notes are referred to herein as the "Upgraded
Notes."

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

US$33,300,000 Class E Secured Deferrable Floating Rate Notes due
2027 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on
June 24, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

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

This action concludes the review for downgrade initiated on June
24, 2020 on the Confirmed Notes issued by the CLO. The CLO,
originally issued in January 2015 and refinanced in July 2019, is a
managed cashflow middle market CLO. The notes are collateralized
primarily by a portfolio of middle market senior secured corporate
loans and broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in January 2019.

RATINGS RATIONALE

The upgrade action is primarily a result of deleveraging of the
Class A-R notes and an increase in the transaction's
over-collateralization (OC) ratios since July 2019. The Class A-R
notes have been paid down by approximately 55% or $104.5 million
since that time. Based on Moody's calculation, the OC ratio for the
Class B-R Notes is currently 181.82% versus 148.35% in July 2019,
and the Class C-R Notes is currently 151.34% versus 133.99% in July
2019.

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

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 4354, compared to 3787
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 3671 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 46.23% as of August 2020. Moody's noted that the
Class E OC test was recently reported as failing, which could
result in the diversion of a portion of excess interest and
principal collections to repay the senior notes at the next payment
date should the failure continues. Nevertheless, Moody's noted that
the OC tests for the Class B, Class C, and Class D Notes were
recently reported [4] as passing.

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

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

Par amount and principal proceeds balance: $213,325,749

Defaulted Securites: $31,253,668

Diversity Score: 33

Weighted Average Rating Factor (WARF): 5012

Weighted Average Life (WAL): 3.08 years

Weighted Average Spread (WAS): 4.98%

Weighted Average Recovery Rate (WARR): 47.64%

Par haircut in OC tests and interest diversion test: 3.55%

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.


FREDDIE MAC 2016-1: Moody's Confirms Ba3 Rating on Cl. M-2 Debt
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings of three classes of
bonds from three transactions issued in 2016 and 2017 by Freddie
Mac Seasoned Credit Risk Transfer Trust .

The transactions are backed by modified re-performing residential
mortgage loans (RPL). The collateral is serviced by Select
Portfolio Servicing, Inc (SPS) and Nationstar Mortgage LLC
(Nationstar).

The complete rating actions are as follows:

Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2016-1

Cl. M-2, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2017-1

Cl. M-1, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series
2017-2

Cl. M-1, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating action reflects our revised loss expectations for the
underlying mortgage loans driven by performance deterioration
resulting from a slowdown in economic activity and increased
unemployment due to the coronavirus outbreak. Specifically, we
observed an increase in delinquencies, payment forbearance and
payment deferrals since the start of the pandemic, which could
result in higher realized losses. For certain transactions, the
elevated levels of borrowers enrolled in payment relief programs
may cause temporary interest shortfalls on the bonds, which we
expect to be reimbursed.

In our analysis, we considered an increase in the baseline loss
projections, relative to our pre-pandemic loss projections, of up
to 20% to evaluate the resiliency of the ratings amid the
uncertainty surrounding the pools' performance caused by the
coronavirus outbreak, which negatively affects the macroeconomic
conditions that influence consumer credit performance.

Our analysis considers the current proportion of loans granted
payment relief in individual pools. We identified these loans based
on a review of loan level cashflows over the last few months. Based
on our analysis, the proportion of borrowers in RPL pools that are
currently enrolled in payment relief plans varied greatly, ranging
between approximately 7% and 27%. In our sensitivity analysis, we
assume these loans to experience lifetime default rates that are
50% higher than default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Our analysis considered
loss sensitivity to the assumption that six months of scheduled
principal on the loans enrolled in payment relief programs will be
passed to the trust as a loss. Transaction documents state that any
deferred amount will be allocated as a realized loss to the trust,
which will cause a write-down on the junior notes. The magnitude of
the write-down will depend on the proportion of the borrowers in
the pool subject to principal deferral and the number of months of
such deferrals. The treatment of deferred principal as a loss is
credit negative for the junior bonds, which would incur write-downs
when missed payments are deferred.

Currently, there are no outstanding interest shortfalls on any of
the rated tranches in these transactions. However, given the lack
of servicer advancing, an elevated percentage of non-cash flowing
loans related to borrowers enrolled in payment deferral programs
can result in interest shortfalls, especially on the junior bonds.
Based on transaction documents, reimbursement of missed interest on
the more senior notes has a higher priority than even scheduled
interest payments on the more subordinate notes. As such, we expect
any future shortfalls to be reimbursed as the proportion of
borrowers enrolled in payment deferrals declines. In addition,
documents also allow for interest shortfalls to be reimbursed from
principal collections. Given that we expect any future interest
shortfalls to be temporary and fully reimbursed within a short
period of time, the risk of potential interest shortfalls did not
impact the ratings adversely.

Our rating actions also take into consideration the seasoned
profile of the underlying mortgage loans, equity built up in the
properties and the notes' payment priorities. These transactions
have also benefitted from a buildup in credit enhancement,
especially in an environment of elevated prepayment rates. The
increase in credit enhancement has helped offset some of the
increase in expected losses spurred by the pandemic. On average,
notes that were confirmed as part of today's actions experienced a
1% to 2% increase in credit enhancement over the past 12 months.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our 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 our forecasts is unusually high.

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

Principal Methodologies

The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in July 2020.

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

Up

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

Down

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

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


GCAT TRUST 2019-RPL1: Moody's Confirms B3 Rating on B-2 Debt
------------------------------------------------------------
Moody's Investors Service confirmed the ratings of three classes of
bonds from GCAT 2019-RPL1 Trust.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL). The collateral is
serviced by Fay Servicing LLC.

The complete rating actions are as follows:

Issuer: GCAT 2019-RPL1 Trust

Cl. B-1, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-2, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. M-3, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating action reflects our revised loss expectation for the
underlying mortgage loans driven by performance deterioration
resulting from a slowdown in economic activity and increased
unemployment due to the coronavirus outbreak. Specifically, we
observed an increase in delinquencies, payment forbearance and
payment deferrals since the start of the pandemic, which could
result in higher realized losses. The elevated levels of borrowers
enrolled in payment relief programs may cause temporary interest
shortfalls on the bonds, which we expect to be reimbursed.

In our analysis, we considered an increase in the baseline loss
projection, relative to our pre-pandemic loss projection, of up to
20% to evaluate the resiliency of the ratings amid the uncertainty
surrounding the pool's performance caused by the coronavirus
outbreak, which negatively affects the macroeconomic conditions
that influence consumer credit performance.

Our analysis considers the current proportion of loans granted
payment relief. We identified these loans based on a review of loan
level cashflows over the last few months. Based on our analysis,
the proportion of borrowers in RPL pools that are currently
enrolled in payment relief plans varied greatly, ranging between
approximately 7% and 27%. In our sensitivity analysis, we assume
these loans to experience lifetime default rates that are 50%
higher than default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Our analysis considered
loss sensitivity to the assumption that six months of scheduled
principal on the loans enrolled in payment relief programs will be
passed to the trust as a loss.

There are currently no outstanding interest shortfalls in any rated
tranche in GCAT 2019-RPL1. However, given the lack of servicer
advancing, an elevated percentage of non-cash flowing loans related
to borrowers enrolled in payment deferral programs can result in
interest shortfalls, especially on the junior bonds. Based on
transaction documents, reimbursement of missed interest on the more
senior notes has a higher priority than even scheduled interest
payments on the more subordinate notes. As such, we expect any
future shortfalls to be reimbursed as the proportion of borrowers
enrolled in payment deferrals declines. In addition, documents also
allow for interest shortfalls to be reimbursed from principal
collections. Given that we expect any future interest shortfalls to
be temporary and fully reimbursed within a short period of time,
the risk of potential interest shortfalls did not impact the
ratings adversely.

Our rating actions also take into consideration the seasoned
profile of the underlying mortgage loans, equity built up in the
properties and the notes' payment priorities. The sequential pay
structure in this transaction has helped with significant buildup
in credit enhancement, especially in an environment of elevated
prepayment rates. The increase in credit enhancement has helped
offset some of the increase in expected losses spurred by the
pandemic. On average, notes that were confirmed as part of today's
actions experienced a 1% to 2% increase in credit enhancement over
the past 12 months.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our 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 our forecasts is unusually high.

We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

Principal Methodologies

The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in July 2020.

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

Up

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

Down

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

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


GS MORTGAGE 2010-C2: Moody's Cuts Class X-B Debt to 'Caa2'
----------------------------------------------------------
Moody's Investors Service, ("Moody's") has confirmed the rating on
one class and downgraded the rating on one class in GS Mortgage
Securities Trust 2010-C2 ("GSMS 2010-C2") as follows:

Cl. F, Confirmed at B2 (sf); previously on Apr 17, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. X-B*, Downgraded to Caa2 (sf); previously on Apr 17, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

* Reflects interest-only classes

RATINGS RATIONALE

The rating on the P&I class was confirmed because the transaction's
key metrics, including Moody's loan-to-value (LTV) ratio and
Moody's stressed debt service coverage ratio (DSCR), are within
acceptable ranges, as well as an increase in credit support
resulting from recent paydowns.

The rating on the IO Class X-B was downgraded due to the decline in
the credit quality of its reference classes resulting from
principal paydowns of higher quality reference classes. The IO
Class references P&I classes, Cl. F through Cl. G (Cl. G is not
rated by Moody's). The deal has paid down 94% since prior review.

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.

Moody's rating action reflects a base expected loss of 7.6% of the
current pooled balance, compared to 0.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 0.3% of the
original pooled balance, compared to 0.6% at the last review.

Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Its ratings
reflect the potential for future losses under varying levels of
stress.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

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

DEAL PERFORMANCE

As of the September 14, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $32 million
from $876.5 million at securitization. The certificates are
collateralized by four mortgage loans ranging in size from 8% to
60% of the pool.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of two, compared to nine at Moody's last review.

As of the September 2020 remittance report, loans representing 40%
were current or within their grace period on their debt service
payments and 60% were between 30 -- 59 days delinquent.

Three loans, constituting 40% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

One loan, constituting 60% of the pool, is currently in special
servicing. The specially serviced loan is the 3900 Essex Lane loan
($18.9 million -- 59.7% of the pool), which is secured by a 248,000
square feet (SF) office building in Houston, TX located five miles
west of the central business district (CBD). The property was 75%
leased as of March 2020 compared to 84% in December 2018 and 95% at
securitization. The loan transferred to special servicing in July
2020 due to imminent balloon/maturity default. The loan has an
upcoming maturity date in October 2020 and is seeking refinance
options.

The three remaining loans represent 40% of the pool balance. The
largest loan is the Sterling Centre loan ($6.8 million -- 22% of
the pool), which is secured by an office property in Montgomery,
AL. As of June 2020, the property was 75% leased. Occupancy has
declined from 100% at securitization and has remained less than 80%
since 2016. The loan has an upcoming maturity date in November
2020. The loan has amortized approximately 16% since
securitization. Moody's LTV and stressed DSCR are 99% and 1.06X,
respectively, compared to 102% and 1.03X at the last review.

The second and third largest loans are the Walgreens - Charleston,
WV ($3.5 million -- 11% of the pool) and Walgreens - Johnson City,
TN loans ($2.4 million -- 8% of the pool), which are both single
tenant properties occupied by Walgreens under triple net leases.
Performance has been stable since securitization and both loans are
scheduled to mature in December 2020.


GS MORTGAGE 2014-GC18: Moody's Lowers Rating o Class C Debt to Ba2
------------------------------------------------------------------
Moody's Investors Service, ("Moody's") has affirmed the ratings on
five classes and downgraded the ratings on four classes in GS
Mortgage Securities Trust 2014-GC18 as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Aug 22, 2019 Affirmed Aaa
(sf)

Cl. A-4, Affirmed Aaa (sf); previously on Aug 22, 2019 Affirmed Aaa
(sf)

Cl. A-AB, Affirmed Aaa (sf); previously on Aug 22, 2019 Affirmed
Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on Aug 22, 2019 Affirmed Aaa
(sf)

Cl. B, Downgraded to A2 (sf); previously on Aug 22, 2019 Affirmed
Aa3 (sf)

Cl. C, Downgraded to Ba2 (sf); previously on Aug 22, 2019
Downgraded to Baa2 (sf)

Cl. PEZ**, Downgraded to Baa2 (sf); previously on Aug 22, 2019
Downgraded to A2 (sf)

Cl. X-B*, Downgraded to A2 (sf); previously on Aug 22, 2019
Affirmed Aa3 (sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Aug 22, 2019 Affirmed
Aaa (sf)

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.

The ratings on the P&I classes, Cl. B and Cl. C, were downgraded
due to higher anticipated losses and increased interest shortfall
concerns as a result of the increase in transfers to special
servicing, which now represent 21% of the pool. Interest shortfalls
have significantly increased primarily due to appraisal reductions
from the two real estate owned (REO) loans (10% of the pool). As of
the September 2020 remittance statement, cumulative interest
shortfalls were $2.1 million and impacted Cl. D, which is not rated
by Moody's.

The rating on the IO class, Cl. X-A, was affirmed based on the
credit quality of its referenced classes.

The rating on the IO class, Cl. X-B, was downgraded due to a
decline in the credit quality of its referenced class.

The rating on class PEZ was downgraded due to a decline in the
credit quality of the referenced exchangeable classes.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
commercial real estate from the current weak US economic activity
and a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high. Stress on
commercial real estate properties will be most directly stemming
from declines in hotel occupancies (particularly related to
conference or other group attendance) and declines in foot traffic
and sales for non-essential items at retail properties.

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

Moody's rating action reflects a base expected loss of 14.2% of the
current pooled balance, compared to 9.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 11.5% of the
original pooled balance, compared to 8.0% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The methodologies used in rating all classes except exchangeable
classes and interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in September 2020.9.

DEAL PERFORMANCE

As of the September 14, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 20% to $890.3
million from $1.11 billion at securitization. The certificates are
collateralized by 66 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans (excluding
defeasance) constituting 53% of the pool. Fifteen loans,
constituting 13% of the pool, have defeased and are secured by US
government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 16, compared to 18 at Moody's last review.

As of the September 2020 remittance report, loans representing 73%
were current or within their grace period on their debt service
payments, 6% were beyond their grace period but less than 30 days
delinquent, 11% were 90+ days delinquent, and 10% were REO.

Thirteen loans, constituting 13% of the pool, are on the master
servicer's watchlist, of which five loans, representing 5% of the
pool, indicate the borrower has requested relief in relation to
coronavirus impact on the property. The watchlist includes loans
that meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of Moody's ongoing monitoring of a transaction, the agency
reviews the watchlist to assess which loans have material issues
that could affect performance.

Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $1.5 million (for an average loss
severity of 17%). Four loans, constituting 21% of the pool, are
currently in special servicing. Two of the specially serviced
loans, representing 12% of the pool, have transferred to special
servicing since March 2020.

The largest specially serviced loan is The Crossroads Loan ($87.9
million -- 9.9% of the pool), which is secured by a 349,000 square
feet (SF) portion of a 770,000 SF regional mall located in Portage,
Michigan. The collateral was 96% leased in March 2020 and in-line
occupancy was 84%. Former anchor tenant Sears (not part of the
collateral) closed at this location in late 2019. The mall's other
non-collateral anchors include J.C. Penney and Macy's, and the
largest collateral tenant is Burlington Coat Factory (82,000 SF).
While there was positive leasing activity in 2018 with H&M (22,140
SF) and Forever 21 (11,910 SF) executing leases, property
performance has been declining as a result of declining rental
revenue. The reported year end 2019 net operating income (NOI) was
29% lower than in 2016. The property represents the dominant mall
within its submarket and the loan has amortized by 12% since
securitization. The loan transferred to special servicing in July
2020 for payment default and is due for the May 2020 payment. The
sponsor and lender are in discussions regarding a potential
workout.

The second largest specially serviced loan is the Wyoming Valley
Mall Loan ($71.5 million -- 8.0% of the pool), which is secured by
a 913,000 SF super-regional mall located in Wilkes-Barre,
Pennsylvania. The loan transferred to special servicing for
imminent default in June 2018 after both Sears (177,477 SF; 12.9%
of the net rentable area (NRA)) and Bon-Ton (155,392SF; 17.1% of
the NRA) announced they would vacate. They vacated the property
during July and August 2018. The remaining anchors include J.C.
Penney, Macy's and Macy's Men's & Home Furniture, with varying
maturities in 2022. At securitization, approximately 35 tenants had
co-tenancy clauses tied to occupancy thresholds between 60-80%
and/or the closing of one or more department stores. NOI has been
declining since 2016 as a result of declining rental revenue and is
expected to continue to decline as a result of the two anchor
closures and reduced rent from co-tenancy clauses. There was some
positive leasing momentum during 2019 with two new tenants taking
occupancy: a 49,829 SF Ashley Furniture store opened in the former
HHGregg pad site across from the mall and a 20,048 SF Ken Pollock
Tire and Auto opened in the former Sears Auto Center space. The
property was closed due to the pandemic but reopened during June.
The property manager is in discussions with multiple tenants
regarding rent relief. A sale of the property failed to materialize
in mid-2019 and the sponsor entered into an agreement to transition
the property to the lender. The loan became REO in September 2019.
The property manager is evaluating plans to improve the mall and
make use of the vacant anchor spaces.

The third largest special serviced loan is the Hilton Garden Inn
Pittsburgh - Cranberry ($15.5 million -- 1.7% of the pool), which
is secured by a hotel property in Cranberry Township, Pennsylvania,
20 miles north of Pittsburgh. The loan transferred to special
servicing in December 2018 due to imminent balloon/maturity
default. The borrower was unable to pay off the loan at maturity in
January 2019. Property NOI has been declining each year since 2014
as a result of lower occupancy and RevPAR. Foreclosure sale
occurred in January 2020 and the loan became REO in February 2020.
An Appraisal Reduction Amount (ARA) was assigned in August 2020 in
the amount of $8.3 million. The loan matured in January 2019 and
the franchise agreement expires in August 2029.

The remaining specially serviced loan is secured by a hotel
property in Long Island City, New York. Property performance was
deteriorating since 2015 due to new supply in the market, and is
further impacted by business disruptions resulting from the
coronavirus outbreak. The borrower has requested payment relief.

Moody's has also assumed a high default probability for seven
poorly performing loans, constituting 6% of the pool, and has
estimated an aggregate loss of $104 million (a 43% expected loss on
average) from these specially serviced and troubled loans. The
largest troubled loan is secured by a hotel property located in
Anchorage, AK which has requested payment relief due to coronavirus
outbreak related business disruptions.

As of the September 2020 remittance statement cumulative interest
shortfalls were $2.1 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.

Moody's received full year 2019 operating results for 92% of the
pool, and partial year 2020 operating results for 82% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 105%, compared to 103% at Moody's last
review. Moody's conduit component excludes loans with structured
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 20% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.6%.

Moody's actual and stressed conduit DSCRs are 1.36X and 1.03X,
respectively, compared to 1.44X and 1.07X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 25% of the pool balance. The
largest loan is The Shops at Canal Place Loan ($104.9 million --
11.8% of the pool), which is secured by a 217,000 SF shopping mall
located in downtown New Orleans, Louisiana. The property, which is
anchored by Saks Fifth Avenue, is attached to an office building
and hotel which are not part of the collateral. Saks Fifth Avenue
recently extended their lease through January 2029, with three
remaining, ten-year renewal options. The former second largest
tenant, The Theaters at Canal Place (10% of NRA), closed
permanently during 2019. The collateral was 87% leased as of March
2020 compared to 93% in March 2019 and 95% in 2017. The property
was closed in relation to the coronavirus outbreak and re-opened
during April 2020. The loan has amortized by approximately 6% and
Moody's LTV and stressed DSCR are 118% and 0.80X, respectively,
compared to 117% and 0.79X at the last review.

The second largest loan is the CityScape - East Office/Retail Loan
($94.4 million -- 10.6% of the pool), which represents a pari passu
portion of a $174.6 million first-mortgage. The property is also
encumbered by $25 million of mezzanine debt, held outside of the
CMBS trust. The collateral consists of a 28-story office tower,
ground-level retail, a five-level subterranean parking structure
and the borrower's leasehold interest in an adjacent retail parking
structure, all located in downtown Phoenix, Arizona. The property
is part of a mixed-use development campus that spans three city
blocks. The ground lease, with the city of Phoenix, has fixed
payments of $27,500 during the first ten years and increases to
$55,000 in the 11th year and 2.5% per annum thereafter. The
property was 90% leased as of March 2020 compared to 89% in March
2019, 93% in June 2018 and 96% at year-end 2017. The property's
2019 NOI declined due to higher operating expenses combined with
lower rental revenues. The loan has amortized by nearly 6% and
Moody's LTV and stressed DSCR are 113% and 0.88X, respectively,
compared to 111% and 0.90X at the last review.

The third largest loan is The Haier Building Loan ($23 million --
2.6% of the pool), which is secured by a 63,500 SF mixed use
property located in New York, NY. The largest tenant is Gotham Hall
which occupies 47,000 SF (74% of NRA) and uses the venue for event
space. The event space component is situated on the first five
floors while the office component is primarily comprised of the
basement level and sixth floor but includes parts of the third,
fourth, and fifth floors. The property was 82% leased as of March
2020, unchanged from the last several years and compared to 100% at
securitization. The asset is also zoned for building naming rights.
Chinese home appliance company, Haier Group, terminated their lease
in 2014, however, they continue to lease the naming rights through
2021. Moody's LTV and stressed DSCR are 110% and 1.07X.


GS MORTGAGE 2018-LUAU: DBRS Gives B(low) Rating on Cl. F Certs
--------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2018-LUAU (the Certificates)
issued by GS Mortgage Securities Corporation Trust 2018-LUAU as
follows:

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

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic.

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

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. For further information on
the NA SASB Methodology, please see the press release dated March
1, 2020, at www.dbrsmorningstar.com. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class. For further information
on these rating actions, please see the DBRS Morningstar press
release dated March 27, 2020, at www.dbrsmorningstar.com and the
MCR press release dated March 27, 2020, at
www.morningstarcreditratings.com.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The collateral for the Certificates is a $215.0 million mortgage
loan on the 466-key Ritz-Carlton Kapalua resort hotel on the island
of Maui, Hawaii. The loan assisted in the sponsor's acquisition of
the hotel in September 2018 for $280.9 million. The interest-only
(IO), floating-rate loan has a two-year maturity in November 2020
with five one-year extension options and DBRS Morningstar expects
the borrower to exercise its first extension option. Interest is
set at Libor plus 275 basis points (bps), and the spread is subject
to an increase of 25 bps upon the fourth extension. The borrower
purchased a Libor interest rate cap with a strike price of 3.5%.
The Ritz-Carlton, Kapalua site is owned fee simple, which is highly
unusual for any site on the islands.

The hotel was constructed in 1976 and opened as a Ritz-Carlton in
1992 on the 49-acre site that features a three-tiered swimming
pool, multiple whirlpools, a fitness facility and
17,500-square-foot (sf) spa, six food and beverage (F&B) outlets,
retail space, tennis courts, and 229,000 sf of multipurpose space,
including indoor meeting space and an outdoor ballroom. The hotel
has access to two championship golf courses that are not part of
the collateral. The hotel features 300 hotel keys and 107
residential condominium suites that total 166 keys. Of the 466
keys, 68 are owned by third parties that rent their units on the
Ritz-Carlton hotel website. The unit owners pay all expenses and
share revenue in a 50/50 split with the hotel. In addition, the
hotel owns the remaining 98 condominium units, whose income is
included to support the loan. Total collateral includes the 398
keys and the revenue sharing from other units.

From 2014 to 2018, the hotel received approximately $36.0 million,
or $91,000 per key, in capital improvements and upgrades to the
guest rooms, pool and cabana, lobby, and certain F&B outlets. The
sponsor planned to use another $5.5 million to renovate the
restaurant. The sponsor implemented the renovations/upgrades to
justify raising the room rates to levels that are competitive with
the Four Seasons and Montage hotels, which are also located in
Maui.

The sponsor is Blackstone Group Inc., one of the largest private
equity real estate investment managers in the world. The guarantor
of the recourse carveouts is Blackstone Real Estate Partners
VIII-NQ L.P. The guarantor's liability is capped at 15% of the
loan's outstanding principal balance. Ritz-Carlton Hotel Company,
LLC manages the hotel under a management agreement in which the
fully extended term expires in 2071.

The facility also has a competitive disadvantage because of its
location on the far northwest of the island, somewhat distant from
the main airport and the cluster of luxury resort hotels on the
western shoreline. A shore road that rings a large volcanic
mountain provides access to the hotel. The hotel is not
inaccessible, but it is removed from the main body of hotels. Also,
the weather at this location is less favorable than other parts of
the island and the hotel has access to two small beaches on an
otherwise rocky coastline. However, the island has one of the
highest barriers to entry of any resort market in the world, which
offsets its locational disadvantage. Available sites are extremely
rare or nonexistent, and zoning is complex and protective.

Historic occupancy at the hotel was typically in the mid-70% range
from loan origination through mid-2018. The average daily rate was
plus or minus $400 until the renovation, after which it jumped to
nearly $460 per room per night. As of March 2020, occupancy had
risen to 82%; however, the coronavirus pandemic and economic
slowdown in mid-March crushed the local economy. The governor
responded to the virus by closing the island's tourism-related
industry and has now further delayed the reopening date for this
industry to October 2020 from September 2020. Anyone arriving to
the islands on or before September 30, 2020, must self-quarantine
for 14 days or the length of their stay, whichever is shorter, and
designate a hotel as their quarantine location.

At this time, the Ritz-Carlton, Kapalua is closed but the website
is accepting reservations for stays from October 1, 2020, onward.
Upon reopening, the hotel will institute health and safety
procedures for all employees and hotel guests. The servicer reports
on-time payments through September 9, 2020, with no delinquent debt
payments. The borrower continues to fund the shortfall.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $13.6
million and DBRS Morningstar applied a cap rate of 7.75%, which
resulted in a DBRS Morningstar Value of $175.7 million, a variance
of 37.2% from the appraised value of $280.0 million at issuance.
The DBRS Morningstar Value implies an LTV of 122.3% compared with
the LTV of 76.8% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is at the middle end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the luxury quality of the collateral, given that it is
one of only four Hawaiian resorts to earn the AAA Five Diamond
designation; extremely high barriers to entry for the market; and a
very strong and robust sponsor for the loan.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 7.0%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45.0% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt through
Class F exceeded the scenario value under the Coronavirus Impact
Analysis and DBRS Morningstar therefore presumes that the economic
stress from the coronavirus had affected the class.

Classes X-CP and X-NCP are IO certificates that reference a single
rated tranche or multiple rated tranches. The IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.

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


GS MORTGAGE 2019-BOCA: DBRS Gives B(high) Rating on 2 Tranches
--------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2019-BOCA (the Certificates)
issued by GS Mortgage Securities Corporation Trust 2019-BOCA as
follows:

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

DBRS Morningstar also placed the ratings on all classes Under
Review with Negative Implications, given the negative impact of the
Coronavirus Disease (COVID-19) on the underlying collateral.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The Certificates are backed by a $600.0 million, floating-rate,
two-year loan with five one-year extension options originated on
June 4, 2019. The sponsor used the loan to facilitate its purchase
of the Boca Raton Resort & Club, a Waldorf Astoria Resort for
$875.0 million, fund a seasonality reserve of $5.5 million, and pay
closing costs of $17.4 million. As part of the acquisition, the
sponsor invested $297.9 million in equity.

The 1,047-key Boca Raton Resort & Club is one of South Florida's
premier resort destinations. The AAA Four Diamond Award-winning
resort contains five main buildings and is situated on 162 acres,
much of which is waterfront property, and includes resort amenities
such as 30 tennis courts, two 18-hole championship golf courses,
seven swimming pools, a 32-slip marina capable of anchoring
170-foot-long yachts, 16 food and beverage outlets, 200,000 square
feet of indoor/outdoor event space, fitness centers, and other
attractions. The collateral is located between Fort Lauderdale and
Palm Beach within driving distance of three international airports
serving South Florida. The loan collateral excludes the Boca
Country Club and the Jewel Parcel, an undeveloped parcel adjacent
to the Boca Country Club.

The hotel features five separate main structures, each with a
different guest-targeted price point. In addition to the resort
hotel accommodations, the hotel offers a membership club which
provides revenue through initiation fees, annual dues, dining and
bar revenues, and usage fees for the extensive facilities without
the need to stay at the hotel. This private membership club
generates roughly 30% of total hotel revenues. The sponsor is
permitted to release the bungalow parcel, one of the main
structures that is the lowest-priced tier of hotel rooms at the
facility. The release is subject to debt paydown of 105% of the
allocated loan amount and certain debt yield tests.

The previous sponsor, the Blackstone Group Inc., invested more than
$302.0 million in the resort amenities and facilities from 2005 to
2018. The renovations featured upgrades to certain groups of guest
rooms, restaurants, and the Beach Club facilities. Renovations of a
361-key guest wing resulted in a near doubling of revenue, driven
by improved room rates and a 50% increase in occupancy. The current
sponsor is MSD Partners, L.P., a New York-based development group
owned by billionaire Michael Dell. The facility is managed and
flagged by Hilton Worldwide Holdings Inc. and operates under the
Waldorf Astoria brand, which is a strong brand affiliation
associated with luxury quality.

DBRS Morningstar received updated trailing 12-month period ended
May 31, 2020 (T-12), Smith Travel Research (STR) reports. According
to the trailing three-month period ended May 31, 2020, reporting,
the subject reported occupancy, average daily rate (ADR), and
revenue per available room (RevPAR) of 11.6% (-84.4%), $373
(+3.5%), and $43 (-83.9%), respectively. In comparison, the
competitive set reported occupancy, ADR, and RevPAR of 29.1%
(-60.9%), $517 (+18.0%), and $150 (-53.8%), respectively. On a T-12
basis, the subject reported occupancy, ADR, and RevPAR of 47.1%
(-27.5%), $318 (+1.8%), and $150 (-53.8%), respectively.

Because of the coronavirus pandemic, the lodging sector has
experienced a unprecedented decline in demand across multiple
revenue segments. The subject's reliance on leisure demand will
continue to put significant stress on the hotel's performance in
the short to medium term. In May 2020, the sponsor informed the
master servicer of a revenue decline caused by the pandemic;
however, the sponsor continues to support the hotel and still plans
to invest $75.0 million in capital expenditures (capex) by 2022.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $55.1
million and DBRS Morningstar applied a cap rate of 7.25%, which
resulted in a DBRS Morningstar Value of $760.1 million, a variance
of 16.1% from the appraised value of $906.0 million at issuance.
The DBRS Morningstar Value implies an LTV of 78.9% compared with
the LTV of 66.2% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is at the lower end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the collateral's diversified revenue stream stemming
from multiple sources outside room revenues, significant capex over
the past 15 years, and vast offering of luxurious amenities.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 6.25%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt through
Class F exceeded the value under the Coronavirus Impact Analysis
and therefore DRS Morningstar presumes that the economic stress
from the coronavirus had affected the class.

The DBRS Morningstar ratings assigned to Classes B, C, D, E, F, G,
and HRR vary by three of more notches from the results implied by
the LTV sizing benchmarks when MVDs are assumed under the
Coronavirus Impact Analysis. These classes are Under Review with
Negative Implications as DBRS Morningstar continues to monitor the
evolving economic impact of the coronavirus-induced stress on the
transaction.

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


GS MORTGAGE 2020-GC45: DBRS Confirms B(low) Rating on SW-D Certs
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the following classes of the
Commercial Mortgage Pass Through Certificates, Series 2020-GC45
issued by GS Mortgage Securities Trust 2020-GC45:

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

DBRS Morningstar also removed the ratings from Under Review with
Developing Implications. All trends are Stable.

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

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

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and certain
qualitative adjustments attributable to the ongoing Coronavirus
Disease (COVID-19) pandemic on the ratings, as applicable.

Classes SW-A, SW-B, SW-C, and SW-D are loan-specific rake
certificates collateralized by the subordinate companion loan
component of the Starwood Class A Industrial Portfolio 1 whole
loan. The loan-specific certificates are only entitled to receive
distributions from, and will only incur losses with respect to, the
trust subordinate companion loan. The trust subordinate companion
loan was included as an asset of the issuing entity but is not part
of the mortgage pool that backs the pooled certificates. No class
of pooled certificates issued by GS Mortgage Securities Trust
2020-GC45 will have any interest in the trust subordinate companion
loan.

This loan is secured by the borrower's fee interest in a portfolio
of 33 industrial properties, including 24 warehouses, three
distribution centers, two manufacturing facilities, two cold
storage facilities, and two flex spaces, totaling 4,070,396 square
feet. The portfolio is located across four states in the Chicago;
Indianapolis; Columbus, Ohio; and Milwaukee markets. The properties
were constructed between 1991 and 2016, with an average vintage of
2005 and an average building size of 123,000 sf. The portfolio has
also received $17 million of capital improvements since 2013. As of
November 2019, the portfolio was 98.4% occupied, with the sole
vacancy deriving from the largest property, 101 45th Street (the
property is 81.2% occupied). Loan proceeds of $210.0 million plus
sponsor equity of $114.6 million funded the $319.6 million
acquisition of the portfolio, paid closing costs of $4.1 million,
and covered reserves of $880,000. Of the $210.0 million whole loan,
$144.5 million was structured as a senior note with the remaining
$65.5 million as a subordinate companion loan (which collateralizes
the loan-specific certificates).

DBRS Morningstar based its net cash flow (NCF) assumption on the
actual level at issuance in January 2020. The resulting NCF figure
was $16.07 million, and DBRS Morningstar applied a capitalization
(cap) rate of 7.25%, which resulted in a DBRS Morningstar Value of
$221.73 million for the portfolio—a variance of -30.59% from the
appraised value of $319.45 million at issuance. The DBRS
Morningstar Value implies a whole loan loan-to-value (LTV) ratio of
94.72% compared with the LTV of 65.75% based on the appraised value
at issuance.

The cap rate DBRS Morningstar applied is on the lower end of the
published DBRS Morningstar Cap Rate Range for industrial
properties, reflecting the superior quality of the assets and their
locations.

DBRS Morningstar increased the final LTV Sizing Benchmarks by 5.25%
to account for positive cash flow volatility, property quality, and
market fundamental characteristics.

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


GS MORTGAGE-BACKED 2020-PJ4: Moody's Rates Class B-5 Debt 'B2'
--------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 19 classes
of residential mortgage-backed securities (RMBS) issued by GS
Mortgage-Backed Securities Trust (GSMBS) 2020-PJ4. The ratings
range from Aaa (sf) to B2 (sf).

GSMBS 2020-PJ4 is the fourth prime jumbo transaction in 2020 issued
by Goldman Sachs Mortgage Company (GSMC or sponsor). GSMC is an
affiliate of Goldman Sachs & Co. LLC (Goldman Sachs). The
certificates are backed by 610 first lien 30-year, fully-amortizing
fixed-rate mortgage loans with a total balance of $464,388,676 as
of September 1, 2020, the cut-off date. Government sponsored
enterprises eligible loans (GSE-eligible loans) comprise
$142,900,197 of the pool balance, representing 30.77% of the total
pool. All the loans are subject to the Qualified Mortgage (QM) and
Ability-to-Repay (ATR) rules and are categorized as QM-Safe Harbor
or QM-Agency Safe Harbor.

The mortgage loans for this transaction were acquired by the seller
and sponsor, GSMC from United Wholesale Mortgage, LLC (United
Wholesale Mortgage) - 19.8%, loanDepot.com, LLC (loanDepot) -
16.4%, Maxex Clearing, LLC (Maxex) - 15.5%, Guaranteed Rate, Inc.
(Guaranteed Rate) - 13.1%, and Movement Mortgage, LLC (Movement
Mortgage) - 9.6%. The remaining sellers have less than 9% by loan
balance of the pool.

The weighted average (WA) loan-to-value (LTV) ratio, WA FICO and WA
mortgage rate of the mortgage pool is 70.7%, 772, and 3.7%,
respectively, which is in line with the GSMBS 2019-PJ3 and the
GSMBS 2019-PJ2 transactions (collectively, GSMBS PJ3 and PJ2), and
also with other prime jumbo transactions Moody's has recently
rated. Other characteristics of the loans in the pool are also
generally comparable to that of GSMBS PJ3 and PJ2, and other recent
prime jumbo transactions. .

As of the cut-off date, all of the mortgage loans are current and
no borrower has entered into a COVID-19 related forbearance plan
with the servicer. Although not disclosed in any transaction
documents, the sponsor has indicated that as a matter of practice,
they will remove any loan that goes into a COVID-19 related
forbearance between the cut-off date and the closing date. In the
event that after the closing date a borrower enters into or
requests a COVID-19 related forbearance plan, such mortgage loan
(and the risks associated with it) will remain in the mortgage
pool.

NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a
Shellpoint Mortgage Servicing (Shellpoint) will service 100% of the
pool. The servicing fee for loans serviced by Shellpoint will be
0.04%. Moody's considers the servicing fee charged by Shellpoint
low compared to the industry standard of 0.25% for prime fixed rate
loans and in the event of a servicing transfer, the successor
servicer may not accept such an arrangement. However, the
transaction documents provide that any successor servicer to
Shellpoint will be paid the successor servicing fee rate of 0.25%,
which is not limited to the Shellpoint servicing fee rate.

Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long
term debt Aa2) will be the master servicer and securities
administrator. U.S. Bank Trust National Association will be the
trustee. Pentalpha Surveillance LLC will be the representations and
warranties (R&W) breach reviewer.

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

Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure with a five-year
lockout period that benefits from a senior and subordination floor.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2020-PJ4

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aa1 (sf)

Cl. A-4, Assigned Aa1 (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. B, Assigned Baa1 (sf)

Cl. B-1, Assigned Aa3 (sf)

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

Cl. B-2, Assigned A3 (sf)

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

Cl. B-3, Assigned Baa3 (sf)

Cl. B-3-A, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Its expected losses in a base case scenario are 0.38% at the mean
and 0.18% at the median. Its losses reach 5.18% at a stress level
consistent with its Aaa ratings.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
residential mortgage loans from the current weak US economic
activity and a gradual recovery for the coming months. Although an
economic recovery is underway, it is tenuous, and its continuation
will be closely tied to containment of the virus. As a result, the
degree of uncertainty around its forecasts is unusually high.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

The contraction in economic activity in the second quarter was
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained, and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's
increased its model-derived median expected losses by 15% (9.79%
for the mean) and its Aaa losses by 5% to reflect the likely
performance deterioration resulting from a slowdown in US economic
activity in 2020 due to the coronavirus outbreak.

Moody's based its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its assessments of the origination quality and servicing
arrangement, strength of the TPR and the R&W framework of the
transaction.

Collateral Description

GSMBS 2020-PJ4 is a securitization of a pool of 610 first lien
primarily 30-year fully-amortizing fixed-rate mortgage loans with a
total balance of $464,388,676 as of the cut-off date, with a WA
remaining term to maturity of 353 months and a WA seasoning of 6
months. The WA FICO score of the borrowers in the pool is 772. The
WA LTV ratio of the mortgage pool is 70.7%, which is in line with
GSMBS PJ3 and PJ2 and J.P. Morgan Mortgage Trust (JPMMT) prime
jumbo transactions which had WA LTVs of about 70% on average. Other
characteristics of the loans in the pool are also generally
comparable to that of GSMBS PJ3 and PJ2, and recent JPMMT prime
jumbo transactions. The mortgage loans in the pool were originated
mostly in California (47.5% by loan balance).

Approximately 5.25% of the pool balance (40 loans) are appraisal
waiver loans. Such loans do not have a traditional appraisal but
instead use an estimate of value or sales price, which is typically
provided by the seller, for the purposes of underwriting the loan.
Such loans are typically assessed by Freddie Mac (via Loan Product
Advisor) or Fannie Mae (via Desktop Underwriter) to be identified
as eligible for the appraisal waiver program. All the appraisal
waiver loans in the pool have an exterior-only inspection
residential appraisal report (Form 2055). Since the appraisal
waiver product was introduced relatively recently, in a positive
macro-economic environment, sufficient time has not passed to
determine whether the loan level valuation risk related to a
GSE-eligible loan with an appraisal waiver is the same as a
GSE-eligible loan with a traditional appraisal due to lack of
significant data. To account for the risk associated with this
product, Moody's increased its base case and Aaa loss expectations
for all such loans to account for the lack of appraisal.

Although there are no loans in the pool that are currently
delinquent, there are 17 loans in the pool that have some history
of delinquency. Of these 17 delinquent loans, 7 delinquencies were
COVID-19 related delinquencies and were under a forbearance plan.
Of the remaining 10 loans, 9 loans were delinquent for other
reasons and 1 delinquent loan was related to servicer transfer. Of
note, there were 4 borrowers that had entered into a COVID-19
forbearance plan but never exercised any forbearance option and
were always current. Moody's did not make any adjustment for
COVID-19 impacted loans in its analysis as the borrowers paid the
delinquent amount, became current, and were thus reinstated.
Moody's also did not make any adjustments to non-COVID-19
delinquent loans as a majority of them had one 30-day delinquency
over the past 12 months. Although not disclosed in any transaction
documents, the sponsor has indicated that as a matter of practice,
they will remove any loan that goes into a COVID-19 related
forbearance between the cut-off date and the closing date.

Aggregator/Origination Quality

GSMC is the loan aggregator and mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.

GSMC generally acquires mortgage loans on a bulk or flow basis.
Bulk and flow purchases are made from loan sellers subject to
GSMC's counterparty approval process. The loans sold to the trust
come from bulk purchases and from unaffiliated third-party
originators/sellers. Moody's considers GSMC's aggregation platform
to be relatively weaker than that of peers due to the lack of
sufficiently available historical performance data and limited
quality control process. Nevertheless, since these loans were
originated to the sellers' underwriting guidelines and Moody's
reviewed each of the seller which contributed at least 9% of the
loans to the transaction (United Wholesale Mortage, loanDepot,
Maxex, Guaranteed Rate, and Movement Mortgage), among other
considerations, their underwriting guidelines, performance history,
policies and documentation (to the extent available, respectively),
Moody's did not apply a separate loss-level adjustment for
aggregation quality. Instead, Moody's based its loss-level
adjustments on its reviews of each of the sellers.

Moody's generally assessed originators whose loans constitute more
than 10% of an RMBS portfolio, identifying any business strategies,
policies, procedures, and underwriting guidelines that could affect
their loans' performance. Moody's might make this assessment in a
single deal as a part of relevant transaction analysis or use
findings from its previously performed originator (or aggregator)
review. United Wholesale Mortgage, loan Depot, Maxex, Guaranteed
Rate and Movement Mortgage sold 19.8%, 16.4%, 15.5%, 13.1% and 9.6%
of the mortgage loans, respectively. Loans sold by other sellers
comprise less than 9% (by loan balance) of the pool. With one
exception, Moody's did not make an adjustment for GSE-eligible
loans, regardless of the originator, since those loans were
underwritten in accordance with agency guidelines.

Because Moody's considers loanDepot and Flagstar Bank, FSB to have
adequate residential prime jumbo loan origination practices and to
be in line with peers due to: (1) adequate underwriting policies
and procedures, (2) consistent performance with low delinquency and
repurchase and (3) adequate quality control, Moody's did not make
any adjustments to its loss levels for these loans. Furthermore,
because Moody's considers Caliber Home Loans Inc. to have stronger
residential prime jumbo loan origination practices than their peers
due to their strong underwriting processes and solid loan
performance, Moody's decreased its base case and Aaa (sf) loss
expectations for non-conforming loans sold by Caliber Home Loans.
In contrast, after reviewing the underwriting guidelines, quality
control processes, policies and practices, and available loan
performance information, Moody's increased its base case and Aaa
loss assumption for the loans originated by United Wholesale
Mortgage, Maxex and Movement mortgage. Finally, Moody's increased
its base case and Aaa (sf) loss assumption for all of the loans
underwritten per Home Point Financial Corporation's guidelines due
to limited historical performance data, reduced retail footprint
which limits the originator's oversight on originations, and lack
of strong controls to support recent rapid growth.

Servicing Arrangement

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

Shellpoint will be the named primary servicer for this transaction
and will service 100% of the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is in Greenville,
South Carolina. Shellpoint services residential mortgage assets for
investors that include banks, financial services companies, GSEs
and government agencies. As of August 31, 2020, the company's
servicing portfolio totaled approximately 1,526,989 loans with an
unpaid principal balance of approximately $268 billion.
Shellpoint's senior management team has an average of more than 15
years' industry experience, providing a solid base of knowledge and
leadership to the company's servicing division.

Shellpoint will be paid a flat servicing fee of 0.04% per annum.
Moody's considers the servicing fee charged by Shellpoint as low
compared to the industry standard of 0.25% for prime fixed rate
loans. In the event of a servicing transfer, the successor servicer
may not accept such an arrangement. However, the transaction
documents provide that any successor servicer to Shellpoint will be
paid the successor servicing fee rate of 0.25%, which is not
limited to the Shellpoint servicing fee rate. The holder of 100% of
the voting interests in the Class A-IO-S certificates will have the
right to terminate Shellpoint and any successor servicer of the
mortgage loans at any time subject to the terms of the servicing
agreement, the consent of the master servicer and certain other
conditions.

Trustee and Master Servicer

The transaction trustee is U.S. Bank Trust National Association
(U.S. Bank Trust). U.S. Bank Trust is a national banking
association and a wholly owned subsidiary of U.S. Bank National
Association, the fifth largest commercial bank in the United
States. U.S. Bank Trust has provided owner trustee services since
the year 2000.

Wells Fargo will act as master servicer and securities
administrator under the sale and servicing agreement and as
custodian under the custodial agreement. Wells Fargo is a national
banking association and a wholly-owned subsidiary of Wells Fargo &
Company. A diversified financial services company, Wells Fargo &
Company is a U.S. bank holding company with approximately $1.9
trillion in assets and approximately 266,000 employees as of June
30, 2020. As master servicer, Wells Fargo is responsible for
servicer oversight, the termination of servicers and the
appointment of successor servicers. Moody's considers the presence
of an experienced master servicer such as Wells Fargo to be a
mitigant for any servicing disruptions. Wells Fargo is committed to
act as successor servicer if no other successor servicer can be
engaged.

Third-party Review

Five TPR firms verified the accuracy of the loan-level information
that Moody's received from the sponsor. The TPR firms conducted
detailed credit, regulatory compliance, property valuation and data
integrity reviews on 100% of the mortgage pool. The TPR results
indicated compliance with the sellers' underwriting guidelines for
the vast majority of loans, no material compliance issues and no
material appraisal defects. The loans that had exceptions to the
originators' underwriting guidelines had strong documented
compensating factors such as significant liquid assets, low LTVs
and consistent long-term employment. The TPR firms also identified
minor compliance exceptions for reasons such as inadequate RESPA
disclosures (which do not have assignee liability) and TILA/RESPA
Integrated Disclosure (TRID) violations related to fees that were
out of variance but then were cured and disclosed. Furthermore, the
majority of the data integrity errors were due to minor
discrepancies which were corrected in the final collateral tape and
thus Moody's did not make any adjustments to its credit
enhancement. As a result, Moody's did not make any adjustments to
its expected or stress loss levels due to the TPR results.

Representations & Warranties

GSMBS 2020-PJ4's R&W framework is in line with that of GSMBS PJ3
and PJ2 and JPMMT transactions where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Its review of the R&W framework takes into
account the financial strength of the R&W providers, scope of R&Ws
(including qualifiers and sunsets) and the R&W enforcement
mechanism.

Each of the originators in this pool will make certain R&Ws
concerning the mortgage loans (R&W providers). The R&W providers
vary in financial strength. The creditworthiness of the R&W
provider determines the probability that the R&W provider will be
available and have the financial strength to repurchase defective
loans upon identifying a breach. Because the R&W providers in this
transaction are unrated and/or exhibit limited financial
flexibility Moody's applied an adjustment to the loans for which
these entities provided R&Ws. With respect to certain R&Ws, GSMC
will make a "gap" representation covering the period from the date
on which the related originator made the related representation and
warranty to the cut-off date or closing date, as applicable. GSMC
will not backstop any R&W providers who may become financially
incapable of repurchasing mortgage loans. In fact, none of the
mortgage loan seller, the depositor, the servicer or any other
party will backstop the obligations of any originator or aggregator
with respect to breaches of the mortgage loan representations and
warranties.

The loan-level R&Ws are strong and, in general, either meet or
exceed the baseline set of credit-neutral R&Ws Moody's identified
for US RMBS. Among other considerations, the R&Ws address property
valuation, underwriting, fraud, data accuracy, regulatory
compliance, the presence of title and hazard insurance, the absence
of material property damage, and the enforceability of the
mortgage. Of note, for appraisal waiver loans (5.25% of the pool by
balance), the breach reviewer will check if the relevant AUS
underwriting documentation, DU-LP underwriter findings report or a
loan prospector full feedback certificate marked "Approve/Eligible
or "Accept" as applicable, is available and whether the appraisal
waiver valuation was obtained within four months prior to the
origination date. A test failure would occur only if the required
AUS documentation was missing or the appraisal waiver valuation
date was more than four months old from the date of origination.
The transaction has a number of knowledge qualifiers, which do not
appear material. While a few R&Ws sunset after three years, all of
these provisions are subject to performance triggers which extend
the R&W an additional three years based on the occurrence of
certain events of delinquency.

The R&W enforcement mechanism is adequate. Moody's analyzed the
triggers for breach review, the scope of the review, the
consistency and transparency of the review, and the likelihood that
a breached R&W would be put back to the R&W provider. The breach
review is systematic, transparent, consistent and independent. The
transaction documents prescribe a comprehensive set of tests that
the breach reviewer will perform to test whether the R&Ws are
breached. The tests, for the most part, are thorough, transparent
and consistent because the same tests will be performed for each
loan and the breach reviewer will report the results.

The review triggers are fairly strong. Depending on the particular
R&W, the breach reviewer performs the review (a) when the mortgage
loan is 120 days or more delinquent, (b) if the related servicer
determines that future advances are non-recoverable and stops
advancing or (c) if the mortgage loan liquidates with a realized
loss. In accordance with the R&W review procedures undertaken by
the breach reviewer, if the breach reviewer determines that there
has been a material test failure of a test in respect of a R&W, a
repurchase request will be made of the related responsible party.
In such case, the related responsible party may (1) dispute the
repurchase request, (2) cure the breach, (3) repurchase the
affected mortgage loan from the issuing entity or pay the realized
loss amount with respect to such affected mortgage loan, as
applicable, or (4) in some circumstances, substitute another
mortgage loan. Overall, this remedy mechanism is consistent with
GSMBS 2019-PJ3 and JPMMT prime jumbo transactions. Because
third-party review was conducted on 100% of the pool with adequate
results, this mitigates the risk of future R&W violations.

Tail Risk and Locked Out Percentage

The securitization is a single pool which has a shifting interest
structure that benefits from a senior subordination floor and a
subordinate floor. For deals in which the issuer does not exercise
a clean-up call option, the remaining subordination at the tail end
of transaction's life could become insufficient to support high
ratings on senior bonds as tranche performance depends highly on
the performance of a small number of loans. To address this risk,
the transaction has a senior floor of 1.10% and a locked-out
percentage of 0.80%, both expressed as a percentage of the closing
pool balance. The subordinate locked out amount protects both the
senior tranches and non-locked subordinate tranches. It diverts
allocable principal payments from locked out subordinate tranches
to the non-locked subordinate tranches. Of note, other than the
subordinate class with the lowest numerical class designation then
outstanding, a subordinate tranche is locked out if its outstanding
balance plus the outstanding balance of all classes subordinate to
it is reduced to or falls below 0.80% of the mortgage balance as of
the cut-off date (locked out amount). If the subordinate class with
the lowest numerical class designation is paid to zero and the
aggregate amount of outstanding subordinate tranches is equal to or
less than the locked-out amount, than the allocable principal
payments from all subordinate tranches are diverted to pay senior
tranches until they are paid off.

Transaction Structure

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

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds is based on the net
WAC as reduced by the sum of (i) the reviewer annual fee rate and
(ii) the capped trust expense rate. In the event that there is a
small number of loans remaining, the last outstanding bonds' rate
can be reduced to zero.

COVID-19 Impacted Borrowers

As of the cut-off date, no borrower under any mortgage loan has
entered into a COVID-19 related forbearance plan with the servicer.
Although not disclosed in any transaction documents, the sponsor
has indicated that as a matter of practice, they will remove any
loan that goes into a COVID-19 related forbearance between the
cut-off date and the closing date. In the event that after the
closing date a borrower enters into or requests a COVID-19 related
forbearance plan, such mortgage loan (and the risks associated with
it) will remain in the mortgage pool.

In the event the servicer enters into a forbearance plan with a
COVID-19 impacted borrower, the servicer will report such mortgage
loan as delinquent (to the extent payments are not actually
received from the borrower) and the servicer will be required to
make advances in respect of delinquent interest and principal (as
well as servicing advances) on such loan during the forbearance
period (unless the servicer determines any such advances would be a
nonrecoverable advance). At the end of the forbearance period, if
the borrower is able to make the current payment on such mortgage
loan but is unable to make the previously forborne payments as a
lump sum payment or as part of a repayment plan, then such
principal forbearance amount will be recognized as a realized loss.
At the end of the forbearance period, if the borrower repays the
forborne payments via a lump sum or repayment plan, advances will
be recovered via the borrower payment(s). In an event of
modification, Shellpoint will recover advances made during the
period of COVID-19 related forbearance from pool level
collections.

Any principal forbearance amount created in connection with any
modification (whether as a result of a COVID-19 forbearance or
otherwise) will result in the allocation of a realized loss and to
the extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.

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

Down

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

Up

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

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.


HALCYON LOAN 2017-1: Moody's Confirms Ba3 Rating on Class D Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Halcyon Loan Advisors Funding 2017-1 Ltd.:

US$24,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class C Notes"), Confirmed at Baa3 (sf); previously
on April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class C and the Class D Notes issued by the CLO.
The CLO, issued in May 2017, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in April 2022.

RATINGS RATIONALE

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 considering 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 3042, compared to 2763
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 15%.
Furthermore, Moody's calculated the total collateral par balance,
including recoveries from defaulted securities, at $390.3 million,
or $9.7 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:

Performing par and principal proceeds balance: $386,288,549

Defaulted Securities: $12,647,474

Diversity Score: 81

Weighted Average Rating Factor (WARF): 3096

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.54%

Weighted Average Recovery Rate (WARR): 47.4%

Finally, Moody's notes that it also considered the information
which became available by the manager and the trustee in the
September 2020 trustee report [5] 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 several 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.


HAWAII HOTEL 2019-MAUI: DBRS Rates Class HRR Certificates 'CCC'
---------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2019-MAUI (the Certificates)
issued by Hawaii Hotel Trust 2019-MAUI as follows:

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

DBRS Morningstar placed the ratings on Classes A, B, C, D, E, F,
and G Under Review with Negative Implications, given the negative
impact of the Coronavirus Disease (COVID-19) on the underlying
collateral.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The collateral for the Certificates is a $650.0 million mortgage
loan on a Four Seasons-branded luxury, five-star resort hotel in
Wailea, Hawaii. The hotel features 383 guest rooms, four food and
beverage offerings, specialty retail shops, and 38,000 square feet
of meeting space. A wide range of amenities include a spa, three
outdoor pools, tennis courts, a game room and fitness centre, and
preferred access to the 54-hole Wailea Golf Club directly across
Wailea Alanui Drive from the hotel. The hotel offers direct access
to Wailea Beach as well as stunning views of the island's volcanic
mountains and westward to the bay and Pacific Ocean. As of
September 2020, the loan is currently on the servicer's watchlist
for an increased level of risk stemming from the ongoing
restrictions and setbacks related to the pandemic.

Wailea has one of the highest barriers to entry of any resort
market in the world. Available sites are extremely rare or
nonexistent, and zoning is complex and protective. The hotel is
owned fee simple, which is highly unusual for any site on the
island. Since 2006, the sponsor has invested approximately $161.0
million, or $420,400 per room, including more than $56.0 million in
renovations and upgrades in 2016.

The interest-only (IO), floating-rate loan has a two-year initial
maturity with five one-year extension options. Interest is set at
Libor plus 203 basis points (bps), and the spread is subject to an
increase of 25 bps upon the fourth extension. The borrower
purchased a Libor interest rate cap with a strike price of 3.0%.
The financing transaction repaid $602.6 million of existing debt on
the hotel and returned $36.1 million of cash equity to the
sponsor.

The sponsor is MSD Capital L.P. (MSD), an experienced owner and
operator of luxury hotels in resort locations such as the main
island of Hawaii and Santa Monica, California. The company is an
investment firm that exclusively manages capital on behalf of the
Dell family. The sponsor provides a guaranty for nonrecourse
carveouts with limits on certain provisions. The hotel has been
branded as and managed by Four Seasons Hotels and Resorts since its
construction in 1990 as the brand's first destination resort. The
management agreement is in the first of three 15-year renewal
terms, which can extend through 2052.

Historic hotel performance were steady with 2017 and 2018
occupancies in the high-80% range and average daily rates (ADRs)
approaching $1,190 per room per night in 2018. Other competitive
hotels on the islands operate at similarly high occupancies, but
the hotel's ADR is double the average of other competitive hotels.

Operating results in 2019 showed net operating income (NOI)
increasing by 6.8% from the lender's underwritten level at
issuance. NOI in the trailing 12-month period ended March 31, 2020,
closely approximated the underwritten level; however, the
coronavirus pandemic and economic slowdown in mid-March 2020
crushed the local economy. The governor responded to the virus by
closing the island's tourism-related industry and has now further
delayed the reopening date for this industry to October 2020 from
September 2020.

At this time, the hotel is closed but accepting reservations for
stays from November 20, 2020, onward. Upon reopening, the hotel
will institute health and safety procedures for all employees and
hotel guests. The borrower has informed the servicer about
potential cash flow issues caused by the pandemic and the collapse
of the travel industry. Nevertheless, the servicer reports no
delinquent debt payments for the hotel.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $44.0
million and DBRS Morningstar applied a cap rate of 7.5%, which
resulted in a DBRS Morningstar Value of $587.2 million, a variance
of 39.0% from the appraised value of $963.0 million at issuance.
The DBRS Morningstar Value implies an LTV of 110.7% compared with
the LTV of 67.5% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is at the lower end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the overall luxury quality of the collateral,
outstanding location with very high barriers to entry, substantial
capital expenditures that have been implemented at the collateral
since 2004, and strong sponsorship from MSD.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 8.5%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45.0% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt through
Class F exceeded the value under the Coronavirus Impact Analysis
and therefore DBRS Morningstar presumes that the economic stress
from the coronavirus had affected the class.

The DBRS Morningstar ratings assigned to Classes A, B, C, D, E, F,
and G vary by three of more notches from the results implied by the
LTV sizing benchmarks when MVDs are assumed under the Coronavirus
Impact Analysis. These classes are Under Review with Negative
Implications as DBRS Morningstar continues to monitor the evolving
economic impact of the coronavirus-induced stress on the
transaction.

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


HILTON USA 2016-HHV: DBRS Assigns B(low) Rating on Class F Debt
---------------------------------------------------------------
DBRS, Inc. assigned ratings to the Commercial Mortgage Pass-Through
Certificates, Series 2016-HHV issued by Hilton USA Trust 2016-HHV
as follows:

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

The trends for Classes A, B, X-A, and X-B are Negative because the
underlying collateral continues to face performance challenges
associated with the Coronavirus Disease (COVID-19) global
pandemic.

DBRS Morningstar has also placed Classes C, D, E, and F Under
Review with Negative Implications, given the negative impact of the
coronavirus on the underlying collateral.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. For more information on
these scenarios, please refer to the Coronavirus Impact Analysis
section of this document. The global macroeconomic scenarios
include a moderate decline of 15% for all commercial real estate
(CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The Hilton USA Trust 2016-HHV transaction is backed by a single,
10-year, fixed-rate, interest-only (IO) first mortgage loan on the
Hilton Hawaiian Village, a full-service luxury resort hotel in
Waikiki, Hawaii. The mortgage loan has a principal balance of
$1.275 million, of which $750.0 million was contributed to the
trust, and a fixed interest rate of 4.1995%. The initial maturity
date was set at November 1, 2026. The refinancing returned $10.6
million of cash equity back to the sponsor.

Since construction in 1961, the Hilton Hotel organization has owned
and managed the property as an upscale resort hotel. The 2,860
hotel rooms are contained within five oceanfront guest towers with
views of Waikiki Beach. The resort has the longest stretch of beach
along Waikiki and the largest amount of meeting space among its
competitors. The predominant area of collateral land is owned fee
simple. The only leased parcel is used for staff housing. Amenities
at the hotel complex include 65,373 square feet (sf) of indoor
meeting space, three restaurants, four lounges and several other
food and beverage (F&B) outlets, five outdoor pools, fitness
centers, a full-service spa, a boat dock, a lagoon, a 1,978-space
garage, and 138,000 sf of leased commercial space. The hotel has
the largest meeting and conference facilities in the Pacific.
According to management, the hotel attracts 75% of its guests from
North America and 25% from Japan.

The hotel was renovated and updated almost continuously from 2008
to 2016. Over that time period, Hilton spent $232.2 million, or
$81,188 per room, on capital improvements to guest rooms, public
space and lobby, F&B outlets, meeting space, back-of-house
facilities, and other discretionary improvements.

The sponsor for the transaction is Park Intermediate Holdings, LLC,
a wholly owned subsidiary of Park Hotels & Resorts. In 2017, Hilton
Worldwide Holdings Inc., formerly Hilton Hotels Corporation, spun
off Park Hotels & Resorts, which is now one of the largest publicly
traded real estate investment trusts in the U.S. hospitality
industry. Hilton Management LLC, a subsidiary of Hilton Worldwide,
manages the hotel under a management contract with an initial term
of 30 years and two 20-year extension options. Ownership has
limited termination rights.

The Oahu, Hawaii, hotel market is a historically strong performer
and had been one of the best-performing markets in the country.
Occupancy at the hotel had been very strong both before and after
loan origination, running between 93% and 95% since 2016, and
outperforming its competitive set. The net operating income for
2019 was up 12% from loan origination. Average daily rates had been
slowly on the uptick and exceeded $270 per occupied room by the
trailing 12 months ended June 30, 2020, while average occupancy was
reported at 84%.

This year has seen a drastic change to the Oahu hotel market. The
coronavirus pandemic and economic lockdown in mid-March crushed the
local economy. The governor responded to the pandemic by closing
the island's tourism-related industry and has now further delayed
the reopening date for the tourism sector from September to October
2020.

The Hilton Hawaiian Village hotel temporarily shut down operations
on April 13, 2020, and remains closed. Website reservations are
closed until mid-December 2020. Upon reopening, the hotel will
institute health and safety procedures for all employees and hotel
guests.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $134.0
million and DBRS Morningstar applied a cap rate of 8.0%, which
resulted in a DBRS Morningstar Value of $1.68 billion, a variance
of 24.9% from the appraised value of $2.23 billion at issuance. The
DBRS Morningstar Value implies an LTV of 76.1% compared with the
LTV of 57.2% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is at the middle end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the hotel's quality, high barriers to entry, and
predominately fee-simple ownership structure.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 4.50%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt through
Class F exceeded the scenario value and DBRS Morningstar presumed
that the coronavirus had affected the class.

The DBRS Morningstar ratings assigned to Classes C and D vary by
three of more notches from the results implied by the LTV sizing
benchmarks when MVDs are assumed under the Coronavirus Impact
Analysis. These classes are Under Review with Negative Implications
as DBRS Morningstar continues to monitor the evolving economic
impact of the coronavirus-induced stress on the transaction.

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


HILTON USA 2016-SFP: DBRS Gives BB(low) Rating on Class X-E Certs
-----------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2016-SFP (the Certificates)
issued by Hilton USA Trust 2016-SFP as follows:

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

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic. DBRS Morningstar also
designated Class F as having Interest in Arrears.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review - Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The Certificates are backed by a $725.0 million, seven-year,
interest-only (IO), fixed-rate, first-mortgage loan on two hotel
properties in San Francisco's Union Square—the Hilton San
Francisco Union Square and the Hilton Parc 55 San Francisco. The
loan is structured with a term of 84 months that is set to mature
in November 2023. The sponsor is Park Intermediate Holdings LLC
which, along with the borrower special-purpose entities, is owned
by Park Hotels & Resorts Inc. (PK). According to its Q2 2020
earnings press release, PK continues to take proactive measures to
preserve cash and improve liquidity. Since the beginning of 2020,
PK has experienced a significant decline of over 50% in market
capitalization; however, it recently raised $725 million of 5.875%
senior secured notes to repay outstanding debt. Amid the ongoing
coronavirus pandemic, PK reported a portfolio wide pro forma
revenue per available room (RevPAR) of $7.85, representing a
decrease of 95.9% from the prior year, and an occupancy rate of
20.8% for its 18 hotels that remained open for all of Q2 2020.
Hilton Management LLC manages the Union Square hotel while HLT
Conrad Domestic LLC manages the Parc 55 hotel, and both management
companies are affiliated with the borrowers.

The loan is secured by the borrowers' fee and leasehold interests
and the operating lessees' leasehold interest in two adjacent
full-service hotels. The loan was part of the financing package
that repaid $3.4 billion of debt secured in the Hilton USA Trust
2013-HLT securitization (not rated by DBRS Morningstar) and
returned $300.0 million of equity to the borrower. The allocated
loan amounts (ALAs) are $470.0 million for the Union Square hotel
and $255.0 million for the Parc 55 hotel.

The hotels are well located in San Francisco's Tenderloin District,
just off Market Street and within 0.5 miles of the Moscone Center.
The 1,919-key, three-building Hilton San Francisco Union Square
hotel is a convention-oriented hotel that offers the largest
meeting space in the city. Tower 1, built in 1971, is a 46-floor
building that contains 575 guest rooms, a lounge, and meeting
space. Tower 2, built in 1988 in an L shape to connect Towers 1 and
3, contains 389 rooms, three food and beverage (F&B) outlets, and
547,000 square feet (sf) of meeting space. Tower 3, built in 1964,
contains 955 rooms, one restaurant, and 48,000 sf of meeting space.
The outdoor pool, whirlpool, and 505-stall parking garage are
located in Tower 3.

The 1,024-key, 32-storey Hilton Parc 55 hotel is the fourth-largest
full-service hotel in San Francisco. The hotel opened in 1984 and
has undergone several renovations since. The hotel opened as a
Wyndham hotel until the sponsor purchased the hotel in 2015 and
converted it into a Hilton-branded hotel. The previous sponsor
executed a $30.0 million renovation between 2008 and 2009 and
upgraded some guest-room furnishings in 2015. The hotel offers
three F&B outlets, a fitness centre, and a FedEx business centre.

The sponsor is the nonrecourse carveout guarantor and, under
certain circumstances, becomes fully recourse subject to a 10% cap
on the whole-loan amount. A release of either hotel from the loan
security is subject to payment of the ALA and a yield maintenance
premium plus payments to effect a debt yield requirement.

According to the YE2019 reporting, the collateral reported strong
year-over-year improvements in cash flow performance. The Hilton
Union Square hotel reported a 16.1% increase in net cash flow (NCF)
from 2018 to 2019 while the Hilton Parc 55 hotel reported an
increase of 31.4% from 2017 to 2019. As of YE2019, the Hilton Union
Square hotel reported an occupancy, average daily rate (ADR), and
RevPAR of 93.8%, $354, and $332, respectively, while the Hilton
Parc 55 hotel reported operating figures of 83.5%, $275 and $229,
respectively.

Because of the coronavirus pandemic, the lodging sector has
experienced an unprecedented decline in demand across multiple
revenue segments, which will likely put substantial stress on the
collateral in the short to medium term. As of the trailing 12-month
period ended March 31, 2020, occupancy at the properties dropped to
83% and ADR fell to $228. No payment delinquencies have been
reported and, in September 2020, the borrower submitted, and the
servicer approved, coronavirus-related relief. The borrower was
granted a deferral of the monthly furniture, fixtures, and
equipment deposit for six months and a waiver of the debt yield
test through June 2021. Debt service payments remain current.

DBRS Morningstar reanalyzed the NCF derived at issuance for the
subject rating action to confirm its consistency with the "DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria." The resulting NCF figure was $77.6 million and DBRS
Morningstar applied a cap rate of 7.75%, which resulted in a DBRS
Morningstar Value of $1,001 million, a variance of 35.8% from the
appraised value of $1,561 million at issuance. The DBRS Morningstar
Value implies an LTV of 72.4% compared with the LTV of 46.4% on the
appraised value at issuance.

The cap rate DBRS Morningstar applied is at the lower end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the hotels' excellent location close to their demand
generators and the San Francisco Bay Area's high barriers to
entry.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 2.00%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

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


ICON BRAND 2012-1: S&P Lowers Rating on Class A-1 Certs to 'B-'
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on Icon Brand Holdings LLC's
series 2012-1's class A-1, A-2, and 2013-1,A-2 notes to 'B- (sf)'
from 'B (sf)'. Icon Brand Holdings LLC is a corporate
securitization transaction backed by royalty payments from
licensing agreements associated with various brands managed by
Iconix Brand Group Inc. (Iconix).

The manager, Iconix, has had many changes in senior management in
the last four years. The corporate credit rating on Iconix was
recently lowered to 'CCC-' on July 23, 2020, based on the company's
weakened cash flow generation and liquidity position such that it
may be unable to cover its non-securitization debt service costs in
the upcoming quarters. The corporate business risk profile (BRP)
remains unchanged at vulnerable.

Since the securitization closed in November 2012, the class A-2
notes have paid down significantly to an outstanding balance of
$323.875 million, approximately 35% of the initial issuance, and
the variable-funding note is fully drawn at $100 million. The class
A-1 senior notes pay interest at three-month LIBOR or the
commercial paper funding rate plus a fixed margin. In 2017, the
Financial Conduct Authority, which oversees LIBOR administration,
announced that it will not compel banks to continue providing LIBOR
quotes after December 2021. In 2019, the Federal Reserve's
Alternative Reference Rates Committee published recommended
guidelines for fallback language in new securitizations, and the
language in the transaction is generally consistent with its key
principles: trigger events, a list of alternative rates, and a
spread adjustment. S&P will continue to monitor reference rate
reform and review changes specific to these transactions when
appropriate.

All timely interest has been paid. The transaction has an interest
reserve account to cover any liquidity issues that would impair
timely interest payments for up to three months.

The debt service coverage ratio (DSCR), one of the important
surveillance metrics S&P monitors, has steadily decreased since the
deal closed. The transaction breached various cash trap DSCR
triggers over the last two years, including a rapid amortization
trigger in April 2019. As of the June 30, 2020, payment date
report, the DSCR was at 1.00x. The decline in the collections from
the royalty streams was primarily after Walmart and Target did not
renew their contracts with the Danskin and Mossimo brands
respectively. Joe Boxer and Cannon, brands that were licensed by
Sears, are under negotiations, as are contracts for Bongo, Material
Girl, and Royal Velvet.

  Table 1

  DSCR Triggers

  DSCR trigger (x)  Cash trap (%)         Commencement Date    
  1.45              25                    July 25, 2018
  1.35              50                    Oct. 25, 2018
  1.25              100                   Jan. 25, 2019
  1.10              Rapid amortization    April 25, 2019

  DSCR--Debt service coverage ratio.

A manager termination event and an event of default will be
triggered if the interest-only DSCR drops below 1.20x and 1.10x,
respectively. The current interest-only DSCR is 2.08x.

Although there is uncertainty regarding the royalties from specific
brands, the company is pursuing plans to reposition them. The
transaction's cash flows, completely excluding these brand
royalties, indicate that the notes do not support the current
rating levels. At the lowered rating, the transaction can pay
timely interest and ultimate principal before the legal final
maturity.

S&P said, "Per our corporate securitization criteria, the business
volatility score considers the BRP of Iconix, which has remained
unchanged at vulnerable. After applying the five analytical steps
in this criteria, we lowered our 'B (sf)' ratings on the notes to
'B- (sf)'. We will continue to monitor the situation related to
contract renewals of the various brands, and take action as
necessary."

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

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

-- Health and safety

  RATINGS LOWERED

  Icon Brand Holdings LLC series 2012-1

                      Rating               Current outstanding
  Class          To            From         balance   (mil. $)
  A-1            B- (sf)       B (sf)                  100.000
  A-2            B- (sf)       B (sf)                  218.346
  2013-1,A-2     B- (sf)       B (sf)                  105.529


IMSCI 2016-7: Fitch Affirms Bsf Rating on Class G Certs
-------------------------------------------------------
Fitch Ratings has affirmed eight classes of Institutional Mortgage
Securities Canada Inc.'s IMSCI 2016-7 commercial mortgage
passthrough certificates. All currencies are denominated in
Canadian dollars (CAD). Fitch has also revised the Outlook on one
class to Negative from Stable.

RATING ACTIONS

IMSCI 2016-7

Class A-1 45779BEA3; LT AAAsf Affirmed; previously at AAAsf

Class A-2 45779BEB1; LT AAAsf Affirmed; previously at AAAsf

Class B 45779BED7; LT AAsf Affirmed; previously at AAsf

Class C 45779BDX4; LT Asf Affirmed; previously at Asf

Class D 45779BDY2; LT BBBsf Affirmed; previously at BBBsf

Class E 45779BDZ9; LT BBB-sf Affirmed; previously at BBB-sf

Class F 45779BDU0; LT BBsf Affirmed; previously at BBsf

Class G 45779BDV8; LT Bsf Affirmed; previously at Bsf

KEY RATING DRIVERS

Increased Loss Expectations: Overall loss expectations increased
compared with issuance due to additional stresses applied to loans
expected to be affected in the near term from the coronavirus
pandemic. There are four loans (17.6%) that were designated as
Fitch Loans of Concern (FLOCs). This includes the pool's largest
loan, Portage Place (8.2%), which has received coronavirus-related
relief and the loan is partial recourse to the sponsor. As of the
September 2020 distribution period, there were eight loans (24.8%)
on the servicer's watchlist for delinquency, requesting coronavirus
relief, low debt service coverage ratios (DSCRs) and high vacancy.
The pool has no loans in special servicing.

Minimal Change in Credit Enhancement: There has been minimal change
in credit enhancement since issuance as there has been no
defeasance, no maturities and minimal prepayments. As of the
September 2020 distribution date, the pool's aggregate principal
balance was reduced 14.1% to $302.8 million from $352.4 million at
issuance with 36 amortizing loans remaining. The next scheduled
maturity is not until October 2021. The pool has no full or partial
interest only loans in the pool and no loans have been defeased. Of
the non defeased collateral in the pool, 17 loans (63%) have some
form of recourse to the sponsor.

Exposure to Coronavirus: Two loans (6.2% of pool), which have a
weighted average NOI DSCR of 4.43x, are secured by hotel
properties. Nine loans (29.6%), which have a weighted average NOI
DSCR of 1.60x, are secured by retail properties. Four loans
(11.1%), which have a weighted average NOI DSCR of 1.42x, are
secured by multifamily properties. Fitch's base case analysis
applied additional stresses to one hotel loan, four 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 Outlook.

Fitch Loans of Concern:

Portage Place (8.2%) is a community shopping center located in
Peterborough, Ontario, approximately 125 km northeast of Toronto.
The borrower was granted a forbearance for principal deferral for
three months commencing in April 2020. The deferral period was
granted an extension for an additional three months commencing in
July 2020. As of the September 2020 distribution period, the loan
was classified as 60 days delinquent; however, according to the
master servicer the loan has since been brought current. The loan
had previously transferred to special servicing in October 2019 for
payment default. It was discovered that a construction lien and a
second and third mortgage attached to the property. The borrower
has since paid off the construction lien and the loan transferred
back to the master servicer in March 2020. The loan has full
recourse to the borrowing entity and 50% recourse to the sponsor.

Dundas & Lenworth Plaza (5.0%) is an unanchored retail property
located in Mississauga, Ontario. According to the February 2020
rent roll the largest tenant, Elite Tile Imports (17.3% NRA) lease
was scheduled to expire in March 2020. Additionally, between
February 2020 and September 2021, 67% of NRA is scheduled to
rollover. Tenant rollover notwithstanding, subject performance has
been stable historically, maintaining approximately 100% occupancy
on average since issuance. The NOI DSCR at YE 2019 was 1.68x,
slightly above YE 2016 NOI DSCR of 1.41x. This loan has a recourse
carve out guarantee of $5 million.

The Duke of Devonshire (3.0%), is securitized by a 105 key,
assisted senior living property located in Ottawa, Ontario. The
sponsor is Chartwell Retirement Residences which assumed the loan
from the original borrower, Duke of Devonshire Retirement Residence
Inc. at issuance, and provides full recourse for the loan. As of
the December 2019 rent roll, the property was 54% occupied down
from 95% at issuance. Subject NOI has fallen 62% between YE 2019
and underwritten NOI at issuance.

Over the same period NOI DSCR fell to 0.67x from 1.75x. According
to the borrower, the decline in occupancy is due to high rental
rates relative to the subject's market. The subject's rental
packages included high quality medical care and the borrower plans
to unbundle these services to make asking rent more competitive.
Additionally, the property will reduce staff and develop a new
sales strategy to improve performance. A lawsuit commenced between
Chartwell and Duke of Devonshire Retirement Residence Inc.
regarding inconstancies in the rent roll when the loan was assumed.
Litigation is currently in discovery.

Robinson Apartments (1.4%) is a traditional multifamily property
located in Regina, Saskatchewan. As of YE 2019 NOI DSCR was .94x
compared to underwritten NOI DSCR at issuance of 1.38x. This is
largely due to a decline in gross revenue. Gross revenue fell 15.9%
between YE 2019 and YE 2016. The loan has no recourse. As of YE
2018 the property was 82% occupied.

RATING SENSITIVITIES

The Stable Rating Outlooks on classes A-1 through F reflect the
overall stable performance of the performing non-FLOCs and expected
continued amortization. The Negative Rating Outlook on class G
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
Outlook also reflects 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 'Asf' and
'AAsf' rated classes are not expected but would likely occur with
significant improvement in CE and/or defeasance and/or the
stabilization to the properties impacted from the coronavirus
pandemic. Upgrade of the 'BBBsf' 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 'BBsf' 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-1 through
C 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 D and E 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 F and G 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

Unless otherwise disclosed in this section, the highest level of
Environmental, Social and Corporate Governance (ESG) Credit
Relevance is a Score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


JP MORGAN 2016-WIKI: DBRS Gives B(low) Rating on Class F Certs
--------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2016-WIKI (the Certificates)
issued by J.P. Morgan Chase Commercial Mortgage Securities Trust
2016-WIKI as follows:

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

The trends on Classes A, X-A, B, X-B, C, and D are Negative because
the underlying collateral continues to face performance challenges
associated with the Coronavirus Disease (COVID-19) global
pandemic.

DBRS Morningstar also placed Classes E and F Under Review with
Negative Implications, given the negative impact of the coronavirus
on the underlying collateral.

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

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. For more information on
these scenarios, please refer to the Coronavirus Impact Analysis
section of this document. The global macroeconomic scenarios
include a moderate decline of 15% for all commercial real estate
(CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The Certificates are backed by a single five-year, fixed-rate,
interest-only (IO) first-lien mortgage loan of $400.0 million on
the oceanfront Hyatt Regency Waikiki Beach Resort and Spa in
Honolulu on the island of Oahu, Hawaii. In addition to the loan,
$407.2 million of sponsor cash equity facilitated the acquisition
of the hotel for $780.0 million plus upfront reserves and closing
costs. The reserves included a $20.0 million ground lease reserve
and a $13.0 million retail capital expenditure reserve. Additional
financing includes a $145.0 million mezzanine loan.

The loan is secured by the leasehold interest in the two-building,
40-storey, 1,230-room luxury beachfront resort hotel offering views
of Waikiki Beach, Diamond Head State Monument, and downtown
Honolulu. The hotel was developed in 1976 and the former sponsor
completed a $110.5 million renovation between 2014 and 2015 prior
to the sale. The hotel sits on four land parcels subject to ground
leases that expire in December 2087. Leasehold ownership is the
most common ownership structure for most commercial buildings in
Hawaii with a limited number of exceptions. The hotel also features
three restaurants, meeting and event spaces, a fitness centre and
spa, an outdoor pool, as well as a 362-space parking garage and a
ballroom in the adjacent convention centre building, which is also
part of the collateral. The hotel features a retail component in
the Pualeilani Atrium Shops located on the first three floors of
the hotel and the first story of the convention centre. The retail
shops provide approximately one-quarter of the collateral's net
cash flow (NCF).

The sponsor is Hyeon Joo Park, the founder of Mirae Asset
Management, LLC, which is an affiliate of Mirae Asset Global
Investments Co., Ltd., an independent financial services group
based in Seoul, South Korea, that was founded in 1997. As of June
2019, the company reported real estate investments of $13.9
billion, including other luxury hotels in Hawaii, San Francisco,
Seoul, and Sydney. Hyatt Hotels Corporation manages the hotel under
an agreement that expires in 2062.

The hotel concentrates on the leisure/transient demand segment of
the travel industry with 87% of hotel guests from that segment as
of the trailing 12-month (T-12) period ended August 31, 2016. Hotel
performance prior to issuance showed occupancies in the low-90%
range, in line with the competitive set of hotels from 2012 to 2016
with exceptions for the large renovations in 2014 and 2015. In
2016, competitors' average daily rates (ADRs) were slowly
increasing to $270 from $260. The Hyatt Regency Waikiki Beach
Resort and Spa was also approaching this level following
renovations. For the T-12 period ended February 29, 2020, Smith
Travel Research reported an occupancy of 90.4%, ADR of $275, and a
revenue per available room penetration of 104.6% for the subject
property.

The hotel's financial performance has suffered in the past three
years, resulting in a 26.6% decline in net operating income since
issuance, primarily driven by spikes in real estate taxes and
franchise fees as well as significant declines in other revenue.
The current year presented more challenges with the coronavirus
pandemic lockdown beginning in mid-March 2020. The governor
responded to the virus by closing the island's tourism-related
industry and has now further delayed the reopening date for this
industry to October 2020 from September 2020.

On March 20, 2020, the borrower requested coronavirus relief from
the master servicer, Midland Loan Services Inc. (a division of PNC
Bank, N.A.), in the form of a debt service deferral and waiver of
furniture, fixtures, and equipment payments through the end of
2020. The master servicer did not accommodate the request and the
loan transferred to special servicing April 2, 2020, for imminent
default. Debt service payments were not covered beginning in April
2020; however, a three-month forbearance agreement was executed
ending on July 31, 2020. The hotel will be accepting room
reservations for stays from October 15, 2020, and beyond. All
guests and employees will be subject to precautionary measures and
safety procedures.

DBRS Morningstar reanalyzed the NCF derived at issuance for the
subject rating action to confirm its consistency with the "DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria." The resulting NCF figure was $36.8 million and DBRS
Morningstar applied a cap rate of 9.50%, which resulted in a DBRS
Morningstar Value of $387.6 million, a variance of 50.4% from the
appraised value of $782.0 million at issuance. The DBRS Morningstar
Value implies an LTV of 103.2% compared with the LTV of 51.1% on
the appraised value at issuance.

The cap rate DBRS Morningstar applied is in the middle of the range
of DBRS Morningstar Cap Rate Ranges for lodging properties. The
excellent oceanfront location in a market with high barriers to
entry would typically place the cap rate toward the lower end of
the range, but the leasehold nature of the collateral raised the
cap rate to the middle of the range.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 3.0%
to account for property quality and market fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

The DBRS Morningstar ratings assigned to Classes E and F vary by
three of more notches from the results implied by the LTV sizing
benchmarks when MVDs are assumed under the Coronavirus Impact
Analysis. These classes are Under Review with Negative Implications
as DBRS Morningstar continues to monitor the evolving economic
impact of the coronavirus-induced stress on the transaction.

Classes X-A and X-B are IO certificates that reference a single
rated tranche or multiple rated tranches. The IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.

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


JP MORGAN 2017-FL10: DBRS Assigns BB Rating on Class E Certs
------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2017-FL10 issued by J.P. Morgan
Chase Commercial Mortgage Securities Trust 2017-FL10 as follows:

-- Class D at BBB (sf)
-- Class E at BB (sf)
-- Class X-EXT at BBB (high) (sf)

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. For more information on
these scenarios, please refer to the Coronavirus Impact Analysis
section of this document. The global macroeconomic scenarios
include a moderate decline of 15% for all commercial real estate
(CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

At issuance, the transaction consisted of payment streams from six
mortgage loans originally backed by 14 commercial real estate
properties. The transaction currently has one remaining loan in the
pool, The Park Hyatt Beaver Creek Resort, with a current trust
balance of $45.0 million and a subordinate B note of $22.5 million.
The loan is interest-only (IO) over its fully extended loan term of
five years and matures in April 2022. Funds from issuance coupled
with the borrower's equity contribution of $83.4 million, 57.3% of
total acquisition cost, was used to fund the purchase of the
collateral for $145.5 million. The collateral was closed in
mid-March because of the coronavirus pandemic and was reopened
again on June 12, 2020.

The collateral is a six-storey, upscale, full-service hotel located
in the center of Beaver Creek Village, approximately 100 miles west
of the Denver central business district. Most out of state visitors
will fly into Denver International and then proceed on ground to
the hotel. The collateral has a unique direct access to over 1,800
acres of skiable terrain. The hotel originally opened in 1989 and
was renovated between 2013 and 2016. The surrounding area includes
various commercial outlets, restaurants, entertainment, and various
other services available to guests. The hotel has 190 guest rooms
with over 20,000 square feet (sf) of meeting space spread among 15
meeting rooms, a 30,000-sf spa, and 18,000 sf of retail across
eight tenants. The collateral was closed from mid-March to June 12,
2020.

Loan collateral encompasses two condominium associations: Hotel A
and Village Hall. The Hotel A association consists of guestrooms,
spa restaurant, bar, and leased retail space. This association also
includes the third-party-owned private residences on the fifth and
sixth floors and the third-party-owned vacation club. The sponsor
owns 77.1% of the Hotel A condominium. The Village Hall association
contains most of the hotel's function space, seasonal Powder 8
Kitchen and Tap, and banquet kitchens. The sponsor has 33.6%
ownership in this association, but has certain blocking rights on
certain major decisions. Two companies manage the collateral; Hyatt
Hotels Corporation oversees the hotel operations and East West
Destination Hospitality manages the spa and retail outlets.

Based upon the DBRS Morningstar value derived at issuance the loan
has an LTV of 79.10% which is much higher than the appraised value
LTV of only 33.1%. The loan is structured with a seasonality
reserve because of the nature of the ski resort when the hotel
typically operates below 50.0% occupancy in April, May, October,
and November. As of the September reporting $340,000 remains in its
seasonality reserve. DBRS Morningstar expects this reserve to fall
short in its 2021 slow months because of the business disruptions
from the pandemic during its 2020 busy season. As of the most
recent financial reporting from June 30, 2020, the collateral
produced a trailing 12-month debt service coverage ratio of 1.91
times (x) down from its YE2019 value of 2.26x.

The sponsor of this loan is Ashford Hospitality Prime Inc., a
Dallas-based real estate investment trust that invests primarily in
luxury hotels and resorts. Its portfolio includes 13 assets across
3,722 rooms throughout the United States and U.S. Virgin Islands.
The sponsor has rebranded itself to Braemar Hotels & Resorts, Inc.
in April 2018.

The collateral was transferred to the Special Servicer in April
2020 when the borrower stated that the collateral had been affected
by coronavirus-related business disruptions. At that time, the
borrower requested relief in performing its loan obligations. After
further review, the Special Servicer granted no relief or
forbearance, and the loan was returned back to the Master Servicer
in August 2020. The loan was delinquent on its debt service
obligations from April through June but was made current as of July
2020 and remains current as of the September 2020 reporting.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was
approximately $4.8 million and DBRS Morningstar applied a cap rate
of 8.50%, which resulted in a DBRS Morningstar Value of $56.9
million, a variance of 58.2% from the appraised value of $136.0
million at issuance. The DBRS Morningstar Value implies an LTV of
79.1% compared with the LTV of 33.1% on the appraised value at
issuance.

The cap rate DBRS Morningstar applied is at the middle DBRS
Morningstar Cap Rate Ranges for lodging properties, reflecting the
asset's unique status as the only luxury ski resort in the heart of
a bustling skiing village, institutional sponsorship from Ashford
Hospitality Prime Inc., and the very high barriers to entry
limiting competition and new supply in the local market.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 1.0%
to account for property quality.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45.0% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

Class X-EXT 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. In this case, Class
D was considered the reference obligation tranche as it is the
class that would contribute the interest to Class X-EXT.

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


JP MORGAN 2020-7: S&P Assigns B Rating on Class B-5-Y Certs
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage
Trust 2020-7's mortgage pass-through certificates.

The issuance is an RMBS transaction backed by first-lien,
fixed-rate, fully amortizing mortgage loans secured by one- to
three-family residential properties, condominiums, cooperatives,
and planned-unit developments to primarily prime borrowers. The
$639.6 million collateral pool consists of 782 mortgage loans that
are either prime jumbo mortgages or loans conforming to
government-sponsored enterprise underwriting standards.

The ratings reflect S&P's view of:

-- The high-quality collateral in the pool;
-- The available credit enhancement;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this
transaction;
-- The geographic concentration;
-- The experienced aggregator;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- The impact that the economic stress brought on by the COVID-19
pandemic is likely to have on the performance of the mortgage
borrowers in the pool and liquidity available in the transaction.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The current consensus
among health experts is that COVID-19 will remain a threat until a
vaccine or effective treatment becomes widely available, which
could be around mid-2021. S&P said, "We are using this assumption
in assessing the economic and credit implications associated with
the pandemic. As the situation evolves, we will update our
assumptions and estimates accordingly."

  RATINGS ASSIGNED
  
  J.P. Morgan Mortgage Trust 2020-7

  Class       Rating               Amount ($)
  A-1         AAA (sf)            601,262,000
  A-2         AAA (sf)            562,870,000
  A-3         AAA (sf)            498,542,000
  A-3-A       AAA (sf)            498,542,000
  A-3-X       AAA (sf)            498,542,000(i)
  A-4         AAA (sf)            373,907,000
  A-4-A       AAA (sf)            373,907,000
  A-4-X       AAA (sf)            373,907,000(i)
  A-5         AAA (sf)            124,635,000
  A-5-A       AAA (sf)            124,635,000
  A-5-B       AAA (sf)            124,635,000
  A-5-X-1     AAA (sf)            124,635,000(i)
  A-5-X-2     AAA (sf)            124,635,000(i)
  A-6         AAA (sf)            298,438,000
  A-6-A       AAA (sf)            298,438,000
  A-6-X       AAA (sf)            298,438,000(i)
  A-7         AAA (sf)            200,104,000
  A-7-A       AAA (sf)            200,104,000
  A-7-X       AAA (sf)            200,104,000(i)
  A-8         AAA (sf)             75,469,000
  A-8-A       AAA (sf)             75,469,000
  A-8-X       AAA (sf)             75,469,000(i)
  A-9         AAA (sf)             62,318,000
  A-9-A       AAA (sf)             62,318,000
  A-9-B       AAA (sf)             62,318,000
  A-9-X-1     AAA (sf)             62,318,000(i)
  A-9-X-2     AAA (sf)             62,318,000(i)
  A-10        AAA (sf)             62,317,000
  A-10-A      AAA (sf)             62,317,000
  A-10-B      AAA (sf)             62,317,000
  A-10-X-1    AAA (sf)             62,317,000(i)
  A-10-X-2    AAA (sf)             62,317,000(i)
  A-11        AAA (sf)             64,328,000
  A-11-X      AAA (sf)             64,328,000(i)
  A-11-A      AAA (sf)             64,328,000
  A-11-AI     AAA (sf)             64,328,000(i)
  A-11-B      AAA (sf)             64,328,000
  A-11-BI     AAA (sf)             64,328,000(i)
  A-12        AAA (sf)             64,328,000
  A-13        AAA (sf)             64,328,000
  A-14        AAA (sf)             38,392,000
  A-15        AAA (sf)             38,392,000
  A-16        AAA (sf)            532,546,343
  A-17        AAA (sf)             68,715,657
  A-X-1       AAA (sf)            601,262,000(i)
  A-X-2       AAA (sf)            601,262,000(i)
  A-X-3       AAA (sf)             64,328,000(i)
  A-X-4       AAA (sf)             38,392,000(i)
  B-1         AA- (sf)             14,711,000
  B-1-A       AA- (sf)             14,711,000
  B-1-X       AA- (sf)             14,711,000(i)
  B-2         A- (sf)               8,955,000
  B-2-A       A- (sf)               8,955,000
  B-2-X       A- (sf)               8,955,000(i)
  B-3         BBB- (sf)             6,397,000
  B-3-A       BBB- (sf)             6,397,000
  B-3-X       BBB- (sf)             6,397,000(i)
  B-4         BB- (sf)              3,198,000
  B-5         B (sf)                2,239,000
  B-6         NR                    2,878,631
  B-X         BBB- (sf)            30,063,000(i)
  B-5-Y       B (sf)                2,239,000
  B-6-Y       NR                    2,878,631
  B-6-Z       NR                    2,878,631
  A-R         NR                            0

(i)Notional balance.
NR--Not rated.


JP MORGAN 2020-LTV2: DBRS Assigns B Rating on 2 Tranches
--------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2020-LTV2 (the
Certificates) to be issued by J.P. Morgan Mortgage Trust
2020-LTV2:

-- $345.3 million Class A-1 at AAA (sf)
-- $304.7 million Class A-2 at AAA (sf)
-- $226.3 million Class A-3 at AAA (sf)
-- $226.3 million Class A-3-A at AAA (sf)
-- $226.3 million Class A-3-X at AAA (sf)
-- $169.7 million Class A-4 at AAA (sf)
-- $169.7 million Class A-4-A at AAA (sf)
-- $169.7 million Class A-4-X at AAA (sf)
-- $56.6 million Class A-5 at AAA (sf)
-- $56.6 million Class A-5-A at AAA (sf)
-- $56.6 million Class A-5-B at AAA (sf)
-- $56.6 million Class A-5-X-1 at AAA (sf)
-- $56.6 million Class A-5-X-2 at AAA (sf)
-- $146.8 million Class A-6 at AAA (sf)
-- $146.8 million Class A-6-A at AAA (sf)
-- $146.8 million Class A-6-X at AAA (sf)
-- $79.5 million Class A-7 at AAA (sf)
-- $79.5 million Class A-7-A at AAA (sf)
-- $79.5 million Class A-7-X at AAA (sf)
-- $23.0 million Class A-8 at AAA (sf)
-- $23.0 million Class A-8-A at AAA (sf)
-- $23.0 million Class A-8-X at AAA (sf)
-- $28.3 million Class A-9 at AAA (sf)
-- $28.3 million Class A-9-A at AAA (sf)
-- $28.3 million Class A-9-B at AAA (sf)
-- $28.3 million Class A-9-X-1 at AAA (sf)
-- $28.3 million Class A-9-X-2 at AAA (sf)
-- $28.3 million Class A-10 at AAA (sf)
-- $28.3 million Class A-10-A at AAA (sf)
-- $28.3 million Class A-10-B at AAA (sf)
-- $28.3 million Class A-10-X-1 at AAA (sf)
-- $28.3 million Class A-10-X-2 at AAA (sf)
-- $78.3 million Class A-11 at AAA (sf)
-- $78.3 million Class A-11-X at AAA (sf)
-- $78.3 million Class A-11-A at AAA (sf)
-- $78.3 million Class A-11-AI at AAA (sf)
-- $78.3 million Class A-11-B at AAA (sf)
-- $78.3 million Class A-11-BI at AAA (sf)
-- $78.3 million Class A-12 at AAA (sf)
-- $78.3 million Class A-13 at AAA (sf)
-- $40.6 million Class A-14 at AAA (sf)
-- $40.6 million Class A-15 at AAA (sf)
-- $256.5 million Class A-16 at AAA (sf)
-- $88.8 million Class A-17 at AAA (sf)
-- $345.3 million Class A-X-1 at AAA (sf)
-- $345.3 million Class A-X-2 at AAA (sf)
-- $78.3 million Class A-X-3 at AAA (sf)
-- $40.6 million Class A-X-4 at AAA (sf)
-- $12.0 million Class B-1 at AA (sf)
-- $12.0 million Class B-1-A at AA (sf)
-- $12.0 million Class B-1-X at AA (sf)
-- $17.7 million Class B-2 at A (sf)
-- $17.7 million Class B-2-A at A (sf)
-- $17.7 million Class B-2-X at A (sf)
-- $11.2 million Class B-3 at BBB (sf)
-- $11.2 million Class B-3-A at BBB (sf)
-- $11.2 million Class B-3-X at BBB (sf)
-- $7.9 million Class B-4 at BB (sf)
-- $3.3 million Class B-5 at B (sf)
-- $40.8 million Class B-X at BBB (sf)
-- $3.3 million Class B-5-Y at B (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 15.00% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 12.05%, 7.70%,
4.95%, 3.00%, and 2.20% 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 587 loans with a total principal
balance of $406,244,792 as of the Cut-Off Date (September 1,
2020).

Compared with other post-crisis prime pools, this portfolio
consists of higher loan-to-value (LTV), first-lien, fully
amortizing fixed-rate mortgages (with original terms to maturity of
up to 30 years. The weighted-average (WA) original combined LTV
(OCLTV) for the portfolio is 87.7% and a great portion of the pool
(85.9%) comprises loans with current CLTV ratios greater than
80.0%. The high LTV attribute of this portfolio is mitigated by
certain strengths, such as high FICO score, low debt-to-income
ratio, robust income and reserves, as well as other strengths
detailed in the Key Probability of Default Drivers section of the
related presale report.

The mortgage loans were originated by United Shore Financial
Services, LLC (73,3%), JPMorgan Chase Bank, N.A.(JPMCB; 7.1%), and
various other originators, each comprising less than 5.0% of the
mortgage loans.

The mortgage loans will be serviced or subserviced by Cenlar FSB
(72.9%) and NewRez doing business as Shellpoint Mortgage Servicing
(SMS; 19.7%). Servicing will be transferred from SMS to 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 the mortgage loans 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 Mortgage LLC 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 the 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 LTV ratio
borrowers may be more sensitive to economic hardships resulting
from higher unemployment rates and lower incomes. Self-employed
borrowers are potentially exposed to more volatile income sources,
which could lead to reduced cash flows generated from their
businesses. Higher LTV borrowers, with lower equity in their
properties, generally have fewer refinance opportunities and
therefore slower prepayments. In addition, certain pools with
elevated geographic concentrations in densely populated urban
metropolitan statistical areas may experience additional stress
from extended lockdown periods and the slowdown of the economy.

For more information regarding rating methodologies and the
coronavirus, please see the following DBRS Morningstar press
releases and commentary: "DBRS Morningstar Provides Update on
Rating Methodologies in Light of Measures to Contain Coronavirus
Disease (COVID-19)," dated March 12, 2020; "DBRS Morningstar Global
Structured Finance Rating Methodologies and Coronavirus Disease
(COVID-19)," dated March 20, 2020; and "Global Macroeconomic
Scenarios: September Update," dated September 10, 2020.

The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers, a
satisfactory third-party due-diligence review, structural
enhancements, and 100% current loans.

This transaction employs a R&W framework that contains certain
weaknesses, such as materiality factors, some R&W providers that
may experience financial stress that could result in the inability
to fulfill repurchase obligations, knowledge qualifiers, and sunset
provisions that allow for certain R&Ws to expire three years after
the Closing Date. DBRS Morningstar believes the framework is
limiting compared with traditional lifetime R&W standards in
certain DBRS Morningstar-rated securitizations. To capture the
perceived weaknesses in the R&W framework, DBRS Morningstar
adjusted the originator scores for the originators downward, which
resulted in higher loss expectations.

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


JP MORGAN 2020-LTV2: Moody's Gives B3 Rating on 2 Tranches
----------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 61 classes
of residential mortgage-backed securities (RMBS) issued by J.P.
Morgan Mortgage Trust (JPMMT) 2020-LTV2. The ratings range from Aaa
(sf) to 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 Aaa (sf)

Cl. A-2, Rating Assigned Aaa (sf)

Cl. A-3, Rating Assigned Aaa (sf)

Cl. A-3-A, Rating Assigned Aaa (sf)

Cl. A-3-X*, Rating Assigned Aaa (sf)

Cl. A-4, Rating Assigned Aaa (sf)

Cl. A-4-A, Rating Assigned Aaa (sf)

Cl. A-4-X*, Rating Assigned Aaa (sf)

Cl. A-5, Rating Assigned Aaa (sf)

Cl. A-5-A, Rating Assigned Aaa (sf)

Cl. A-5-B, Rating Assigned Aaa (sf)

Cl. A-5-X-1*, Rating Assigned Aaa (sf)

Cl. A-5-X-2*, Rating Assigned Aaa (sf)

Cl. A-6, Rating Assigned Aaa (sf)

Cl. A-6-A, Rating Assigned Aaa (sf)

Cl. A-6-X*, Rating Assigned Aaa (sf)

Cl. A-7, Rating Assigned Aaa (sf)

Cl. A-7-A, Rating Assigned Aaa (sf)

Cl. A-7-X*, Rating Assigned Aaa (sf)

Cl. A-8, Rating Assigned Aaa (sf)

Cl. A-8-A, Rating Assigned Aaa (sf)

Cl. A-8-X*, Rating Assigned Aaa (sf)

Cl. A-9, Rating Assigned Aaa (sf)

Cl. A-9-A, Rating Assigned Aaa (sf)

Cl. A-9-B, Rating Assigned Aaa (sf)

Cl. A-9-X-1*, Rating Assigned Aaa (sf)

Cl. A-9-X-2*, Rating Assigned Aaa (sf)

Cl. A-10, Rating Assigned Aaa (sf)

Cl. A-10-A, Rating Assigned Aaa (sf)

Cl. A-10-B, Rating Assigned Aaa (sf)

Cl. A-10-X-1*, Rating Assigned Aaa (sf)

Cl. A-10-X-2*, Rating Assigned Aaa (sf)

Cl. A-11, Rating Assigned Aaa (sf)

Cl. A-11-X*, Rating Assigned Aaa (sf)

Cl. A-11-A, Rating Assigned Aaa (sf)

Cl. A-11-AI*, Rating Assigned Aaa (sf)

Cl. A-11-B, Rating Assigned Aaa (sf)

Cl. A-11-BI*, Rating Assigned Aaa (sf)

Cl. A-12, Rating Assigned Aaa (sf)

Cl. A-13, Rating Assigned Aaa (sf)

Cl. A-14, Rating Assigned Aa1 (sf)

Cl. A-15, Rating Assigned Aa1 (sf)

Cl. A-16, Rating Assigned Aaa (sf)

Cl. A-17, Rating Assigned Aaa (sf)

Cl. A-X-1*, Rating Assigned Aa1 (sf)

Cl. A-X-2*, Rating Assigned Aa1 (sf)

Cl. A-X-3*, Rating Assigned Aaa (sf)

Cl. A-X-4*, Rating Assigned Aa1 (sf)

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

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

Cl. B-1-X*, Rating Assigned Aa3 (sf)

Cl. B-2, Rating Assigned A2 (sf)

Cl. B-2-A, Rating Assigned A2 (sf)

Cl. B-2-X*, Rating Assigned A2 (sf)

Cl. B-3, Rating Assigned Baa3 (sf)

Cl. B-3-A, Rating Assigned Baa3 (sf)

Cl. B-3-X*, Rating Assigned Baa3 (sf)

Cl. B-4, Rating Assigned Ba3 (sf)

Cl. B-5, Rating Assigned B3 (sf)

Cl. B-5-Y, Rating Assigned B3 (sf)

Cl. B-X*, Rating Assigned 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 did 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 analyzed 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 calculated 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 FINANCIAL 2013-1: Moody's Confirms Ba3 Rating on Cl. D-R Notes
------------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by KKR Financial CLO 2013-1, Ltd.:

US$27,000,000 Class B-R Senior Secured Deferrable Floating Rate
Notes (the "Class B-R Notes"), Confirmed at A2 (sf); previously on
June 3, 2020, A2 (sf) Placed Under Review for Possible Downgrade

US$32,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes (the "Class C-R Notes"), Confirmed at Baa3 (sf); previously
on April 17, 2020, Baa3 (sf) Placed Under Review for Possible
Downgrade

US$26,750,000 Class D-R Senior Secured Deferrable Floating Rate
Notes (the "Class D-R Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020, Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class B-R Notes, 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 and D-R Notes and on June 3, 2020 on the
Class B-R Notes issued by the CLO. The CLO, originally issued in
June 2013 and refinanced in April 2017, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in April 2022.

RATINGS RATIONALE

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

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3640, compared to 2980
reported in the February 2020 trustee report [2]. Moody's also
noted that the WARF was failing the test level of 3001 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
27.13%. 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 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: $489,665,273

Defaulted Securities: $5,123,850

Diversity Score: 72

Weighted Average Rating Factor (WARF): 3570

Weighted Average Life (WAL): 5.6 years

Weighted Average Spread (WAS): 3.47%

Weighted Average Recovery Rate (WARR): 48.4%

Par haircut in OC tests and interest diversion test: 2.2%

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 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.


MBRT 2019-MBR: DBRS Assigns B Rating on Class G Certs
-----------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2019-MBR issued by MBRT 2019-MBR
as follows:

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

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. For more information on
these scenarios, please refer to the Coronavirus Impact Analysis
section of this document. The global macroeconomic scenarios
include a moderate decline of 15% for all commercial real estate
(CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The MBRT 2019-MBR transaction is backed by an interest-only (IO),
floating-rate mortgage loan in the amount of $370.0 million. The
loan, originated on November 15, 2019, has a two-year term with
three one-year extension options and was provided to two borrowers
that are subsidiaries of Ohana Real Estate Investors. The loan was
used to acquire the Monarch Beach Resort in Dana Point, California,
for $492.5 million. A cash equity investment of $127.6 million was
provided by the two sponsors. The mortgage loan was divided into
eight components with different initial spread percentages. The
total weighted-average spread is 2.74%. Component spreads are added
to the monthly Libor to arrive at the effective interest rates on
the notes. For the first extension period the spread will be
increased by 25 basis points. For the second and third extension
periods the spread will be increased by 35 basis points. The
borrower purchased an interest rate cap agreement, limiting Libor
to a strike rate of 3.00%. All loan components secure payment of
the certificates.

Collateral for the loan consists of the following: (1) the fee
interest in the 400-key AAA Five Diamond-rated luxury, full-service
resort hotel situated on 155 oceanfront acres featuring an 18-hole
championship golf course designed by Robert Trent Jones, Jr., a
wellness spa, nine food and beverage (F&B) outlets, four retail
outlets, three swimming pools, a spa, three fitness centers, and
access to eight tennis courts; and (2) the leasehold interest in
the Monarch Bay Beach Club, a private beach club near the hotel
facilities that offers a private membership program at various
membership levels for access to the Beach Club, Miraval Spa, resort
swimming pools, athletic club, tennis, F&B outlets, and social
events.

The prior owner invested $56.1 million of capital improvements in
the property for guestroom and amenity renovations since it had
acquired the hotel in 2014.

The sponsor for the transaction is Ohana Real Estate Investors, an
integrated investment company founded in 2009 and headquartered in
Redwood City, California, that specializes in the development,
acquisition, and management of high-quality hotels and residential
communities. The borrower sponsor is an affiliate of the Ohana
investment company, OREI Long Term Equity Fund GP LP. The
nonrecourse carveout guarantors are OREI Long Term Equity Fund LP
and OREI Long Term Equity Fund A LP. The borrowers are two newly
formed limited liability companies organized for the purpose of
owning the fee and leasehold interests in the property as
tenants-in-common, which could complicate and extend any resolution
should problems arise with payment on the debt.

The property is managed by KSL MBR Management LLC, which is not an
affiliate of the borrower, guarantors, or the sponsor. OB Sports
Golf Management (MB), LLC, manages the Monarch Beach Golf Links
golf course and related facilities, and KSL Property Manager
manages the Miraval Spa.

The loan was securitized at the end of 2019. No year-end financial
statements have been received and no negative data has been
received from the servicer. No delinquency was reported by the
servicer for the September 15, 2020, distribution date. However,
the coronavirus pandemic caused an economic shutdown throughout the
country beginning in mid-March 2020. Hotels were especially subject
to hardship and closure because of the cessation of business and
leisure travel. The hotel website indicates that the hotel is open
for business. Discussions with staff reveal that the hotel was
closed from March 19 until June 18. The hotel and most of the
amenities are open with safety procedures, social distancing,
capacity limitations, and other precautions required of all staff
and guests. Pricing specials and promotions are offered to
encourage guest bookings during this period of caution.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $22.2
million and DBRS Morningstar applied a cap rate of 7.5%, which
resulted in a DBRS Morningstar Value of $295.8 million, a variance
of 40.0% from the appraised value of $495.0 million at issuance.
The DBRS Morningstar Value implies an LTV of 125.1% compared with
the LTV of 74.7% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is at the lower end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the property's irreplaceable location in a
supply-constrained market with high barriers to entry. This is
supported by the lack of new and competitive supply, as well as the
high quality of the collateral resort overall, which includes a
world-class golf course and other draws that should help provide
insulation from market volatility to the property's value over the
loan term.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis totaling 5.0%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 25% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

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


MILL CITY 2019-GS1: Moody's Lowers Rating on Class B2A Debt to B3
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of ten classes of
bonds and confirmed the ratings of five classes of bonds from three
transactions issued by Mill City Mortgage Loan Trust in 2019. The
ratings of the affected tranches are sensitive to loan performance
deterioration due to the pandemic.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL). The collateral has
multiple servicers.

The complete rating actions are as follows:

Issuer: Mill City Mortgage Loan Trust 2019-1

Cl. A4, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1 (sf)
Placed Under Review for Possible Downgrade

Cl. B1, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. M3, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Mill City Mortgage Loan Trust 2019-GS1

Cl. B1, Downgraded to B2 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B1A, Downgraded to Ba3 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B1B, Downgraded to B2 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B2A, Downgraded to B3 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. M3B, Downgraded to Ba1 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. M3, Downgraded to Ba1 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Issuer: MILL CITY MORTGAGE LOAN TRUST 2019-GS2

Cl. B1, Downgraded to B1 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B1A, Downgraded to Ba3 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B1B, Downgraded to B2 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. M3A, Downgraded to Baa2 (sf); previously on May 7, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. M3B, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. M3, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating action reflects our revised loss expectations for the
underlying mortgage loans driven by performance deterioration
resulting from a slowdown in economic activity and increased
unemployment due to the coronavirus outbreak. Specifically, we
observed an increase in delinquencies, payment forbearance, and
payment deferrals since the start of the pandemic, which could
result in higher realized losses. For certain transactions, the
elevated levels of borrowers enrolled in payment relief programs
may cause temporary interest shortfalls on the bonds, which we
expect to be reimbursed.

In our analysis, we considered an increase in the baseline loss
projections, relative to our pre-pandemic loss projections, of up
to 20% to evaluate the resiliency of the ratings amid the
uncertainty surrounding the pools' performance caused by the
coronavirus outbreak, which negatively affects the macroeconomic
conditions that influence consumer credit performance.

Our analysis considers the current proportion of loans granted
payment relief in individual pools. We identified these loans based
on a review of loan level cashflows over the last few months. Based
on our analysis, the proportion of borrowers in RPL pools that are
currently enrolled in payment relief plans varied greatly, ranging
between approximately 7% and 27%. In our sensitivity analysis, we
assume these loans to experience lifetime default rates that are
50% higher than default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Our analysis considered
loss sensitivity to the assumption that six months of scheduled
principal on the loans enrolled in payment relief programs will be
passed to the trust as a loss.

Three tranches from two transactions currently have outstanding
interest shortfalls. Given the lack of servicer advancing, an
elevated percentage of non-cash flowing loans related to borrowers
enrolled in payment deferral programs can result in interest
shortfalls, especially on the junior bonds. Based on transaction
documents, reimbursement of missed interest on the more senior
notes has a higher priority than even scheduled interest payments
on the more subordinate notes. As such, we expect the outstanding
shortfalls to be reimbursed as the proportion of borrowers enrolled
in payment deferrals declines. In addition, documents also allow
for interest shortfalls to be reimbursed from principal
collections. Given that we expect the interest shortfalls to be
temporary and fully reimbursed within a short period of time, these
did not impact the ratings adversely.

Our rating actions also take into consideration the seasoned
profile of the underlying mortgage loans, equity built up in the
properties and the notes' payment priorities. The sequential pay
structures in these transactions have helped with significant
buildup in credit enhancement, which has offset some of the
increase in expected losses spurred by the pandemic. On average,
notes that were confirmed as part of today's actions experienced a
2% to 3% increase in credit enhancement since closing.

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.
Our 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 our forecasts is unusually high.

We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

Principal Methodologies

The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in July 2020.

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

Up

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

Down

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

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


MORGAN STANLEY 2013-C11: Moody's Cuts Rating on Class E Certs to C
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on six classes
and downgraded the ratings on six classes in Morgan Stanley Bank of
America Merrill Lynch Trust 2013-C11 ("MSBAM 2013-C11"), Commercial
Mortgage Pass-Through Certificates as follows:

Class A-AB, Affirmed Aaa (sf); previously on June 10, 2020 Affirmed
Aaa (sf)

Class A-3, Affirmed Aaa (sf); previously on June 10, 2020 Affirmed
Aaa (sf)

Class A-4, Affirmed Aaa (sf); previously on June 10, 2020 Affirmed
Aaa (sf)

Class A-S, Downgraded to Aa2 (sf); previously on June 10, 2020 Aaa
(sf) Placed Under Review for Possible Downgrade

Class B, Downgraded to Ba1 (sf); previously on June 10, 2020
Downgraded to Baa1 (sf) and Remained On Review for Possible
Downgrade

Class C, Downgraded to Caa1 (sf); previously on June 10, 2020
Downgraded to Ba3 (sf) and Remained On Review for Possible
Downgrade

Class D, Downgraded to Caa3 (sf); previously on June 10, 2020
Downgraded to Caa2 (sf) and Remained On Review for Possible
Downgrade

Class E, Downgraded to C (sf); previously on June 10, 2020
Downgraded to Caa3 (sf) and Remained On Review for Possible
Downgrade

Class F, Affirmed C (sf); previously on June 10, 2020 Downgraded to
C (sf)

Class G, Affirmed C (sf); previously on June 10, 2020 Affirmed C
(sf)

Class X-A*, Affirmed Aaa (sf); previously on June 10, 2020 Affirmed
Aaa (sf)

Class PST**, Downgraded to B1 (sf); previously on June 10, 2020
Downgraded to Baa3 (sf) and Remained On Review for Possible
Downgrade

*Reflects Interest-Only Class

**Reflects Exchangeable Class

RATINGS RATIONALE

The ratings on three P&I classes were affirmed due to the classes
credit support and the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), being
within acceptable ranges.

The ratings on Classes F and G were affirmed because the ratings
are consistent with Moody's expected loss plus realized losses.
Class G has already experienced a 50% loss from a previously
liquidated loan.

The ratings on five P&I classes, Class A-S, Class B, Class C, Class
D and Class E were downgraded due to decline in pool performance
and higher anticipated losses, driven primarily by the four largest
loans in the pool. The four largest loans represent 48% of the
outstanding pooled balance and are secured by three regional malls
and one hotel property that were each already experiencing
declining net operating income (NOI) prior to the coronavirus
pandemic. The largest loans include Westfield Countryside (17% of
pool), The Mall at Tuttle Crossing (15%), Southdale Center (8%) and
Marriott Chicago River North Hotel (8%). While Southdale Center
remains current on its debt service payment, the other three loans
each are last paid through their April 2020 debt service payment.
Furthermore, the credit support of Cl. C and Cl. D has declined
since securitization due to the significant losses from the
previously liquidated Matrix Corporate Center loan.

The rating on the interest only (IO) class was affirmed based on
the credit quality of the referenced classes.

The rating on Class PST was downgraded due to a decline in credit
quality of the referenced exchangeable classes.

The actions conclude the reviews for downgrade initiated on April
17, 2020 and June 10, 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.

Moody's rating action reflects a base expected loss of 13.0% of the
current pooled balance, compared to 8.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 14.1% of the
original pooled balance, compared to 11.0% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

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

DEAL PERFORMANCE

As of the September 17, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 32% to $581.3
million from $856.3 million at securitization. The certificates are
collateralized by 30 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans (excluding
defeasance) constituting 72% of the pool. Five loans, constituting
12% of the pool, have defeased and are secured by US government
securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 10, the same as at Moody's last review.

As of the September 17, 2020 remittance report, loans representing
only 60% of the pool, by balance, were current or within their
grace period on debt service payments and 40% were more than 90
days delinquent or in foreclosure.

Seven loans, constituting 17% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

One loan, the Matrix Corporate Center loan, has been liquidated
from the pool, resulting in a significant realized loss of $45.5
million (for a loss severity of 78%). The loss has caused a decline
in credit support for several of the P&I classes as compared to
securitization.

Four loans, constituting 40% of the pool, have transferred to
special servicing since June 2020. The largest specially serviced
loan is the Westfield Countryside Loan ($96.0 million -- 16.5% of
the pool), which represents a pari passu portion of a $148.8
million mortgage loan. The loan is secured by a 465,000 square foot
(SF) component of an approximately 1.26 million square foot (SF)
super-regional mall located in Clearwater, Florida approximately 20
miles west of Tampa. The mall is anchored by Dillard's, Macy's and
JC Penney, all of which are non-collateral. Sears (non-collateral)
initially downsized its location in 2014 and closed the remainder
of its space in 2018. The former Sears space was partially
backfilled by a Whole Food's and Nordstrom Rack. The largest
collateral tenant includes a 12-screen Cobb Theaters (lease
expiration in December 2026), which remains closed as of September
2020 due to the coronavirus pandemic. Cobb Theaters' parent company
CMX Cinemas field for chapter 11 bankruptcy in April 2020. The loan
transferred to special servicing in June 2020 due to imminent
default and the loan is past due for debt service payments since
May 2020. The special servicer indicated the loan is being
dual-tracked and foreclosure proceedings are being prepared as
well. As of the June 2020 rent roll, inline occupancy was 88%,
unchanged from March 2020. The property's 2019 NOI improved
slightly year over year however, it was 12% below securitization
levels. The loan as amortized 4% since securitization and due to
the performance property's historical performance, the loan was
included in the conduit statistics below. Moody's LTV and stressed
DSCR are 151% and 0.74X, respectively, compared to 90% and 1.11X at
the last review.

The second largest loan is the Mall at Tuttle Crossing Loan ($86.9
million -- 15.0% of the pool), which represents a pari passu
portion of a $114.4 million loan. The loan is secured by a 385,000
square foot (SF) component of an approximately 1.13 million square
foot (SF) super-regional mall located in Dublin, Ohio approximately
17 miles northwest of Columbus. The mall is currently anchored by
JC Penney, Scene 75 and Macy's (all three of which are
non-collateral). Scene 75, an indoor entertainment center,
backfilled the former Macy's Home Store (20% of total mall NRA)
that closed in 2017. The mall currently has one non-collateral
vacant anchor space, a former Sears (149,000 SF), that vacated in
early 2019. The collateral portion was 65% per August 2020 rent
roll, compared to 70% leased in April 2020. The mall has suffered
from declining in-line occupancy which dropped to 64% in April
2020, compared to 71% in June 2019 and 82% in December 2017.
Several national brands have vacated over the last two years and
declining revenues have caused the property's NOI to decline
significantly in both 2019 and 2018. The 2019 reported NOI was
nearly 26% lower than underwritten levels. The loan has amortized
8.5% since securitization and matures in May 2023. The loan
transferred to special servicing in July 2020 due to imminent
monetary payment default and is past due for debt service payments
since May 2020. The loan sponsor, Simon Property Group, recently
classified this mall under their "Other Properties." Special
servicer commentary indicated the Borrower has agreed to a
stipulated receivership and friendly foreclosure and that legal
counsel has been engaged and enforcement options are being
evaluated.

The third largest specially serviced loan is the Marriott Chicago
River North Hotel ($46.1 million -- 7.9% of the pool) which is
secured by a full-service hotel property in downtown Chicago, IL.
The Hotel is dual flagged under Marriott's Residence Inn and
Springhill Suites brands and operates subject to Franchise
agreements that are scheduled to expire in 2033. As of June 2020,
trailing 12-month occupancy, ADR and RevPAR were 58.5%, $188.71 and
$110.42, respectively, compared to 85.1%, $195.21 and $166.12 a
year prior. The property's 2019 NOI declined nearly 20% year over
year as a result of lower room revenue and an increase operating
expenses, particularly advertising & marketing. The loan
transferred to special servicing in July 2020 due to payment
default and is past due for debt service payments since May 2020.
The special servicer indicated the borrower has requested consent
to PPP loan and will be requesting a loan modification. The loan
has amortized 16.1% since securitization, however, the loan was
experiencing declining performance for year-end 2019 and the
coronavirus pandemic has caused significant stress on its
operations.

The remaining specially serviced loan is secured by a lodging
facility, located in Katy, Texas and representing less than 0.5% of
the pool. Moody's has included the Westfield Countryside Mall Loan
in the conduit statistics with a Moody's LTV of 151% and estimated
an aggregate loss of $54.1 million (a 40% expected loss on average)
from the remaining three specially serviced loans.

Moody's received full year 2019 operating results for 96% of the
pool, and full or partial year 2020 operating results for 51% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 111%, compared to 113% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced (other than the Westfield Countryside loan) and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 28% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.1%.

Moody's actual and stressed conduit DSCRs are 1.40X and 1.04X,
respectively, compared to 1.36X and 1.03X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 20% of the pool balance. The
largest loan is the Southdale Center Loan ($49.3 million -- 8.5% of
the pool), which represents a pari passu interest of a $139.1
million loan. The loan is secured by a 635,000 square foot
component of a 1.23 million square foot super-regional mall located
in Edina, Minnesota, approximately 9 miles south of Minneapolis.
While the property is located only six miles away from the Mall of
America, the property serves local consumers, while the Mall of
America is considered to be a tourist shopping destination. The
mall is currently anchored by a Macy's (non-collateral) and a
12-screen American Multi-Cinema movie theater. The property has
experienced multiple big box closures including Herberger's in
August 2018, and JC Penney (non-collateral) and Gordmans (44,087
SF) in 2017. The total mall was 73% leased as of December 2019. The
in-line occupancy was 72%. The property is owned and managed by
Simon Property Group. The former JC Penney space was backfilled by
a 200,000 SF Life Time Fitness & Life Time Work, which opened in
December 2019 and various restaurants. The property's historical
NOI improved significantly through 2017, however, due to declining
revenues, the property NOI has decline annually in both 2018 and
2019. The loan has amortized nearly 10% since securitization and
remains current on its debt service payments. Moody's LTV and
stressed DSCR are 122% and 0.86X, respective, compared to 123% and
0.86X at Moody's last review.

The second largest loan is the Bridgewater Campus Loan ($39.7
million -- 6.8% of the pool), which is secured by eight Class B
mixed-use buildings, located in Bridgewater, New Jersey,
approximately 41 miles southwest of New York City. The campus
layout consists of 446,649 square feet (SF) on site of 82.8 acres
of land. The buildings are leased to three tenants, all of which
have been at the property since securitization and 79% of the NRA
has lease expiration in 2023 or later. As of March 2020, the
property was 86% leased, compared to 100% as of December 2019 and
90% at securitization. The loan has amortized 8.7% since
securitization. Moody's LTV and stressed DSCR are 90% and 1.12X,
respectively, compared to 90% and 1.11X at the last review.

The third largest loan is the Beverly Garland Hotel Loan ($26.6
million -- 4.6% of the pool), which is secured by a 255-room, full
hospitality boutique hotel, located in North Hollywood, California.
The property was built in 1971 and renovated in 2012. The hotel
includes two guestroom buildings, meeting and event space and a
single-story grand ballroom building. Through year-end 2019 the
property's performance improved significant since securitization as
a result of increases in both room and F&B revenue. While the
property's performance has been impacted by the coronavirus
pandemic, the loan amortized 11.3% since securitization and remains
current as of the September 2020 remittance statement. Moody's LTV
and stressed DSCR are 96% and 1.23X, respectively.


MORGAN STANLEY 2016-BNK2: Fitch Affirms B-sf Rating on 2 Tranches
-----------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Morgan Stanley Capital I
Trust, commercial mortgage pass-through certificates, series
2016-BNK2 (MSC 2016-BNK2). Fitch has also maintained the Negative
Outlooks on classes F and EF and revised the Outlooks on classes E,
E-1 and E-2 to Negative from Stable.

RATING ACTIONS

MSC 2016-BNK2

Class A-1 61690YBQ4: LT AAAsf Affirmed; previously AAAsf

Class A-2 61690YBR2: LT AAAsf Affirmed; previously AAAsf

Class A-3 61690YBT8: LT AAAsf Affirmed; previously AAAsf

Class A-4 61690YBU5: LT AAAsf Affirmed; previously AAAsf

Class A-S 61690YBX9: LT AAAsf Affirmed; previously AAAsf

Class A-SB 61690YBS0: LT AAAsf Affirmed; previously AAAsf

Class B 61690YBY7: LT AA-sf Affirmed; previously AA-sf

Class C 61690YBZ4: LT A-sf Affirmed; previously A-sf

Class D 61690YAC6: LT BBB-sf Affirmed; previously BBB-sf

Class E 61690YAL6: LT BB-sf Affirmed; previously BB-sf

Class E-1 61690YAE2: LT BB+sf Affirmed; previously BB+sf

Class E-2 61690YAG7: LT BB-sf Affirmed; previously BB-sf

Class EF 61690YAU6: LT B-sf Affirmed; previously B-sf

Class F 61690YAS1: LT B-sf Affirmed; previously B-sf

Class X-A 61690YBV3: LT AAAsf Affirmed; previously AAAsf

Class X-B 61690YBW1: LT AA-sf Affirmed; previously AA-sf

Class X-D 61690YAA0: LT BBB-sf Affirmed; previously BBB-sf

KEY RATING DRIVERS

Stable Overall Performance; Increased Loss Expectations Due to
Coronavirus Pandemic Concerns: While overall pool performance
remains stable, loss expectations have increased since Fitch's
prior rating action primarily due to additional stresses applied to
loans expected to be impacted in the near term from the coronavirus
pandemic. Ten loans (35.2% of pool), including three (11.6%) in
special servicing, were designated Fitch Loans of Concern (FLOCs)
primarily due to near term exposure to the coronavirus pandemic.

FLOCs/Specially Serviced Loans: The largest FLOC, Harlem USA
(9.7%), is secured by a 245,849 sf multi-tenant anchored retail
property located on West 125th Street between St. Nicholas Avenue
and Frederick Douglass Boulevard in the Harlem neighborhood of
Upper Manhattan. The loan was designated a FLOC due to tenancy
concerns amid the coronavirus pandemic. The largest tenant is
American Multi-Cinema - Magic Johnson Theatres, which leases 27.7%
net rentable area (NRA) through June 2030. Additionally, the
property has exposure to Modell's, which leases 7.7% NRA through
January 2026. Modell's recently filed for Chapter 11 bankruptcy and
announced closure of all of its stores. Also, K&G Men's Company's
parent company, Tailored Brands, and Chuck E. Cheese's parent
company, CEC Entertainment, recently filed for Chapter 11
bankruptcy. K&G, which leases 9.5% NRA, is month-to-month (MTM)
after signing a one-year extension through April 2020. Chuck E.
Cheese leases 7.9% NRA through December 2021. As of June 2020,
property occupancy was 93%, and at YE 2019, servicer-reported NOI
debt service coverage ratio (DSCR) was 2.60x.

The second largest FLOC, the specially-serviced Marriott Albany
(6.1%), is secured by a 359-key, full-service hotel located in
Albany, New York. The loan transferred to special servicing in
April 2020 due to the borrower requesting coronavirus relief. A
forbearance agreement is under consideration. The borrower has
continued to fund operating expense and debt service shortfalls. At
YE 2019, occupancy and servicer-reported NOI DSCR were 68% and
2.66x, respectively. As of the TTM ended June 2020, the hotel was
outperforming its competitive set with a RevPAR penetration rate of
108.6%.

Minimal Change to Credit Enhancement (CE): There has been minimal
change to CE since issuance. As of the September 2020 distribution
date, the pool's aggregate balance has been reduced by 3.4% to
$701.2 million from $725.6 million at issuance. All original 40
loans remain in the pool. Eight loans (37.9% of pool) are
full-term, IO and nine loans (23.3%) have a partial-term, IO
component of which five have begun to amortize. Two loans (0.6%)
are fully defeased.

Pool Concentration: The top 10 loans comprise 60.7% of the pool.
Loan maturities are concentrated in 2026 (92.2%). One loan (6.9%)
matures in 2021 and one (0.9%) in 2023. Based on property type, the
largest concentrations are retail at 41.2%, office at 28.5% and
hotel at 14.1%.

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. Five loans (14.1%) are secured by hotel
properties. The weighted average (WA) NOI DSCR for all the hotel
loans is 2.33x. These hotel loans could sustain a WA decline in NOI
of 58% before DSCR falls below 1.00x. Fourteen loans (41.2%) are
secured by retail properties. The WA NOI DSCR for all retail loans
is 2.30x. These retail loans could sustain a WA decline in NOI of
57% before DSCR fall below 1.00x. Additional coronavirus-specific
base case stresses were applied to four hotel loans (13.4%),
including Marriott Albany (6.1%) and six retail loans (21.8%)
including Harlem USA (9.7%). These additional stresses contributed
to the Negative Outlooks on classes E, F, E-1, E-2 and EF.

RATING SENSITIVITIES

The Stable Outlooks on classes A-1 through D reflect the overall
stable performance of the pool and expected continued amortization.
The Negative Outlooks on classes E, F, E-1, E-2 and EF reflect
concerns with the FLOCs, primarily loans expected to be impacted by
exposure to the coronavirus pandemic in the near term.

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

Factors that lead to upgrades would include stable to improved
asset performance coupled with paydown and/or defeasance. Upgrades
of classes B and C would likely occur with significant improvement
in CE and/or defeasance; however increased concentrations, further
underperformance of FLOCs and decline in performance of loans
expected to be impacted by the coronavirus pandemic could cause
this trend to reverse. An upgrade of class D is considered unlikely
and would be limited based on sensitivity to concentrations or the
potential for future concentration. Classes would not be upgraded
above 'Asf' if there is a likelihood for interest shortfalls.
Upgrades of classes E and F are not likely due to performance
concerns with loans expected to be impacted by the coronavirus
pandemic in the near term but could occur if performance of the
FLOCs improves and/or if there is sufficient CE, which would likely
occur if the non-rated classes are not eroded and the senior
classes pay-off.

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

Factors that lead to downgrades include an increase in pool level
losses from underperforming or specially serviced loans. Downgrades
of classes A-1 through C are not likely due to the position in the
capital structure and overall stable performance of the pool.
Downgrades of classes D through F could occur if additional loans
become FLOCs, with further underperformance of the FLOCs and
decline in performance and lack of recovery of loans expected to be
impacted by the coronavirus pandemic in the near term.

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


MORGAN STANLEY 2016-UBS12: Fitch Cuts Class X-F Debt to CCCsf
-------------------------------------------------------------
Fitch Ratings has downgraded six and affirmed 10 classes of Morgan
Stanley Capital I Trust 2016-UBS12.

RATING ACTIONS

MSC 2016-UBS12

Class A-1 61691EAW5; LT AAAsf Affirmed; previously at AAAsf

Class A-2 61691EAX3; LT AAAsf Affirmed; previously at AAAsf

Class A-3 61691EAZ8; LT AAAsf Affirmed; previously at AAAsf

Class A-4 61691EBA2; LT AAAsf Affirmed; previously at AAAsf

Class A-S 61691EBD6; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 61691EAY1; LT AAAsf Affirmed; previously at AAAsf

Class B 61691EBE4; LT AA-sf Affirmed; previously at AA-sf

Class C 61691EBF1; LT A-sf Affirmed; previously at A-sf

Class D 61691EAJ4; LT Bsf Downgrade; previously at BBB-sf

Class E 61691EAL9; LT B-sf Downgrade; previously at BB-sf

Class F 61691EAN5; LT CCCsf Downgrade; previously at B-sf

Class X-A 61691EBB0; LT AAAsf Affirmed; previously at AAAsf

Class X-B 61691EBC8; LT AA-sf Affirmed; previously at AA-sf

Class X-D 61691EAA3; LT Bsf Downgrade; previously at BBB-sf

Class X-E 61691EAC9; LT B-sf Downgrade; previously at BB-sf

Class X-F 61691EAE5; LT CCCsf Downgrade; previously at B-sf

KEY RATING DRIVERS

Increase in Loss Expectations: The downgrades reflect increased
loss expectations on the pool primarily due to the deteriorating
performance of the 13 Fitch Loans of Concern (FLOCs; 46.5% of the
pool), including nine specially serviced loans (25.2%), as well as
concerns over the overall impact of the coronavirus pandemic on the
pool.

FLOC: Fitch has designated 13 loans (46.5%) as a FLOC, including
eight loans in the top 15. The largest FLOC is the 681 Fifth Avenue
loan (10.1%), which is secured by an 82,573sf mixed use building
located in New York, N.Y. Per the March 2020 rent roll, the
property was 66% occupied. Tommy Hilfiger (27% of net rentable area
[NRA]; approximately 85% of the base rent) vacated in April 2019,
prior to the May, 2023 lease expiration but continues to pay rent.
The servicer reported IO NOI debt service coverage ratio (DSCR) was
1.44x at YE 2019, which is a decline from 1.64x at YE 2018. Fitch
has an outstanding request to the servicer for a leasing update on
the vacated Tommy Hilfiger space and has not received a response to
date.

The next largest FLOC is the Wolfchase Galleria loan (8.2%), 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 next largest FLOC is the Falls loan (5.7%), which is secured by
an 839,507-sf single story open-air lifestyle center located in
Miami, FL. The property is anchored by Macy's (29% of NRA, lease
expires July 2027) with other large tenants including Regal
Cinemas, Fresh Market and American Girl. Bloomingdale's vacated and
terminated their lease in March 2020 with no further rent
obligations. Per the borrower, Lifetime Fitness will be a
replacement tenant for Bloomingdale's, but the lease has not been
fully executed and has not been submitted for Lender approval.
Additional tenants that vacated in 2019 and 2020 include Brio
Tuscan Grill, Charming Charlie, Gymboree, Regis, motherhood
maternity, Williams Sonoma, TGI Fridays and Love Culture. Occupancy
as of March 2020 without Bloomingdale's is approximately 69%. The
property has minimal near-term rollover with 2.7% in 2020, 1.6% in
2021 and 13% in 2022. The YE2019 NOI debt service reserve fund is
3.24x compared to 3.39x at YE2018. Tenant sales at YE 2019 were
$684 psf including Apple and $439 psf excluding Apple.

The next FLOC is the Vintage Park loan (4.8%), which is secured by
a 341,107-sf, open-air anchored shopping center located in Houston,
TX. The loan transferred to special servicing in August due to a
monetary default as a result of the coronavirus pandemic. Occupancy
was 90% as of the March 2020 rent roll. The servicer reported NOI
DSCR was 1.25x at YE 2019 down from 2.96x at YE 2018. The loan
began amortizing in February 2019. Large collateral tenants include
The Work Lodge (7.0% of NRA), which leases coworking space; a
seven-screen Star Cinema Grill (formerly Alamo Drafthouse; 6.9%
NRA); and Salon Boutique (6.0% NRA).

The next FLOC in the Top 15 is the Greenwich Office Portfolio loan
(4.2% of the pool), which is secured by a 380,245 sf,
eight-building office park located in Greenwich, CT. The property
which suffers from below market vacancy, has further upcoming
rollover concerns. As of YE 2019, the servicer reported NOI DSCR
was 2.0x with an occupancy of 73%. 10.9% of the NRA is scheduled to
roll during 2020, followed by 4.5% in 2021, 4% in 2022 and 15.7% in
2023. Per the Reis 2Q20 report, the Greenwich, CT submarket has a
high vacancy rate of 18.9% with asking rents of $60.02 psf. The
subjects average rent is substantially below market.

The next FLOC is the The Shores Resort & Spa loan (3.9%), which is
secured by a 212-unit, full-service hotel located in Daytona Beach,
FL. The loan transferred to special servicing in June 2020 for
imminent monetary default as a result of the coronavirus pandemic.
The servicer reported NOI DSCR was 1.17 at YE 2019, a decline from
1.24x at YE 2018. Forbearance is reportedly under discussion with
the servicer.

The next FLOC is the Arkansas Multifamily Portfolio (2.2%) loan,
which is secured by four multifamily properties totaling 428 units
located in Fort Smith, Arkansas. The loan transferred to special
servicing in June 2020 as a result of the coronavirus pandemic; it
is currently 60 days delinquent. Recent financials were not
provided. Forbearance is reportedly under discussion with the
servicer.

The last FLOC in the Top 15 is the Fairfield Inn, CT Portfolio
(2.2%) loan, which is secured by two limited service hotels located
in Plainville and Windsor Locks, CT. The loan transferred to
special servicing in June 2020 because of the coronavirus pandemic.
YE 2019 financials have not been provided. Forbearance is
reportedly under discussion with the servicer.

The remaining five FLOCs combine for approximately 5.5% of the pool
balance, four of which have transferred to special servicing as a
result of the coronavirus pandemic and one that transferred out of
special servicing and back to the master in August 2020.

Minimal Change to Credit Enhancement (CE): As of the September 2020
distribution date, the pool's aggregate principal balance was
reduced by 3.6% to $795.1 million from $824.4 billion at issuance.
There have been no realized losses to date and interest shortfalls
are currently affecting the non-rated class G. Six loans (14.5%)
are full-term IO, and two loans (4.1%) remain in their partial IO
periods.

Coronavirus Impact: Fitch expects significant economic impacts to
certain hotels, retail and multifamily properties from the
coronavirus pandemic due to the related reductions in travel and
tourism, temporary property closures and lack of clarity at this
time on the potential duration of the impacts. Loans collateralized
by retail properties and mixed-use properties with a retail
component account for 14 loans (49.2% of pool). Loans secured by
hotel properties account for seven loans (11.8%), while 13 loans
(8.9%) are secured by a multifamily property. Fitch's base case
analysis applied additional stresses to six retail loan, seven
hotel loans and one multifamily loan due to their vulnerability to
the coronavirus pandemic; this analysis contributed to the Negative
Outlooks.

Alternative Loss Consideration: Fitch performed an additional
sensitivity scenario that assumed potential outsized losses of 20%
on the current balance of 681 Fifth Avenue and 50% on the current
balance of the specially serviced Wolfchase Galleria loan. This
scenario also contributes to the Negative Rating Outlooks.

RATING SENSITIVITIES

The Negative Outlooks on classes A-S, B, C, D, and E, and IO
classes X-B, X-D and X-E reflect concerns over the FLOCs, including
nine specially serviced loans as well as the impact of the
coronavirus pandemic on the loans in the pool. The Stable Outlooks
on classes A-1, A-2, A-3, A-4, A-SB and IO X-A reflect the
substantial CE to the classes and senior position in the capital
stack.

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, particularly on the FLOCs, coupled with
paydown and/or defeasance. Upgrades of the 'AA-sf' and 'A-sf'
category would likely occur with significant improvement in CE
and/or defeasance; however, adverse selection and increased
concentrations or the underperformance of particular loan(s) could
cause this trend to reverse. Classes would not be upgraded above
'Asf' if there is likelihood for interest shortfalls. The 'Bsf",
'B-sf' and 'CCCsf' are unlikely to be upgraded absent significant
performance improvement and substantially higher recoveries than
expected on the specially serviced loans/assets.

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

Sensitivity factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced
loans/assets. Downgrades to classes A-1, A-2, A-SB, A-3 and A-4 are
not expected given the position in the capital structure but may
occur should interest shortfalls affect these classes. Downgrades
to the classes on Negative Outlook are possible should performance
of the FLOCs fail to stabilize or continue to decline and
additional loans transfer to special servicing and/or further
losses be realized.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, Fitch expects that those classes
with Negative Rating Outlooks may be downgraded by more than one
category.

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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


MORGAN STANLEY 2017-ASHF: DBRS Gives BB Rating on Class E Certs
---------------------------------------------------------------
DBRS, Inc. assigned ratings to the Commercial Mortgage Pass-Through
Certificates, Series 2017-ASHF (the Certificates) issued by Morgan
Stanley Capital I Trust 2017-ASHF as follows:

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

The trends on Classes A, B, and XEXT are Negative because the
underlying collateral continues to face performance challenges
associated with the Coronavirus Disease (COVID-19) global
pandemic.

DBRS Morningstar also placed Classes C, D, and E Under Review with
Negative Implications, given the negative impact of the coronavirus
on the underlying collateral.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The Certificates are backed by a $419.0 million financing of a
17-property portfolio including full-service, limited-service, and
extended-stay hotels with a total of 3,128 rooms across seven U.S.
states. The majority of the hotels are in primary markets. The
sponsor used loan proceeds to retire existing debt of $412.5
million, fund a $2.0 million capital reserve, pay closing costs,
and return $6.1 million of cash equity to the sponsor. The initial
loan term was two years with an initial maturity in November 2019
followed by five one-year extension options. The sponsor exercised
its first option and extended the maturity until November 9, 2020.

Collateral for the loan consists of the fee-simple interests in
midpriced hotels associated with flags from nationally recognized
brands with strong central reservation systems: Hilton Worldwide
Holdings Inc., representing 47.3% of the total allocated loan
amount (ALA), and Marriott International Inc., representing 52.7%
of ALA. The top five states represented in the portfolio are
Indiana (22.1% of ALA), Florida (19.2% of ALA), Texas (18.3% of
ALA), Virginia (16.4% of ALA), and California (12.2% of ALA). The
hotels were constructed between 1969 and 2004 and had an average
age of 23 years at issuance. Since 2017, the properties have
benefited from a portfoliowide total of $103.9 million in capital
improvements in guest rooms, common area, and exteriors. The
borrower is permitted to release properties subject to certain
conditions and paydown of the loan balance by 115% of the released
property's respective ALA.

The sponsor for the transaction is Ashford Hospitality Trust, Inc.,
a publicly traded real estate investment trust and an experienced
hotel investment company. Marriott International, Inc. manages five
of the hotels while Remington Lodging and Hospitality LLC manages
the remaining 12 hotels.

Over the past two years, the portfolio's performance was in line
with issuance levels, but occupancy declined slightly to 77.3% at
YE2019 from 79.4% at issuance. The YE2019 revenue increased over
the previous year, but net cash flow (NCF) was 4% lower. In
addition, the loan was placed on the watchlist for deferred
maintenance and one life safety issue that had to be addressed.

In March 2020, the coronavirus pandemic caused an economic shutdown
both domestically and internationally. The portfolio of hotels
suffered rapidly declining occupancy and revenue. The loan
transferred to special servicing in April 2020 because of an
imminent monetary default and was reportedly 90 days delinquent as
of the August 2020 remittance. The borrower and servicer are
working to effect a debt service payment deferral and reserve
deposits for a three-month period with an option to extend for an
additional three months. Deferred payments would be repaid over the
subsequent 12-month period.

DBRS Morningstar reanalyzed the NCF derived at issuance for the
subject rating action to confirm its consistency with the “DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria. The resulting NCF figure was $41.0 million and DBRS
Morningstar applied a cap rate of 9.3%, which resulted in a DBRS
Morningstar Value of $440.0 million, a variance of 24.8% from the
appraised value of $585.0 million at issuance. The DBRS Morningstar
Value implies an LTV of 95.5% compared with the LTV of 72.0% on the
appraised value at issuance.

The cap rate DBRS Morningstar applied is at the middle end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the portfolio's geographic diversity (as it is spread
across seven states and 13 metropolitan statistical areas) as well
as a relatively strong historical revenue per available room
penetration rate across the portfolio.

DBRS Morningstar made no qualitative adjustments to the final LTV
sizing benchmarks used for this rating analysis.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

The DBRS Morningstar ratings assigned to Classes C, D, and E vary
by three of more notches from the results implied by the LTV sizing
benchmarks when MVDs are assumed under the Coronavirus Impact
Analysis. These classes are Under Review with Negative Implications
as DBRS Morningstar continues to monitor the evolving economic
impact of the coronavirus-induced stress on the transaction.

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


MORGAN STANLEY 2018-SUN: DBRS Gives B Rating on Class G Certs
-------------------------------------------------------------
DBRS, Inc. assigned ratings to the Commercial Mortgage Pass-Through
Certificates, Series 2018-SUN issued by Morgan Stanley Capital I
Trust 2018-SUN as follows:

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

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic.

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

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The loan backing the Morgan Stanley Capital I Trust 2018-SUN
Commercial Mortgage Pass-Through Certificates, Series 2018-SUN is a
$356.6 million two-year, floating-rate, interest-only (IO) mortgage
loan with five one-year extension options. The loan refinanced
existing debt of $422.5 million, including prepayment penalties,
and returned $3.2 million to the sponsors. Mezzanine debt of $73.4
million assisted in the refinancing but is not part of the security
trust.

The loan is secured by first liens on the fee-simple interest in
two luxury beachfront hotels in Santa Monica, California. The two
adjacent hotels offer seaside views and have extensive amenities.
The Shutters on the Beach hotel opened in 1993 with 198 guestrooms,
three food and beverage locations, a spa, and 8,632 square feet
(sf) of meeting space. The Casa del Mar hotel (previously a
longevity center built in 1925) was purchased and opened in 1999 as
the Casa del Mar after a $60 million renovation by the sponsors.
The hotel has 129 guestrooms, one restaurant and bar/lounge, a spa,
and roughly 11,000 sf of meeting space. The loan sponsors, Edward
and Thomas Slatkin, developed both hotels. The sponsors operate a
third-generation family investment company founded in 1982 with
long-time experience in the ownership and operations of luxury
hotels. For example, the Slatkin family owned the Beverly Hills
Hotel from 1953 until 1986. The sponsors have various past and
current interests in other hospitality assets across the spectrum
from economy to luxury.

Since 2014, the sponsors have invested $26.9 million in guestroom
and corridor renovations at the two hotels: $16.0 million ($81,000
per room) at Shutters and $10.9 million ($84,000 per room) at Casa
del Mar. The hotels had been steady performers outpacing their
competitive sets. Shutters consistently recorded average annual
occupancies above 80% with average daily rates over $700 per room
night as of the year ending December 2019. Casa del Mar reported
average annual occupancies in the mid-to-high 70% range and average
room rate exceeding $700 per room night as of the end of 2019. The
hotels benefit from the high barriers to entry for new hotels in
the West Los Angeles market and limited developable land along with
a very difficult permitting process. State legislation prohibits
development of new hotels along the beach in the Santa Monica
market.

The loan was originated on July 9, 2018, and would have been
subject to the first extension option in July 2020; however, the
coronavirus pandemic limited most travel and caused a severe
deterioration in the hotels' performance metrics which are largely
dependent on tourist, group, and corporate guests. On April 2,
2020, the loan was transferred to special servicing along with a
forbearance request from the borrower. As of the July 2020 monthly
payment date, the loan was reported current in payment obligations.
Any exercise of the extension option has not been reported at this
time.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $26.1
million and DBRS Morningstar applied a cap rate of 7.75%, which
resulted in a DBRS Morningstar Value of $336.4 million, a variance
of -43.1% from the appraised value of $591.4 million at issuance.
The DBRS Morningstar Value implies an LTV of 106.0% compared with
the LTV of 60.3% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is at the lower end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting strong historic performance versus competition,
significant barriers to entry, and unmatched beachfront location in
Los Angeles market.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 8.00%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 25% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal write-down had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

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


NATIONSTAR HECM 2020-1: DBRS Finalizes BB Rating on Class M5 Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes, Series 2020-1 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 (high) (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 (high) (sf), and BB (sf) ratings reflect
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.

For more information regarding rating methodologies and the
Coronavirus Disease (COVID-19), please see the following DBRS
Morningstar publications: "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.


NATIXIS COMMERCIAL 2018-RIVA: DBRS Gives BB(low) on 6 Tranches
--------------------------------------------------------------
DBRS Limited assigned ratings to the Commercial Mortgage
Pass-Through Certificates, Series 2018-RIVA (the Certificates)
issued by Natixis Commercial Mortgage Securities Trust 2018-RIVA as
follows:

-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class V1-A at AAA (sf)
-- Class V1-B at AA (high) (sf)
-- Class V1-C at AA (low) (sf)
-- Class V1-D at A (low) (sf)
-- Class V1-E at BBB (low) (sf)
-- Class V1-F at BB (low) (sf)
-- Class V1-XF at BB (low) (sf)
-- Class V2-A at BB (low) (sf)
-- Class V2-XF at BB (low) (sf)
-- Class X-EXT at AAA (sf)
-- Class X-F at BB (low) (sf)

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic. DBRS Morningstar also
designated Class F as having Interest in Arrears.

These certificates are currently also rated by DBRS Morningstar's
affiliated rating agency, Morningstar Credit Ratings, LLC (MCR). In
connection with the ongoing consolidation of DBRS Morningstar and
MCR, MCR previously announced that it had placed its outstanding
ratings of these certificates Under Review–Analytical Integration
Review and that MCR intended to withdraw its outstanding ratings;
such withdrawal will occur on or about October 8, 2020. In
accordance with MCR's engagement letter covering these
certificates, upon withdrawal of MCR's outstanding ratings, the
DBRS Morningstar ratings will become the successor ratings to the
withdrawn MCR ratings.

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. The global macroeconomic
scenarios include a moderate decline of 15% for all commercial real
estate (CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The Certificates are collateralized by a $179.0 million
floating-rate loan, supported by the payment stream from a mortgage
secured by a portfolio of four full-service hotels with 1,265 rooms
across four states. The loan has an initial term of 36 months with
two one-year extension options, subject to the payment of an
extension fee and a debt yield test. Release of individual
properties is permitted, subject to a release price that is the
higher of 80% of the net sale proceeds from the property sale and
115% of the allocated loan amount for the applicable individual
property (as outlined in the loan documents). The sponsor used loan
proceeds of $179.0 million, subordinate debt of $40.0 million, and
sponsor equity of $115.3 million to facilitate the acquisition of
the portfolio for $329.9 million and to fund a seasonality reserve
totaling $1.3 million. The sponsor for this loan is Junson Capital,
a Hong Kong-based real estate investment company. At issuance, the
sponsor and loan guarantor was Apollo Bright LLC, an affiliate of
Junson Capital. According to information provided at issuance, the
guarantor reported a net worth exceeding $350.0 million and
liquidity of higher than $18.0 million as of September 2017.

The portfolio comprises four hotels with a total of 1,265 rooms in
Newport, Rhode Island; Alexandria, Virginia; Chicago; and
Scottsdale, Arizona. Three of the four hotels operate under
Marriott International, Inc. (Marriott) and Hilton Worldwide
Holdings Inc. flags. Marriott manages the Newport Marriott and
Westin Alexandria Old Town hotels, which are not subject to
franchise fees. Both of the existing Marriott management agreements
for these hotels expire over the fully extended loan term.
Similarly, Hilton Management LLC directly manages the Hilton
Rosemont/Chicago O'Hare hotel under a management agreement that is
set to expire in December 2020, and the hotel is not subject to
franchise fees. Finally, Destination Hotels, the largest
independent hospitality management company in the United States,
manages the Scottsdale Resort at McCormick Ranch, the lone
independent hotel in the portfolio.

The portfolio has benefitted from approximately $78.9 million in
capital expenditure improvements since 2012, including $58.8
million from 2015 to issuance. The hotels, with the exception of
the Hilton Rosemont/Chicago O'Hare, have all undergone a recent
guest-room renovation. The Newport Marriott received the highest
capital improvement expenditure at $47.7 million, followed by the
Scottsdale Resort at McCormick Ranch at $17.0 million since 2012.
At issuance, the top-performing hotel in the portfolio was the
Newport Marriott, which ranked first among its competitive set and
reported an occupancy of 118.0%, average daily rate of 106.5%, and
revenue per available room of 125.6%.

Because of the coronavirus pandemic, the lodging sector has
experienced a unprecedented decline in demand across multiple
revenue segments, which will likely put substantial stress on the
collateral in the short to medium term. The loan transferred to the
special servicer in April 2020; however, per the most recent
reporting, the subject loan is current. The sponsor initially
requested a loan modification because of coronavirus' negative
impact, but withdrew its request. Per servicer commentary, the
borrower will request a loan extension beyond its maturity in
February 2021. Additionally, the lender approved the borrower's
receipt of Small Business Administration Paycheck Protection
Program funds.

DBRS Morningstar reanalyzed the net cash flow (NCF) derived at
issuance for the subject rating action to confirm its consistency
with the "DBRS Morningstar North American Commercial Real Estate
Property Analysis Criteria." The resulting NCF figure was $21.5
million and DBRS Morningstar applied a cap rate of 9.0%, which
resulted in a DBRS Morningstar Value of $238.9 million, a variance
of 34.4% from the appraised value of $363.9 million at issuance.
The DBRS Morningstar Value implies a trust LTV of 74.9% compared
with the LTV of 49.2% on the appraised value at issuance.

The cap rate DBRS Morningstar applied is at the middle end of the
range of DBRS Morningstar Cap Rate Ranges for lodging properties,
reflecting the portfolio's significant recent capital investment
and the strong locations of three portfolio hotels within major
metropolitan markets.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September 10 Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 25% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

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

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


NEW RESIDENTIAL 2016-1: Moody's Lowers Rating on B-5 Debt to B1
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 31 classes of
bonds and confirmed the ratings of 107 classes of bonds from 16
transactions issued by New Residential Mortgage Loan Trust between
2016 and 2020. The ratings of the affected tranches are sensitive
to loan performance deterioration due to the pandemic.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL). The collateral has
multiple servicers.

The complete rating actions are as follows:

Issuer: New Residential Mortgage Loan Trust 2016-1

Cl. B-5, Downgraded to B1 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2016-2

Cl. B-4, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. B-5, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2017-4

Cl. B-5, Downgraded to B3 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Downgraded to B3 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5-IOA*, Downgraded to B3 (sf); previously on May 7, 2020 B1
(sf) Placed Under Review for Possible Downgrade

Cl. B-5B, Downgraded to B3 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5-IOB*, Downgraded to B3 (sf); previously on May 7, 2020 B1
(sf) Placed Under Review for Possible Downgrade

Cl. B-5C, Downgraded to B3 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5-IOC*, Downgraded to B3 (sf); previously on May 7, 2020 B1
(sf) Placed Under Review for Possible Downgrade

Cl. B-5D, Downgraded to B3 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5-IOD*, Downgraded to B3 (sf); previously on May 7, 2020 B1
(sf) Placed Under Review for Possible Downgrade

Cl. B-4, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4A, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4-IOA*, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Cl. B-4B, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4-IOB*, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Cl. B-4C, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4-IOC*, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Cl. B-7, Downgraded to B3 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2017-5

Cl. B-4, Downgraded to Baa2 (sf); previously on May 7, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. B-4A, Downgraded to Baa2 (sf); previously on May 7, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. B-4B, Downgraded to Baa2 (sf); previously on May 7, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. B4-IOA*, Downgraded to Baa2 (sf); previously on May 7, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

Cl. B4-IOB*, Downgraded to Baa2 (sf); previously on May 7, 2020
Baa1 (sf) Placed Under Review for Possible Downgrade

Cl. B-5, Downgraded to Ba2 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Downgraded to Ba2 (sf); previously on May 7, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Cl. B-5B, Downgraded to Ba2 (sf); previously on May 7, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Cl. B5-IOA*, Downgraded to Ba2 (sf); previously on May 7, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Cl. B5-IOB*, Downgraded to Ba2 (sf); previously on May 7, 2020 Ba1
(sf) Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2017-6

Class B-5, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Class B-5A, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Class B-5B, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Class B-5C, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Class B-5D, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

Class B-7, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2
(sf) Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2018-2

Cl. B-5, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5B, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5C, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5D, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-7, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2018-4

Cl. B-4, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4A, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4B, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4C, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5B, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5C, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5D, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-7, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2019-2

Cl. B-3, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. B-3A, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. B-3B, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. B-3C, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. B-3D, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1
(sf) Placed Under Review for Possible Downgrade

Cl. B-4, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. B-4A, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. B-4B, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. B-4C, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. B-5, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5B, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5C, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5D, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-7, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2019-3

Cl. B-4, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4A, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4B, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4C, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5B, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5C, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5D, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-7, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2019-4

Cl. B-3, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-3A, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-3B, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-3C, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-3D, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-4, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4A, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4B, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4C, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5B, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5C, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5D, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-7, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2019-5

Cl. B-4, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4A, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4B, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4C, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5B, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5C, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5D, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-6, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-6A, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-6B, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-6C, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-8, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2019-6

Cl. B-4, Downgraded to B2 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4A, Downgraded to B2 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4B, Downgraded to B2 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4C, Downgraded to B2 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5B, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5C, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5D, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. B-7, Downgraded to B3 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2019-RPL2

Cl. B-1, Downgraded to Ba3 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-2, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2019-RPL3

Cl. B-1, Downgraded to Ba3 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-2, Downgraded to B3 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2020-1

Cl. B-3, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-3A, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-3B, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-3C, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-3D, Confirmed at Baa2 (sf); previously on May 7, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

Cl. B-4, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4A, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4B, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-4C, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5A, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5B, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5C, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-5D, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-7, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Issuer: New Residential Mortgage Loan Trust 2020-RPL1

Cl. B-1, Downgraded to B1 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Cl. B-2, Downgraded to B3 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Cl. M-2, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating action reflects our revised loss expectations for the
underlying mortgage loans driven by performance deterioration
resulting from a slowdown in economic activity and increased
unemployment due to the coronavirus outbreak. Specifically, we
observed an increase in delinquencies, payment forbearance, and
payment deferrals since the start of the pandemic, which could
result in higher realized losses. For certain transactions, the
elevated levels of borrowers enrolled in payment relief programs
may cause temporary interest shortfalls on the bonds, which we
expect to be reimbursed.

In our analysis, we considered an increase in the baseline loss
projections, relative to our pre-pandemic loss projections, of up
to 20% to evaluate the resiliency of the ratings amid the
uncertainty surrounding the pools' performance caused by the
coronavirus outbreak, which negatively affects the macroeconomic
conditions that influence consumer credit performance.

Our analysis considers the current proportion of loans granted
payment relief in individual pools. We identified these loans based
on a review of loan level cashflows over the last few months. Based
on our analysis, the proportion of borrowers in RPL pools that are
currently enrolled in payment relief plans varied greatly, ranging
between approximately 7% and 27%. In our sensitivity analysis, we
assume these loans to experience lifetime default rates that are
50% higher than default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Our analysis considered
loss sensitivity to the assumption that six months of scheduled
principal on the loans enrolled in payment relief programs will be
passed to the trust as a loss. Transaction documents state any
deferred amount will be allocated as a realized loss to the trust,
which will cause a write-down on the junior notes. The magnitude of
the write-down will depend on the proportion of the borrowers in
the pool subject to principal deferral and the number of months of
such deferral. The treatment of deferred principal as a loss is
credit negative for the junior bonds, which would incur write-downs
when missed payments are deferred.

There are no outstanding interest shortfalls on any rated tranche
in these transactions. Transactions with shifting interest
structures are generally protected against the risk of interest
shortfalls since principal collections can be redirected to pay
missed interest. In addition, these transactions also require
servicers to advance missed P&I payments. However, given the lack
of servicer advancing in the three transactions (New Residential
Mortgage Loan Trust 2019-RPL2, New Residential Mortgage Loan Trust
2019-RPL3, and New Residential Mortgage Loan Trust 2020-RPL1)
structured with sequential pay waterfalls, an elevated percentage
of non-cash flowing loans related to borrowers enrolled in payment
deferral programs can result in interest shortfalls, especially on
the junior bonds. Based on transaction documents, reimbursement of
missed interest on the more senior notes has a higher priority than
even scheduled interest payments on the more subordinate notes. As
such, we expect any future shortfalls to be reimbursed as the
proportion of borrowers enrolled in payment deferrals declines. In
addition, documents also allow for interest shortfalls to be
reimbursed from principal collections. Given that we expect any
future interest shortfalls to be temporary and fully reimbursed
within a short period of time, the risk of potential shortfalls did
not impact the ratings adversely.

Our rating actions also take into consideration the seasoned
profile of the underlying mortgage loans, equity built up in the
properties and the notes' payment priorities. These transactions
have experienced buildup in credit enhancement in the current
environment of elevated prepayment rates. The increase in credit
enhancement has helped offset some of the increase in expected
losses spurred by the pandemic. On average, notes that were
confirmed as part of today's actions experienced a 0.4% to 2%
increase in credit enhancement over the past 12 months.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our 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 our forecasts is unusually high.

We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

Principal Methodologies

The methodologies used in rating all classes except interest-only
classes were "US RMBS Surveillance Methodology" published in July
2020.

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

Up

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

Down

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

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

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.


OBX TRUST 2020-EXP3: DBRS Finalizes B Rating on Class B6-1 Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2020-EXP3 (the Notes) 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% are 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 becomes 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 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 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.

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


OCTAGON INVESTMENT 48: S&P Assigns BB- Rating on Cl. E Notes
------------------------------------------------------------
S&P Global Ratings assigned its 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 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

  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

  NR--Not rated.


OZLM LTD XV: Moody's Lowers Rating on Class D-R Notes to B1
-----------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by OZLM XV, Ltd.:

US$22,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2033 (the "Class D-R Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

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

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

US$25,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2033 (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 and the Class D-R Notes issued by the
CLO. The CLO, originally issued in December 2016 and refinanced in
March 2020, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
April 2025.

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 3258, compared to 2735
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2849 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
23.7%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $396.0
million, or $4.0 million less than the deal's ramp-up target par
balance. Nevertheless, Moody's noted all OC tests, as well as the
interest diversion test, were recently reported [4] as passing.

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

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

Performing par and principal proceeds balance: $391,631,840

Defaulted Securities: $12,090,007

Diversity Score: 72

Weighted Average Rating Factor (WARF): 3374

Weighted Average Life (WAL): 5.71 years

Weighted Average Spread (WAS): 3.47%

Weighted Average Recovery Rate (WARR): 47.2%

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
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.


PROGRESS RESIDENTIAL 2020-SFR3: DBRS Gives (P)B(low) on G Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Single-Family Rental Pass-Through Certificates (the Certificates)
to be issued by Progress Residential 2020-SFR3 Trust (PROG
2020-SFR3 or the Issuer):

-- $158.2 million Class A at AAA (sf)
-- $42.2 million Class B at AA (sf)
-- $18.8 million Class C at A (sf)
-- $24.6 million Class D at A (low) (sf)
-- $55.1 million Class E at BBB (low) (sf)
-- $55.5 million Class F at BB (low) (sf)
-- $39.4 million Class G at B (low) (sf)

The AAA (sf) rating on the Class A Certificates reflects 64.5% of
credit enhancement provided by subordinated notes in the pool. The
AA (sf), A (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) ratings reflect 55.0%, 50.8%, 45.3%, 32.9%, 20.4%, and 11.6%
credit enhancement, respectively.

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

PROG 2020-SFR3's 1,777 properties are in nine states, with the
largest concentration by broker price opinion value in Florida
(42.0%). The largest metropolitan statistical area (MSA) by value
is Atlanta (11.0%), followed by Nashville (8.4%). The geographic
concentration dictates the home-price stresses applied to the
portfolio and the resulting market value decline (MVD). The MVD at
the AAA (sf) rating level for this deal is 62.4%. PROG 2020-SFR3
has properties from 23 MSAs, most of which did not experience home
price index declines as dramatic as those in the recent housing
downturn.

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's analysis includes estimated
base-case net cash flow (NCF) 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 higher than 1.0 times.

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.


REGIONAL MANAGEMENT 2020-1: DBRS Finalizes BB Rating on D Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following notes
issued by Regional Management Issuance Trust 2020-1 (the Issuer):

-- $134,060,000 Class A at AA (sf)
-- $18,090,000 Class B at A (low) (sf)
-- $16,130,000 Class C at BBB (low) (sf)
-- $11,720,000 Class D at BB (sf)

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

-- DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected cumulative
net loss (CNL) includes an assessment of the expected impact on
consumer behavior. The DBRS Morningstar CNL assumption is 11.00%.

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, 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 consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for current ratings. The moderate scenario
remains predicated on a more rapid return of confidence and a
steady recovery heading into 2021.

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

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

-- Regional Management Corp.'s (Regional's) capabilities with
regard to originations, underwriting, and servicing.

-- DBRS Morningstar has performed an operational review of
Regional and considers the entity to be an acceptable originator
and servicer of unsecured personal loans with an acceptable backup
servicer.

-- Regional's senior management team has considerable experience
and a successful track record within the consumer loan industry.

-- Regional has remained consistently profitable since 2007.

-- In February 2018, Regional completed a system migration to the
Nortridge Loan Management System, allowing for the implementation
of centralized underwriting for all branches, which led to the
ability to implement a hybrid servicing model.

-- The credit quality of the collateral and performance of
Regional's consumer loan portfolio. DBRS Morningstar used a hybrid
approach in analyzing Regional's portfolio that incorporates
elements of static pool analysis, employed for assets such as
consumer loans, and revolving asset analysis, employed for assets
such as credit card master trusts.

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

-- Credit enhancement in the transaction consists of
overcollateralization (OC), subordination, a reserve account, and
excess spread. The initial amount of OC is approximately 4.00% of
the Initial Loan Pool. The subordination in the transaction refers
to Class B, Class C, and Class D, which are subordinated to Class
A. The reserve account is 1.00% of the Initial Loan Pool and is
funded at inception and nondeclining. Initial Class A credit
enhancement of 29.50% includes a reserve account of 1.00%, OC of
4.00%, and subordination of 24.50%. Initial Class B credit
enhancement of 19.85% includes a reserve account of 1.00%, OC of
4.00%, and subordination of 14.85%. Initial Class C credit
enhancement of 11.25% includes a reserve account of 1.00%, OC of
4.00%, and subordination of 6.25%. Initial Class D credit
enhancement of 5.00% includes a reserve account of 1.00% and OC of
4.00%.

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


SCOF-2 LTD: Moody's Confirms Ba3 Rating on Class E-R Notes
----------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by SCOF-2 Ltd.:

US$32,250,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class D-R Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$25,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D-R and E-R Notes issued by the CLO. The CLO,
originally issued in January 2016 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 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 considering 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 September 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3568, compared to 2966
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3274 reported in the
September 2020 trustee report [3]. Based on Moody's calculation,
the proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
21.8%. Nevertheless, Moody's noted that the OC tests for all the
notes were recently reported in the September 2020 trustee report
[4] as passing.

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

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

Performing par and principal proceeds balance: $ 487,886,845

Defaulted Securities: $ 11,123,112

Diversity Score: 69

Weighted Average Rating Factor (WARF): 3524

Weighted Average Life (WAL): 4.59 years

Weighted Average Spread (WAS): 3.62%

Weighted Average Recovery Rate (WARR): 46.87%

Par haircut in OC tests and interest diversion test: 1.67%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted several 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 XVII: Moody's Confirms Ba3 Rating on Class D Notes
--------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Sound Point CLO XVII, Ltd.:

US$53,000,000 Class Class C Mezzanine Secured Deferrable Floating
Rate Notes due 2030 (the "Class C Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$32,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C Notes and Class D Notes issued by the CLO.
The CLO, 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 will end on October 2022.

RATINGS RATIONALE

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

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3016, compared to 2684
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2858 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
15.2%. Nevertheless, Moody's noted that all the OC tests, as well
as the Interest Reinvestment 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: $780,306,437

Defaulted Securities: $0

Diversity Score: 84

Weighted Average Rating Factor (WARF): 3065

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.59%

Weighted Average Recovery Rate (WARR): 47.36%

Par haircut in OC tests and interest diversion test: 0.8%

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

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

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

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

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

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


SOUND POINT XXII: Moody's Confirms Ba3 Rating on Class E Notes
--------------------------------------------------------------
Moody's Investors Service ("Moody's") has confirmed the ratings on
the following notes issued by Sound Point CLO XXII, Ltd. (the "CLO"
or "Issuer"):

US$28,750,000 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$23,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D Notes and Class E Notes issued by the CLO.
The CLO, originally issued in February 2019, is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in January 2024.

RATINGS RATIONALE

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

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3025, compared to 2617
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2799 reported in the
August 2020 trustee report [1]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
16.89%. Moody's noted that the OC tests for all tranches and the
interest diversion test were recently reported [1] as passing.

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

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

Performing par and principal proceeds balance: $491,161,906

Defaulted Securities: $4,380,944

Diversity Score: 84

Weighted Average Rating Factor (WARF): 3118

Weighted Average Life (WAL): 6.17 years

Weighted Average Spread (WAS): 3.60%

Weighted Average Recovery Rate (WARR): 47.93%

Par haircut in OC tests and interest diversion test: 0.16%

Finally, Moody's notes that it also considered the information in
the September 2020 trustee report [3] which became available
immediately prior to the release of this announcement.

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

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

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

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

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

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


STACR REMIC 2020-HQA4: Moody's Gives Ba2 Rating on 10 Tranches
--------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 23 classes
of credit risk transfer notes issued by Freddie Mac STACR REMIC
Trust 2020-HQA4. The ratings range from Baa2 (sf) to Ba2 (sf).

Freddie Mac STACR REMIC Trust 2020-HQA4 (STACR 2020-HQA4) is the
fourth transaction of 2020 in the HQA series issued by the Federal
Home Loan Mortgage Corporation (Freddie Mac) to share the credit
risk on a reference pool of mortgages with the capital markets. The
transaction is structured as a real estate mortgage investment
conduit (REMIC).

The notes in STACR 2020-HQA4 receive principal payments as the
loans in the reference pool amortize or prepay. Principal payments
to the notes are paid from assets in the trust account established
from proceeds of the note's issuance. Interest payments to the
notes are paid from a combination of investment income from trust
assets, an asset of the trust known as the interest-only (IO)
Q-REMIC interest, and Freddie Mac. Freddie Mac is responsible to
cover (1) any interest owed on the notes not covered by the
investment income from the trust assets and the yield on the IO
Q-REMIC interest and (2) to reimburse the trust for any investment
losses from sales of the trust assets.

Investors have no recourse to the underlying reference pool. The
credit risk exposure of the notes depends on the actual realized
losses and modification losses incurred by the reference pool.
Freddie Mac is obligated to pay off the notes in September 2050 if
any balances remain outstanding.

The complete rating actions are as follows:

Issuer: Freddie Mac STACR REMIC Trust 2020-HQA4

Cl. M-1, Assigned Baa2 (sf)

Cl. M-2, Assigned Ba1 (sf)

Cl. M-2R, Assigned Ba1 (sf)

Cl. M-2S, Assigned Ba1 (sf)

Cl. M-2T, Assigned Ba1 (sf)

Cl. M-2U, Assigned Ba1 (sf)

Cl. M-2I*, Assigned Ba1 (sf)

Cl. M-2A, Assigned Baa3 (sf)

Cl. M-2AR, Assigned Baa3 (sf)

Cl. M-2AS, Assigned Baa3 (sf)

Cl. M-2AT, Assigned Baa3 (sf)

Cl. M-2AU, Assigned Baa3 (sf)

Cl. M-2AI*, Assigned Baa3 (sf)

Cl. M-2B, Assigned Ba2 (sf)

Cl. M-2BR, Assigned Ba2 (sf)

Cl. M-2BS, Assigned Ba2 (sf)

Cl. M-2BT, Assigned Ba2 (sf)

Cl. M-2BU, Assigned Ba2 (sf)

Cl. M-2BI*, Assigned Ba2 (sf)

Cl. M-2RB, Assigned Ba2 (sf)

Cl. M-2SB, Assigned Ba2 (sf)

Cl. M-2TB, Assigned Ba2 (sf)

Cl. M-2UB, Assigned Ba2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
1.12%, in a baseline scenario-median is 0.86%, and reaches 6.29% at
a stress level consistent with its Aaa ratings.

Moody's calculated losses on the pool using its US Moody's
Individual Loan Analysis (MILAN) GSE model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included, but were not limited to,
qualitative adjustments for origination quality and third-party
review (TPR) scope.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
residential mortgage loans from the current weak US economic
activity and a gradual recovery for the coming months. Although an
economic recovery is underway, it is tenuous and its continuation
will be closely tied to containment of the virus. As a result, the
degree of uncertainty around its forecasts is unusually high.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

The contraction in economic activity in the second quarter was
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's
increased its model-derived median expected losses by 15% 12.25%
for the mean) and its Aaa losses by 5% to reflect the likely
performance deterioration resulting from a slowdown in US economic
activity in 2020 due to the coronavirus outbreak.

Moody's increased its model-derived median expected losses by 15%
(12.25% for the mean) and its Aaa losses by 5% to reflect the
likely performance deterioration resulting from of a slowdown in US
economic activity in 2020 due to the coronavirus outbreak.

Servicing practices, including tracking coronavirus related loss
mitigation activities, may vary among servicers in the transaction.
These inconsistencies could impact reported collateral performance
and affect the timing of any breach of performance triggers and the
amount of modification losses.

Moody's may infer and extrapolate from the information provided
based on this or other transactions or industry information, or
make stressed assumptions.

Collateral Description

The reference pool consists of over ninety-five thousand prime,
fixed-rate, one- to four-unit, first-lien conforming mortgage loans
acquired by Freddie Mac. The loans were originated on or after
January 1, 2015 with a weighted average seasoning of eight months.
Each of the loans in the reference pool had a loan-to-value (LTV)
ratio at origination that was greater than 80% and less than or
equal to 97%. 13.0% of the pool are loans underwritten through
Freddie Mac's Home Possible program and 98.9% of loans in the pool
are covered by mortgage insurance as of the cut-off date.

Aggregation/Origination Quality

Moody's considers Freddie Mac's overall seller management and
aggregation practices to be adequate and Moody's did not apply a
separate loss-level adjustment for aggregation quality.

Underwriting

Freddie Mac uses a delegated underwriting process to purchase
loans. Sellers are required to represent and warrant that loans are
made in accordance with negotiated terms or Freddie Mac's guide.
Numerous checks in the selling system ensures that loans with the
correct characteristics are delivered to Freddie Mac. Sellers are
required to cure, make an indemnification payment or repurchase the
loans if a material underwriting defect is discovered subject to
certain limits. In certain cases, Freddie Mac may elect to waive
the enforcements of the repurchase if an alternative such as an
indemnification payment is provided.

Quality control

Freddie Mac monitors each seller's risk exposure both on an
aggregated basis as well as by product lines. A surveillance team
reviews sellers' financials at least on an annual basis, monitors
exposure limits, risk ratings, lenders QC reports and internal
audit results and may adjust credit limits, require additional
loan/operational reviews or put the seller on a watch list, as
needed.

Home Possible loans: Approximately 13.0% of the loans by Cut-off
Date Balance were originated under the Home Possible program. The
program is designed to make responsible homeownership accessible to
low- to moderate-income homebuyers, by requiring low down payments,
lower risk-adjusted pricing, flexibility in sources of income, and,
in certain circumstances, lower than standard mortgage insurance
coverage. Home Possible loans in STACR 2020-HQA4's reference pool
have a WA FICO of 743 and WA LTV of 94.1%, versus a WA FICO of 751
and a WA LTV of 91.5% for the rest of the loans in the pool. While
its MILAN model takes into account characteristics listed on the
loan tape, such as lower FICOs and higher LTVs, there may be risks
not captured by its model due to less stringent underwriting,
including allowing more flexible sources of funds for down payment
and lower risk-adjusted pricing. Moody's applied an adjustment to
the loss levels to address the additional risks that Home Possible
loans may add to the reference pool.

Enhanced Relief Refinance (ERR)

The ERR program is designed to provide refinance opportunities to
borrowers with existing Freddie Mac's mortgage loans who are
current on their mortgage payments but whose LTV ratios exceed the
maximum permitted for standard refinance products. The program is
intended to offer refinance opportunities to borrowers so they can
reduce their monthly payment. STACR 2020-HQA4's reference pool does
not include ERR loans at closing, however, transaction documents
allow for the replacement of loans in the reference pool with ERR
loans in the future. The replacement will not constitute a
prepayment on the replaced loan, credit event or a modification
event.

At closing, Moody's did not make any adjustment to its collateral
losses due to the existence of the ERR program. Moody's believes
the programs are beneficial for loans in the pool, especially
during an economic downturn when limited refinancing opportunities
would be available to borrowers with low or negative equity in
their properties. However, since such refinanced loans are likely
to have later maturities and slower prepayment rates than the rest
of the loans, the reference pool is at risk of having a high
concentration of high LTV loans at the tail of the transaction's
life. Moody's will monitor ERR loans in the reference pool and may
make an adjustment in the future if the percentage of them becomes
significant after closing.

Servicing arrangement

As master servicer, Freddie Mac has strong servicer oversight and
monitoring processes. Generally, Freddie Mac does not itself
conduct servicing activities. When a mortgage loan is sold to
Freddie Mac, the seller enters into an agreement to service the
mortgage loan for Freddie Mac in accordance with a comprehensive
servicing guide for servicers to follow. Freddie Mac monitors
primary servicer performance and compliance through its Servicer
Success Program, scorecard and servicing quality assurance group.
Freddie Mac also reviews individual loan files to identify
servicing performance gaps and trends.

Moody's considers the servicing arrangement to be adequate and
Moody's did not make any adjustments to its loss levels based on
Freddie Mac's servicer management.

Third-party Review

Moody's considers the scope of the TPR based on Freddie Mac's
acquisition and QC framework to be adequate. Moody's assessed an
adjustment to loss at a Aaa stress level due to lack of compliance
review on TILA-RESPA Integrated Disclosure (TRID) violations.

The results and scope of the pre-securitization third-party,
loan-level review (due diligence) suggest a heavier reliance on
sellers' representations and warranties (R&Ws) compared with
private label securitizations. The scope of the TPR, for example,
is weaker because the sample size is small (only 0.45% of the loans
in reference pool are included in the sample). To the extent that
the TPR firm classifies certain credit or valuation discrepancies
as 'findings', Freddie Mac will review and may provide rebuttals to
those findings, which could result in the change of event grades by
the review firm.

The third-party due diligence scope focuses on the following:

Compliance: The diligence firm reviewed 333 loans for compliance
with federal, state and local high cost Home Ownership and Equity
Protection Act (HOEPA) regulations (298 loans were reviewed for
compliance plus 35 loans were reviewed for both credit/valuation
and compliance). None were deemed to be noncompliant.

Appraisals: The third-party diligence provider also reviewed
property valuation on 999 loans in the sample pool (964 loans were
reviewed for credit/valuation plus 35 loans were reviewed for both
credit/valuation and compliance). Eight loans received final
valuation grades of "C". The third-party diligence provider was not
able to obtain property appraisal risk reviews on two loans due to
the property locations in Guam and New Mexico. The remaining six
loans had Appraisal Desktop with Inspections (ADI) which did not
support the original appraised value within the 10% tolerance.

Credit: The third-party diligence provider reviewed credit on 999
loans in the sample pool. Five loans had final grades of "D" and
three loans had final grades of "C" due to underwriting defects.
These loans were removed from the reference pool. The results were
consistent with prior STACR transactions Moody's rated.

Data integrity: The third-party review firm analyzed the sample
pool for data calculation and comparison to the imaged file
documents. The review revealed 56 data discrepancies on 52 loans,
with 17 discrepancies related to DTI and 18 discrepancies related
to first time home buyers.

Unlike private label RMBS transactions, a review of TRID violation
was not part of Freddie Mac's due diligence scope. A lack of
transparency regarding how many loans in the transaction contain
material violations of the TRID rule is a credit negative. However,
since Moody's expects overall losses on STACR transactions owing to
TRID violations to be fairly minimal, Moody's only made a slight
qualitative adjustment to losses under a Aaa scenario. Furthermore,
lender R&Ws and the GSEs' ability to remove defective loans from
the transactions will likely mitigate some of aforementioned
concerns.

Reps & Warranties Framework

Freddie Mac is not providing loan level (R&Ws for this transaction
because the notes are a direct obligation of Freddie Mac. The
reference obligations are subject to R&Ws made by the sellers. As
such, Freddie Mac commands robust R&Ws from its seller/servicers
pertaining to all facets of the loan, including but not limited to
compliance with laws, compliance with all underwriting guidelines,
enforceability, good property condition and appraisal procedures.
Freddie Mac will be responsible for enforcing the R&Ws made by the
sellers/lenders in the reference pool. To the extent that Freddie
Mac discovers a confirmed underwriting defect or a major servicing
defect, the respective loan will be removed from the reference
pool. Since Freddie Mac retains a significant portion of the risk
in the transaction, it will likely take necessary steps to address
any breaches of R&Ws. For example, Freddie Mac undertakes quality
control reviews and servicing quality assurance reviews of small
samples of the mortgage loans that sellers deliver to Freddie Mac.
These processes are intended to determine, among other things, the
accuracy of the R&Ws made by the sellers in respect of the mortgage
loans that are sold to Freddie Mac. Moody's made no adjustments to
the transaction regarding the R&W framework.

The notes

Moody's refers to the M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B
notes as the original notes, and the M-2, M-2R, M-2S, M-2T, M-2U,
M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT,
M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, M-2UB, B-1, B-2, B-1AR, B-1AI,
B-2AR and B-2AI notes as the Modifiable and Combinable REMICs
(MACR) notes; together Moody's refers to them as the notes.

The M-2 notes can be exchanged for M-2A and M-2B notes, M-2R and
M-2I notes, M-2S and M-2I, M-2T and M-2I, and M-2U and M-2I notes.

The M-2A notes can be exchanged for M-2AR and M-2AI notes, M-2AS
and M-2AI notes, M-2AT and M-2AI, and M-2AU and M-2AI notes.

The M-2B notes can be exchanged for M-2BR and M-2BI notes, M-2BS
and M-2BI notes, M-2BT and M-2BI notes, and M-2BU and M-2BI notes.

Classes M-2I , M-2AI, M-2BI, B-1AI and B-2AI are interest only
tranches referencing to the notional balances of Classes M-2, M-2A,
M-2B, B-1A and B-2A, respectively.

Classes M-2RB, M-2SB, M-2TB and M-2UB are each an exchangeable for
two classes that are initially offered at closing. Its ratings of
M-2RB, M-2SB, M-2TB and M-2UB reference the rating of Class M-2B
only, disregarding the rating of M-2AI. This is the case because
Class M-2AI's cash flow represents an insignificant portion of the
overall promise. In the event Class M-2B gets written down through
losses and Class M-2AI is still outstanding, Moody's would continue
to rate Classes M-2RB, M-2SB, M-2TB and M-2UB consistent with Class
M-2B's last outstanding rating so long as Classes M-2RB, M-2SB,
M-2TB and M-2UB are still outstanding.

Transaction Structure

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. Realized
losses are allocated in a reverse sequential order starting with
the Class B-3H reference tranche.

Interest due on the notes is determined by the outstanding
principal balance and the interest rate of the notes. The interest
payment amount is the interest accrual amount of a class of notes
minus any modification loss amount allocated to such class on each
payment date, plus any modification gain amount. The modification
loss and gain amounts are calculated by taking the respective
positive and negative difference between the original accrual rate
of the loans, multiplied by the unpaid balance of the loans, and
the current accrual rate of the loans, multiplied by the interest
bearing unpaid balance.

So long as the senior reference tranche is outstanding, and no
performance trigger event occurs, the transaction structure
allocates principal payments on a pro-rata basis between the senior
and non-senior reference tranches. Principal is then allocated
sequentially amongst the non-senior tranches.

The STACR 2020-HQA4 transaction allows for principal distribution
to subordinate notes by the supplemental subordinate reduction
amount even if performance triggers fail. The supplemental
subordinate reduction amount equals the excess of the offered
reference tranche percentage over 6.15%. The distribution of the
supplemental subordinated reduction amount would reduce principal
balances of the offered reference tranche and correspondingly limit
the credit enhancement of class A note to be always below 6.15%
plus the note balance of B-3H. This feature is beneficial to the
offered certificates.

Credit Events and Modification Events

Reference tranche write-downs occur as a result of loan level
credit events. A credit event with respect to any loan means any of
the following events: (i) a short sale with respect to the related
mortgaged property is settled, (ii) a related seriously delinquent
mortgage note is sold prior to foreclosure, (iii) the mortgaged
property that secured the related mortgage note is sold to a third
party at a foreclosure sale, (iv) an REO disposition occurs, or (v)
the related mortgage note is charged-off. As a result, the
frequency of credit events will be the same as actual loan default
frequency, and losses will impact the notes similar to that of a
typical RMBS deal.

Loans that experience credit events that are subsequently found to
have an underwriting defect, a major servicing defect or are deemed
ineligible will be subject to a reverse credit event. Reference
tranche balances will be written up for all reverse credit events
in sequential order, beginning with the most senior tranche that
has been subject to a previous write-down. In addition, the amount
of the tranche write-up will be treated as an additional principal
recovery, and will be paid to noteholders in accordance with the
cash flow waterfall.

If a loan experiences a forbearance or mortgage rate modification,
the difference between the original mortgage rate and the current
mortgage rate will be allocated to the reference tranches as a
modification loss. The Class B-3H reference tranche, which
represents 0.25% of the pool, will absorb modification losses
first. The final coupons on the notes will have an impact on the
amount of interest available to absorb modification losses from the
reference pool.

Tail Risk

Similar to prior STACR transactions, the initial subordination
level of 4% is lower than the deal's minimum credit enhancement
trigger level of 4.25%. The transaction begins by failing the
minimum credit enhancement test, leaving the subordinate tranches
locked out of unscheduled principal payments until the deal builds
an additional 0.25% subordination. STACR 2020-HQA4 does not have a
subordination floor. This is mitigated by the sequential principal
payment structure of the deal, which ensures that the credit
enhancement of the subordinate tranches is not eroded early in the
life of the transaction.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


STACR REMIC 2020-HQA4: S&P Assigns B- Rating on B-1B Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to Freddie Mac STACR REMIC
Trust 2020-HQA4's notes.

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

The ratings reflect:

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

-- The credit quality of the collateral included in the reference
pool--a majority of this collateral is covered by mortgage
insurance backstopped by Freddie Mac;

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

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

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

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

  RATINGS ASSIGNED

  Freddie Mac STACR REMIC Trust 2020-HQA4

  Class      Rating          Amount ($)
  A-H(i)     NR          24,008,978,545
  M-1        BBB- (sf)      177,000,000
  M-1H(i)    NR              73,093,526
  M-2        BB- (sf)       220,000,000
  M-2A       BB+ (sf)       110,000,000
  M-2AH(i)   NR              46,308,454
  M-2B       BB- (sf)       110,000,000
  M-2BH(i)   NR              46,308,454
  M-2R       BB- (sf)       220,000,000
  M-2S       BB- (sf)       220,000,000
  M-2U       BB- (sf)       220,000,000
  M-2I       BB- (sf)       220,000,000
  M-2T       BB- (sf)       220,000,000
  M-2AR      BB+ (sf)       110,000,000
  M-2AS      BB+ (sf)       110,000,000
  M-2AT      BB+ (sf)       110,000,000
  M-2AU      BB+ (sf)       110,000,000
  M-2AI      BB+ (sf)       110,000,000
  M-2BR      BB- (sf)       110,000,000
  M-2BS      BB- (sf)       110,000,000
  M-2BT      BB- (sf)       110,000,000
  M-2BU      BB- (sf)       110,000,000
  M-2BI      BB- (sf)       110,000,000
  M-2RB      BB- (sf)       110,000,000
  M-2SB      BB- (sf)       110,000,000
  M-2TB      BB- (sf)       110,000,000
  M-2UB      BB- (sf)       110,000,000
  B-1        B- (sf)        177,000,000
  B-1A       B+ (sf)         88,500,000
  B-1AR      B+ (sf)         88,500,000
  B-1AI      B+ (sf)         88,500,000
  B-1AH(i)   NR              36,546,763
  B-1B       B- (sf)         88,500,000
  B-1BH(i)   NR              36,546,763
  B-2        NR             106,000,000
  B-2A       NR              53,000,000
  B-2AR      NR              53,000,000
  B-2AI      NR              53,000,000
  B-2AH(i)   NR               9,523,382
  B-2B       NR              53,000,000
  B-2BH(i)   NR               9,523,382
  B-3H(i)    NR              62,523,381

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


SYMPHONY CLO XIV: Moody's Lowers Rating on Class F Notes to Caa3
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Symphony CLO XIV, Ltd.:

US$48,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2026 (the "Class E Notes"), Downgraded to B1 (sf); previously on
Apr 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$16,000,000 Class F Deferrable Mezzanine Floating Rate Notes due
2026 (the "Class F Notes"), Downgraded to Caa3 (sf); previously on
Apr 17, 2020 Caa1 (sf) Placed Under Review for Possible Downgrade

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

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

US$18,900,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (the "Class D-R Notes"), Confirmed at Baa1 (sf);
previously on Apr 17, 2020 Baa1 (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, Class E Notes and Class F Notes
issued by the CLO. The CLO, originally issued in May 2014 and
partially refinanced in January 2017 and in October 2019 is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in July 2018.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to some CLO notes has declined,
and expected losses (ELs) on certain notes have increased. Moody's
also notes that the amortization of the portfolio, together with a
below-average weighted average spread, reduces the interest
collections available to pay the notes. The end of the reinvestment
period in July 2018 also limits the deal's ability to reposition
the portfolio or benefit from a recovery if the current condition
of lower economic activity extends over a long period.

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 September 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3139, compared to 2595
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2344 reported in the
September 2020 trustee report [3]. Based on the trustee's September
2020 report [4], the weighted average speed was reported at 2.92%
and is currently failing the test level of level of 2.93%. Based on
Moody's calculation, the proportion of obligors in the portfolio
with Moody's corporate family or other equivalent ratings of Caa1
or lower (adjusted for negative outlook or watchlist for downgrade)
was approximately 16.3%. Nevertheless, Moody's noted that all the
OC tests 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: $547,104,707

Defaulted Securities: $19,389,510

Diversity Score: 57

Weighted Average Rating Factor (WARF): 3197

Weighted Average Life (WAL): 3.6 years

Weighted Average Spread (WAS): 2.91%

Weighted Average Recovery Rate (WARR): 48.44%

Par haircut in OC tests and interest diversion test: 0.4%

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

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

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

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

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

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


SYMPHONY CLO XVII: Moody's Confirms Ba3 Rating on Class E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Symphony CLO XVII, Ltd.:

US$31,500,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class D-R Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$25,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class E-R Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D-R and E-R Notes issued by the CLO. The CLO,
originally issued in March 2016 and refinanced in April 2018, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2020.

RATINGS RATIONALE

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 3201, compared to 2830
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was passing the test level of 3281 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%.
Nevertheless, Moody's noted that the OC tests for all the notes, as
well as the interest diversion test were recently reported in the
August 2020 trustee report [4] as passing.

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

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

Performing par and principal proceeds balance: $486,962,838

Defaulted Securities: $12,665,321

Diversity Score: 68

Weighted Average Rating Factor (WARF): 3282

Weighted Average Life (WAL): 4.33 years

Weighted Average Spread (WAS): 3.29%

Weighted Average Recovery Rate (WARR): 48.4%

Par haircut in OC tests and interest diversion test: 0.73%

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.


TOWD POINT 2020: Fitch Affirms 'CCsf' Rating on Class XA Debt
-------------------------------------------------------------
Fitch Ratings has affirmed Towd Point Mortgage Funding - Auburn 13
and Towd Point Mortgage Funding - Auburn 14. The class D and E
notes in both transactions have been removed from Rating Watch
Negative (RWN) and assigned Negative Outlooks.

RATING ACTIONS

Towd Point Mortgage Funding 2020 - Auburn 14 plc

Class A XS2109385679; LT AAAsf Affirmed; previously at AAAsf

Class B XS2109385836; LT AAsf Affirmed; previously at AAsf

Class C XS2109386057; LT Asf Affirmed; previously at Asf

Class D XS2109386214; LT BB+sf Affirmed; previously at BB+sf

Class E XS2109386487; LT Bsf Affirmed; previously at Bsf

Class XA XS2109387378; LT CCsf Affirmed; previously at CCsf

Towd Point Mortgage Funding - Auburn 13

Class A1 XS2053911264; LT AAAsf Affirmed; previously at AAAsf

Class A2 XS2062950584; LT AAAsf Affirmed; previously at AAAsf

Class B XS2053911421; LT AAsf Affirmed; previously at AAsf

Class C XS2053911934; LT Asf Affirmed; previously at Asf

Class D XS2053912239; LT BB+sf Affirmed; previously at BB+sf

Class E XS2053913393; LT Bsf Affirmed; previously at Bsf

TRANSACTION SUMMARY

The transactions are static pass through RMBS securitisations of
primarily legacy buy-to-let (BTL) loans, originated by Capital Home
Loans (CHL) in England, Wales, Scotland, and Northern Ireland.

KEY RATING DRIVERS

Off RWN

Fitch has removed the class D and E notes from RWN where they were
placed in April in response to the coronavirus outbreak. The
transactions have now been analysed under its coronavirus
assumptions and Fitch considered all notes sufficiently robust to
affirm their ratings.

Negative Outlooks

Fitch has assigned Negative Outlooks to the class D and E notes in
both transactions. Fitch considers these classes vulnerable to
prolonged payment holidays or subsequent collateral
underperformance, which may lead to negative rating actions. The
Stable Outlooks on the A1, A2, B and C notes in Auburn 13 and the
A, B and C notes in Auburn 14 notes demonstrates these notes'
resilience to further adverse changes to the economic situation,
especially as each class has access to dedicated liquidity.

Coronavirus-related Assumptions

Fitch expects a generalised weakening in borrowers' ability to keep
up with mortgage payments due to the economic impact of the
coronavirus pandemic and the related containment measures. As a
result, Fitch applied coronavirus assumptions to the mortgage
portfolios.

The combined application of revised 'Bsf' representative pool
weighted average foreclosure frequency (WAFF), revised rating
multiples and arrears adjustment for both the owner-occupied and
the BTL sub-pools, resulted in a multiple to the current FF
assumptions of about 1.3x at 'Bsf' and of between 1.0x and 1.1x at
'AAAsf' in each transaction. The coronavirus assumptions are more
modest for higher rating levels as the corresponding rating
assumptions are already meant to withstand more severe shocks.

Fitch also applied a payment holiday stress for the first six
months of projections, assuming up to 20% of interest collections
will be lost, and related principal receipts will be delayed.

Impact of Payment Holidays

Around 10% of the borrowers in each portfolio were on payment
holidays as at end-July. In line with Financial Conduct Authority
guidance, CHL granted payment holidays based on borrowers'
self-certification. Fitch expects providing borrowers with a
payment holiday of up to six months to have a temporary positive
impact on loan performance. However, the transactions may face some
liquidity constraints if many borrowers opt for a payment holiday.
Fitch has tested the ability of the relevant liquidity facility and
reserves to cover senior fees and the class A, B and C notes'
interest, and found that payment interruption risk would be
mitigated.

In Auburn 14, as a result of the impact of payment holidays on the
amount of excess spread available there has been a full interest
period's worth of interest deferred on the class E notes and a
small amount on the class D notes. Interest deferrals are permitted
on each class besides class A in Auburn 14 without causing an event
of default.

There is also a principal deficiency ledger (PDL) balance that
remains outstanding. This is in line with its expectations for the
transaction as given the low amount of excess spread available
initially, a significant temporary reduction in revenue was always
likely to lead to interest deferrals on the junior notes. However,
Fitch believes the deferred interest and outstanding PDL balance
will be cleared in the coming interest periods as the amount of
loans on payment holidays continues to fall and excess spread
returns to previous levels.

RATING SENSITIVITIES

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

The broader global economy remains under stress due to the
coronavirus pandemic, with surging unemployment and pressure on
businesses stemming from social-distancing guidelines. Recent
government measures related to the coronavirus pandemic introduced
a suspension on tenant evictions for three months and mortgage
payment holidays, also for up to three months. Fitch acknowledges
the uncertainty of the path of coronavirus-related containment
measures and has therefore considered more severe economic
scenarios.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases", Fitch considers a more severe downside coronavirus
scenario for sensitivity purposes whereby a more severe and
prolonged period of stress is assumed with a halting recovery from
2Q21. Under this scenario, Fitch assumed a 15% increase in the WAFF
and a 15% decrease in the weighted average recovery rate. The
results indicate an adverse rating impact of up to four notches in
both Auburn 13 and Auburn 14.

The transactions' performance may be affected by changes in market
conditions and economic environment. Weakening asset performance is
strongly correlated to increasing levels of delinquencies and
defaults that could reduce credit enhancement (CE) available to the
notes.

Additionally, unanticipated declines in recoveries could also
result in lower net proceeds, which may make certain notes' ratings
susceptible to potential negative rating actions depending on the
extent of the decline in recoveries. Fitch conducts sensitivity
analyses by stressing both a transaction's base-case FF and RR
assumptions, and examining the rating implications on all classes
of issued notes.

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and potential
upgrades. Fitch tested an additional rating sensitivity scenario by
applying a decrease in the FF of 15% and an increase in the RR of
15%. The ratings for the subordinated notes could be upgraded by up
to three notches in Auburn 13 and four notches in Auburn 14.

CRITERIA VARIATION

Under the UK RMBS Rating Criteria, loan margins and rates will be
input into the multi-asset cash flow model on a bucketed basis
where the portfolio contains wide dispersion in margins and rates.
The cash flow model will apply a yield compression over time by
application of 100% of defaults and 80% of prepayments to the
receivables within the higher-yielding buckets.

Auburn 14 contains legacy loans (originated between 2005 and 2008)
which exceeded the mortgages' fixed rate reversion dates, and as
such are paying a variable rate. The WA margin of these loans is
low, meaning that borrowers within this portfolio have no
incentives to refinance, given the product offerings currently
available for BTL loans. As a result of this consideration, no
yield compression was applied to voluntary prepayments in the
agency's cash flow analysis for Auburn 14.

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.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pools and the transactions. There were no findings that affected
the rating analysis. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

Prior to the transactions closing, Fitch reviewed the results of a
third-party assessment conducted on the asset portfolio information
and concluded that there were no findings that affected the rating
analysis.

Overall and together with the assumptions referred, Fitch's
assessment of the information relied upon for the agency's rating
analysis according to its applicable rating methodologies indicates
that it is adequately reliable.

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

Towd Point Mortgage Funding - Auburn 13: Customer Welfare - Fair
Messaging, Privacy & Data Security: 4

Towd Point Mortgage Funding 2020 - Auburn 14 plc: Customer Welfare
- Fair Messaging, Privacy & Data Security: 4

Towd Point Mortgage Funding Auburn 13 has an ESG Relevance Score of
4 for Customer Welfare - Fair Messaging, Privacy & Data Security
due to the high proportion of interest-only (IO) loans in legacy OO
mortgages, which has a negative impact on the credit profile, and
is relevant to the ratings in conjunction with other factors

Towd Point Mortgage Funding Auburn 14 has an ESG Relevance Score of
4 for Customer Welfare - Fair Messaging, Privacy & Data Security
due to high proportion of IO loans in legacy OO mortgages, which
has a negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors

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).


TOWD POINT: Moody's Confirms Ratings on 34 Classes on Some Trusts
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
classes of bonds and confirmed the ratings of 34 classes of bonds
from 22 transactions issued by Towd Point Mortgage Trust between
2015 and 2019. The ratings of the affected tranches are sensitive
to loan performance deterioration due to the pandemic.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL). The collateral has
multiple servicers.

The complete rating actions are as follows:

Issuer: Towd Point Mortgage Trust 2015-1

Cl. B1, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2015-2

Cl. 1-B3, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2015-3

Cl. B2, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1 (sf)
Placed Under Review for Possible Downgrade

Cl. B3, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2015-4

Cl. B3, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2015-5

Cl. B3, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2015-6

Cl. B2, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2016-1

Cl. B3, Confirmed at B2 (sf); previously on May 7, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2016-3

Cl. B3, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2016-4

Cl. B4, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2016-5

Cl. B2, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B3, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2017-1

Cl. B1, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1 (sf)
Placed Under Review for Possible Downgrade

Cl. B2, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Cl. B3, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2017-2

Cl. B3, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2017-3

Cl. B2, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2017-5

Cl. B3, Confirmed at Ba2 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2017-6

Cl. B1, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Cl. B2, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2018-1

Cl. B2, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2018-2

Cl. B1, Downgraded to Ba2 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B2, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2018-5

Cl. M2, Downgraded to Ba3 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2018-6

Cl. M1, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Cl. M2, Downgraded to Ba3 (sf); previously on May 7, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2019-1

Cl. M1, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Cl. M2, Downgraded to B1 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2019-4

Cl. A5, Confirmed at Baa1 (sf); previously on May 7, 2020 Baa1 (sf)
Placed Under Review for Possible Downgrade

Cl. B1, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B1A, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B1B, Confirmed at Ba3 (sf); previously on May 7, 2020 Ba3 (sf)
Placed Under Review for Possible Downgrade

Cl. B2, Confirmed at B3 (sf); previously on May 7, 2020 B3 (sf)
Placed Under Review for Possible Downgrade

Cl. M2, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

Cl. M2A, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. M2B, Confirmed at Baa3 (sf); previously on May 7, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

Issuer: Towd Point Mortgage Trust 2019-HY2

Cl. B1, Confirmed at Ba1 (sf); previously on May 7, 2020 Ba1 (sf)
Placed Under Review for Possible Downgrade

Cl. B2, Confirmed at B1 (sf); previously on May 7, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating action reflects our revised loss expectations for the
underlying mortgage loans driven by performance deterioration
resulting from a slowdown in economic activity and increased
unemployment due to the coronavirus outbreak. Specifically, we
observed an increase in delinquencies, payment forbearance, and
payment deferrals since the start of pandemic, which could result
in higher realized losses. For certain transactions, the elevated
levels of borrowers enrolled in payment relief programs may cause
temporary interest shortfalls on the bonds, which we expect to be
reimbursed.

In our analysis, we considered an increase in the baseline loss
projections, relative to our pre-pandemic loss projections, of up
to 20% to evaluate the resiliency of the ratings amid the
uncertainty surrounding the pools' performance caused by the
coronavirus outbreak, which negatively affects the macroeconomic
conditions that influence consumer credit performance.

Our analysis considers the current proportion of loans granted
payment relief in individual pools. We identified these loans based
on a review of loan level cashflows over the last few months. Based
on our analysis, the proportion of borrowers in pools of
re-performing residential mortgage loans that are currently
enrolled in payment relief plans varied greatly, ranging between
approximately 7% and 27%. In our sensitivity analysis, we assume
these loans to experience lifetime default rates that are 50%
higher than default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Our analysis considered
loss sensitivity to the assumption that six months of scheduled
principal on the loans enrolled in payment relief programs will be
passed to the trust as a loss. Transaction documents for Towd Point
Mortgage Trust 2017-1, and prior issued transactions, state that
any deferred amount will be allocated as a realized loss to the
trust, which will cause a write-down on the junior notes. The
magnitude of the write-down will depend on the proportion of the
borrowers in the pool subject to principal deferral and the number
of months of such deferral. The treatment of deferred principal as
a loss is credit negative for the junior bonds, which would incur
write-downs when missed payments are deferred.

Four tranches from two transactions currently have outstanding
interest shortfalls. Given the lack of servicer advancing, an
elevated percentage of non-cash flowing loans related to borrowers
enrolled in payment deferral programs can result in interest
shortfalls, especially on the junior bonds. Based on transaction
documents, reimbursement of missed interest on the more senior
notes has a higher priority than even scheduled interest payments
on the more subordinate notes. As such, we expect the outstanding
shortfalls to be reimbursed as the proportion of borrowers enrolled
in payment deferrals declines. In addition, documents also allow
for interest shortfalls to be reimbursed from principal
collections. Given that we expect the interest shortfalls to be
temporary and fully reimbursed within a short period of time, these
did not impact the ratings adversely.

Our rating actions also take into consideration the seasoned
profile of the underlying mortgage loans, equity built up in the
properties and the notes' payment priorities. The sequential pay
structures in these deals have helped with buildup in credit
enhancement, especially in an environment of elevated prepayment
rates. The increase in credit enhancement has helped offset some of
the increase in expected losses spurred by the pandemic. On
average, notes that were confirmed as part of today's actions
experienced a 0.5% to 3.2% increase in credit enhancement over past
12 months.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our 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 our forecasts is unusually high.

We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

Principal Methodologies

The methodologies used in these ratings were "US RMBS Surveillance
Methodology" published in July 2020.

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

Up

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

Down

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

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


UBSCM 2018-NYCH: DBRS Gives B(low) Rating on Class G Certs
----------------------------------------------------------
DBRS, Inc. assigned ratings to the Commercial Mortgage Pass-Through
Certificates, Series 2018-NYCH issued by UBSCM 2018-NYCH Mortgage
Trust as follows:

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

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic.

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

On March 1, 2020, DBRS Morningstar finalized its "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology), which presents the criteria for which ratings are
assigned to and/or monitored for North American
single-asset/single-borrower (NA SASB) transactions, large
concentrated pools, rake certificates, ground lease transactions,
and credit tenant lease transactions. For further information on
the NA SASB Methodology, please see the press release dated March
1, 2020, at www.dbrsmorningstar.com. On March 27, 2020, DBRS
Morningstar placed the ratings on its outstanding SASB transactions
secured by hospitality properties Under Review with Negative
Implications while MCR placed the ratings on its outstanding SASB
transactions secured by hospitality properties Under Review
Negative as the global shelter-in-place and travel restrictions
related to the coronavirus have had an extreme impact on the
short-term performance of this asset class.

To assign ratings to this transaction, DBRS Morningstar considered
both the impact of the updated NA SASB Methodology and its
scenarios attributable to the ongoing coronavirus pandemic on the
ratings.

Because of the coronavirus' significant impact on hospitality
performance, DBRS Morningstar first considered the application of
the updated NA SASB Methodology in conjunction with the "North
American CMBS Surveillance Methodology" to arrive at a baseline
result, which incorporated qualitative assumptions, capitalization
rates, and loan-to-value (LTV) ratio sizing benchmark
quality/volatility adjustments and excluded any potential changes
in current or future expected asset performance resulting from the
coronavirus.

DBRS Morningstar then overlaid scenarios incorporating market value
declines (MVDs) consistent with the projections in its "Global
Macroeconomic Scenarios: September Update" published on September
10, 2020, on top of the baseline result to determine the impact of
coronavirus-related changes in asset performance on the subject
transaction on a tranche-by-tranche basis. For more information on
these scenarios, please refer to the Coronavirus Impact Analysis
section of this document. The global macroeconomic scenarios
include a moderate decline of 15% for all commercial real estate
(CRE), which acts as an average for all CRE property types.
However, DBRS Morningstar expects a higher stress for hospitality
properties, ranging from 25% to 45% based on the type of demand
segmentation and asset location, and expects corporate demand and
remote fly-to locations to be at the higher end of the value
decline.

LOAN/PROPERTY OVERVIEW

The UBSCM 2018-NYCH Mortgage Trust transaction is collateralized by
a $300.0 million, floating-rate, interest-only (IO) mortgage loan
that is secured by the fee-simple interests on seven recently
renovated limited-service and extended-stay hotels in New York City
totaling 1,087 rooms. The loan pays interest rate at a rate of
Libor plus 2.72%. The loan has an initial term of three years with
two one-year extension options. The initial maturity is in February
2021. Individual properties from the portfolio may be released
subject to certain provisions including a paydown in principal on
the loan equal to 115% of the allocated loan amount for the
released hotel(s).

The loan sponsors are Hersha Hospitality Trust (Hersha), a real
estate investment trust trading under the New York Stock
Exchange-Euronext, and Cindat Capital Management (Cindat), a
private-equity firm headquartered in Beijing. Hersha's portfolio
includes hotels in primary cities on the U.S. East Coast and select
markets on the West Coast. Hersha was the 100% owner of the
portfolio prior to March 2016 when it sold a 70% ownership interest
to Cindat. Hersha Hospitality Management, L.P., an affiliate of
Hersha, will continue to manage the portfolio. The sponsors have
invested $15.2 million in property improvement plan renovations
completed in March 2017 and $2.75 million in other capital
improvements.

Loan proceeds and $85.0 million of mezzanine debt were used to
retire existing debt, return $43.2 million of preferred equity to
Hersha, return $12.3 of equity to the borrower, pay closing costs,
and fund escrows.

The seven hotels are in Manhattan submarkets that typically have
very active lodging demand: Times Square (three hotels), the
Financial District (two hotels), and one hotel in each Chelsea and
Herald Square. The midmarket hotels are flagged with well-known
brands: Hampton Inn (three hotels), Holiday Inn Express (two
hotels), Holiday Inn, and Candlewood Suites. At issuance,
occupancies at the properties ranged from 90% to 95% with average
daily rates ranging from $198 to $229 per room, averaging $212 per
room night. The respective competitive set of hotels for each
property averaged a similar occupancy level with average daily
rates approximately $11 higher. The portfolio's 2019 year-end net
cash flow (NCF) declined 13% from the issuer's assumed NCF at
issuance. During this time the portfolio's weighted-average
occupancy also declined to 91% from 95% as of YE2019. Some
stability in revenue, albeit at reduced rates, is afforded by
nearly 11% of room nights coming from the New York City Department
of Homeless Services. The hotels operate with a nonunion staff
yielding cost benefits compared with unionized competitors.

As a result of the coronavirus pandemic and forced shutdown of the
economy, the loan was transferred to special servicing in April
2020. The loan payments for April, May, and subsequent months were
made by the mezzanine lender and the borrower has requested a
forbearance and an extension of the maturity date.

DBRS Morningstar reanalyzed the NCF derived at issuance for the
subject rating action to confirm its consistency with the "DBRS
Morningstar North American Commercial Real Estate Property Analysis
Criteria." The resulting NCF figure was $25.6 million and DBRS
Morningstar applied a cap rate of 8.50%, which resulted in a DBRS
Morningstar Value of $300.6 million, a variance of -48.2% from the
appraised value of $580.7 million at issuance. The DBRS Morningstar
Value implies an LTV of 99.8% compared with the LTV of 51.7% on the
appraised value at issuance.

The cap rate DBRS Morningstar applied is at the middle of the range
of DBRS Morningstar Cap Rate Ranges for lodging properties which
reflects growing Manhattan lodging demand from tourist and
commercial guests, strong submarket locations, and strong brand
associations and booking networks, with supply growth in most
submarkets.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 0.50%
to account for cash flow volatility, property quality, and market
fundamentals.

CORONAVIRUS IMPACT ANALYSIS

DBRS Morningstar overlaid various scenarios incorporating MVDs
consistent with the projections in the "Global Macroeconomic
Scenarios: September Update"
(https://www.dbrsmorningstar.com/research/366542) to estimate the
impact of coronavirus-related changes in asset performance on a
tranche-by-tranche basis for the subject transaction. The scenarios
included subjecting the most recent appraised collateral value to
generalized CRE asset value decline projections with an assumption
of approximately 45% under the moderate scenario. In cases where
the rated debt exceeded the scenario value, DBRS Morningstar
assumed that a principal writedown had occurred to account for the
difference. Because of the reverse-sequential allocation of losses
in commercial mortgage-backed security (CMBS) transactions, DBRS
Morningstar's analysis considered the most subordinate certificate
first and, if a complete principal writedown of the certificate had
occurred during the scenario, DBRS Morningstar repeated the
analysis for the second-most subordinate certificate and so on
until the rated debt no longer exceeded the scenario value.

Under the moderate scenario, the cumulative rated debt was
insulated from loss.

Class X-NCP is an IO certificate that references a single rated
tranche or multiple rated tranches. The IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.

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


VENTURE 33 CLO: Moody's Lowers Rating on Class F Notes to Caa1
--------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Venture 33 CLO, Limited:

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

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

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

US$33,500,000 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$28,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

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

RATINGS RATIONALE

The 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 Downgraded 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 September 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 2980, compared to 2765
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was passing the test level of 3034 reported in the
September 2020 trustee report [3]. Based on Moody's calculation,
the proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
18.2%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $585.9
million, or $14.1 million less than the deal's ramp-up target par
balance. Nevertheless, Moody's noted that all OC tests as well as
the interest diversion test were recently reported as passing.

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

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

Performing par and principal proceeds balance: $579,730,863

Defaulted Securities: $12,520,209

Diversity Score: 103

Weighted Average Rating Factor (WARF): 3071

Weighted Average Life (WAL): 6.0 years

Weighted Average Spread (WAS): 3.70%

Weighted Average Recovery Rate (WARR): 46.9%

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.


VENTURE 34: Moody's Confirms Ba3 Rating on Class E Notes
--------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Venture 34 CLO, Limited:

US$29,500,000 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$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

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

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

RATINGS RATIONALE

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

According to the September 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3067, compared to 2713
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was passing the test level of 3106 reported in the
September 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%. Moody's noted that all OC tests as well as the interest
diversion test were recently reported as passing.

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

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

Performing par and principal proceeds balance: $490,122,615

Defaulted Securities: $9,289,012

Diversity Score: 99

Weighted Average Rating Factor (WARF): 3121

Weighted Average Life (WAL): 6.1 years

Weighted Average Spread (WAS): 3.75%

Weighted Average Recovery Rate (WARR): 47.1%

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.


WELLS FARGO 2020-RR1: Fitch Gives Bsf Rating on Class B-5 Debt
--------------------------------------------------------------
Fitch Ratings has assigned ratings to Wells Fargo Mortgage-Backed
Securities 2020-RR1 Trust (WFMBS 2020-RR1).

RATING ACTIONS

WFMBS 2020-RR1

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

Class A-2; LT AAAsf New Rating; previously AAA(EXP)sf

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

Class A-4; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-5; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-6; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-7; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-8; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-9; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-10; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-11; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-12; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-13; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-14; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-15; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-16; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-17; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-18; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-19; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-20; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO1; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO2; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO3; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO4; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO5; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO6; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO7; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO8; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO9; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO10; LT AAAsf New Rating; previously AAA(EXP)sf

Class A-IO11; LT AAAsf New Rating; previously AAA(EXP)sf

Class B-1; LT AA+sf New Rating; previously AA+(EXP)sf

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

Class B-3; LT BBB+sf New Rating; previously BBB+(EXP)sf

Class B-4; LT BB+sf New Rating; previously BB+(EXP)sf

Class B-5; LT Bsf New Rating; previously B(EXP)sf

Class B-6; LT NRsf New Rating; previously NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 350 prime fixed-rate mortgage
loans with a total balance of approximately $273 million as of the
cutoff date. All of the loans were originated by Wells Fargo Bank,
N.A. (Wells Fargo) or were acquired from its correspondents. This
is the tenth post-crisis issuance from Wells Fargo. All of the
loans satisfy the Ability to Repay Rule (ATR); however, Wells Fargo
determined only two loans meet the QM designation based on its
underwriting guidelines.

KEY RATING DRIVERS

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

Expected Payment Deferrals Related to the Coronavirus (Negative):
The outbreak of the coronavirus and widespread containment efforts
in the U.S. will result in increased unemployment and cash flow
disruptions. To account for the cash flow disruptions, Fitch
assumed deferred payments on a minimum of 25% of the pool for the
first six months of the transaction at all rating categories with a
reversion to its standard delinquency and liquidation timing curve
by month 10. This assumption is based on observations of legacy
delinquencies and past-due payments following Hurricane Maria in
Puerto Rico.

Payment Forbearance (Mixed): As of the cutoff date, none of the
borrowers in the pool are on a coronavirus forbearance plan.
Additionally, any loan that enters a coronavirus forbearance plan
between the cutoff date and prior to or on the closing date will be
removed from the pool (at par) within 30 days of closing. For
borrowers who enter a coronavirus forbearance plan post-closing,
the P&I advancing party will advance delinquent P&I during the
forbearance period. If at the end of the forbearance period the
borrower begins making payments, the advancing party will be
reimbursed from any catch-up payment amount.

If the borrower does not resume making payments and the loan is
modified, or if the payments missed by the borrower during the
forbearance period are deferred in a balloon loan modification due
at the end of the existing loan term, the advancing party will be
reimbursed from available funds. Fitch increased its loss
expectations by 10 bps for the 'BB+sf' ratings categories and below
to address the potential for write-downs due to reimbursements of
servicer advances. This increase is based on a servicer
reimbursement scenario analysis which incorporated collateral
similar to WFMBS 2020-RR1. Fitch did not adjust its loss
expectations above 'BB+sf' because the model output levels were
sufficiently lower than Fitch's loss floors for 30-year
collateral.

Full Servicer Advancing (Neutral): The pool benefits from advances
of delinquent P&I until the servicer, Wells Fargo, the primary
servicer of the pool, deems them nonrecoverable. Fitch's loss
severities reflect reimbursement of amounts advanced by the
servicer from liquidation proceeds based on its liquidation
timelines assumed at each rating stress. In addition, the credit
enhancement (CE) for the rated classes has some cushion for
recovery of servicer advances for loans that are modified following
a payment forbearance.

Very High-Quality Mortgage Pool (Positive): The collateral
attributes are among the strongest of post-crisis RMBS rated by
Fitch. The pool consists primarily of 30-year, fixed-rate, fully
amortizing loans to borrowers with strong credit profiles, low
leverage and large liquid reserves. All but two loans are
classified as Non-Qualified Mortgages (NQM), but all loans are
Ability-To-Repay (ATR) compliant. The remaining two loans are
classified as Safe Harbor Qualified Mortgages (SHQM). The loans are
seasoned an average of 15.2 months.

The pool has a weighted average (WA) original FICO score of 779,
which is indicative of very high credit-quality borrowers.
Approximately 86% has original FICO scores at or above 750. In
addition, the original WA CLTV ratio of 70.2% represents
substantial borrower equity in the property. The pool's attributes,
together with Wells Fargo's sound origination practices, support
Fitch's very low default risk expectations.

Non-Qualified Mortgage (Negative): All of the loans in this
transaction were underwritten to guidelines that satisfy the ATR
Rule, however, Wells Fargo determined only two loans meet the QM
designation based on its underwriting guidelines. Fitch's 'AAAsf'
loss was increased by 18 bps to account for the potential risk of
foreclosure challenges under the ATR Rule.

Geographic Concentration (Neutral): Approximately 38% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in San Francisco
MSA (11.4%) followed by the Los Angeles MSA (9.3%) and the Chicago
MSA (8.2%). The top three MSAs account for 29% of the pool. As a
result, there was no adjustment for geographic concentration.

Low Operational Risk (Positive): Operational risk is very well
controlled for in this transaction. Wells Fargo has an extensive
operating history in residential mortgage originations and is
assessed as an 'Above Average' originator by Fitch. The entity has
a diversified sourcing strategy and uses an effective proprietary
underwriting system for its retail originations. Wells Fargo will
perform primary and master servicing for this transaction; these
functions are rated 'RPS1-' and 'RMS1-', respectively, which are
among Fitch's highest servicer ratings. Each of these servicers was
moved to Negative from Stable due to the changing economic
landscape. The expected losses at the 'AAAsf' rating stress were
reduced by approximately 31 bps to reflect these strong operational
assessments.

Tier 2 Representations and Warranties (R&W) Framework (Neutral):
While the loan-level R&Ws for this transaction are substantially in
conformity with Fitch criteria, the framework has been assessed as
a Tier 2 due to the narrow testing construct, which limits the
breach reviewer's ability to identify or respond to issues not
fully anticipated at closing. The Tier 2 assessment and the strong
financial condition of Wells Fargo as R&W provider resulted in a
neutral impact to the CE. In response to the coronavirus, and in an
effort to focus breach reviews on loans that are more likely to
contain origination defects that let to or contributed to the
delinquency of the loan, Wells Fargo added additional carve-out
language relating to the delinquency review trigger for certain
Disaster Mortgage Loans that are modified or delinquent due to
disaster related loss mitigation (including the coronavirus). This
is discussed further in the Asset Analysis section.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of the loans in the transaction pool. The
review was performed by Clayton, which is assessed by Fitch as an
'Acceptable - Tier 1' TPR firm. A total of 99.7% of the loans
received a final grade of 'A' or 'B' which reflects strong
origination practices. Loans with a final grade of 'B' were
supported with sufficient compensating factors or were already
accounted for in Fitch's loan loss model. One loan was graded 'C'
due to an issue verifying bonus income. Fitch applied the TPR's
recalculated DTI. The adjustment did not have a material impact on
the expected loss levels. Loans with due diligence receive a credit
in the loss model; the aggregate adjustment reduced the 'AAAsf'
expected losses by 15 bps.

Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified CE levels are not
maintained.

To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 1.60% of the
original balance will be maintained for the senior certificates.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts, reviewer fees and
costs of arbitration, to be paid by the net WA coupon of the loans,
which does not affect the contractual interest due on the
certificates. Furthermore, the expenses to be paid from the trust
are capped at $350,000 per annum, with the exception of independent
reviewer breach review fee, which can be carried over each year,
subject to the cap until paid in full.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
The implied rating sensitivities are only an indication of some of
the potential outcomes and do not consider other risk factors that
the transaction may become exposed to or that may be considered in
the surveillance of the transaction. Sensitivity analyses was
conducted at the state and national levels to assess the effect of
higher MVDs for the subject pool as well as lower MVDs, illustrated
by a gain in home prices.

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 39.2% 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 Clayton Services LLC. The third-party due diligence
described in Form 15E focused on a compliance review, credit review
and valuation review. The due diligence company performed a review
on 100% of the loans. Fitch believes the overall results of the
review generally reflected strong underwriting control. Fitch
considered this information in its analysis and, as a result, Fitch
made the following adjustment to its analysis: loans with due
diligence received a credit in the loss model. This adjustment
reduced the 'AAAsf' expected losses by 15 bps.

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

WFMBS 2020-RR1 has an ESG Relevance Score of +4 for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in WFMBS 2020-RR1, 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.


WELLS FARGO 2020-RR1: Moody's Gives B1 Rating on Class B-5 Debt
---------------------------------------------------------------
Moody's Investors Service assigned definitive ratings to 25 classes
of residential mortgage-backed securities (RMBS) issued by Wells
Fargo Mortgage Backed Securities 2020-RR1 Trust (WFMBS 2020-RR1).
The ratings range from Aaa (sf) to B1 (sf). The transaction
represents the tenth RMBS issuance sponsored by Wells Fargo Bank,
N.A. (Wells Fargo Bank, the sponsor and mortgage loan seller) since
2018 and features mortgage loans with strong collateral
characteristics.

WFMBS 2020-RR1 is the fifth prime issuance by Wells Fargo Bank in
2020, but is the first transaction from the sponsor primarily
backed by non-Qualified Mortgage (QM) loans (99.2% by balance),
consisting of 350 primarily 30-year, fixed rate, prime residential
mortgage loans with an unpaid principal balance of $273,089,920.
The mortgage loans for this transaction were originated by Wells
Fargo Bank, through its retail and correspondent channels, in
accordance with its underwriting guidelines. Unlike typical Wells
Fargo Bank sponsored transactions, this transaction does not
include representations from the sponsor that the mortgage loans in
the portfolio are QM loans under the Ability to Repay (ATR) rules
in the Truth-in-Lending Act (TILA). However, the sponsor will make
certain representations that the mortgage loans will comply with
the ATR rules. As a result, the transaction is subject to the
Dodd-Frank Act's risk retention rules and the sponsor will retain
5% of the securitized exposure in the transaction.

The pool has strong credit quality and consists of borrowers with
high FICO scores, significant equity in their properties and liquid
cash reserves. The pool has clean pay history and weighted average
(WA) seasoning of approximately 14.2 months. Of note, any loan that
has entered into a coronavirus (COVID-19) related forbearance plan
as of the cut-off date has been removed from the mortgage pool.
Additionally, any borrowers that request forbearance between the
cut-off date and closing will be repurchased within 30 days of
closing.

Wells Fargo Bank will service all the mortgage loans and will also
be the master servicer for this transaction. The aggregate
servicing fee rate is 25 basis points (bps) and the servicer will
advance delinquent principal and interest (P&I), unless deemed
nonrecoverable.

The credit quality of the transaction is further supported by an
unambiguous representation and warranty (R&W) framework and a
shifting interest structure that benefits from a senior floor and a
subordinate floor. We coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: Wells Fargo Mortgage Backed Securities 2020-RR1 Trust

Cl. A-1, Definitive Rating Assigned Aaa (sf)

Cl. A-2, Definitive Rating Assigned Aaa (sf)

Cl. A-3, Definitive Rating Assigned Aaa (sf)

Cl. A-4, Definitive Rating Assigned Aaa (sf)

Cl. A-5, Definitive Rating Assigned Aaa (sf)

Cl. A-6, Definitive Rating Assigned Aaa (sf)

Cl. A-7, Definitive Rating Assigned Aaa (sf)

Cl. A-8, Definitive Rating Assigned Aaa (sf)

Cl. A-9, Definitive Rating Assigned Aaa (sf)

Cl. A-10, Definitive Rating Assigned Aaa (sf)

Cl. A-11, Definitive Rating Assigned Aaa (sf)

Cl. A-12, Definitive Rating Assigned Aaa (sf)

Cl. A-13, Definitive Rating Assigned Aaa (sf)

Cl. A-14, Definitive Rating Assigned Aaa (sf)

Cl. A-15, Definitive Rating Assigned Aaa (sf)

Cl. A-16, Definitive Rating Assigned Aaa (sf)

Cl. A-17, Definitive Rating Assigned Aa1 (sf)

Cl. A-18, Definitive Rating Assigned Aa1 (sf)

Cl. A-19, Definitive Rating Assigned Aaa (sf)

Cl. A-20, Definitive Rating Assigned Aaa (sf)

Cl. B-1, Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Definitive Rating Assigned A3 (sf)

Cl. B-3, Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Definitive Rating Assigned Ba1 (sf)

Cl. B-5, Definitive Rating Assigned B1 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Our expected losses in a base case scenario are 0.26% at the mean
and 0.12% at the median. Our losses reach 3.21% at a stress level
consistent with our 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.
Our 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 our forecasts is unusually high. We
regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

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 our
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around our forecasts is unusually high. We increased
our model-derived median expected losses by 15% (9.41% for the
mean) and our Aaa losses by 5% to reflect the likely performance
deterioration resulting from a slowdown in US economic activity in
2020 due to the coronavirus outbreak.

We base our ratings on the certificates on the credit quality of
the mortgage loans, the structural features of the transaction, our
assessments of the origination quality and servicing arrangement,
the strength of the third-party due diligence and the R&W framework
of the transaction.

Collateral Description

The WFMBS 2020-RR1 transaction is a securitization of 350 first
lien residential mortgage loans with an unpaid principal balance of
$273,089,920. The mortgage loans in this transaction have strong
borrower characteristics with a WA original FICO score of 783 and a
weighted-average original loan-to-value ratio (LTV) of 69.8%. In
addition, by stated principal balance, 34.3% of the borrowers are
self-employed, refinance loans account for approximately 46.1%
(inclusive of construction to permanent loans), of which 7.6% are
cash-out loans. Construction to permanent loans account for 9.50%
(by stated principal balance) of the pool. The construction to
permanent is a two-part loan where the first part is for the
construction and then it becomes a permanent mortgage once the
property is complete. For such mortgage loans in the pool, the
construction was complete and because the borrower cannot receive
cash from the permanent loan proceeds or anything above the
construction cost, we treated these mortgage loans as a
rate-and-term refinance rather than a cash-out.

Approximately 59.1% (by stated principal balance) of the properties
backing the mortgage loans are located in five states: California,
Illinois, Texas, Florida and Maryland with 37.9% (by stated
principal balance) of the properties located in California.
Properties located in the states of Virginia, Washington, New York,
Colorado and Massachusetts round out the top ten states by loan
stated principal balance. Approximately 75.2% (by stated principal
balance) of the properties backing the mortgage loans included in
WFMBS 2020-RR1 are located in these ten states.

Origination Quality

Wells Fargo Bank, N.A. (Aa1 long term deposit; Aa2 long term debt)
is an indirect, wholly-owned subsidiary of Wells Fargo & Company
(long term debt A2). Wells Fargo & Company is a U.S. bank holding
company with approximately $1.97 trillion in assets and
approximately 266,000 employees as of June 30, 2020, which provides
banking, insurance, trust, mortgage and consumer finance services
throughout the United States and internationally. Wells Fargo Bank
has sponsored or has been engaged in the securitization of
residential mortgage loans since 1988. Wells Fargo Home Lending
(WFHL) is a key part of Wells Fargo & Company's diversified
business model. The mortgage loans for this transaction are
originated by WFHL, through its retail and correspondent channels,
in accordance with its underwriting guidelines. The company uses a
solid loan origination system which include embedded features such
as a proprietary risk scoring model, role-based business rules and
data edits that ensure the quality of loan production.

In this transaction, no mortgage loans were underwritten
specifically to Fannie Mae and Freddie Mac, i.e.
government-sponsored enterprise (GSE) guidelines. All mortgage
loans were underwritten and priced to WFHL portfolio requirements.
In other words, while 100% of all non-conforming mortgage loans
receive some level of support from an automated underwriting system
(AUS), the evaluation is not intended to replace or supersede the
underwriter as many factors used in the underwriting process may
not be embedded in the AUS.

WFHL does not have underwriting guidelines that relate solely to
mortgage loans that are intended to be non-QM or QM and therefore,
the underwriting guidelines are applicable to both. The term
"non-QM" generally applies to types of loans or mortgage products
with certain characteristics, such as interest-only loans, negative
amortization loans and most balloon loans, loans not underwritten
in compliance with Appendix Q, among others. However, the
identification of a mortgage loans as a non-QM is based upon WFHL's
categorization of such mortgage loans under its underwriting
policies and procedures in place at the time of origination of such
mortgage loans (including WFHL's interpretation of Appendix Q).
Other lenders or market participants may interpret and apply the
ATR rules differently than WFHL and therefore may arrive at
different conclusions regarding whether any such mortgage loans
would meet the definition of a QM or is otherwise a non-QM mortgage
loan. Therefore, WFHL may classify a mortgage loan at the time it
was originated under its guidelines as a QM that it would have
previously classified (or would in the future classify) as a non-QM
loan or vice versa. In fact, the third-party review (TPR) firm
reviewed the mortgage loans in this transaction for compliance with
the QM criteria. With respect to 261 mortgage loans (out of 376
reviewed) (approximately 69.5% by stated principal balance), the
TPR firm concluded that such mortgage loans are QMs
(notwithstanding WFHL's categorization of such mortgage loans). The
two main underwriting factors which WFHL deems as non-QM that the
TPR firm does not are (1) self-prepared year-to-date profit and
loss (P&L) statement and balance sheet (while not specified in
QM/Appendix Q, WFHL still requires two years of personal and
business tax returns) and (2) for self-employed borrowers,
documentation which has been waived, self-prepared or does not
exist such as the P&L and/or balance sheet and was deemed
non-material or not used in the credit decision process.

It should be noted that while WFHL implemented a number of policy
changes to address the Covid-19 environment, all of the mortgage
loans in this transaction have been originated prior to such policy
changes. Additionally, WFHL has temporarily stopped originating
non-conforming correspondent mortgage loans, until further notice.

After considering the company's origination practices, we made no
additional adjustments to our base case and Aaa loss expectations
for origination.

Third Party Review

One independent TPR firm, Clayton Services LLC, was engaged to
conduct due diligence for the credit, regulatory compliance,
property valuation and data accuracy for all of the 376 mortgage
loans in the initial population of this transaction. The TPR
results indicate that the majority of reviewed mortgage loans were
in compliance with the underwriting guidelines, no material
compliance or data issues, and no appraisal defects. There was one
mortgage loan with a level "C" grade which was due to missing
income documentation on a particular bonus the borrower received,
which was subsequently excluded from the income calculation. While
this increased DTI to approximately 46%, this exception was
addressed adequately owing to general adherence to Wells Fargo
Bank's underwriting guidelines, compliance with applicable law, in
addition to the presence of strong compensating factors. We did not
make any additional adjustments in our model analysis to account
for this exception.

The TPR firm's property valuation review consisted of reviewing the
valuation materials utilized at origination to ensure the appraisal
report was complete and in conformity with the underwriting
guidelines. The TPR firm also compared third-party valuation
products to the original appraisals. The TPR firm generally
obtained a collateral desktop analysis (CDA) through an independent
third-party valuation company to determine whether such CDA
supported the appraisal value used in connection with the
origination of the mortgage loan within a negative 10% variance.
Instances where 10% negative variances (between the CDA and the
appraised value) were reported, a field review was ordered to
reconcile value per the original appraisal. Additionally, any loan
more than 12 months old received new Broker Price Opinion (BPO)
value. Out of 219 BPOs ordered, 36 BPOs produced negative variances
above -10%. We have reviewed all such variances in detail
(available BPO reports and Wells Fargo Bank's detailed notes and
summaries) and concluded that in most instances some BPOs produced
negative variances because such BPOs relied on
different/unsuitable/conflicting comparable and/or such BPOs
excluded key property features from its analysis. In some
instances, a field review actually supported the original appraisal
despite the variance in the BPO results. In this transaction, the
valuation cascade waterfall is very strong compared to many prime
originators, which includes original appraisals on all mortgage
loans, 100% CDAs, field-reviews to test negative CDA variances
above a certain threshold and finally BPOs on all seasoned mortgage
loans (more than 12 months old). As a result, we did not make an
additional adjustment in our model analysis associated with some of
the observed negative BPO variances because we consider the
accuracy of the data provided, scope and depth of the property
valuation procedures, quality control and overall valuation results
to be strong.

Finally, the majority of the data integrity errors in the initial
population of the pool were due to observed differences in cash
reserves (32 mortgage loans), CLTV (9 mortgage loans), DTI (36
mortgage loans), original appraised value (23 mortgage loans), and
self-employment flag (11 mortgage loans). We did not make any
adjustments to our credit enhancement for data integrity since data
discrepancies were addressed appropriately.

Representation & Warranties

We assessed the R&W framework for this transaction as adequate. We
analyzed the strength of the R&W provider, the R&Ws themselves and
the enforcement mechanisms. The R&W provider is highly rated, the
breach reviewer is independent and the breach review process is
thorough, transparent and objective. As a result, we did not make
any additional adjustment to our base case and Aaa loss
expectations for R&Ws.

Wells Fargo Bank, as the originator, makes the loan-level R&Ws for
the mortgage loans. The loan-level R&Ws are strong and, in general,
either meet or exceed the baseline set of credit-neutral R&Ws we
have identified for US RMBS. Further, R&W breaches are evaluated by
an independent third party using a set of objective criteria to
determine whether any R&Ws were breached when mortgage loans become
120 days delinquent, the property is liquidated at a loss above a
certain threshold, or the loan is modified by the servicer. Similar
to J.P. Morgan Mortgage Trust transactions, this transaction
contains a "prescriptive" R&W framework. These reviews are
prescriptive in that the transaction documents set forth detailed
tests for each R&W that the independent reviewer will perform.

It should be noted that exceptions exist for certain excluded
disaster mortgage loans that trip the delinquency trigger. These
excluded disaster mortgage loans include COVID-19 forbearance
mortgage loans or any other loan with respect to which (a) the
related mortgaged property is located in an area that is subject to
a major disaster declaration by either the federal or state
government and (b) has either been modified or is being reported
delinquent by the servicer as a result of a forbearance, deferral
or other loss mitigation activity relating to the subject disaster.
Such excluded disaster mortgage loans may be subject to a review in
future periods if certain conditions are satisfied.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.60% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 1.60% of the closing pool
balance.

We calculate the credit neutral floors for a given target rating as
shown in our principal methodology. The senior subordination floor
of 1.60% and subordinate floor of 1.60% are consistent with the
credit neutral floors for the assigned ratings.

Transaction Structure

The securitization has a shifting interest structure that benefits
from a senior floor and a subordinate floor. Funds collected,
including principal, are first used to make interest payments and
then principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all unscheduled principal
collections to the senior bond for a specified period of time and
increasing amounts of unscheduled principal collections to the
subordinate bonds thereafter, but only if loan performance
satisfies delinquency and loss tests.

All certificates in this transaction are subject to a net WAC cap.
Realized losses are allocated reverse sequentially among the
subordinate and senior support certificates and on a pro-rata basis
among the super senior certificates.

Because it includes non-QM loans, the transaction is subject to the
Dodd-Frank Act's risk retention rules. In this transaction, the
sponsor or one or more majority owned affiliates of the sponsor
will retain a 5% vertical residual interest in all the offered
certificates. The sponsor or one or more majority owned affiliates
of the sponsor will also be the holder of the residual
certificate.

Servicing Arrangement

In WFMBS 2020-RR1, unlike other prime jumbo transactions, Wells
Fargo Bank acts as servicer, master servicer, securities
administrator and custodian of all of the mortgage loans for the
deal. The servicer will be primarily responsible for funding
certain servicing advances and delinquent scheduled interest and
principal payments for the mortgage loans, unless the servicer
determines that such amounts would not be recoverable. The master
servicer and servicer will be entitled to be reimbursed for any
such monthly advances from future payments and collections
(including insurance and liquidation proceeds) with respect to
those mortgage loans (see also COVID-19 impacted borrowers section
for additional information).

In the case of the termination of the servicer, the master servicer
must consent to the trustee's selection of a successor servicer,
and the successor servicer must have a net worth of at least $15
million and be Fannie or Freddie approved. The master servicer
shall fund any advances that would otherwise be required to be made
by the terminated servicer (to the extent the terminated servicer
has failed to fund such advances) until such time as a successor
servicer is appointed. Additionally, in the case of the termination
of the master servicer, the trustee will be required to select a
successor master servicer in consultation with the depositor. The
termination of the master servicer will not become effective until
either the trustee or successor master servicer has assumed the
responsibilities and obligations of the master servicer which also
includes the advancing obligation.

After considering Wells Fargo Bank's servicing practices, we did
not make any additional adjustment to our losses.

COVID-19 Impacted Borrowers

As of the cut-off date, no borrower under any mortgage loan has
entered into a COVID-19 related forbearance plan with the servicer.
The mortgage loan seller will covenant in the mortgage loan
purchase agreement to repurchase at the repurchase price within 30
days of the closing date any mortgage loan with respect to which
the related borrower requests or enters into a COVID-19 related
forbearance plan after the cut-off date but on or prior to the
closing date. In the event that after the closing date a borrower
enters into or requests a COVID-19 related forbearance plan, such
mortgage loan (and the risks associated with it) will remain in the
mortgage pool.

In the event the servicer enters into a forbearance plan with a
COVID-19 impacted borrower of a mortgage loan, the servicer will
report such mortgage loan as delinquent (to the extent payments are
not actually received from the borrower) and the servicer will be
required to make advances in respect of delinquent interest and
principal (as well as servicing advances) on such loan during the
forbearance period (unless the servicer determines any such
advances would be a nonrecoverable advance). At the end of the
forbearance period, if the borrower is able to make the current
payment on such mortgage loan but is unable to make the previously
forborne payments as a lump sum payment or as part of a repayment
plan, the servicer anticipates it will modify such mortgage loan
and any forborne amounts will be deferred as a non-interest bearing
balloon payment that is due upon the maturity of such mortgage
loan.

At the end of the forbearance period, if the borrower repays the
forborne payments via a lump sum or repayment plan, advances will
be recovered via the borrower payment(s). In an event of
modification, Wells Fargo Bank will recover advances made during
the period of COVID-19 related forbearance from pool level
collections.

Any principal forbearance amount created in connection with any
modification (whether as a result of a COVID-19 forbearance or
otherwise) will result in the allocation of a realized loss and to
the extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.

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

Down

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

Up

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

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.


WESTLAKE AUTOMOBILE 2020-3: S&P Gives Prelim. B+ Rating on F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Westlake
Automobile Receivables Trust 2020-3's automobile receivables-backed
notes series 2020-3.

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

The preliminary ratings are based on information as of Sept. 30,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The availability of approximately 47.76%, 41.50%, 33.34%,
26.97%, 23.62%, and 20.83% credit support for the class A-1 and
A-2-A/A-2-B (collectively, class A), B, C, D, E, and F notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These provide approximately 3.10x, 2.65x, 2.05x,
1.67x, 1.45x, and 1.22x, respectively, of S&P's 14.75%-15.25%
expected cumulative net loss range;

-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned preliminary ratings;

-- The expectation that under a moderate ('BBB') stress scenario
(1.67x S&P's expected loss level), all else being equal, its
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in "S&P Global Ratings
Definitions," published Aug. 7, 2020.

-- The collateral characteristics of the securitized pool of
subprime automobile loans;

-- The originator/servicer's long history in the
subprime/specialty auto finance business;

-- S&P's analysis of approximately 15 years (2006-2020) of static
pool data on the company's lending programs; and

-- The transaction's payment, credit enhancement, and legal
structures.

  PRELIMINARY RATINGS ASSIGNED

  Westlake Automobile Receivables Trust 2020-3

  Class         Rating      Amount (mil. $)
  A-1           A-1+ (sf)            154.50
  A-2-A/A-2-B   AAA (sf)             473.10
  B             AA (sf)               88.55
  C             A (sf)               113.54
  D             BBB (sf)              86.98
  E             BB (sf)               41.66
  F             B+ (sf)               41.67


[*] DBRS Places 5 US RMBS Securities Under Review Negative
----------------------------------------------------------
DBRS Morningstar, on April 13, 2020, and May 13, 2020, published
commentaries on the U.S. residential mortgage-backed security
(RMBS) sector titled "Coronavirus Disease Fallout and the Credit
Risk Exposure Mapping of U.S. RMBS Sectors" and "Coronavirus
Disease Implications for GSE CRT Deals," respectively. In a
commentary titled "Global Macroeconomic Scenarios: September
Update" published on September 10, 2020, DBRS Morningstar provided
an update on how its scenarios and views on the coronavirus have
evolved since its original commentary dated April 16, 2020. DBRS
Morningstar's moderate scenario now reflects recent economic data
and assumes that a full recovery takes somewhat longer. This
implies lower GDP growth for 2020, higher GDP growth for 2021 (as a
larger proportion of lost output is made up in 2021 instead of Q3
and Q4 2020), and higher unemployment in 2020 carrying through to
2021.

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

-- Key performance measures as reflected in month-over-month
changes in delinquency (including forbearance) percentages, credit
enhancement (CE) increases since deal inception, and the CE levels
relative to the 30+-day delinquencies.

-- Offset of mortgage relief initiatives via direct-to-consumer
economic aid, mortgage payment assistance, and foreclosure
suspension directives.

-- Higher unemployment rates and more conservative home price
assumptions.

The Affected Ratings are:

                Action     Rating

Galton Funding Mortgage Trust 2020-H1
Mortgage Pass-Through Certificates

  Class B2      UR-Neg.    Bsf

Homeward Opportunities Fund I Trust 2019-2
Mortgage Pass-Through Certificates

  Class B-1     UR-Neg.    BBsf

MetLife Securitization Trust 2018-1
Residential Mortgage-Backed Securities

  Class B2      UR-Neg.    Bsf

MetLife Securitization Trust 2019-1
Residential Mortgage-Backed Securities

  Class B2      UR-Neg.    Bsf

Towd Point Mortgage Trust 2018-4
Asset Backed Securities

  Clas B2       UR-Neg.    BB(low)sf

NON-QM

In the Non-QM asset class, DBRS Morningstar generally believes that
loans originated to (1) borrowers with recent credit events, (2)
self-employed borrowers, or (3) higher loan-to-value (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.

RPL

In the RPL asset class, DBRS Morningstar generally believes that
loans that were previously delinquent, recently modified, or have
higher updated LTVs may be more sensitive to economic hardships
resulting from higher unemployment rates and lower incomes.
Borrowers with previous delinquencies or recent modifications have
exhibited difficulty in fulfilling payment obligations in the past
and may revert to spotty payment patterns in the near term. Higher
LTV borrowers with lower equity in their properties generally have
fewer refinance opportunities and, therefore, slower prepayments.

The rating actions are a result of DBRS Morningstar's application
of the "U.S. RMBS Surveillance Methodology" published on February
21, 2020.

When DBRS Morningstar places a rating Under Review with Negative
Implications, DBRS Morningstar seeks to complete its assessment and
remove the rating from this status as soon as appropriate. Upon the
resolution of the Under Review status, DBRS Morningstar may confirm
or downgrade the ratings on the affected classes.

Notes: The principal methodologies are the U.S. RMBS Surveillance
Methodology (February 21, 2020) and RMBS Insight 1.3: U.S.
Residential Mortgage-Backed Securities Model and Rating Methodology
(April 1, 2020), which can be found on dbrsmorningstar.com under
Methodologies & Criteria.


[*] Fitch Puts 19 Tranches From 3 US CMBS Deals on Watch Negative
-----------------------------------------------------------------
Fitch placed 19 classes from three transactions, CD 2017-CD3
Mortgage Trust Series 2017-CD, JPMDB Commercial Mortgage Securities
Trust 2017-C5 and Citigroup Commercial Mortgage Trust 2017-P7, on
Rating Watch Negative. Additionally, the Rating Outlooks for nine
classes from two of these deals, CD 2017-CD3 and JPMDB 2017-C5,
were revised to Negative from Stable.

RATING ACTIONS

CGCMT 2017-P7

Class D 17325HAA2; LT BBB-sf Rating Watch On; previously at BBB-sf


Class E 17325HAC8; LT BB-sf Rating Watch On; previously at BB-sf

Class F 17325HAE4; LT B-sf Rating Watch On; previously at B-sf

Class V-2D 17325HAU8; LT BBB-sf Rating Watch On; previously at
BBB-sf

Class V-3D 17325HBC7; LT BBB-sf Rating Watch On; previously at
BBB-sf

Class X-D 17325HAJ3; LT BBB-sf Rating Watch On; previously at
BBB-sf

JPMDB 2017-C5

Class A-S 46590TAJ4; LT AAAsf Revision Outlook; previously at AAAsf


Class B 46590TAK1; LT AA-sf Revision Outlook; previously at AA-sf

Class C 46590TAL9; LT A-sf Rating Watch On; previously at A-sf

Class D 46590LBA9; LT BBBsf Rating Watch On; previously at BBBsf

Class E-RR 46590LBC5; LT BBB-sf Rating Watch On; previously at
BBB-sf

Class F-RR 46590LBE1; LT BBsf Rating Watch On; previously at BBsf

Class G-RR 46590LBG6; LT Bsf Rating Watch On; previously at Bsf

Class X-A 46590TAG0; LT AAAsf Revision Outlook; previously at AAAsf


Class X-B 46590TAH8; LT A-sf Rating Watch On; previously at A-sf

CD 2017-CD3 Mortgage Trust Series 2017-CD3

Class A-S 12515GAF4; LT AAAsf Revision Outlook; previously at AAAsf


Class B 12515GAG2; LT AA-sf Revision Outlook; previously at AA-sf

Class C 12515GAH0; LT A-sf Rating Watch On; previously at A-sf

Class D 12515GAM9; LT BBB-sf Rating Watch On; previously at BBB-sf


Class E 12515GAP2; LT BB-sf Rating Watch On; previously at BB-sf

Class F 12515GAR8; LT B-sf Rating Watch On; previously at B-sf

Class V-A 12515GAX5; LT AAAsf Revision Outlook; previously at AAAsf


Class V-B 12515GAZ0; LT AA-sf Revision Outlook; previously at AA-sf


Class V-C 12515GBB2; LT A-sf Rating Watch On; previously at A-sf

Class V-D 12515GBD8; LT BBB-sf Rating Watch On; previously at
BBB-sf

Class X-A 12515GAJ6; LT AAAsf Revision Outlook; previously at AAAsf


Class X-B 12515GAK3; LT AA-sf Revision Outlook; previously at AA-sf


Class X-D 12515GAV9; LT BBB-sf Rating Watch On; previously at
BBB-sf

KEY RATING DRIVERS

The rating actions primarily reflect the increased loss
expectations on the 229 West 43rd Street Retail Condo loan, which
has pari passu loan participations in each of the three
transactions. The loan also has a participation in the CD 2016-CD2
transaction, which was reviewed separately. While the loan had been
previously identified as a Fitch Loan of Concern (FLOC), loss
expectations have increased significantly; a recent valuation of
the property indicates a value significantly below the outstanding
debt amount. The loan is now 90+ days delinquent. The Negative
Watch signals the heightened possibility for a downgrade in the
near term. The classes placed on Negative Watch are expected to be
resolved over the next six months in conjunction with a full review
of these transactions.

The Outlook revisions to Negative reflect the potential for future
downgrades. Rating Outlooks typically reflect a one-to-two-year
timeframe for rating changes. Downgrades for these classes are not
as imminent as credit enhancement remains high for these classes
relative to loss expectations; anticipated interest shortfalls
resulting from the recent valuation on the 229 West 43rd Street
Retail Condo loan are not expected to impact the classes rated
'AAAsf' and 'AA-sf'.

The $285 million 229 West 43rd Street Retail Condo loan is
securitized amongst four transactions:

  -- CD 2017-CD3; $100 million; largest loan comprising 7.7% of the
pool;

  -- JPMDB 2017-C5; $80 million, largest loan comprising 8.1% of
the pool;

  -- CGCMT 2017-P7; $30 million, 10th largest loan comprising 3% of
the pool.

  -- CD 2016-CD2, $75 million, third largest loan comprising 7.8%
of the pool.

The loan, which is secured by a 245,132-sf retail condominium
located in Manhattan's Time Square district, was transferred to
special servicing in December 2019 for imminent monetary default.
Multiple lease sweep periods have occurred related to most of the
tenants, including National Geographic, Gulliver's Gate and OHM
tenants, which have triggered a cash flow sweep since December
2017. Two of these tenants, National Geographic, and Gulliver's
Gate (combined, 43% of NRA), are in the process of vacating the
property; occupancy is expected to drop to 52%. The property had
been benefiting from an Industrial Commercial Incentive Program
(ICIP) tax abatement, which began to burn off in the 2017-2018 tax
year by 20% per year. The property has also been impacted by the
coronavirus pandemic, as it caters to entertainment and tourism
industries.

RATING SENSITIVITIES

Downgrades of one category or more are expected on the classes
placed on Negative Watch, given the significantly higher loss
expectation on the 229 West 43rd Street Retail Condo loan, coupled
with the economic impact of the coronavirus pandemic on the overall
performance of these pools.

For those classes assigned Negative Outlooks, downgrades would be
possible should the impact of the pandemic be prolonged beyond
2021; performance of the FLOCs in these pools fail to stabilize or
continue to decline; additional loans transfer to special servicing
and/or further losses be 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.


[*] S&P Takes Actions on 58 Classes From 15 U.S. RMBS Deals
-----------------------------------------------------------
S&P Global Ratings completed its review of 58 classes from 15 U.S.
RMBS transactions issued between 2002 and 2006. The review yielded
20 downgrades, 29 affirmations, four discontinuances, and two
withdrawals. At the same time, S&P placed three ratings on
CreditWatch with negative implications.

Of the downgraded ratings, 13 were lowered after S&P assessed the
likelihood of missed interest payments being reimbursed on the
affected classes. For certain classes, S&P's assessment considered
the potential impact of a provision in the transaction documents
that prohibits any payment distributions (including reimbursement
of prior interest shortfalls) once a class' principal balance has
been reduced to zero).

The list of Affected Ratings can be viewed at:

            https://bit.ly/3kZYcoI

ANALYTICAL CONSIDERATIONS

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The current consensus
among health experts is that COVID-19 will remain a threat until a
vaccine or effective treatment becomes widely available, which
could be around mid-2021. S&P said, "We are using this assumption
in assessing the economic and credit implications associated with
the pandemic. As the situation evolves, we will update our
assumptions and estimates accordingly."

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:

-- Factors related to the COVID-19 pandemic;
-- Collateral performance or delinquency trends;
-- Historical interest shortfalls or missed interest payments;
-- Loan modifications;
-- Small loan count; and
-- Available subordination and/or overcollateralization.

RATING ACTIONS

S&P said, "The rating changes reflect our view regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or application of specific criteria
applicable to these classes.

"We lowered our rating on the class M-2 certificates from Bear
Stearns Asset Backed Securities I Trust 2005-EC1 (BSABS 2005-EC1),
to 'CCC (sf)' from 'AA+ (sf)', due to our assessment that ultimate
interest repayments will be unlikely before the principal balance
has been reduced to zero." As discussed more fully below, the
transaction documents do not allow any further payments of interest
once the principal balance has been repaid. During the June 2019
remittance period, the class M-2 certificates incurred an interest
shortfall of $27,356. At the time of the shortfall, class M-2,
which is the senior most class, had 77.00% credit support (up from
an original credit support of 16.95%) and was receiving all
principal funds due to a performance trigger that precludes
subordinate classes from principal distributions.

The interest shortfall occurred after the servicer, JPMorgan Chase
Bank N.A., recouped funds it had previously advanced due to
delinquent loans within the pool, in the amount of $284,590.14. The
funds recouped by the servicer left an insufficient amount of
interest funds remaining to pay the trust's current period's
interest obligation. As a result, all classes within the
transaction, including the 'AA+ (sf)' rated M-2 class, experienced
interest shortfalls.

S&P said, "The lowered ratings are consistent with our "S&P Global
Ratings Definitions," published Aug. 7, 2020, which impose a
maximum rating threshold on classes that have incurred missed
interest payments resulting from credit or liquidity erosion. In
applying our ratings definitions, we looked to see if the
applicable class received additional compensation beyond the
imputed interest due as direct economic compensation for the delay
in interest payment (e.g. interest on interest), and whether or not
the missed interest payments will be repaid by the maturity date."

BSABS 2005-EC1 is similar to most legacy RMBS subprime transactions
in that class M-2 receives additional interest to compensate for
the delay in interest payments, and the repayment of interest
shortfalls only occurs after an overcollateralization target is
achieved (i.e., delayed reimbursement), by using excess interest to
further pay down principal on the liabilities.

However, BSABS 2005-EC1 is unlike most legacy RMBS subprime
transactions in that it prohibits any payment distributions
(including reimbursement of prior interest shortfalls) once a
class' balance has been reduced to zero. In typical RMBS
transactions, classes are able to receive payments after their
balance reduces to zero and, in many cases, this allows additional
time for the overcollateralization target to be achieved and prior
interest shortfalls to be reimbursed. However, in the case of BSABS
2005-EC1's class M-2, S&P used its projections in determining the
likelihood that the shortfall would be reimbursed prior to class
M-2's balance reducing to zero, and it determined interest
repayments were unlikely at higher rating scenarios.

S&P said, "We also lowered our rating on the class M-1 certificates
from Bear Stearns Asset Backed Securities Trust 2003-HE1 (BSABS
2003-HE1), to 'CCC (sf)' from 'BB+ (sf)', due to ultimate interest
repayments being unlikely at the previous rating level. Similar to
the class M-2 from BSABS 2005-EC1, as discussed above, BSABS
2003-HE1's class M-1 had previously incurred an interest shortfall.
While class M-1 could receive additional compensation for the delay
in interest payment after an overcollateralization target is
achieved, under the transaction documents class M-1 is not entitled
to funds after its principal balance is reduced to zero. As such,
we used our projections in determining the likelihood that the
shortfall would be reimbursed prior to class M-1's balance reducing
to zero, and we determined interest repayments were unlikely at
higher rating scenarios.

"In addition, we lowered our ratings on class M-1 and M-2 from Bear
Stearns Asset Backed Securities Trust 2004-SD3 (BSABS 2004-SD3) to
'BBB (sf)' and 'BBB- (sf)' from 'AA+ (sf)' and 'AA (sf)',
respectively. The lowered ratings reflect our view that ultimate
interest repayments will be unlikely at the previous rating levels.
However, unlike the transactions mentioned above, BSABS 2004-SD3
allows prior interest shortfalls on the classes to be reimbursed
after their principal balance is reduced to zero. As such, we
factored this provision into our analysis and, in our view, the
overcollateralization target will likely be achieved, and the
interest shortfall will likely be reimbursed at the current rating
levels.

"We also placed three ratings on CreditWatch with negative
implications from Bear Stearns Asset Backed Securities Trust 2002-2
(BSABS 2002-2). The CreditWatch placements reflect reported
interest shortfalls on the affected classes that could negatively
affect our ratings on those classes. This transaction also
prohibits any payment distributions (including reimbursement of
prior interest shortfalls) once a class' balance has been reduced
to zero. After verifying the possible reimbursement of certain
prior missed interest payments, we will adjust the ratings as we
consider appropriate pursuant to our criteria.

"The affirmations reflect our view that our projected credit
support and collateral performance on these classes have remained
relatively consistent with our prior projections.

"We withdrew our ratings on two classes from Bear Stearns Asset
Backed Securities Trust 2003-SD2 due to the small number of loans
remaining in the related group. Once a pool has declined to a de
minimis amount, future performance becomes more difficult to
project. As such, we believe there is a high degree of credit
instability that is incompatible with any rating level."


                            *********

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.

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